Category: Market Action

Sometimes you just can’t win:

Vladimir Putin is facing a problem few could have anticipated: The ruble is becoming too strong.

Last year’s worst-performing major currency is this year’s best and while that’s buoying the nation’s bonds, driving yields to the lowest in four months, it’s also crimping Russia’s export revenue. Even though oil is little changed in dollars this year, the price when converted to rubles has plunged to the lowest since 2011.

The currency rout in 2014 helped Russia to keep its budget deficit within 1 percent of gross domestic product as the ruble weakened in lockstep with a 50 percent slump in oil. Now, with the cease-fire in Ukraine and the allure of higher-yielding assets attracting investors to ruble debt, the government is seeing the opposite effect.

“The current ruble level is already uncomfortable for the budget considering the oil price in rubles is already low,” Vladimir Bragin, head of research at Alfa Capital in Moscow, said by phone on Thursday. “In order to reach macroeconomic stability, Russia needs to limit its budget deficit and a weaker ruble is an easy way to do that.”

It looks like there will be another triumph for regulatory extortion:

Deutsche Bank AG is close to resolving a multi-year probe by U.S. and U.K. authorities into interest-rate manipulation, with a U.K. subsidiary expected to plead guilty, according to two people familiar with the matter.

Germany’s biggest bank will probably finalize a settlement this month, these people said. The unit expected to plead is Deutsche Bank Group Services, one of the people said.

The bank is also expected to pay penalties of more than $1.5 billion to wrap up probes by the U.S. Justice Department, the Commodity Futures Trading Commission, New York’s Department of Financial Services and the U.K.’s Financial Conduct Authority, according to one of the people. The penalty could be larger than those levied against other global banks for interest-rate rigging claims.
…
In October, the bank said it was in discussions with some authorities about a resolution. The German lender previously was fined 725 million euros ($773 million) by the European Union for manipulating yen Libor and the euro interbank offered rate.
…
Deutsche Bank set aside 3.6 billion euros in legal and operational risk provisions at the end of December. The bank doesn’t provide details on the reserves. Over the last three years, the bank’s litigation expenses totaled about 7.1 billion euros.

As an aside, I confess to being fascinated and horrified by the Valentina Lisitsa / Toronto Symphony Orchestra scandal. In the first place, I agree with Vinay Menon of the Toronto Star:

The TSO sacrificed its own artistic integrity. It was remarkably tone deaf. It set a dangerous precedent and, in doing so, made a mockery of the arts in this city. Canceling these concerts was about as absurd and unwarranted as that time mayor June Rowlands banned the Barenaked Ladies because the band’s name objectified women.

More to the point though is the TSO’s Jeff Melanson’s delusions of grandeur. If – as many fervently believe – she has crossed the line into hate speech … we have laws for that. Publicly available laws, with case law constructed from the precedents. We have a judicial system that will – publicly – make a finding based on the (publicly disclosed) facts of the case; we can attend the trial if we wish to, to verify that the decision is on the up-and-up. We have a police force that will perform any necessary investigation and many crown attorneys who will make a decision as to whether to proceed with charges on the basis of that investigation. We have a judicial system that will – publicly – make a finding based on the (publicly disclosed) facts of the case; we can attend the trial if we wish to, to verify that the decision is on the up-and-up. We do not need Jeff Melanson of the TSO to pin on his Junior Secret Policeman badge and indulge in a little career-wrecking in the apparent belief that artists are supposed to be nice people.

These vitriolic moral crusades harm the body politic more than anything Ms. Lisitsa has said and the promotion of two-bit bureaucrats to Official Moral Arbiters is even worse, as discussed on January 6, 2015 with respect to the Dalhousie dentists.

Update: This is delicious in light of the Valentina Lisitsa scandal with the TSO … at the height of the furor regarding the presence of Queers Against Israeli Apartheid in Toronto’s Gay Pride parade, a few institutions made a joint statement in support of the group:

As public institutions dedicated to artistic expression, we consider freedom of expression to be an essential element of our mandate.

… (signed) Andrew Shaw, Toronto Symphony Orchestra

Delicious.

Inspired by Easter, investors in Canadian preferred shares have participated in other religious ceremonies in the past week:

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 5bp, FixedResets off 51bp and DeemedRetractibles gaining 3bp. The Performance Highlights table is predictably enormous, dominated by low-spread FixedReset losers. Volume was extremely high.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 23.02 to be $0.96 rich, while TRP.PR.B, resetting 2015-6-30 at +128, is $0.76 cheap at its bid price of 13.79.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 23.45 to be $0.60 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.16 to be $0.91 cheap. The lowest spread issue, MFC.PR.F, is noticeably off the curve defined by its peers.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.07 to be $1.26 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 23.30 and appears to be $1.03 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 15.40, looks $1.65 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 22.59 and is $0.95 rich.

Investment-grade pairs other than TRP.PR.A / TRP.PR.F now predict an average over the next five years of about 0.25%, a slight decrease from yesterday’s value of 0.30%. TRP.PR.A / TRP.PR.F remains an outlier, predicting 1.46%. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -2.05%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-2.5428 %	2,171.1
FixedFloater	0.00 %	0.00 %	0	0.00	0	-2.5428 %	3,796.1
Floater	3.34 %	3.46 %	58,792	18.64	4	-2.5428 %	2,308.1
OpRet	4.43 %	-1.13 %	35,753	0.14	2	0.0394 %	2,761.0
SplitShare	4.57 %	4.66 %	62,346	3.43	3	-0.0801 %	3,223.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0394 %	2,524.6
Perpetual-Premium	5.32 %	0.45 %	65,660	0.09	25	-0.1058 %	2,523.0
Perpetual-Discount	5.08 %	5.04 %	148,157	15.09	9	0.0469 %	2,806.4
FixedReset	4.53 %	3.77 %	269,807	16.43	85	-0.5093 %	2,355.7
Deemed-Retractible	4.91 %	2.83 %	106,746	0.29	37	0.0331 %	2,659.0
FloatingReset	2.53 %	2.97 %	75,919	6.27	8	-0.0746 %	2,352.1

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.A	Floater	-5.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 3.05 %
ENB.PF.G	FixedReset	-3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 4.72 %
CIU.PR.C	FixedReset	-3.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 3.50 %
ENB.PF.E	FixedReset	-2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 20.08 Evaluated at bid price : 20.08 Bid-YTW : 4.67 %
ENB.PF.A	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 20.03 Evaluated at bid price : 20.03 Bid-YTW : 4.65 %
GWO.PR.N	FixedReset	-2.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.15 Bid-YTW : 6.62 %
BAM.PF.E	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 22.28 Evaluated at bid price : 23.00 Bid-YTW : 3.87 %
TRP.PR.B	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 13.79 Evaluated at bid price : 13.79 Bid-YTW : 3.76 %
PWF.PR.P	FixedReset	-1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 3.58 %
ENB.PR.J	FixedReset	-1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.54 %
BAM.PR.B	Floater	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 3.46 %
ENB.PF.C	FixedReset	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 4.63 %
IAG.PR.G	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 3.87 %
TRP.PR.A	FixedReset	-1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 3.77 %
TRP.PR.C	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 15.66 Evaluated at bid price : 15.66 Bid-YTW : 3.81 %
MFC.PR.F	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.10 Bid-YTW : 6.33 %
BAM.PF.B	FixedReset	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 22.10 Evaluated at bid price : 22.60 Bid-YTW : 3.93 %
BAM.PR.C	Floater	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 14.45 Evaluated at bid price : 14.45 Bid-YTW : 3.47 %
PWF.PR.T	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 23.09 Evaluated at bid price : 24.50 Bid-YTW : 3.31 %
SLF.PR.H	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.20 Bid-YTW : 5.12 %
ENB.PR.T	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 4.54 %
MFC.PR.M	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 4.07 %
MFC.PR.C	Deemed-Retractible	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 4.82 %

Volume Highlights
Issue	Index	Shares Traded	Notes
HSE.PR.A	FixedReset	959,404	RBC crossed two blocks of 443,800 each and another two of 30,300 each, all at 16.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 16.21 Evaluated at bid price : 16.21 Bid-YTW : 4.02 %
BAM.PF.C	Perpetual-Discount	136,416	RBC crossed 82,300 at 23.34. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 22.98 Evaluated at bid price : 23.30 Bid-YTW : 5.23 %
BMO.PR.Q	FixedReset	130,935	TD crossed blocks of 43,500 and 64,600, both at 22.91. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.82 Bid-YTW : 3.90 %
ENB.PR.F	FixedReset	126,709	Desjardins crossed 100,000 at 19.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 4.54 %
BNS.PR.Z	FixedReset	101,894	TD crossed 83,100 at 22.90. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.86 Bid-YTW : 3.74 %
FTS.PR.M	FixedReset	90,791	Scotia crossed 14,600 at 24.95; RBC crossed 70,000 at 24.98. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 23.12 Evaluated at bid price : 24.80 Bid-YTW : 3.38 %
There were 60 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.A	Floater	Quote: 16.50 – 18.25 Spot Rate : 1.7500 Average : 1.1921 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 3.05 %
PWF.PR.T	FixedReset	Quote: 24.50 – 25.30 Spot Rate : 0.8000 Average : 0.5885 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 23.09 Evaluated at bid price : 24.50 Bid-YTW : 3.31 %
CIU.PR.C	FixedReset	Quote: 16.10 – 17.00 Spot Rate : 0.9000 Average : 0.7418 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 3.50 %
FTS.PR.F	Perpetual-Premium	Quote: 24.81 – 25.09 Spot Rate : 0.2800 Average : 0.1821 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 24.57 Evaluated at bid price : 24.81 Bid-YTW : 4.99 %
VNR.PR.A	FixedReset	Quote: 23.72 – 24.07 Spot Rate : 0.3500 Average : 0.2639 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-10 Maturity Price : 22.91 Evaluated at bid price : 23.72 Bid-YTW : 3.84 %
GWO.PR.N	FixedReset	Quote: 17.15 – 17.46 Spot Rate : 0.3100 Average : 0.2249 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.15 Bid-YTW : 6.62 %

Shareholder activism is rearing its head:

Bond investors face growing risk as activist shareholders are targeting more companies in 2015 than last year, threatening further damage to corporate credit quality, according to Moody’s Investors Service.
…
Investors have sought change at 54 companies including General Motors Co. and MGM Resorts International this year, up from 43 during the same period in 2014, Moody’s said. The record 222 companies targeted last year was up from 220 in 2013. Assets managed by activist hedge funds increased to about $120 billion in 2014 from about $105 billion in 2013, according to Hedge Fund Research data cited by Moody’s.

They’re lured by the “huge cash pile” at U.S. non-financial companies, which had $1.65 trillion on their balance sheets in October 2014, according to the report. Technology companies, which as of October carried more than half of the cash held by the largest non-financial U.S. companies, accounted for 20 percent of shareholder activism last year. Along with its cash, the sector’s minimal dividends and low debt levels will continue to draw attention from these investors, Moody’s said.

The bureaucrats at the IMF have recommended hiring more bureaucrats:

Bond funds may be exposing customers and the financial system to more risk than some investors realize as money managers seek higher returns in less liquid assets, the International Monetary Fund said in a report recommending improved oversight.

“The role of fixed-income funds, which entail larger contagion risks than traditional equity investment, has expanded considerably,” the IMF said Wednesday in a chapter on asset managers in its latest Global Financial Stability Report.
…
While the U.S. mutual fund industry’s regulation regime is based primarily on disclosure, the IMF proposed enhancing “liquidity rules, the definition of liquid assets, investment restrictions, and reporting and disclosure rules.” Not enough is known about the use of leverage and derivatives, said Gaston Gelos, chief of the IMF division that worked on the chapter.
…
While asset managers act as a “spare tire” in world’s financial system, providing financing even when banks are distressed, the industry raises risks that call for changes in regulated and oversight, the IMF said.

“Easy redemption options can create risks of runs because of the presence of a first-mover advantage,” the IMF said. “The destabilization of prices in certain asset segments (particularly bonds) can affect other parts of the financial system through funding markets and balance sheet and collateral channels.”

I have tried several times to download the report, but it appears that all their technology budget got spent on junkets; the download hangs pretty quickly. It might work in a couple of days.

Meanwhile it appears that yes, next time might be different:

The gap between how easy it is to trade mutual-fund shares and how hard it is to buy and sell assets such as high-yield bonds and leveraged loans is widening.

In 2015 alone, a year in which the Federal Reserve says it’s still planning to raise interest rates, investors have poured $46 billion into mutual funds and exchange-traded funds focused on corporate bonds, according to data compiled by Wells Fargo & Co.

They now own about 22 percent of outstanding high-yield bonds, up from about 12 percent in 2006, data compiled by JPMorgan Chase & Co. show.

While the size of the U.S. bond market has swelled 23 percent since the end of 2007 through the end of last year, trading has fallen 28 percent in the period, according to data compiled by the Securities Industry & Financial Markets Association.

Warnings about potential scarcity of liquidity when it’s at a premium have moved from academic circles and crackpot blogs to the mainstream:

JPMorgan Chase & Co. head Jamie Dimon said last year’s volatility in U.S. Treasuries is a “warning shot” to investors and that the next financial crisis could be exacerbated by a shortage of the securities.

The Oct. 15 gyration, when Treasury yields fluctuated by almost 0.4 percentage point, was an “unprecedented move” that would have serious consequences in a stressed environment, Dimon, the New York-based bank’s chairman and chief executive officer, said in a letter Wednesday to shareholders. Treasuries are supposed to be among the most stable securities.

Dimon, 59, cited the incident as he waded into a debate about whether bank regulations implemented after the 2008 financial crisis exacerbate price declines by limiting the ability of Wall Street banks to make markets. It’s just a matter of time until some political, economic or market event triggers another financial crisis, he said, without predicting one is imminent.

Hat tip to Assiduous Reader JP for bringing the above to my attention. JP sends me many interesting links, unlike you other bums.

Power Financial sees an opportunity in the robo-advisor business:

Power Financial Corp., which has built an empire around financial planning and investment advice, is now plugging into the world of robots by investing up to $30-million in Wealthsimple Financial Inc.

The partnership of the robo-adviser firm and a major financial institution is the first of its kind in Canada. It will help Power Financial to target more millennials and other Canadians who are less likely to invest through traditional channels, and instead opt for low-cost robo-advisers that provide automated online portfolio management. Under the agreement, pending regulatory approval, Power Financial will initially invest $10-million into Wealthsimple, with an option to put in another $20-million over the next 12 months. Power Financial could potentially make further investments over the next three years under the deal.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 12bp FixedResets down 15bp and DeemedRetractibles gaining 2bp. The Performance Highlights table continues to reflect a lot of churn in the market. Volume was slightly above average.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 23.18 to be $0.89 rich, while TRP.PR.C, resetting 2016-01-30 at +154, is $0.69 cheap at its bid price of 15.90.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.M, resetting at +236 on 2019-12-19, bid at 24.25 to be $0.49 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.20 to be $0.93 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.14 to be $1.32 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 23.51 and appears to be $1.38 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 15.35, looks $1.73 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.60 and is $0.91 rich.

Investment-grade pairs other than TRP.PR.A / TRP.PR.F now predict an average over the next five years of about 0.30%, a slight decrease from yesterday’s value of 0.35%. TRP.PR.A / TRP.PR.F remains an outlier, predicting 1.24%. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -1.66%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	1.8934 %	2,227.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.8934 %	3,895.2
Floater	3.25 %	3.40 %	59,628	18.79	4	1.8934 %	2,368.3
OpRet	4.43 %	-1.11 %	33,191	0.15	2	-0.2162 %	2,759.9
SplitShare	4.57 %	4.76 %	58,710	3.44	3	0.0534 %	3,225.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2162 %	2,523.6
Perpetual-Premium	5.31 %	2.07 %	63,078	0.09	25	0.0853 %	2,525.7
Perpetual-Discount	5.09 %	5.02 %	143,120	15.08	9	-0.1171 %	2,805.1
FixedReset	4.51 %	3.67 %	269,244	16.46	85	-0.1494 %	2,367.8
Deemed-Retractible	4.91 %	2.27 %	107,992	0.14	37	0.0219 %	2,658.1
FloatingReset	2.48 %	2.89 %	77,091	6.28	8	-0.1330 %	2,353.9

Performance Highlights
Issue	Index	Change	Notes
BNS.PR.Y	FixedReset	-2.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.66 Bid-YTW : 4.00 %
PWF.PR.P	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 3.47 %
MFC.PR.L	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.22 Bid-YTW : 4.31 %
SLF.PR.H	FixedReset	-1.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.44 Bid-YTW : 4.95 %
MFC.PR.F	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.35 Bid-YTW : 6.13 %
TRP.PR.A	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 19.22 Evaluated at bid price : 19.22 Bid-YTW : 3.67 %
ENB.PF.A	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.51 %
PWF.PR.A	Floater	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 2.87 %
ELF.PR.H	Perpetual-Premium	-1.16 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-04-17 Maturity Price : 25.25 Evaluated at bid price : 25.60 Bid-YTW : 5.13 %
TRP.PR.B	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 14.09 Evaluated at bid price : 14.09 Bid-YTW : 3.62 %
MFC.PR.N	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 4.12 %
ENB.PR.N	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 4.48 %
TRP.PR.C	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 3.71 %
TRP.PR.D	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 22.42 Evaluated at bid price : 23.15 Bid-YTW : 3.51 %
BAM.PF.G	FixedReset	1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 23.03 Evaluated at bid price : 24.66 Bid-YTW : 3.78 %
BAM.PR.K	Floater	2.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 14.45 Evaluated at bid price : 14.45 Bid-YTW : 3.47 %
BAM.PR.C	Floater	2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 14.64 Evaluated at bid price : 14.64 Bid-YTW : 3.42 %
BAM.PR.B	Floater	4.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 14.76 Evaluated at bid price : 14.76 Bid-YTW : 3.40 %

Volume Highlights
Issue	Index	Shares Traded	Notes
FTS.PR.M	FixedReset	202,150	RBC crossed 30,000 at 25.00 and 49,300 at 25.05. TD crossed 100,000 at 25.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 23.14 Evaluated at bid price : 24.86 Bid-YTW : 3.34 %
RY.PR.H	FixedReset	111,330	TD crossed 35,000 at 24.78; RBC crossed 50,000 at 24.78. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 23.12 Evaluated at bid price : 24.75 Bid-YTW : 3.12 %
BNS.PR.Y	FixedReset	80,055	Will reset at 1.82% effective April 26. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.66 Bid-YTW : 4.00 %
CU.PR.C	FixedReset	68,244	TD crossed 40,500 at 24.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 23.48 Evaluated at bid price : 24.81 Bid-YTW : 3.18 %
TD.PF.B	FixedReset	60,228	TD crossed 25,000 at 24.50; Nesbitt crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 23.04 Evaluated at bid price : 24.50 Bid-YTW : 3.13 %
NA.PR.S	FixedReset	59,632	Nesbitt crossed blocks of 28,500 and 25,000, both at 24.80; YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 23.16 Evaluated at bid price : 24.78 Bid-YTW : 3.22 %
There were 39 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.E	FixedReset	Quote: 23.18 – 23.99 Spot Rate : 0.8100 Average : 0.5532 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 22.40 Evaluated at bid price : 23.18 Bid-YTW : 3.55 %
SLF.PR.H	FixedReset	Quote: 21.44 – 22.00 Spot Rate : 0.5600 Average : 0.3462 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.44 Bid-YTW : 4.95 %
ENB.PR.T	FixedReset	Quote: 19.40 – 19.88 Spot Rate : 0.4800 Average : 0.3128 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 4.45 %
MFC.PR.L	FixedReset	Quote: 23.22 – 23.72 Spot Rate : 0.5000 Average : 0.3353 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.22 Bid-YTW : 4.31 %
PWF.PR.P	FixedReset	Quote: 17.61 – 18.06 Spot Rate : 0.4500 Average : 0.3015 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-09 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 3.47 %
NA.PR.Q	FixedReset	Quote: 24.91 – 25.25 Spot Rate : 0.3400 Average : 0.2150 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.91 Bid-YTW : 3.44 %

Another day in which nothing happened, including me getting caught up on my responses to comments.

But I did get a call from a novice investor. His discount brokerage gave him my number and told him that I was the guy who could tell him about the dividend specifications for IGM.PR.B. I’m sure I’ll get my commission cheque shortly.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 37bp, FixedResets up 4bp and DeemedRetractibles gaining 2bp. The Performance Highlights table is quite lengthy, considering the modest nature of the overall movement. Volume was high.

PerpetualDiscounts now yield 5.02%, equivalent to 6.53% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.6% (maybe a little over) so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 290bp, unchanged from the April 1 report.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 23.25 to be $1.00 rich, while TRP.PR.C, resetting 2016-01-30 at +154, is $0.92 cheap at its bid price of 15.67.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 23.72 to be $0.64 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.15 to be $0.91 cheap.

The fit on this series has suddenly become atrocious. It will be most interesting to see how long it takes for things to readjust.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.12 to be $1.32 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 23.70 and appears to be $1.59 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 15.40, looks $1.73 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.78 and is $0.97 rich.

Investment-grade pairs other than TRP.PR.A / TRP.PR.F now predict an average over the next five years of about 0.35%, holding the increase of last week. TRP.PR.A / TRP.PR.F is an outlier, predicting 1.08%. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -2.12%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-1.4889 %	2,186.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.4889 %	3,822.8
Floater	3.31 %	3.51 %	58,924	18.53	4	-1.4889 %	2,324.3
OpRet	4.42 %	-3.96 %	30,739	0.15	2	-0.0982 %	2,765.9
SplitShare	4.57 %	4.80 %	59,087	3.44	3	-0.3856 %	3,224.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0982 %	2,529.1
Perpetual-Premium	5.31 %	0.91 %	60,750	0.09	25	-0.0821 %	2,523.6
Perpetual-Discount	5.08 %	5.02 %	142,858	15.12	9	-0.3733 %	2,808.4
FixedReset	4.50 %	3.64 %	268,816	16.46	85	0.0355 %	2,371.3
Deemed-Retractible	4.91 %	2.51 %	110,819	0.14	37	0.0224 %	2,657.5
FloatingReset	2.48 %	2.88 %	77,338	6.28	8	0.0426 %	2,357.0

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.B	Floater	-3.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 14.10 Evaluated at bid price : 14.10 Bid-YTW : 3.56 %
SLF.PR.G	FixedReset	-2.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.80 Bid-YTW : 6.84 %
IFC.PR.A	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.80 Bid-YTW : 5.86 %
BAM.PR.C	Floater	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 14.29 Evaluated at bid price : 14.29 Bid-YTW : 3.51 %
TRP.PR.A	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 19.56 Evaluated at bid price : 19.56 Bid-YTW : 3.60 %
FTS.PR.H	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 3.61 %
FTS.PR.G	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 22.28 Evaluated at bid price : 22.82 Bid-YTW : 3.32 %
VNR.PR.A	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 23.08 Evaluated at bid price : 24.05 Bid-YTW : 3.74 %
BAM.PR.Z	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 23.10 Evaluated at bid price : 24.18 Bid-YTW : 3.93 %
PWF.PR.T	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 23.27 Evaluated at bid price : 25.00 Bid-YTW : 3.18 %
MFC.PR.N	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.99 Bid-YTW : 4.00 %
BAM.PR.X	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 16.97 Evaluated at bid price : 16.97 Bid-YTW : 4.12 %
TRP.PR.E	FixedReset	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 22.44 Evaluated at bid price : 23.25 Bid-YTW : 3.54 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.Q	FixedReset	248,320	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 23.12 Evaluated at bid price : 24.95 Bid-YTW : 3.45 %
BNS.PR.Y	FixedReset	122,238	RBC crossed 56,900 at 22.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 3.61 %
NA.PR.W	FixedReset	104,600	Nesbitt crossed 95,700 at 24.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 23.06 Evaluated at bid price : 24.68 Bid-YTW : 3.15 %
ENB.PR.F	FixedReset	99,548	Desjardins bought 71,800 from anonymouse at 19.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 4.47 %
HSE.PR.E	FixedReset	86,554	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 23.23 Evaluated at bid price : 25.20 Bid-YTW : 4.24 %
RY.PR.J	FixedReset	76,000	Scotia crossed 66,000 at 25.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 23.19 Evaluated at bid price : 25.10 Bid-YTW : 3.40 %
There were 48 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IFC.PR.A	FixedReset	Quote: 19.80 – 20.70 Spot Rate : 0.9000 Average : 0.6274 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.80 Bid-YTW : 5.86 %
FTS.PR.K	FixedReset	Quote: 22.78 – 23.63 Spot Rate : 0.8500 Average : 0.6344 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 22.22 Evaluated at bid price : 22.78 Bid-YTW : 3.30 %
BAM.PR.B	Floater	Quote: 14.10 – 14.50 Spot Rate : 0.4000 Average : 0.2251 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 14.10 Evaluated at bid price : 14.10 Bid-YTW : 3.56 %
BAM.PF.G	FixedReset	Quote: 24.28 – 24.70 Spot Rate : 0.4200 Average : 0.2767 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 22.88 Evaluated at bid price : 24.28 Bid-YTW : 3.86 %
ENB.PR.N	FixedReset	Quote: 19.65 – 20.00 Spot Rate : 0.3500 Average : 0.2206 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 4.53 %
TRP.PR.A	FixedReset	Quote: 19.56 – 19.80 Spot Rate : 0.2400 Average : 0.1455 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-08 Maturity Price : 19.56 Evaluated at bid price : 19.56 Bid-YTW : 3.60 %

Nothing happened today, but there’s a rumour that preferred shares will soon come with warning labels:

It was another rough day for the Canadian preferred share market, with PerpetualDiscounts off 5bp, FixedResets losing 53bp and DeemedRetractibles down 16bp. The Performance Highlights table is comprised entirely of losers, notably Floaters and FixedResets from TRP, ENB and BAM. Volume was extremely high.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 22.86 to be $0.66 rich, while TRP.PR.C, resetting 2016-01-30 at +154, is $1.00 cheap at its bid price of 15.55.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 23.68 to be $0.69 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.11 to be $0.90 cheap.

The fit on this series has suddenly become atrocious. It will be most interesting to see how long it takes for things to readjust.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.06 to be $1.27 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 23.53 and appears to be $1.53 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 15.62, looks $1.68 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.00 and is $0.99 rich.

Investment-grade pairs now predict an average over the next five years of a little under 0.40%, continuing the increase of last week; the TRP.PR.A / TRP.PR.F pair is again an outlier, but this time on the high side. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -1.55%.

Alert Assiduous readers will note that during the past week of disaster, doom and destruction, the implied three month bill rate from FixedReset pairs has been increasing. This makes no sense, but since when has the preferred market made sense?

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-2.5666 %	2,219.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	-2.5666 %	3,880.6
Floater	3.26 %	3.42 %	58,993	18.73	4	-2.5666 %	2,359.4
OpRet	4.42 %	-4.89 %	31,196	0.15	2	-0.0392 %	2,768.6
SplitShare	4.55 %	4.67 %	61,107	3.45	3	0.2800 %	3,236.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0392 %	2,531.6
Perpetual-Premium	5.31 %	0.36 %	59,372	0.08	25	-0.1365 %	2,525.6
Perpetual-Discount	5.06 %	5.02 %	144,147	15.18	9	-0.0513 %	2,818.9
FixedReset	4.50 %	3.64 %	265,693	16.45	85	-0.5331 %	2,370.5
Deemed-Retractible	4.91 %	1.66 %	112,402	0.14	37	-0.1569 %	2,656.9
FloatingReset	2.48 %	2.90 %	78,463	6.28	8	-0.1965 %	2,356.0

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.K	Floater	-4.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 3.52 %
TRP.PR.B	FixedReset	-3.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 14.35 Evaluated at bid price : 14.35 Bid-YTW : 3.56 %
BAM.PR.C	Floater	-3.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 14.52 Evaluated at bid price : 14.52 Bid-YTW : 3.45 %
BAM.PR.B	Floater	-3.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 14.64 Evaluated at bid price : 14.64 Bid-YTW : 3.42 %
FTS.PR.K	FixedReset	-2.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 22.35 Evaluated at bid price : 23.00 Bid-YTW : 3.26 %
TRP.PR.C	FixedReset	-2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 3.79 %
TRP.PR.A	FixedReset	-2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 3.55 %
FTS.PR.H	FixedReset	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 15.62 Evaluated at bid price : 15.62 Bid-YTW : 3.56 %
BAM.PR.Z	FixedReset	-2.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 23.22 Evaluated at bid price : 24.45 Bid-YTW : 3.88 %
GWO.PR.N	FixedReset	-2.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.82 Bid-YTW : 6.12 %
ENB.PR.H	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 17.41 Evaluated at bid price : 17.41 Bid-YTW : 4.47 %
ENB.PR.J	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 4.41 %
TRP.PR.E	FixedReset	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 22.22 Evaluated at bid price : 22.86 Bid-YTW : 3.62 %
IFC.PR.A	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.12 Bid-YTW : 5.66 %
BAM.PF.E	FixedReset	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 22.56 Evaluated at bid price : 23.53 Bid-YTW : 3.73 %
BAM.PR.X	FixedReset	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.17 %
FTS.PR.J	Perpetual-Premium	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 24.32 Evaluated at bid price : 24.75 Bid-YTW : 4.83 %
MFC.PR.F	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.60 Bid-YTW : 5.96 %
HSE.PR.A	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 3.98 %
BAM.PF.B	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 22.21 Evaluated at bid price : 22.78 Bid-YTW : 3.86 %
ENB.PF.G	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 4.55 %
SLF.PR.G	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.16 Bid-YTW : 6.58 %
BMO.PR.Q	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.81 Bid-YTW : 3.88 %

Volume Highlights
Issue	Index	Shares Traded	Notes
HSE.PR.E	FixedReset	255,048	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 23.21 Evaluated at bid price : 25.15 Bid-YTW : 4.25 %
RY.PR.M	FixedReset	117,000	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 23.00 Evaluated at bid price : 24.64 Bid-YTW : 3.38 %
PWF.PR.O	Perpetual-Premium	102,523	Nesbitt crossed 100,000 at 26.04. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-05-07 Maturity Price : 26.00 Evaluated at bid price : 26.02 Bid-YTW : 0.36 %
FTS.PR.M	FixedReset	78,905	TD crossed 50,000 at 25.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 23.17 Evaluated at bid price : 24.96 Bid-YTW : 3.32 %
TD.PF.D	FixedReset	78,145	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 23.14 Evaluated at bid price : 25.00 Bid-YTW : 3.44 %
CM.PR.Q	FixedReset	64,400	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 23.13 Evaluated at bid price : 24.96 Bid-YTW : 3.45 %
There were 62 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
ELF.PR.H	Perpetual-Premium	Quote: 26.05 – 26.83 Spot Rate : 0.7800 Average : 0.4868 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 26.05 Bid-YTW : 4.69 %
FTS.PR.K	FixedReset	Quote: 23.00 – 23.65 Spot Rate : 0.6500 Average : 0.3980 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 22.35 Evaluated at bid price : 23.00 Bid-YTW : 3.26 %
TRP.PR.E	FixedReset	Quote: 22.86 – 23.50 Spot Rate : 0.6400 Average : 0.4600 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-07 Maturity Price : 22.22 Evaluated at bid price : 22.86 Bid-YTW : 3.62 %
IFC.PR.A	FixedReset	Quote: 20.12 – 20.60 Spot Rate : 0.4800 Average : 0.3286 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.12 Bid-YTW : 5.66 %
MFC.PR.M	FixedReset	Quote: 24.00 – 24.55 Spot Rate : 0.5500 Average : 0.3995 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 4.05 %
MFC.PR.K	FixedReset	Quote: 23.65 – 24.00 Spot Rate : 0.3500 Average : 0.2302 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.65 Bid-YTW : 3.99 %

A weak jobs number pushed up Treasuries:

Treasuries surged, sending yields to two-month lows, after a report showed the economy added the fewest jobs since December 2013, damping the outlook for the timing of interest-rate increases by the Federal Reserve.

Futures showed traders pushed out expectations for central bank to begin tightening monetary policy into next year. The 126,000 increase in March was weaker than the most pessimistic forecast in a Bloomberg survey. Traders had speculated that the Fed could raise rates as soon as September with strength in the labor market offsetting weakness elsewhere.
…
Yields on benchmark 10-year notes fell seven basis points to 1.84 percent at 12:00 p.m. New York time, according to Bloomberg Bond Trader prices. The yield dropped as low as 1.80 percent, the least since Feb. 6. The 2 percent benchmark note due in February 2025 rose 21/32, or $6.56 per $1,000 face value, to 101 14/32.

The rate for fed funds futures for December fell four basis points to 0.34 percent, indicating about one-in-three odds of a rate increase by the Fed’s meeting that month.
…
The median forecast in a Bloomberg survey called for a 245,000 increase. The unemployment rate held steady at 5.5 percent. Average hourly earnings rose 2.1 percent from a year earlier.

Atlanta Fed president Lockhart suggests a Fed hike in late summer:

Federal Reserve Bank of Atlanta President Dennis Lockhart said while recent economic weakness probably won’t persist, he favors pushing out the central bank’s first rate increase beyond the next two meetings.

“I would probably be biased toward the July or September dates as opposed to June,” Lockhart, who votes on monetary policy this year, said in an interview Monday. “We will have more data and we will give the economy a little more time to prove out the thesis that I laid out, that the first quarter was anomalous again, just like a year ago.”
…
“I’m not ready yet to conclude a slowdown is underway,” Lockhart said. He said he still expects “a moderate pace of growth between 2.5 percent and 3 percent” with “continued progress on employment and a firming up of the price data.”

“I’m holding to the view that we will see a rebound in the second quarter and that we will see a resumption of stronger growth,” Lockhart said.

“It is still reasonable” for the Federal Open Market Committee to “deliberate about liftoff in the middle meetings of the year,” with June, July and September each meriting discussion. “I still think they should be on the table.”

New York Fed president Dudley is even more vague:

Federal Reserve Bank of New York President William C. Dudley said the path of interest-rate increases is likely to be “shallow” once the Fed starts to tighten, and recent economic weakness probably won’t persist.

The timing of the first rate increase since 2006 “will be data dependent and remains uncertain because the future evolution of the economy cannot be fully anticipated,” Dudley said in a speech Monday in Newark, New Jersey. “I anticipate that the path will be relatively shallow” as “headwinds in the aftermath of the financial crisis are still in evidence.”
…
If we raise interest rates and portfolios perform poorly, that’s likely to slow us down,” Dudley said in response to a question. On the other hand, “if financial market conditions do not tighten much in response to higher short-term interest rates, we might have to move more quickly,” he said in his prepared remarks.

Stocks rebounded after Dudley’s comments. The Standard & Poor’s 500 Index climbed 0.8 percent to 2,083.87 at 12:23 p.m. after opening 0.5 percent lower.

I’m way behind on responding to comments. I will catch up.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 3bp, FixedResets down 25bp and DeemedRetractibles gaining 7bp. FixedResets were dominant losers on the Performance Highlights table, particularly BAM issues. Volume was high.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 23.25 to be $0.65 rich, while TRP.PR.C, resetting 2016-01-30 at +154, is $1.01 cheap at its bid price of 16.00.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 23.76 to be $0.64 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.31 to be $0.76 cheap.

The fit on this series has suddenly become atrocious. It will be most interesting to see how long it takes for things to readjust.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.21 to be $1.30 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 23.90 and appears to be $1.72 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.00, looks $1.65 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.70 and is $1.29 rich.

Investment-grade pairs now predict an average over the next five years of about 0.35%, continuing the increase of last week. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -2.34%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-2.1678 %	2,277.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	-2.1678 %	3,982.8
Floater	3.18 %	3.32 %	59,639	18.98	4	-2.1678 %	2,421.6
OpRet	4.42 %	-4.81 %	31,428	0.16	2	0.0982 %	2,769.7
SplitShare	4.57 %	4.68 %	59,200	3.45	3	0.0534 %	3,227.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0982 %	2,532.6
Perpetual-Premium	5.27 %	2.88 %	59,248	0.09	25	0.0518 %	2,529.1
Perpetual-Discount	5.06 %	5.02 %	149,974	15.18	9	-0.0280 %	2,820.3
FixedReset	4.48 %	3.63 %	264,485	16.45	85	-0.2535 %	2,383.2
Deemed-Retractible	4.91 %	1.65 %	111,208	0.14	37	0.0737 %	2,661.1
FloatingReset	2.48 %	2.89 %	78,943	6.29	8	0.0521 %	2,360.7

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.X	FixedReset	-4.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 4.11 %
BAM.PR.B	Floater	-3.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 3.32 %
BAM.PR.C	Floater	-2.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 3.34 %
BAM.PR.K	Floater	-2.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 3.37 %
HSE.PR.A	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 16.41 Evaluated at bid price : 16.41 Bid-YTW : 3.93 %
IFC.PR.A	FixedReset	-1.78 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.45 Bid-YTW : 5.45 %
BAM.PR.T	FixedReset	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 19.43 Evaluated at bid price : 19.43 Bid-YTW : 4.14 %
BAM.PF.G	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 22.89 Evaluated at bid price : 24.30 Bid-YTW : 3.85 %
ENB.PF.E	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 20.81 Evaluated at bid price : 20.81 Bid-YTW : 4.47 %
TRP.PR.D	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 22.23 Evaluated at bid price : 22.82 Bid-YTW : 3.57 %
BAM.PF.F	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 22.86 Evaluated at bid price : 24.10 Bid-YTW : 3.88 %
ENB.PF.G	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 20.83 Evaluated at bid price : 20.83 Bid-YTW : 4.50 %
MFC.PR.N	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 4.12 %
CU.PR.D	Perpetual-Premium	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 24.69 Evaluated at bid price : 25.16 Bid-YTW : 4.90 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.M	FixedReset	262,500	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 23.00 Evaluated at bid price : 24.65 Bid-YTW : 3.38 %
POW.PR.D	Perpetual-Discount	83,323	RBC bought blocks of 10,000 and 20,000 from GMP at 24.95, then crossed 39,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 24.68 Evaluated at bid price : 24.95 Bid-YTW : 5.02 %
ENB.PR.F	FixedReset	77,981	Desjardins crossed 60,000 at 19.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.45 %
CM.PR.Q	FixedReset	60,910	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 23.13 Evaluated at bid price : 24.96 Bid-YTW : 3.45 %
BNS.PR.M	Deemed-Retractible	55,009	Desjardins bought 39,300 from GMP at 25.30. \YTW SCENARIO Maturity Type : Call Maturity Date : 2015-07-27 Maturity Price : 25.25 Evaluated at bid price : 25.35 Bid-YTW : 2.21 %
CM.PR.G	Perpetual-Discount	50,547	Called for redemption effective April 30. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-05-06 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 2.06 %
There were 42 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PVS.PR.B	SplitShare	Quote: 25.25 – 26.25 Spot Rate : 1.0000 Average : 0.5479 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 4.18 %
BAM.PR.X	FixedReset	Quote: 17.01 – 17.47 Spot Rate : 0.4600 Average : 0.3255 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 4.11 %
CIU.PR.C	FixedReset	Quote: 16.65 – 17.63 Spot Rate : 0.9800 Average : 0.8879 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 3.33 %
ENB.PR.P	FixedReset	Quote: 19.37 – 19.62 Spot Rate : 0.2500 Average : 0.1634 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 19.37 Evaluated at bid price : 19.37 Bid-YTW : 4.45 %
BNS.PR.O	Deemed-Retractible	Quote: 25.71 – 25.97 Spot Rate : 0.2600 Average : 0.1796 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-05-28 Maturity Price : 25.50 Evaluated at bid price : 25.71 Bid-YTW : -2.79 %
BIP.PR.A	FixedReset	Quote: 24.62 – 24.82 Spot Rate : 0.2000 Average : 0.1271 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-06 Maturity Price : 23.01 Evaluated at bid price : 24.62 Bid-YTW : 4.36 %

Nothing happened today, either.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 42bp, FixedResets off 9bp and DeemedRetractibles gaining 3bp. The Performance Highlights table is notable for a large proportion of FixedResets on both the winning and losing side. Volume was average.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 23.48 to be $0.73 rich, while TRP.PR.C, resetting 2016-01-30 at +154, is $1.17 cheap at its bid price of 15.92.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 23.78 to be $0.58 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.22 to be $0.86 cheap.

The fit on this series has suddenly become atrocious. It will be most interesting to see how long it takes for things to readjust.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.26 to be $1.44 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 23.90 and appears to be $1.50 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.00, looks $1.64 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.70 and is $1.25 rich.

Investment-grade pairs predict an average over the next five years of about 0.30%, a substantial increase over the week. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -2.85%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.5737 %	2,328.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.5737 %	4,071.1
Floater	3.11 %	3.20 %	59,651	19.27	4	-0.5737 %	2,475.2
OpRet	4.42 %	-3.33 %	32,725	0.17	2	-0.1960 %	2,767.0
SplitShare	4.57 %	4.77 %	57,582	3.46	3	-0.1066 %	3,225.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1960 %	2,530.1
Perpetual-Premium	5.28 %	-0.91 %	58,702	0.08	25	0.2437 %	2,527.8
Perpetual-Discount	5.06 %	5.02 %	155,072	15.19	9	0.4166 %	2,821.1
FixedReset	4.46 %	3.65 %	264,978	16.44	85	-0.0920 %	2,389.2
Deemed-Retractible	4.91 %	1.88 %	111,827	0.15	37	0.0342 %	2,659.1
FloatingReset	2.46 %	2.84 %	79,154	6.28	8	0.3070 %	2,359.4

Performance Highlights
Issue	Index	Change	Notes
CIU.PR.C	FixedReset	-2.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 16.71 Evaluated at bid price : 16.71 Bid-YTW : 3.36 %
BAM.PR.X	FixedReset	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 17.72 Evaluated at bid price : 17.72 Bid-YTW : 3.97 %
ENB.PF.C	FixedReset	-1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 4.49 %
BAM.PR.T	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 19.77 Evaluated at bid price : 19.77 Bid-YTW : 4.10 %
BAM.PF.F	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 22.97 Evaluated at bid price : 24.37 Bid-YTW : 3.84 %
ENB.PR.T	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 19.07 Evaluated at bid price : 19.07 Bid-YTW : 4.56 %
PWF.PR.P	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 3.45 %
IAG.PR.A	Deemed-Retractible	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.45 Bid-YTW : 4.91 %
BAM.PF.G	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 23.02 Evaluated at bid price : 24.65 Bid-YTW : 3.80 %
POW.PR.G	Perpetual-Premium	1.06 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-04-15 Maturity Price : 26.00 Evaluated at bid price : 26.71 Bid-YTW : 3.89 %
MFC.PR.F	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.95 Bid-YTW : 5.75 %
SLF.PR.G	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.50 Bid-YTW : 6.37 %
BAM.PF.A	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 23.23 Evaluated at bid price : 24.79 Bid-YTW : 3.75 %
BAM.PR.M	Perpetual-Discount	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 22.70 Evaluated at bid price : 22.98 Bid-YTW : 5.18 %
BAM.PF.B	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 22.44 Evaluated at bid price : 23.17 Bid-YTW : 3.81 %
BAM.PR.N	Perpetual-Discount	1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 22.65 Evaluated at bid price : 22.99 Bid-YTW : 5.18 %
BNS.PR.Y	FixedReset	1.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 3.77 %

Volume Highlights
Issue	Index	Shares Traded	Notes
FTS.PR.M	FixedReset	371,735	TD crossed blocks of 98,500 and 76,000, both at 25.00. RBC crossed blocks of 50,000 shares, 22,700 shares, 25,000 and 12,000, all at 25.00. Desjardins crossed 47,500 at 25.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 23.19 Evaluated at bid price : 25.00 Bid-YTW : 3.33 %
BNS.PR.Y	FixedReset	80,174	Will reset effective April 26. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 3.77 %
BNS.PR.M	Deemed-Retractible	66,360	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-07-27 Maturity Price : 25.25 Evaluated at bid price : 25.37 Bid-YTW : 1.88 %
CU.PR.C	FixedReset	63,834	Nesbitt crossed 37,300 at 24.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 23.45 Evaluated at bid price : 24.76 Bid-YTW : 3.22 %
BAM.PR.R	FixedReset	62,111	Scotia crossed 50,000 at 19.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 19.26 Evaluated at bid price : 19.26 Bid-YTW : 4.19 %
RY.PR.J	FixedReset	46,034	Nesbitt crossed 40,000 at 25.03. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 23.17 Evaluated at bid price : 25.05 Bid-YTW : 3.43 %
There were 30 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CIU.PR.C	FixedReset	Quote: 16.71 – 17.79 Spot Rate : 1.0800 Average : 0.7869 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 16.71 Evaluated at bid price : 16.71 Bid-YTW : 3.36 %
TRP.PR.D	FixedReset	Quote: 23.10 – 23.69 Spot Rate : 0.5900 Average : 0.4388 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 22.39 Evaluated at bid price : 23.10 Bid-YTW : 3.54 %
SLF.PR.H	FixedReset	Quote: 21.76 – 22.24 Spot Rate : 0.4800 Average : 0.3579 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.76 Bid-YTW : 4.79 %
TD.PR.T	FloatingReset	Quote: 24.10 – 24.46 Spot Rate : 0.3600 Average : 0.2400 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 2.77 %
HSE.PR.C	FixedReset	Quote: 24.31 – 24.65 Spot Rate : 0.3400 Average : 0.2340 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 22.92 Evaluated at bid price : 24.31 Bid-YTW : 4.09 %
ENB.PR.T	FixedReset	Quote: 19.07 – 19.50 Spot Rate : 0.4300 Average : 0.3252 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-02 Maturity Price : 19.07 Evaluated at bid price : 19.07 Bid-YTW : 4.56 %

Nothing happened today.

Except something happened to the Canadian preferred share market:

It was carnage for the Canadian preferred share market, with PerpetualDiscounts losing 65bp, FixedResets down 63bp and DeemedRetractibles off 4bp. The Performance Highlights table is suitably enormous and suitably dominated by losing FixedResets, with BAM, TRP and ENB issues notable for their frequent mention. Volume was very high.

PerpetualDiscounts now yield 5.01%, equivalent to 6.51% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.6% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 290bp, unchanged from the March 25 figure.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 23.56 to be $0.82 rich, while TRP.PR.C, resetting 2016-01-30 at +154, is $1.05 cheap at its bid price of 16.02.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 23.74 to be $0.62 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.01 to be $1.04 cheap.

The fit on this series has suddenly become atrocious. It will be most interesting to see how long it takes for things to readjust.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.43 to be $1.31 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.10 and appears to be $1.64 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.00, looks $1.61 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.70 and is $1.26 rich.

Investment-grade pairs predict an average over the next five years of about 0.15%. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -2.68%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-1.1496 %	2,341.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.1496 %	4,094.6
Floater	3.09 %	3.18 %	59,462	19.27	4	-1.1496 %	2,489.5
OpRet	4.41 %	-5.55 %	32,243	0.17	2	0.1571 %	2,772.4
SplitShare	4.56 %	4.65 %	55,780	3.46	3	0.3477 %	3,229.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1571 %	2,535.1
Perpetual-Premium	5.29 %	-0.96 %	59,547	0.08	25	-0.1398 %	2,521.6
Perpetual-Discount	5.08 %	5.01 %	156,023	15.12	9	-0.6465 %	2,809.4
FixedReset	4.46 %	3.64 %	259,750	16.42	85	-0.6315 %	2,391.4
Deemed-Retractible	4.90 %	1.20 %	112,689	0.15	37	-0.0437 %	2,658.2
FloatingReset	2.46 %	2.86 %	80,125	6.28	8	-0.3174 %	2,352.2

Performance Highlights
Issue	Index	Change	Notes
BAM.PF.B	FixedReset	-3.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.25 Evaluated at bid price : 22.85 Bid-YTW : 3.88 %
TRP.PR.E	FixedReset	-3.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.60 Evaluated at bid price : 23.56 Bid-YTW : 3.50 %
BAM.PR.R	FixedReset	-3.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 19.43 Evaluated at bid price : 19.43 Bid-YTW : 4.17 %
ENB.PR.B	FixedReset	-2.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 4.50 %
SLF.PR.H	FixedReset	-2.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 4.68 %
TRP.PR.D	FixedReset	-2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.39 Evaluated at bid price : 23.10 Bid-YTW : 3.54 %
BAM.PR.T	FixedReset	-2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 4.06 %
CIU.PR.C	FixedReset	-2.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 3.27 %
PWF.PR.A	Floater	-2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 2.79 %
MFC.PR.H	FixedReset	-2.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 4.09 %
PWF.PR.P	FixedReset	-2.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 3.41 %
BAM.PF.A	FixedReset	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 23.12 Evaluated at bid price : 24.50 Bid-YTW : 3.82 %
BAM.PR.N	Perpetual-Discount	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.13 Evaluated at bid price : 22.59 Bid-YTW : 5.26 %
BAM.PR.M	Perpetual-Discount	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.34 Evaluated at bid price : 22.70 Bid-YTW : 5.24 %
ENB.PR.N	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 19.73 Evaluated at bid price : 19.73 Bid-YTW : 4.54 %
IFC.PR.A	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.14 %
MFC.PR.M	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 3.98 %
SLF.PR.G	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.30 Bid-YTW : 6.51 %
ENB.PR.Y	FixedReset	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 19.03 Evaluated at bid price : 19.03 Bid-YTW : 4.46 %
BAM.PR.X	FixedReset	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 3.91 %
BAM.PR.K	Floater	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 3.26 %
TRP.PR.F	FloatingReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 3.17 %
IFC.PR.C	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.74 Bid-YTW : 3.70 %
FTS.PR.H	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 3.52 %
TRP.PR.C	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 16.02 Evaluated at bid price : 16.02 Bid-YTW : 3.72 %
FTS.PR.J	Perpetual-Premium	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 24.33 Evaluated at bid price : 24.76 Bid-YTW : 4.82 %
CU.PR.E	Perpetual-Premium	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 24.46 Evaluated at bid price : 24.90 Bid-YTW : 4.95 %
ENB.PR.T	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 19.27 Evaluated at bid price : 19.27 Bid-YTW : 4.51 %
ENB.PR.H	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 17.81 Evaluated at bid price : 17.81 Bid-YTW : 4.40 %
BMO.PR.W	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.97 Evaluated at bid price : 24.41 Bid-YTW : 3.16 %
BAM.PF.D	Perpetual-Discount	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 23.22 Evaluated at bid price : 23.55 Bid-YTW : 5.22 %
BAM.PF.C	Perpetual-Discount	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.86 Evaluated at bid price : 23.17 Bid-YTW : 5.25 %
TRP.PR.A	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 3.46 %
IAG.PR.A	Deemed-Retractible	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 4.78 %
ELF.PR.H	Perpetual-Premium	1.30 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.78 Bid-YTW : 4.88 %
BNS.PR.Y	FixedReset	1.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 3.96 %
BAM.PF.F	FixedReset	4.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 23.07 Evaluated at bid price : 24.64 Bid-YTW : 3.79 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.W	FixedReset	112,573	TD crossed blocks of 22,400 and 25,000 at 24.55, and blocks of 23,900 and 25,000 at 24.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.97 Evaluated at bid price : 24.41 Bid-YTW : 3.16 %
CU.PR.C	FixedReset	103,255	RBC crossed blocks of 15,000 and 19,800 at 24.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 23.44 Evaluated at bid price : 24.72 Bid-YTW : 3.22 %
FTS.PR.M	FixedReset	95,910	RBC crossed 46,900 at 25.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 23.15 Evaluated at bid price : 24.90 Bid-YTW : 3.35 %
PWF.PR.P	FixedReset	92,709	Nesbitt crossed 84,300 at 18.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 3.41 %
CM.PR.Q	FixedReset	84,625	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 23.11 Evaluated at bid price : 24.91 Bid-YTW : 3.48 %
GWO.PR.R	Deemed-Retractible	62,709	RBC crossed 50,000 at 25.25. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 4.72 %
There were 53 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.A	Floater	Quote: 18.00 – 19.25 Spot Rate : 1.2500 Average : 0.8141 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 2.79 %
BAM.PF.B	FixedReset	Quote: 22.85 – 23.25 Spot Rate : 0.4000 Average : 0.2325 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.25 Evaluated at bid price : 22.85 Bid-YTW : 3.88 %
MFC.PR.H	FixedReset	Quote: 25.01 – 25.64 Spot Rate : 0.6300 Average : 0.4693 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 4.09 %
TRP.PR.D	FixedReset	Quote: 23.10 – 23.50 Spot Rate : 0.4000 Average : 0.2729 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.39 Evaluated at bid price : 23.10 Bid-YTW : 3.54 %
BAM.PF.G	FixedReset	Quote: 24.40 – 24.80 Spot Rate : 0.4000 Average : 0.2803 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.93 Evaluated at bid price : 24.40 Bid-YTW : 3.85 %
TRP.PR.E	FixedReset	Quote: 23.56 – 23.91 Spot Rate : 0.3500 Average : 0.2410 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.60 Evaluated at bid price : 23.56 Bid-YTW : 3.50 %

The BCSC has released an attempt to justify their existence:

In support of Fraud Prevention Month, the British Columbia Securities Commission (BCSC) Chair and CEO Brenda Leong today announced the results of research commissioned by the BCSC into the fraud vulnerability of older British Columbians.
…
Key findings from the survey include:

• • One-in-eight British Columbians over 50 are vulnerable to investment fraud. When presented with an investment opportunity that guaranteed 14% to 25% monthly and no risk, 10% said they would either look into it further and 3% said they simply didn’t know, suggesting they are not sure enough to reject the offer.
• • Nearly two-in-five British Columbians over 50 (37%) are afraid of running out of money during retirement. This proportion is significantly higher among those vulnerable to fraud (49%) and those who have been past victims of fraud (47%). It is also higher among those with no savings (51%) and women under 65 (51%).
• • Only 44% of respondents have a reasonable expectation of annual returns on investments. When asked about annual rates of return, less than half of the respondents expected a rate of return of less than 6% (The five-year average nominal return between 2010 and 2014 on a portfolio containing three common investment types – three-month Treasury bills, Canadian bonds, and Canadian equities – was 5.98%).

I’ve had a look at the survey; I am surprised that so many felt that touted returns of “14% to 25% monthly and no risk” was worth looking into, but it’s not clear exactly what “looking into” means. There’s a clue in the report:

It looks to me as if only about half of those who would look into the scheme further are actually vulnerable … and vulnerable is a pretty loose term, too. I’m vulnerable to being hit by an asteroid, but I’m not worried about it, nor am I particularly interested in funding bureaucrats to follow me around with umbrellas.

Additionally, most of us will realize that the simple existence of a problem does not mean that the organization talking about it has a clue. If the BCSC is so convinced that the only appropriate response to a pitch like this from a friend or colleague (a rather important qualifier disclosed in the report but unmentioned in the press release) is to ignore it, then my questions are:

• What are they doing about it?
• Do they have any grounds to believe that what they’re doing will have any effect, or is it just guess-and-hope?
• How effective have their previous efforts along these lines been?

But there’s no discussion of this; in fact, I can only remember seeing one advertisement that discussed ‘investments with no risk’:

The second point of the BCSC press release is peculiar: according to the survey:

Do you agree or disagree with the following statement? I am afraid of running out of money during my retirement.

I don’t understand why anybody would disagree with that statement. Well … I tell a fib. I’ve met a couple of people who have so much loot it doesn’t matter what they do, as far as maintaining their standard of living for the next hundred years-odd is concerned. But most people are afraid of running out of money and quite rightly. So I’ll just write this section off as baffling.

The third sections was the most fun and – surprisingly – fairly accurately described in the press release except that they didn’t disclose that the 5.85% average was of an equal weighting of bonds, bills and equities. I wonder if we can take this as a BCSC endorsement of “1/N investing”, in which an investor choosing between N offered choices puts an equal amount into each of them. (This is a real thing, by the way. There’s been some research done on the way DC pension plans get allocated).

So everybody expecting an average return in the future of more than 6% has, according to the BCSC, an unreasonable expectation of annual returns on investments.

Just for fun, I looked at the policies of the CPPIB:

Using reasonable capital market assumptions, the Reference Portfolio is expected to earn at least the real rate of return over the long term that is required over the 75-year projection period in the latest Actuarial Report to sustain the plan at the minimum contribution rate specified therein, assuming all other assumptions by the Chief Actuary are realized. The 26th Actuarial Report assumes a 4.0% real rate of return over the long term. The Board expect the 65% equity/35% debt weighting of the Reference Portfolio to earn at least this rate of return (annualized over the long term).

Phew! Made it! I am relieved to learn that the Canada Pension Plan is in good hands! But maybe the BCSC should take its road-show down south … according to the National Association of State Retirement Administrators’ NASRA Issue Brief: Public Pension Plan Investment Return Assumptions:

Although public pension funds, like other investors, experienced sub-par returns in the wake of the 2008-09 decline in global equity values, median public pension fund returns over longer periods meet or exceed the assumed rates used by most plans. As shown in Figure 1, at 8.8 percent, the median annualized investment return for the 25-year period ended June 30, 2014, exceeds the median assumption of 7.75 percent (see Figure 4), while the 10-year return is below this level.

So the US pension plans appear to be basing their future expectations on past performance, just like the BCSC implies we all should be doing … and their future expectations are distributed accordingly:

Since we’re on the topic of pensions, it’s alarming to learn that Canadian DB pensions lost ground on funding in 2015Q1:

Canadian pension plans continued to see their funding decline in the first three months of 2015 as a result of declining long-term interest rates.

A survey of 449 pension plans by consulting firm Aon Hewitt shows average funding stood at 89 per cent as of March 30, a six-percentage-point drop from 95 per cent funding a year earlier.
…
The survey found only 18 per cent of pension plans in Canada were fully funded as of March 30, which a sharp decline from a year earlier, when 36 per cent of pension plans were fully funded.

OSFI released its 2015-16 Report on Plans and Priorities, but there was not much of interest in it:

In the insurance sector, we will continue to implement the reforms set out in the Update to the Life Insurance Regulatory Framework and the changes to property and casualty insurance capital requirements.

TransCanada has issued USD 750 million of 4.6% Senior Notes with a maturity date of March 31, 2045.

BSD.PR.A has been confirmed at Pfd-4(low) by DBRS:

DBRS Limited (DBRS) has today confirmed the rating of Pfd-4 (low) on the Preferred Securities issued by Brookfield Soundvest Split Trust (the Trust). The rating confirmation is in connection with the extension of the termination date from March 31, 2015 to March 31, 2020. The interest rate on the Preferred Securities for the extended term will remain the same at 6.0% per annum.
…
Since the last rating confirmation of the Preferred Shares at Pfd-4 (low) on December 5, 2014, the performance of the Company has been volatile, with downside protection fluctuating between 17.6% and 23.2%. The Portfolio consisted of 72.0% Canadian common stock, 22.0% REITs, 4.0% limited partnerships and 2.0% Canadian preferred stock. Downside protection available to holders of the Preferred Securities was 20.4% as of March 24, 2015. Based on the Q3 2014 Statement of Investments and the yield on the Portfolio as of March 24, 2015, the distribution coverage ratio is 0.63x. The rating on the Preferred Securities continues to be constrained by the large percentage of underlying securities in the Portfolio that are not rated by any rating agency and by the grind on the Portfolio due to distributions exceeding income.

The Canadian preferred share market closed the day on a violently mixed note, with PerpetualDiscounts up 33bp, FixedResets off 36bp and DeemedRetractibles gaining 6bp. The Performance Highlights table is predictably heavy with FixedReset losers, notably BAM, ENB and MFC issues. Floaters did well! Volume was quite high, with a very good crop of issues breaking the 100,000 mark.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.32 to be $1.23 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.01 cheap at its bid price of 24.98.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 23.91 to be $0.64 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.60 to be $0.69 cheap.

The fit on this series has suddenly become atrocious. It will be most interesting to see how long it takes for things to readjust.

The cheapest issue relative to its peers is BAM.PF.F, resetting at +286bp on 2019-9-30, bid at 23.52 to be $1.15 cheap (but, mind you, the bid is suspiciously low – see the discussion in the Performance Highlights table, below). BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.12 and appears to be $1.36 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.20, looks $1.59 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.70 and is $1.15 rich.

Investment-grade pairs predict an average over the next five years of a little over 0.20%. TRP.PR.A / TRP.PR.F has normalized. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -2.48%.

The two new junk pairs, AIM.PR.A / AIM.PR.B and FFH.PR.E / FFH.PR.F, are surprisingly well-behaved at +0.24% and +0.72%, respectively.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	1.5866 %	2,369.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.5866 %	4,142.2
Floater	3.20 %	3.21 %	64,321	19.18	3	1.5866 %	2,518.5
OpRet	4.06 %	0.69 %	111,633	0.22	1	0.1589 %	2,768.0
SplitShare	4.35 %	4.15 %	34,526	3.46	4	0.0299 %	3,218.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1589 %	2,531.1
Perpetual-Premium	5.31 %	-0.62 %	59,782	0.08	25	-0.0283 %	2,525.2
Perpetual-Discount	4.95 %	4.94 %	157,382	15.22	9	0.3259 %	2,827.7
FixedReset	4.43 %	3.49 %	249,819	16.48	85	-0.3632 %	2,406.6
Deemed-Retractible	4.90 %	0.93 %	113,045	0.15	37	0.0565 %	2,659.4
FloatingReset	2.46 %	2.82 %	79,035	6.28	8	0.0582 %	2,359.7

Performance Highlights
Issue	Index	Change	Notes
BAM.PF.F	FixedReset	-5.96 %	Not real. The day’s low was 24.21, nearly 3% above the last bid, so this is just more Toronto Stock Exchange nonsense. I have not checked whether this is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. It’s bad enough whenever this happens … but pretty disgraceful when it happens on a quarter-end. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 22.59 Evaluated at bid price : 23.52 Bid-YTW : 4.03 %
BAM.PR.T	FixedReset	-3.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 3.95 %
BAM.PR.R	FixedReset	-2.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 4.03 %
ENB.PR.P	FixedReset	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.44 %
ENB.PR.Y	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.39 %
ENB.PR.F	FixedReset	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 4.46 %
HSE.PR.A	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 3.91 %
BNS.PR.Y	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.48 Bid-YTW : 4.23 %
BAM.PF.G	FixedReset	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 22.99 Evaluated at bid price : 24.55 Bid-YTW : 3.82 %
ENB.PR.T	FixedReset	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.46 %
ENB.PR.D	FixedReset	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 4.36 %
ENB.PR.H	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 4.35 %
MFC.PR.J	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 3.67 %
MFC.PR.N	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 3.92 %
MFC.PR.I	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.34 Bid-YTW : 3.71 %
BAM.PF.E	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 22.83 Evaluated at bid price : 24.12 Bid-YTW : 3.64 %
CIU.PR.C	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 3.17 %
SLF.PR.G	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.55 Bid-YTW : 6.34 %
MFC.PR.C	Deemed-Retractible	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.21 Bid-YTW : 4.95 %
BAM.PR.C	Floater	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 3.21 %
BAM.PR.K	Floater	1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 3.21 %
BAM.PR.B	Floater	1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 15.74 Evaluated at bid price : 15.74 Bid-YTW : 3.16 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CU.PR.C	FixedReset	445,232	Desjardins crossed blocks of 116,100 and 170,000, both at 24.90. RBC crossed blocks of 17,000 and 85,000 at the same price. TD crossed 50,000 at the same price again. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 23.48 Evaluated at bid price : 24.82 Bid-YTW : 3.21 %
ENB.PR.B	FixedReset	381,592	RBC crossed 360,600 at 18.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 18.97 Evaluated at bid price : 18.97 Bid-YTW : 4.36 %
BMO.PR.S	FixedReset	273,252	Nesbitt crossed blocks of 150,000 and 60,000, both at 25.16. Scotia crossed 47,700 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 23.28 Evaluated at bid price : 25.15 Bid-YTW : 3.14 %
TD.PF.D	FixedReset	201,350	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 23.15 Evaluated at bid price : 25.02 Bid-YTW : 3.46 %
TD.PF.C	FixedReset	175,374	TD bought blocks of 18,800 and 12,400 from Canaccord at 24.69, and crossed blocks of 75,000 and 25,000, at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 23.07 Evaluated at bid price : 24.70 Bid-YTW : 3.17 %
TD.PF.B	FixedReset	120,213	TD crossed 100,000 at 24.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 23.10 Evaluated at bid price : 24.67 Bid-YTW : 3.17 %
CM.PR.G	Perpetual-Premium	118,192	Called for redemption effective April 30. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-30 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 1.47 %
IFC.PR.C	FixedReset	111,603	Nesbitt crossed 100,000 at 25.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 3.55 %
There were 42 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PF.F	FixedReset	Quote: 23.52 – 24.63 Spot Rate : 1.1100 Average : 0.6073 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 22.59 Evaluated at bid price : 23.52 Bid-YTW : 4.03 %
ENB.PR.F	FixedReset	Quote: 19.31 – 19.80 Spot Rate : 0.4900 Average : 0.3483 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-31 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 4.46 %
PWF.PR.R	Perpetual-Premium	Quote: 26.51 – 26.85 Spot Rate : 0.3400 Average : 0.2255 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.51 Bid-YTW : 4.55 %
MFC.PR.I	FixedReset	Quote: 25.34 – 25.75 Spot Rate : 0.4100 Average : 0.2980 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.34 Bid-YTW : 3.71 %
MFC.PR.H	FixedReset	Quote: 25.60 – 25.99 Spot Rate : 0.3900 Average : 0.2930 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 3.42 %
GWO.PR.N	FixedReset	Quote: 18.36 – 18.70 Spot Rate : 0.3400 Average : 0.2576 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.36 Bid-YTW : 5.78 %

The Economist has a good piece on income inequality:

Mr Piketty argues that over the long run the rate of return on wealth exceeds economic growth. Over time, this relationship increases inequality as the share of national income going to those who own capital (the rich) rises, while the portion going to labour (everyone else) falls. He also argues that the return on capital in recent history has been remarkably stable, even as economic growth has fallen, and that this trend will continue in the future.

Mr Rognlie has three main criticisms of all this. Several commentators have pointed out that the rate of return from capital should decline in the long run, rather than remaining high as Mr Piketty maintains, owing to the law of diminishing returns. Mr Rognlie expands on this, arguing that Mr Piketty has an inflated idea of the current return. Modern forms of capital, such as software, depreciate faster in value than equipment did in the past: a giant metal press might have a working life of decades whereas a new piece of database-management software will be obsolete in a few years at most. This means that returns from wealth may not necessarily be growing in net terms, since a rising share of the gains that flow to the owners of capital must be reinvested.

Second, Mr Rognlie finds that higher returns to wealth have not been distributed equally across all investments. The return on assets other than housing has been remarkably stable since 1970. In fact, surging house prices are almost entirely responsible for growing returns on capital.

Third, the idea that workers’ share of wealth can continue to decline rests on the assumption that it is easy to substitute capital (ie, robots) for workers. But if lots of the capital in question is tied up in houses, then this switch would be far harder than Mr Piketty suggests.

I don’t find these arguments particularly convincing. With respect to the first point, once capital invested in software depreciates fast enough, it becomes a labour cost in capital clothing: if you need a permanent staff of programmers on hand to keep your business running (whether they are in-house or external), then that’s a labour cost.

The second and third points are interesting, but I suggest that people are spending more on housing because the return on capital is relatively low and relatively volatile – should returns on actual capital increase, then people will stop buying second houses for rental purposes and put their money into the stock market.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 11bp, FixedResets down 31bp and DeemedRetractibles off 19bp. The Performance Highlights table is relatively length and almost all losers, with Enbridge issues again being prominent on the bad side. Volume was on the high side of average.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.26 to be $1.12 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.13 cheap at its bid price of 24.90.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 23.93 to be $0.56 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.75 to be $0.69 cheap.

The fit on this series is actually quite reasonable – it’s the scale that makes it look so weird.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 20.60 to be $0.78 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 23.88 and appears to be $0.78 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.07, looks $1.72 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.71 and is $1.13 rich.

Investment-grade pairs predict an average over the next five years of about 0.20%. TRP.PR.A / TRP.PR.F has almost normalized, but remains an outlier at +0.05%. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -2.87%.

Tomorrow we’ll get two more data points for junk: AIM.PR.A / AIM.PR.B and FFH.PR.E / FFH.PR.F.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-1.3085 %	2,332.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.3085 %	4,077.5
Floater	3.25 %	3.25 %	64,608	19.09	3	-1.3085 %	2,479.1
OpRet	4.07 %	1.40 %	108,400	0.22	1	-0.0794 %	2,763.7
SplitShare	4.35 %	4.21 %	33,378	3.46	4	0.1198 %	3,217.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0794 %	2,527.1
Perpetual-Premium	5.31 %	-0.80 %	57,957	0.08	25	0.0892 %	2,525.9
Perpetual-Discount	4.97 %	4.95 %	158,734	15.22	9	0.1103 %	2,818.5
FixedReset	4.41 %	3.46 %	250,790	16.54	85	-0.3141 %	2,415.4
Deemed-Retractible	4.90 %	1.25 %	110,100	0.15	37	-0.1874 %	2,657.9
FloatingReset	2.46 %	2.84 %	82,221	6.29	8	0.0688 %	2,358.3

Performance Highlights
Issue	Index	Change	Notes
ENB.PR.N	FixedReset	-2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 20.17 Evaluated at bid price : 20.17 Bid-YTW : 4.43 %
TRP.PR.C	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 3.67 %
ENB.PF.E	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 21.29 Evaluated at bid price : 21.29 Bid-YTW : 4.39 %
BAM.PR.R	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 3.92 %
BAM.PR.K	Floater	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 3.27 %
ENB.PF.A	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 4.38 %
BNS.PR.Y	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 3.96 %
FTS.PR.H	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 16.07 Evaluated at bid price : 16.07 Bid-YTW : 3.50 %
MFC.PR.K	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.76 Bid-YTW : 3.95 %
ENB.PR.J	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 4.26 %
BAM.PR.T	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 3.82 %
BAM.PR.B	Floater	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 15.45 Evaluated at bid price : 15.45 Bid-YTW : 3.22 %
MFC.PR.F	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.61 Bid-YTW : 5.97 %
ENB.PF.G	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 4.41 %
CIU.PR.C	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 3.21 %
MFC.PR.C	Deemed-Retractible	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.93 Bid-YTW : 5.10 %
BAM.PR.C	Floater	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 15.31 Evaluated at bid price : 15.31 Bid-YTW : 3.25 %
ENB.PR.T	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 4.39 %
ENB.PR.F	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 4.37 %
CGI.PR.D	SplitShare	1.23 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.61 Bid-YTW : 3.44 %

Volume Highlights
Issue	Index	Shares Traded	Notes
ENB.PR.P	FixedReset	138,628	Desjardins crossed 126,000 at 20.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 19.91 Evaluated at bid price : 19.91 Bid-YTW : 4.35 %
BNS.PR.Z	FixedReset	110,872	Nesbitt crossed 100,000 at 23.70. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.58 Bid-YTW : 3.38 %
CM.PR.Q	FixedReset	101,360	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 23.09 Evaluated at bid price : 24.84 Bid-YTW : 3.49 %
TD.PF.D	FixedReset	90,353	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 23.14 Evaluated at bid price : 25.00 Bid-YTW : 3.46 %
CM.PR.O	FixedReset	88,715	Scotia crossed two blocks of 40,000 each, both at 24.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 23.05 Evaluated at bid price : 24.55 Bid-YTW : 3.20 %
TRP.PR.G	FixedReset	64,710	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 23.09 Evaluated at bid price : 24.90 Bid-YTW : 3.67 %
There were 36 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
ENB.PR.T	FixedReset	Quote: 19.80 – 20.30 Spot Rate : 0.5000 Average : 0.3640 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 4.39 %
ENB.PF.G	FixedReset	Quote: 21.35 – 21.73 Spot Rate : 0.3800 Average : 0.2516 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 4.41 %
BAM.PR.R	FixedReset	Quote: 20.60 – 20.90 Spot Rate : 0.3000 Average : 0.1799 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 3.92 %
MFC.PR.N	FixedReset	Quote: 24.40 – 24.69 Spot Rate : 0.2900 Average : 0.1720 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 3.79 %
MFC.PR.C	Deemed-Retractible	Quote: 23.93 – 24.25 Spot Rate : 0.3200 Average : 0.2138 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.93 Bid-YTW : 5.10 %
BAM.PR.K	Floater	Quote: 15.25 – 15.73 Spot Rate : 0.4800 Average : 0.3827 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-30 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 3.27 %

And finally, it seems to me that housing prices is related to wealth, whereas income inequality has increased and is measurable.

The new issue of LBS / LBS.PR.A was priced today at 19.60, compared to its March 26 NAVPU of 18.74. Nice work if you can get it! I have updated the post announcing the offering.

Brookfield Renewable Power Preferred Equity Inc., proud issuer of BRF.PR.A, BRF.PR.C, BRF.PR.E and BRF.PR.F, was confirmed at Pfd-3(high) by DBRS:

DBRS Limited (DBRS) has confirmed the Issuer Rating and the rating on the Senior Unsecured Debentures and Notes of Brookfield Renewable Energy Partners L.P. (BREP or the Company) at BBB (high), and the Class A Preference Shares at Pfd-3 (high), all with Stable trends. The rating actions reflect DBRS’s expectation that BREP will continue to prudently finance its growth initiatives to maintain its deconsolidated key credit metrics in line with the current rating. BREP’s ratings reflect its geographic and resource diversification, and highly contracted portfolio with investment-grade counterparties, while also factoring in the inherent renewable resource risk.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 5bp, FixedResets down 23bp and DeemedRetractibles gaining 6bp. The Performance Highlights table was of normal (for the past four months) size and comprised entirely of FixedResets. Volume was average.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.41 to be $1.16 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.17 cheap at its bid price of 24.93.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.N, resetting at +230 on 2020-3-19, bid at 24.64 to be $0.53 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.87 to be $0.64 cheap.

The fit on this series is actually quite reasonable – it’s the scale that makes it look so weird.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 20.95 to be $0.62 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 23.74 and appears to be $0.49 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.30, looks $1.59 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.71 and is $1.08 rich.

Investment-grade pairs predict an average over the next five years of about 0.20% after a big increase today.TRP.PR.A / TRP.PR.F remains an outlier at -0.16%. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -2.06%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.0644 %	2,363.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0644 %	4,131.5
Floater	3.21 %	3.22 %	64,992	19.19	3	0.0644 %	2,512.0
OpRet	4.07 %	1.01 %	110,149	0.23	1	0.1192 %	2,765.8
SplitShare	4.36 %	4.03 %	32,793	3.48	4	0.2102 %	3,213.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1192 %	2,529.1
Perpetual-Premium	5.31 %	2.61 %	58,333	0.09	25	0.0094 %	2,523.6
Perpetual-Discount	4.97 %	4.99 %	158,961	15.21	9	-0.0465 %	2,815.4
FixedReset	4.40 %	3.39 %	235,021	16.75	85	-0.2263 %	2,423.0
Deemed-Retractible	4.89 %	-1.13 %	110,808	0.14	37	0.0629 %	2,662.9
FloatingReset	2.42 %	2.78 %	80,666	6.30	8	0.2229 %	2,356.7

Performance Highlights
Issue	Index	Change	Notes
BAM.PF.E	FixedReset	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 22.66 Evaluated at bid price : 23.74 Bid-YTW : 3.66 %
TRP.PR.C	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 16.64 Evaluated at bid price : 16.64 Bid-YTW : 3.49 %
ENB.PR.H	FixedReset	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.23 %
ENB.PR.F	FixedReset	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.35 %
MFC.PR.M	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 3.69 %
BAM.PR.R	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 3.79 %
MFC.PR.I	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.77 Bid-YTW : 3.15 %
CU.PR.C	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 23.37 Evaluated at bid price : 24.56 Bid-YTW : 3.19 %
CIU.PR.C	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 3.09 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.N	FixedReset	93,275	Desjardins crossed 26,800 at 24.64. Scotia crossed 40,000 at the same price and bought 15,100 from RBC at 24.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.64 Bid-YTW : 3.64 %
TRP.PR.D	FixedReset	76,905	Nesbitt crossed 66,900 at 24.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 22.80 Evaluated at bid price : 23.90 Bid-YTW : 3.33 %
BNS.PR.Y	FixedReset	63,080	RBC crossed 40,300 at 22.16. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.17 Bid-YTW : 3.66 %
RY.PR.D	Deemed-Retractible	50,650	Nesbitt crossed 50,000 at 25.59. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-26 Maturity Price : 25.25 Evaluated at bid price : 25.53 Bid-YTW : -4.35 %
RY.PR.J	FixedReset	42,220	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 23.15 Evaluated at bid price : 25.01 Bid-YTW : 3.39 %
TRP.PR.E	FixedReset	40,392	Desjardins crossed 25,000 at 24.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 22.98 Evaluated at bid price : 24.41 Bid-YTW : 3.28 %
There were 31 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.F	FloatingReset	Quote: 19.35 – 22.00 Spot Rate : 2.6500 Average : 1.4486 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 3.10 %
BAM.PF.E	FixedReset	Quote: 23.74 – 24.35 Spot Rate : 0.6100 Average : 0.3693 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 22.66 Evaluated at bid price : 23.74 Bid-YTW : 3.66 %
CGI.PR.D	SplitShare	Quote: 25.30 – 26.10 Spot Rate : 0.8000 Average : 0.6403 YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 3.61 %
SLF.PR.I	FixedReset	Quote: 25.36 – 25.74 Spot Rate : 0.3800 Average : 0.2607 YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.36 Bid-YTW : 3.38 %
ENB.PR.F	FixedReset	Quote: 19.50 – 19.89 Spot Rate : 0.3900 Average : 0.2729 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-27 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.35 %
RY.PR.K	FloatingReset	Quote: 24.17 – 24.45 Spot Rate : 0.2800 Average : 0.1800 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.17 Bid-YTW : 2.93 %