Category: Market Action

Call the papers! A Chadian official was corrupted!

Griffiths Energy International Inc. to the wife of an African diplomat, a transaction that led the company to pay a $10.35-million fine in a bribery case this week.

According to people familiar with the case, the junior oil and gas company turned to the blue chip corporate law firms to help guide it in the late 2000s through a series of difficult negotiations with officials from Chad, which ranks as one of the world’s most corrupt countries. When a new slate of Griffiths executives uncovered the $2-million (U.S.) bribe in 2011, it alerted police, sparking an investigation that culminated this week in a settlement agreement and fine that a Calgary judge on Friday called “an embarrassment to all Canadians.”

For the life of me, I don’t understand why I should be embarrassed by other people’s actions, nor do I understand why it is against Canadian law to bribe foreigners. We should cooperate with their investigations, certainly, and extradite when necessary, but why is it against Canadian law? Which Canadians were harmed? How much tax is Chad paying to cover the cost of the investigation, trial and paperwork? Who made it my job to look out for Chad’s interests, as defined by me? Ah well … just another example of the white man’s burden, I suppose.

I missed this when it was new … OSFI likes the banks in capital markets:

Policymakers in Europe and the U.S. are getting set to prohibit banks from getting into risky capital markets activities, but such a step would not make sense in Canada, according a senior executive at the country’s top banking regulator.

Speaking to an industry conference in Toronto, Mark Zelmer, assistant superintendent of the Office of the Superintendent of Financial Institutions, said that for Canada to adopt such a strategy would “be akin to conducting surgery on the [banking system] in the hope of” finding a miraculous solution to the problem of excess risk.
…
Canada has no need to follow the U.S. approach because for decades banks in this country have benefitted from owning capital markets businesses. Ever since lenders were able to own investment dealers back in the 1980s the increased diversification of revenue “helped them weather several financial storms,” he said. “For example, profits from investment banking activities helped cushion bank profits a few years ago when commercial banking activities were experiencing rising loan loss provisions. By the same token, commercial bank profits over the years have helped some banks weather the occasional stumble in capital markets.”

Mr. Zelmer cautioned that the issue is not for OSFI alone to decide, but his comments make clear which way the regulator is leaning.

There’s another delay in Basel III implementation:

EU nations may seek to push the start date for mandatory disclosure of this so-called leverage ratio from Jan. 1, 2015, to Jan. 1, 2016, said the people, who couldn’t be named because the talks are private. The revised date was discussed by diplomats at a meeting today, they said.
…
The EU, like the U.S. missed the January deadline to start phasing in parts of Basel III. The Basel Committee on Banking Supervision, the international group that drew up the standards, agreed earlier this month to delay and water down another key part of the package designed to ensure banks have enough easy- to-sell assets in a crisis.

The possible delay to the leverage ratio was triggered by the EU’s failure to meet the January deadline. Officials will hold further talks on the timing for the leverage ratio and other parts of the Basel III rules in the coming weeks, two of the people said.

There’s some interesting data from the equity markets:

The lockstep moves in global stocks that dominated equity markets for the past six years are breaking down at the fastest rate on record, a sign investor confidence is finally returning from the financial crisis.

A measure of how much the 2,073 companies in the FTSE All- World Developed Index (FTAD01) swing in unison has dropped 31 percent since June, the biggest retreat since at least 1993, according to data compiled by Societe Generale SA and Bloomberg. The indicator ended last month at the lowest level since 2007.

Equities are responding to earnings and merger speculation again after being pushed up and down by events from the credit freeze to Europe’s debt crisis to the stalemate in U.S. budget negotiations. Diminishing correlation was a buy signal in 1998 and 2003 (SPX) and has coincided this year with the biggest January rally for the Standard & Poor’s 500 Index since 1997, according to data compiled by Bloomberg.

The reading, a measurement of how much returns in individual stocks are attributable to swings in the broader market, stood at 32.4 at the end of last month, down from 47.2 in June, according to Societe Generale in Paris. The drop was the biggest since the data started in 1993, indicating stocks are moving with greater independence.

The index reached a high of 49.6 in December 2011. A reading of 100 indicates shares are trading in lockstep.

The divergence in returns is prompting Morgan Stanley to send more money to managers who buy stocks based on profit growth and takeover odds, [Morgan Stanley Alternative Investment Partners co-manager Jose] Gonzalez-Heres said in a telephone interview on Jan. 16. Bears say the improvement will be temporary as U.S. lawmakers confront March deadlines on spending plans and elections are held in Italy and Germany.

Speaking of market timing I wrote a passage in an outgoing eMail recently dealing with Malachite Aggressive Preferred Fund and was able to recycle it into another eMail almost immediately afterwards. Must be a trend:

While I agree that government rates are currently unsustainably low, that is the easy part of the investment question! While it is easy to say that such-and-such a situation is unsustainable, it is very risky to predict when the situation will resolve or the nature of its resolution and as a matter of investment philosophy I eschew market timing (see LINK and LINK). Investors are generally much better off by forming an asset allocation plan based on the long term characteristics of each asset class and then attempting to perform as well as possible while retaining those characteristics.

Thus, the fund will not take a view on overall market movements and I do not recommend that any clients take a view.

The US is continuing its campaign to make securities trading more of a kindergarten level kiddie-game:

A former Jefferies & Co. managing director was arrested and accused of defrauding customers of more than $2 million on trades of residential mortgage-backed securities, prosecutors said.

Jesse C. Litvak, 38, of New York, was arrested today at his home and charged with 16 counts including securities fraud, fraud connected with the Troubled Asset Relief Program and making false statements to the federal government, Connecticut U.S. Attorney David Fein said in a statement.
…
“Every Jefferies counterparty in each transaction in this indictment got the exact bond bargained for at a price each wanted to pay,” Patrick J. Smith, an attorney with DLA Piper in New York who is representing Litvak, said in a statement.

“These were principal transactions between sophisticated market participants. There were no ‘commissions’ on any of these trades. All of the profits that Jefferies earned on each trade were well within industry norms for the mortgage-backed bonds in this case.”
…
Litvak is accused of misrepresenting the asking price of sellers of residential mortgage backed securities to buyers or vice versa, keeping the difference for Jefferies, according to Fein’s statement.

Litvak is also accused of misrepresenting to buyers in other transactions that the bonds in Jefferies’s inventory were being offered for sale by a fake third-party seller, according to Fein’s statement.

According to the SEC press release:

According to the SEC’s complaint filed in federal court in Connecticut, Jesse Litvak arranged trades for customers as part of his job as a managing director on the MBS desk at Jefferies. Litvak would buy a MBS from one customer and sell it to another customer, but on many occasions he lied about the price at which his firm had bought the MBS so he could re-sell it to the other customer at a higher price and keep more money for the firm. On other occasions, Litvak misled purchasers by creating a fictional seller to purport that he was arranging a MBS trade between customers when in reality he was just selling MBS out of his firm’s inventory at a higher price. Because MBS are generally illiquid and difficult to price, it is particularly important for brokers to provide honest and accurate information.
…
“Brokers must always tell their customers the truth, particularly in complex securities transactions in which it is difficult for investors to determine market prices on their own,” said George Canellos, Deputy Director of the SEC’s Division of Enforcement. “Litvak repeatedly lied to his customers and invented facts to bring additional profits into his firm and ultimately his own pocket at their expense.”

The SEC complaint states:

Jefferies’ customers owed fiduciary duties to their clients. Jefferies’ customers included funds which were established by the United States government under a program designed to help strengthen the markets for MBS during the financial crisis. Had Jefferies’ customers been aware that they could have paid less for the MBS they purchased, they would have made an effort to do so.
…
the U.S. Treasury selected nine investment advisers to serve as PPIP managers, including several that became customers of Jefferies’ (AllianceBernstein, LP (“AllianceBernstein”); Angelo, Gordon & Co., LP (“Angelo Gordon”); Blackrock, Inc. (“Blackrock”); Invesco, Ltd. (“Invesco”); and Wellington Management, LLP (“Wellington”)). Other customers were hedge funds or non-PPIP funds.

It’s a pity the SEC doesn’t spell out which of the fiduciaries were involved in the case, or how much money they lost for their clients as a result of their incompetent price discovery. But, of course, most of them were working for the US Treasury. Returns, schmeturns! They got paid no matter what and will get another turn at the trough no matter what.

It was another mixed day for the Canadian preferred share market, with PerpetualPremiums off 1bp, FixedResets up 12bp and DeemedRetractbles gaining 7bp. Volatility was minimal. Volume remained at above-average levels.

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	-0.0780 %	2,546.7
FixedFloater	4.25 %	3.57 %	27,103	18.22	1	0.0000 %	3,827.9
Floater	2.73 %	2.94 %	69,022	19.88	4	-0.0780 %	2,749.8
OpRet	4.63 %	1.55 %	52,124	0.38	4	0.1147 %	2,596.0
SplitShare	4.58 %	4.48 %	44,377	4.29	2	-0.0994 %	2,910.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1147 %	2,373.8
Perpetual-Premium	5.25 %	0.01 %	81,630	0.70	30	-0.0064 %	2,348.3
Perpetual-Discount	4.88 %	4.92 %	136,458	15.59	4	-0.3764 %	2,632.1
FixedReset	4.91 %	2.90 %	239,999	3.39	78	0.1214 %	2,482.0
Deemed-Retractible	4.87 %	3.36 %	127,174	0.32	45	0.0656 %	2,429.9

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.R	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.66 Bid-YTW : 3.48 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.R	FixedReset	213,740	Nesbitt crossed blocks of 50,000 and 100,000 at 26.00 and sold 29,700 to Scotia at the same price. Scotia bought another 17,900 from anonymous at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.99 Bid-YTW : 2.09 %
ENB.PR.T	FixedReset	53,942	RBC crossed 30,000 at 25.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-28 Maturity Price : 23.24 Evaluated at bid price : 25.45 Bid-YTW : 3.79 %
BNS.PR.Q	FixedReset	39,600	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : 3.27 %
FTS.PR.H	FixedReset	35,350	TD bought 23,400 from Scotia at 25.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-28 Maturity Price : 23.76 Evaluated at bid price : 25.80 Bid-YTW : 2.82 %
CU.PR.C	FixedReset	33,449	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-01 Maturity Price : 25.00 Evaluated at bid price : 26.15 Bid-YTW : 3.04 %
ENB.PR.B	FixedReset	30,357	Scotia bought 15,900 from CIBC at 25.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 3.53 %
There were 40 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
RY.PR.G	Deemed-Retractible	Quote: 25.68 – 25.98 Spot Rate : 0.3000 Average : 0.1883 YTW SCENARIO Maturity Type : Call Maturity Date : 2016-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.68 Bid-YTW : 3.54 %
TRI.PR.B	Floater	Quote: 23.10 – 24.00 Spot Rate : 0.9000 Average : 0.8107 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-28 Maturity Price : 22.82 Evaluated at bid price : 23.10 Bid-YTW : 2.25 %
GWO.PR.H	Deemed-Retractible	Quote: 25.20 – 25.47 Spot Rate : 0.2700 Average : 0.1991 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 4.62 %
PWF.PR.M	FixedReset	Quote: 25.80 – 26.00 Spot Rate : 0.2000 Average : 0.1333 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 2.73 %
RY.PR.C	Deemed-Retractible	Quote: 25.80 – 25.97 Spot Rate : 0.1700 Average : 0.1147 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-02-27 Maturity Price : 25.75 Evaluated at bid price : 25.80 Bid-YTW : -1.91 %
MFC.PR.G	FixedReset	Quote: 26.25 – 26.50 Spot Rate : 0.2500 Average : 0.1953 YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 26.25 Bid-YTW : 3.17 %

Memo to Scotia: this is what reasonable management might consider grounds for firing a star trader:

Deutsche Bank AG (DBK)’s Christian Bittar, one of the firm’s best-paid traders, lost about 40 million euros ($53 million) in bonuses after he was fired for trying to rig interest rates, three people with knowledge of the move said.

The lender dismissed Bittar in December 2011, claiming he colluded with a Barclays Plc (BARC) trader to manipulate rates and boost the value of his trades in 2006 and 2007, said the people, who requested anonymity because they weren’t authorized to speak publicly. His attempts to rig the euro interbank offered rate and similar efforts by derivatives trader Guillaume Adolph over yen Libor are the focus of the bank’s probe, the people said. Both traders declined to comment for this story.
…
Bittar, who joined Deutsche Bank in 2001, was a proprietary trader specializing in short-term derivatives contracts and entitled to a percentage of the profit from his trades, the people said. He took billion-euro positions on the direction of short-term interest rates with the firm’s own money and reaped hundreds of millions of euros in profit for the bank, the people said. The bonuses Deutsche Bank pays its staff typically vest over a three-year period.
…
Bittar was also alleged to have had inappropriate communications with colleagues responsible for making the bank’s Euribor submissions, the people with knowledge of the firm’s internal processes said.

I mentioned Illinois’ pension woes on January 17. They’re getting worse:

Illinois had its debt rating cut one level to A- by Standard & Poor’s, which threatened to downgrade the state again following lawmakers’ failure to bolster the nation’s worst-funded pension system.

The rating action comes before the state’s planned sale next week of $500 million of general-obligation securities. The move affects $26.6 billion of debt, according to Robin Prunty, an S&P analyst. It leaves Illinois’s bond grade six levels below AAA and ties it with California as S&P’s lowest-rated state.

The combination of the pension burden and budgetary stresses may push Illinois closer to speculative grade, the company said.
…
The state has the weakest pension system in the U.S., with 39 percent funding for five major groups of public employees, according to the Civic Federation, a Chicago-based nonprofit research group.

Maybe they can raise more money by cutting taxes:

Kansas Governor Sam Brownback has a prairie-wide smile, a friendly manner and an abiding hatred of his state’s income tax. He pushed an unprecedented cut for individuals and small businesses through the legislature last year and is now plotting, as he says, to “take it to zero.”
…
Kansas lawmakers haven’t figured out how to pay for the tax cuts without potentially crippling public schools and other local government functions. Reducing the income tax has left a projected $2.5 billion revenue hole through fiscal 2018, according to the Kansas Legislative Research Department. On Jan. 11, a state court ruled that the legislature was illegally underfunding schools and ordered a payment of $440 million.
…
The tax-cut drama in Topeka, the state capital, pits competing visions of economic development. Brownback and other Republicans share the bedrock belief that eliminating income taxes will spur economic growth that would make those levies unnecessary. Texas, one of seven states that don’t have a levy on wages, is held out as the example of how growth thrives when income isn’t taxed.
…
Critics say education and other government services are important components of economic development and are at risk under the governor’s plan. Texas has the good fortune of living on an ocean of oil, they say, and Brownback’s belief in the power of tax cuts is misguided.

I wonder … if taxes are zero, is revenue infinite?

George Soros says the Sharpe Arithmetic has come to hedge funds:

George Soros, the billionaire philanthropist and former hedge-fund manager, said institutions that invest in the industry should expect poor performance, in part because managers charge high fees.

Since hedge funds are now a dominant force in the market, they can’t, as a group, outperform the market,” Soros said today in a Bloomberg Television interview with Erik Schatzker from the World Economic Forum in Davos, Switzerland. The funds’ fees, typically 2 percent of assets and 20 percent of returns, eat into profits, Soros said.

Soros’s hedge fund operated until 2011, when he turned New York-based Soros Fund Management LLC into a family office that now oversees $24 billion. He averaged returns of about 20 percent a year since 1969 at the firm and its predecessor.

Hedge-fund performance will also be impeded because managers and investors are reluctant to take risks, Soros said.

“Outperforming the market with low volatility on a consistent basis is an impossibility,” said Soros, 82. “I outperformed the market for 30-odd years, but not with low volatility.”

I join him in cheering for volatility. It may well be that he is right and that hedge funds have effectively become the market and hence cannot, as a group, outperform, but there’s another factor: Soros and his ilk, skilled, intelligent practitioners, showed that hedge funds could be enormously profitable. Then the salesmen and charlatans moved in …

DBRS confirmed Fairfax Financial at Pfd-3, proud issuers of FFH.PR.C, FFH.PR.E, FFH.PR.G, FFH.PR.I and FFH.PR.K:

DBRS Limited (DBRS) has today confirmed the Issuer Rating and Senior Unsecured Debt of Fairfax Financial Holdings Limited (Fairfax or the Company) at BBB. The Preferred Shares are confirmed at Pfd-3. The trends are Stable. The Company’s consolidated underwriting result has been weak in recent years, aggravated by competitive conditions in the commercial lines of the general insurance industry globally and several years of relatively high catastrophic insurance claims, primarily related to the Japan tsunami, Thai floods, New Zealand and Chilean earthquakes and various storm events in North America. Some firming in the market and a recovery in written premiums in 2012 gave rise to a positive underwriting result in the first nine months of 2012. However, DBRS expects that much of this improvement will prove to have been undone by the adverse impact of Hurricane Sandy when Q4 2012 financial results are reported.
…
The Company is continuing to grow through strategic acquisitions that have been largely funded through increasing financial leverage. Consolidated debt plus preferred shares as a percentage of capitalization has increased from just over 25% in 2009 to over 36% at September 30, 2012, which is above the current DBRS guidance for a BBB-rated credit. Financial leverage is increasingly taking the form of more tax-efficient preferred share capital and borrowings at the holding company rather than at the operating subsidiary level. With reduced earnings, the corresponding fixed-charge coverage ratios in the past two years have averaged less than 1.5 times, which is below the threshold for an investment-grade company, recognizing that underwriting results have been at a cyclical low point and aggravated by unusual catastrophic claims. The recent addition of $250 million in debt, which will increase the financial leverage ratio in the short term, is mitigated by the fact that the proceeds will be used to retire maturing debt before the end of 2013.

Much of the residual concern that DBRS has for the Company’s increased financial leverage and coverage ratios is mitigated by the close to $1 billion in liquid assets at the holding company level as of September 30, 2012, and a strong component of “permanent” preferred share capital. The Company remains committed to keeping at least $1 billion in cash and liquid securities at the holding company in addition to the excess capital embedded in its operating subsidiaries. The strong liquidity at the holding company helps ensure that the fixed charges can comfortably be paid over time, even though the coverage ratios may tend to suffer through the cycle.

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 2bp, FixedResets down 5bp and DeemedRetractibles off 4bp. Volatility was average. Volume was above average.

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	0.8256 %	2,548.7
FixedFloater	4.25 %	3.57 %	27,107	18.23	1	0.0000 %	3,827.9
Floater	2.73 %	2.92 %	69,994	19.92	4	0.8256 %	2,751.9
OpRet	4.63 %	1.61 %	51,351	0.39	4	0.1148 %	2,593.0
SplitShare	4.57 %	4.43 %	43,523	4.30	2	0.0000 %	2,912.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1148 %	2,371.1
Perpetual-Premium	5.25 %	0.07 %	76,229	0.71	30	0.0168 %	2,348.5
Perpetual-Discount	4.86 %	4.88 %	136,046	15.67	4	-0.1625 %	2,642.0
FixedReset	4.92 %	2.95 %	242,724	3.57	78	-0.0486 %	2,479.0
Deemed-Retractible	4.88 %	2.20 %	127,576	0.33	45	-0.0397 %	2,428.3

Performance Highlights
Issue	Index	Change	Notes
IAG.PR.G	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.36 Bid-YTW : 3.07 %
BAM.PR.C	Floater	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-25 Maturity Price : 17.99 Evaluated at bid price : 17.99 Bid-YTW : 2.94 %
TRI.PR.B	Floater	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-25 Maturity Price : 22.82 Evaluated at bid price : 23.10 Bid-YTW : 2.25 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PR.P	Deemed-Retractible	371,461	Nesbitt crossed 350,000 at 26.50 and sold 20,600 to National at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-02-24 Maturity Price : 26.00 Evaluated at bid price : 26.45 Bid-YTW : -16.32 %
BAM.PF.C	Perpetual-Discount	85,070	RBC crossed blocks of 48,800 and 24,700, both at 25.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-25 Maturity Price : 24.51 Evaluated at bid price : 24.90 Bid-YTW : 4.93 %
BAM.PR.R	FixedReset	76,776	National crossed 50,000 at 26.45 and bought 17,900 from Nesbitt at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-25 Maturity Price : 23.70 Evaluated at bid price : 26.33 Bid-YTW : 3.67 %
NA.PR.L	Deemed-Retractible	57,184	National crossed 40,000 at 25.56. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-02-24 Maturity Price : 25.50 Evaluated at bid price : 25.60 Bid-YTW : -3.31 %
RY.PR.P	FixedReset	55,521	Nesbitt crossed 21,000 at 25.95, sold 10,000 to anonymous at the same price and sold 12,800 to Desjardins at the same price again. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.98 Bid-YTW : 2.12 %
TD.PR.E	FixedReset	53,490	TD crossed blocks of 21,100 and 25,000, both at 26.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.25 Bid-YTW : 2.13 %
There were 37 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRI.PR.B	Floater	Quote: 23.10 – 24.00 Spot Rate : 0.9000 Average : 0.7128 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-25 Maturity Price : 22.82 Evaluated at bid price : 23.10 Bid-YTW : 2.25 %
NA.PR.O	FixedReset	Quote: 26.21 – 26.50 Spot Rate : 0.2900 Average : 0.1687 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-15 Maturity Price : 25.00 Evaluated at bid price : 26.21 Bid-YTW : 1.63 %
RY.PR.L	FixedReset	Quote: 25.66 – 26.00 Spot Rate : 0.3400 Average : 0.2294 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.66 Bid-YTW : 2.71 %
BAM.PR.G	FixedFloater	Quote: 22.36 – 22.77 Spot Rate : 0.4100 Average : 0.3064 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-25 Maturity Price : 22.78 Evaluated at bid price : 22.36 Bid-YTW : 3.57 %
BMO.PR.Q	FixedReset	Quote: 25.25 – 25.50 Spot Rate : 0.2500 Average : 0.1561 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 3.11 %
ENB.PR.N	FixedReset	Quote: 25.51 – 25.75 Spot Rate : 0.2400 Average : 0.1476 YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 3.74 %

I mentioned complexity of computer systems on January 22 – here’s another example:

Computer Sciences Corp. (CSC)’s performance on a failed $1 billion software project for the U.S. Air Force and the service’s management of it are under investigation by the Senate Armed Services Committee.
…
The Expeditionary Combat Support System, once described as “revolutionary” by the Air Force, was canceled in November after the service determined the supply-chain management project was “no longer a viable option” to help meet a goal of having its financial books in shape for a federal audit by 2017.

That’s been a major objective of departing Defense Secretary Leon Panetta. An additional $1.1 billion would have been required to fix the system and put it in operation by 2020 — eight years after the planned date, according to the Air Force.

Of nine software systems that the Pentagon is installing to improve longstanding financial management deficiencies, the Air Force program was one of at least six that were running as much as 12 years late and $6.9 billion over their original cost estimates, the Government Accountability Office reported in September 2010.

The trouble with large software projects is that everybody in a suit measures his self-worth according to the number of features that he is able to add on to the specifications … preferably introduced after the basic architecture has been determined.

There’s more chatter of Beggar Thy Neighbor:

Yields on sovereign debt of countries from Spain to Greece have fallen since European Central Bank President Mario Draghi announced an as-yet-untapped bond-purchase plan in September last year. [George] Soros, reiterating his view that austerity is the wrong policy at this time, said the German insistence on tight fiscal and monetary policies means the euro will appreciate as other countries pursue more expansive policies, a situation that may lead to a currency war.

“Currencies have been remarkably stable in the last few years,” Soros said. “Now there is the making of more fireworks, more volatility.”

Soros said at the same event last year that the German-led policies risked creating tensions that could destroy the European Union. In a speech in April, he said the Bundesbank, Germany’s central bank, was taking steps to limit potential losses if the euro splintered, creating a “self-fulfilling prophecy.”

Bundesbank President Jens Weidmann has denied taking such steps, calling the allegations “ridiculous.”

Weidmann this week criticized moves by Japan’s Prime Minister Shinzo Abe to devalue the yen, saying such measures risked “politicizing” the yen’s exchange rate. Soros said the extent to which Japan can push its currency lower will be limited by what the U.S. is willing to tolerate.

The momentum is for the “euro to rise and yen to fall,” Soros said. “I generally don’t know how far things go but I can see which way they are going.”

Soros holds a special place in the hearts of all – he made a billion proving to politicians that they were being stupid.

Towers Watson has published its Pension Finance Watch — December 2012:

December saw increases in long bond yields and strong equity returns, which resulted in the Towers Watson Pension Index moving up 2.1% for the month. However, results for the full year included a 50+ basis point drop in long corporate yields, which pushed up liability values and fully offset the impact of the year’s strong portfolio returns. The Pension Index ended the year at 62.3, unchanged from its year-end 2011 value.
…
Long corporate bond yields declined in 2012 while long Treasury yields remained stable. The resulting decline in credit spread — from 160 basis points to 100 basis points over the course of the year — essentially reversed the “flight to quality” experienced in 2011.
…
The Towers Watson Pension Index tracks the performance of a hypothetical pension plan invested in a 60% equity/40% fixed income portfolio. This portfolio recorded 0.9% return for December and 11.5% for the full year.
…
Pension plan liabilities as defined for U.S. accounting purposes are typically measured based on yields available on high quality corporate bonds as of the measurement date. Using our RATE:Link methodology, which matches yields on high quality corporate bonds to projected cash flows, the benchmark discount rate was determined at 3.96%. Despite an increase of 13 basis points for December, the year-end discount rate remains down 55 basis points for the year.

It was another mixed day for the Canadian preferred share market, with PerpetualPremiums off 2bp, FixedResets down 9bp and DeemedRetractibles up 8bp. Volatility was muted. Volume remained well above average.

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	0.0524 %	2,527.8
FixedFloater	4.25 %	3.57 %	27,133	18.23	1	0.0000 %	3,827.9
Floater	2.75 %	2.94 %	72,414	19.87	4	0.0524 %	2,729.4
OpRet	4.64 %	1.11 %	51,519	0.40	4	-0.0191 %	2,590.1
SplitShare	4.57 %	4.43 %	43,601	4.30	2	0.1394 %	2,912.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0191 %	2,368.4
Perpetual-Premium	5.25 %	-1.71 %	77,360	0.11	30	-0.0187 %	2,348.1
Perpetual-Discount	4.85 %	4.88 %	136,973	15.67	4	-0.0102 %	2,646.3
FixedReset	4.91 %	2.84 %	240,480	3.58	78	-0.0911 %	2,480.2
Deemed-Retractible	4.88 %	1.91 %	127,838	0.33	45	0.0785 %	2,429.3

Performance Highlights
Issue	Index	Change	Notes
HSB.PR.D	Deemed-Retractible	1.60 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2013-02-23 Maturity Price : 25.50 Evaluated at bid price : 25.97 Bid-YTW : -13.00 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.P	FixedReset	189,766	Scotia crossed 30,000 at 25.99; RBC crossed 152,900 at 25.96. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.99 Bid-YTW : 2.07 %
RY.PR.X	FixedReset	172,790	RBC crossed blocks of 154,400 and 10,000, both at 26.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.50 Bid-YTW : 2.07 %
BNS.PR.Z	FixedReset	85,337	RBC crossed 50,000 at 24.95. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.86 Bid-YTW : 3.19 %
ENB.PR.T	FixedReset	61,940	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-24 Maturity Price : 23.23 Evaluated at bid price : 25.41 Bid-YTW : 3.79 %
BNS.PR.Y	FixedReset	57,792	RBC crossed 10,000 at 24.70 and bought 10,100 from Scotia at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.61 Bid-YTW : 3.03 %
GWO.PR.R	Deemed-Retractible	42,012	National crossed 30,000 at 25.45. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 4.62 %
There were 42 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRI.PR.B	Floater	Quote: 22.80 – 23.55 Spot Rate : 0.7500 Average : 0.5075 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-24 Maturity Price : 22.55 Evaluated at bid price : 22.80 Bid-YTW : 2.29 %
BNS.PR.J	Deemed-Retractible	Quote: 25.68 – 25.89 Spot Rate : 0.2100 Average : 0.1307 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-29 Maturity Price : 25.00 Evaluated at bid price : 25.68 Bid-YTW : 1.53 %
PWF.PR.R	Perpetual-Premium	Quote: 26.72 – 26.94 Spot Rate : 0.2200 Average : 0.1425 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.72 Bid-YTW : 4.51 %
RY.PR.X	FixedReset	Quote: 26.50 – 26.70 Spot Rate : 0.2000 Average : 0.1274 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.50 Bid-YTW : 2.07 %
FTS.PR.J	Perpetual-Premium	Quote: 25.78 – 26.07 Spot Rate : 0.2900 Average : 0.2236 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.78 Bid-YTW : 4.47 %
GWO.PR.H	Deemed-Retractible	Quote: 25.21 – 25.43 Spot Rate : 0.2200 Average : 0.1557 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : 4.56 %

Surprise, surprise, the BoC maintained the overnight rate (emphasis added):

In Canada, the slowdown in the second half of 2012 was more pronounced than the Bank had anticipated, owing to weaker business investment and exports. Caution about high debt levels has begun to restrain household spending. The Bank expects economic growth to pick up through 2013. Business investment and exports are projected to rebound as foreign demand strengthens, uncertainty diminishes and the temporary factors that have weighed on resource sector activity are unwound. Nonetheless, exports should remain below their pre-recession peak until the second half of 2014 owing to a lower track for foreign demand and ongoing competitiveness challenges, including the persistent strength of the Canadian dollar. Consumption is expected to grow moderately and residential investment to decline further from historically high levels. The Bank expects trend growth in household credit to moderate further, with the debt-to-income ratio stabilizing near current levels.

Relative to the October MPR, Canadian economic activity is expected to be more restrained. Following an estimated 1.9 per cent in 2012, the economy is expected to grow by 2.0 per cent in 2013 and 2.7 per cent in 2014. The Bank now expects the economy to reach full capacity in the second half of 2014, later than anticipated in the October MPR.

Core inflation has softened by more than the Bank had expected, with more muted price pressures across a wide range of goods and services, consistent with the unexpected increase in excess capacity. Total CPI inflation has also been lower than anticipated, reflecting developments in core inflation and weaker-than-projected gasoline prices. Total CPI inflation is expected to remain around 1 per cent in the near term before rising gradually, along with core inflation, to the 2 per cent target in the second half of 2014 as the economy returns to full capacity and inflation expectations remain well-anchored.

Reflecting all of these factors, the Bank has decided to maintain the target for the overnight rate at 1 per cent. While some modest withdrawal of monetary policy stimulus will likely be required over time, consistent with achieving the 2 per cent inflation target, the more muted inflation outlook and the beginnings of a more constructive evolution of imbalances in the household sector suggest that the timing of any such withdrawal is less imminent than previously anticipated.

Portugal has re-entered the bond market:

Portugal sold €2.5-billion ($3.3-billion) of bonds on Wednesday, marking the country’s first long-term debt issue since it was bailed out in 2011 and putting it on track for a full market return that may open its way to more aid.

The Oct. 2017 bond was sold for a yield of 4.891 per cent and 93 per cent of it was snapped up by foreign investors, Treasury Secretary Maria Luis Albuquerque said. Demand reached €12-billion.
…
The issue was a reopening of its 4.35-per-cent October 2017 bond, first launched in 2007 as a 10-year benchmark.

Portugal last paid 6.4 per cent to sell five-year bonds in a placement before its bailout two years ago. Its outstanding 2017 debt was yielding 4.93 per cent in the secondary market on Wednesday, the lowest level since late 2010.

I am sometimes asked why I don’t use on-line banking. Here’s another reason:

It’s unclear precisely how much money the alleged conspirators managed to rob, but in court documents, prosecutors put the losses at “tens of millions of dollars.”
…
Brian Krebs, an online security expert and former journalist for The Washington Post, described Wednesday’s cases as “very significant.” The virus involved is “one of the most advanced malware threats ever deployed,” he said. What’s more, one of the individuals charged – Mr. Calovskis – was “a major player in the cyber crime underground.”

For many unwitting victims, the virus arrived in the form of a seemingly innocuous PDF file attached to an e-mail. Once opened, U.S. authorities said, the virus would collect personal information like user names and passwords for online bank accounts and relay that data to servers controlled by the conspirators.

It was another mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 5bp, FixedResets off 5bp and DeemedRetractibles flat. Volatility was average, but comprised entirely of FixedReset losers. Volume continued high.

PerpetualDiscounts now yield 4.88%, equivalent to 6.34% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.25%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 210bp, a slight (and perhaps spurious) widening from the 205bp reported January 16.

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	0.2761 %	2,526.5
FixedFloater	4.25 %	3.56 %	27,476	18.24	1	0.4944 %	3,827.9
Floater	2.75 %	2.96 %	72,649	19.82	4	0.2761 %	2,728.0
OpRet	4.64 %	-0.36 %	52,193	0.35	4	-0.1146 %	2,590.6
SplitShare	4.58 %	4.51 %	41,983	4.30	2	0.0398 %	2,908.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1146 %	2,368.8
Perpetual-Premium	5.25 %	-1.40 %	81,036	0.11	30	0.0510 %	2,348.5
Perpetual-Discount	4.85 %	4.88 %	135,919	15.67	4	-0.1420 %	2,646.6
FixedReset	4.91 %	2.77 %	236,083	3.42	78	-0.0529 %	2,482.4
Deemed-Retractible	4.88 %	2.71 %	127,205	0.33	45	-0.0035 %	2,427.3

Performance Highlights
Issue	Index	Change	Notes
CU.PR.C	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-01 Maturity Price : 25.00 Evaluated at bid price : 26.50 Bid-YTW : 2.69 %
RY.PR.Y	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-11-24 Maturity Price : 25.00 Evaluated at bid price : 26.49 Bid-YTW : 2.49 %
IFC.PR.A	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 26.12 Bid-YTW : 3.22 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BAM.PR.X	FixedReset	194,658	Nesbitt crossed blocks of 40,000 and 50,000, both at 25.20, and sold four blocks to RBC, of 20,000 shares, 33,800 shares, 12,400 and 12,900, all at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-23 Maturity Price : 23.26 Evaluated at bid price : 25.16 Bid-YTW : 3.39 %
BMO.PR.P	FixedReset	111,652	Nesbitt crossed 100,000 at 27.04. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.98 Bid-YTW : 1.96 %
GWO.PR.G	Deemed-Retractible	110,631	Nesbitt crossed 100,000 at 25.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-02-22 Maturity Price : 25.25 Evaluated at bid price : 25.40 Bid-YTW : 1.86 %
PWF.PR.L	Perpetual-Premium	103,199	Nesbitt crossed 100,000 at 25.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-31 Maturity Price : 25.25 Evaluated at bid price : 25.60 Bid-YTW : 4.20 %
BAM.PR.P	FixedReset	85,855	Nesbitt crossed 75,000 at 26.85. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.85 Bid-YTW : 2.77 %
RY.PR.F	Deemed-Retractible	77,662	Nesbitt crossed 50,000 at 25.95; TD crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-24 Maturity Price : 25.75 Evaluated at bid price : 25.91 Bid-YTW : 1.30 %
There were 54 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRI.PR.B	Floater	Quote: 23.00 – 23.40 Spot Rate : 0.4000 Average : 0.2415 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-23 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 2.26 %
HSB.PR.D	Deemed-Retractible	Quote: 25.56 – 26.03 Spot Rate : 0.4700 Average : 0.3386 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.25 Evaluated at bid price : 25.56 Bid-YTW : 3.97 %
RY.PR.Y	FixedReset	Quote: 26.49 – 26.79 Spot Rate : 0.3000 Average : 0.1953 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-11-24 Maturity Price : 25.00 Evaluated at bid price : 26.49 Bid-YTW : 2.49 %
CM.PR.M	FixedReset	Quote: 26.47 – 26.70 Spot Rate : 0.2300 Average : 0.1443 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.47 Bid-YTW : 2.48 %
TD.PR.P	Deemed-Retractible	Quote: 26.33 – 26.56 Spot Rate : 0.2300 Average : 0.1667 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-02-22 Maturity Price : 26.00 Evaluated at bid price : 26.33 Bid-YTW : -11.49 %
NA.PR.N	FixedReset	Quote: 25.35 – 25.64 Spot Rate : 0.2900 Average : 0.2304 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-08-15 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 2.30 %

Amy Butte, former chief financial officer of the New York Stock Exchange, writes an interesting piece on stock market technical complexity:

And why should the markets not be surprised by the latest evidence of trading running amok, such as the announcement earlier this month by BATS Global Markets Inc. that it made repeated, though minor, money-losing errors executing customer-trade orders? This isn’t all that shocking after Knight Capital Group Inc. (KCG)’s erroneous trades almost bankrupted the company, and Nasdaq OMX Group Inc.’s mishandling of Facebook Inc.’s initial public offering undermined the trust that investors have in the IPO process.

The equation is really quite simple. Increased complexity, client concentration and demands for efficiency have led to something less than near-perfect reliability. Unless the industry is prepared to alter those inputs, we shouldn’t be surprised to see glitches, violations and breakdowns soar in the years ahead.
…
I remember the first software company I worked with. It had limited version control and just kept adding modules and features without a stable code base. The system, as it got bigger, eventually crashed.

Complexity also applies to oversight. Each new equity-order type requires new training of regulators and new systems to monitor trading. The proliferation of order types, each designed to fulfill unique investment strategies, introduces additional rules and procedures.

I wonder if she was talking about dBase? From what I understand, the programme was the poster-child for ‘spaghetti code’ by the time it fell from dominance.

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums off 2bp, FixedResets up 17bp and DeemedRetractibles down 4bp. Volatility was average. Volume was very extremely huge.

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	-0.2230 %	2,519.6
FixedFloater	4.27 %	3.58 %	27,640	18.20	1	0.7699 %	3,809.1
Floater	2.76 %	2.97 %	67,238	19.79	4	-0.2230 %	2,720.5
OpRet	4.63 %	-1.42 %	54,169	0.36	4	-0.1907 %	2,593.5
SplitShare	4.58 %	4.53 %	43,704	4.31	2	-0.0796 %	2,907.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1907 %	2,371.6
Perpetual-Premium	5.25 %	0.07 %	77,476	0.11	30	-0.0153 %	2,347.3
Perpetual-Discount	4.84 %	4.87 %	135,760	15.68	4	0.0101 %	2,650.3
FixedReset	4.91 %	2.78 %	232,626	3.58	78	0.1701 %	2,483.7
Deemed-Retractible	4.88 %	3.09 %	122,656	0.34	45	-0.0375 %	2,427.4

Performance Highlights
Issue	Index	Change	Notes
TRI.PR.B	Floater	-2.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-22 Maturity Price : 22.71 Evaluated at bid price : 22.95 Bid-YTW : 2.27 %
MFC.PR.G	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 26.71 Bid-YTW : 2.67 %
CU.PR.C	FixedReset	1.32 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-01 Maturity Price : 25.00 Evaluated at bid price : 26.85 Bid-YTW : 2.36 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PR.G	FixedReset	129,760	Nesbitt crossed 33,000 at 26.25. RBC crossed 85,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.27 Bid-YTW : 2.05 %
BNS.PR.Y	FixedReset	101,302	Nesbitt crossed 50,000 at 24.70 and 29,600 at 24.72. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 3.01 %
BAM.PR.R	FixedReset	59,514	Nesbitt crossed 25,000 at 26.45; National crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-22 Maturity Price : 23.72 Evaluated at bid price : 26.43 Bid-YTW : 3.65 %
BAM.PR.X	FixedReset	57,245	Scotia bought 14,000 from GMP at 25.19; Nesbitt sold 11,000 to TD and 10,900 to Scotia at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-22 Maturity Price : 23.26 Evaluated at bid price : 25.17 Bid-YTW : 3.39 %
BMO.PR.Q	FixedReset	54,768	Scotia crossed 40,000 at 25.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 3.12 %
NA.PR.L	Deemed-Retractible	52,953	Desjardins crossed 25,000 at 25.50 and 22,800 at 25.53. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-02-21 Maturity Price : 25.50 Evaluated at bid price : 25.53 Bid-YTW : -0.48 %
There were 76 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.J	OpRet	Quote: 26.71 – 27.08 Spot Rate : 0.3700 Average : 0.2512 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-31 Maturity Price : 26.00 Evaluated at bid price : 26.71 Bid-YTW : 3.11 %
GWO.PR.G	Deemed-Retractible	Quote: 25.21 – 25.48 Spot Rate : 0.2700 Average : 0.1686 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : 4.65 %
MFC.PR.I	FixedReset	Quote: 26.41 – 26.71 Spot Rate : 0.3000 Average : 0.1987 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 26.41 Bid-YTW : 3.20 %
PWF.PR.O	Perpetual-Premium	Quote: 26.49 – 26.85 Spot Rate : 0.3600 Average : 0.2654 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-31 Maturity Price : 26.00 Evaluated at bid price : 26.49 Bid-YTW : 4.42 %
IGM.PR.B	Perpetual-Premium	Quote: 27.01 – 27.27 Spot Rate : 0.2600 Average : 0.1890 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-31 Maturity Price : 26.00 Evaluated at bid price : 27.01 Bid-YTW : 3.53 %
MFC.PR.H	FixedReset	Quote: 26.52 – 26.80 Spot Rate : 0.2800 Average : 0.2142 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 26.52 Bid-YTW : 3.16 %

Dallas Fed President Richard Fisher had a good line at the October 2007 FOMC meeting – for which minutes have just been released:

Fisher provoked laughs again in October 2007 after citing a newspaper story reporting that companies stopped buying securities they don’t understand.

“Investors are coming home from lala land,” he said. “If you will forgive me, you might say we have gone from the ridiculous to the subprime.”

“Let the transcript say ‘Groan,’” Richmond Fed President Jeffrey Lacker said.

The enormous liquidity premia in the Canadian government bond market has given rise to an ETF:

Super-safe government of Canada bonds currently yield next to nothing. So what is the yield-hungry but risk-averse retail investor to do?

Toronto-based exchange-traded fund (ETF) purveyor First Asset thinks it has the answer: Provincial government bonds.

First Asset has set up the DEX provincial bond index fund, an ETF designed to capitalize on the fact that the debt of Canada’s provinces yields quite a bit more than similar securities issued by Ottawa.
…
Investors can pick up about one full percentage point in extra yield with Ontario 10-year bonds, for instance, compared with government of Canada bonds with a similar maturity. The Ontario 10-year securities yield about 2.9 per cent, the federal bonds around 1.9 per cent, indicating the approach of going with the provincial bond leads to about 50 per cent more income.
…
The DEX fund, which began trading on the Toronto market Monday, has a yield to maturity of 2.8 per cent, and about 85 per cent of the bonds it holds are from Ontario and Quebec. The balance is split almost equally among British Columbia, New Brunswick and Manitoba debt. The five provinces have a range of credit ratings in the double-A and single-A categories.

First Asset charges a management fee of 0.25 percentage point on the DEX ETF.
…
“I don’t think the average Canadian thinks that the federal government is going to let any province default on its debt obligations,” [Barry Gordon, First Asset’s president and chief executive,] says. “Under what circumstances could you see the provinces of Canada defaulting that the government of Canada wasn’t also in default?”

Circumstances like Europe, maybe? The chances of provincial default were discussed by Marc Joffe in a report published by the Macdonald-Laurier Institute. The Panic of 2007 should have hammered into us all the idea that the unthinkable is not necessarily impossible.

I consider the provie ETF to be a much better idea than their Barbell ETFs. The ticker symbol for the fund is PXF / PXF.A. Regretably, the fund is permitted to use derivatives. The Index is the DEX Universe Provincial Bond Index™, but, even more regretably, neither the fund’s website, nor the index provider’s website provide information about Current Yield and Yield To Maturity, which are required in order to calculate the projected tax efficiency of the fund.

Sun Media has been most un-Canadian in promoting a culture of self-reliance, so it’s good to see that they’ve got maple syrup in their veins after all:

The news network, which is owned by Quebecor Inc. and has made a name for itself by slamming rivals such as the Canadian Broadcasting Corp. for relying on government subsidies, has asked the Canadian Radio-television and Telecommunications Commission to grant it “mandatory carriage,” which means it would be included in every basic cable package across the country.

This would generate about $18-million a year for the network, because it would earn 18 cents a month in wholesale revenue from every Canadian household that subscribes to a basic cable, satellite, or IPTV service.

With traditional pricing mark-ups, that would likely translate to $4 a year per consumer.

The network says it needs the money to ensure its survival, because advertising revenue has been difficult to obtain and it is having trouble convincing Canadians to subscribe to the specialty packages that include its signal.

It was a good day for the Canadian preferred share market, with PerpetualPremiums gaining 5bp, FixedResets winning 15bp and DeemedRetractibles up 7bp. Volatility was average. Volume continued to be quite high.

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	0.6071 %	2,525.2
FixedFloater	4.30 %	3.62 %	27,902	18.14	1	1.3774 %	3,779.9
Floater	2.75 %	3.00 %	64,235	19.73	4	0.6071 %	2,726.5
OpRet	4.62 %	-0.62 %	54,820	0.36	4	0.2965 %	2,598.5
SplitShare	4.58 %	4.46 %	43,875	4.31	2	0.1794 %	2,910.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2965 %	2,376.1
Perpetual-Premium	5.25 %	-0.09 %	77,637	0.11	30	0.0477 %	2,347.7
Perpetual-Discount	4.84 %	4.87 %	133,757	15.68	4	0.1727 %	2,650.1
FixedReset	4.91 %	2.88 %	227,511	3.58	78	0.1462 %	2,479.5
Deemed-Retractible	4.87 %	2.36 %	123,126	0.33	45	0.0655 %	2,428.3

Performance Highlights
Issue	Index	Change	Notes
ENB.PR.N	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.74 Bid-YTW : 3.56 %
TRI.PR.B	Floater	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-21 Maturity Price : 23.16 Evaluated at bid price : 23.42 Bid-YTW : 2.22 %
BAM.PR.G	FixedFloater	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-21 Maturity Price : 22.58 Evaluated at bid price : 22.08 Bid-YTW : 3.62 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PR.G	FixedReset	279,271	Nesbitt sold 30,700 to Scotia at 26.25, then crossed four blocks: 35,000 shares, 100,000 shares, 32,700 and 67,000, all at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.25 Bid-YTW : 2.11 %
NA.PR.L	Deemed-Retractible	171,164	Deleted from TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-02-20 Maturity Price : 25.50 Evaluated at bid price : 25.51 Bid-YTW : 0.32 %
BNS.PR.Y	FixedReset	129,650	Nesbitt sold two blocks to RBC, 21,800 at 24.71 and 10,000 at 24.70, then crossed blocks of 33,800 and 37,000, both at 24.70. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 3.06 %
BMO.PR.P	FixedReset	105,652	Nesbitt crossed 100,000 at 27.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.98 Bid-YTW : 1.95 %
RY.PR.A	Deemed-Retractible	95,091	Desjardins crossed 90,600 at 25.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-24 Maturity Price : 25.50 Evaluated at bid price : 25.95 Bid-YTW : 1.15 %
BAM.PF.C	Perpetual-Discount	81,556	Added to TXPR. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-21 Maturity Price : 24.56 Evaluated at bid price : 24.95 Bid-YTW : 4.91 %
There were 47 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PF.A	FixedReset	Quote: 26.08 – 26.37 Spot Rate : 0.2900 Average : 0.1908 YTW SCENARIO Maturity Type : Call Maturity Date : 2018-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.08 Bid-YTW : 3.72 %
GWO.PR.F	Deemed-Retractible	Quote: 25.80 – 26.19 Spot Rate : 0.3900 Average : 0.2915 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-02-20 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : -26.44 %
NA.PR.N	FixedReset	Quote: 25.34 – 25.60 Spot Rate : 0.2600 Average : 0.1817 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-08-15 Maturity Price : 25.00 Evaluated at bid price : 25.34 Bid-YTW : 2.35 %
BNS.PR.K	Deemed-Retractible	Quote: 25.51 – 25.74 Spot Rate : 0.2300 Average : 0.1659 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-04-28 Maturity Price : 25.25 Evaluated at bid price : 25.51 Bid-YTW : 0.33 %
SLF.PR.F	FixedReset	Quote: 26.45 – 26.83 Spot Rate : 0.3800 Average : 0.3219 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.45 Bid-YTW : 2.15 %
HSB.PR.D	Deemed-Retractible	Quote: 25.80 – 26.00 Spot Rate : 0.2000 Average : 0.1446 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-02-20 Maturity Price : 25.50 Evaluated at bid price : 25.80 Bid-YTW : -5.85 %

Nothing happened today.

It was another mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 4bp, FixedResets dropping 19bp and DeemedRetractibles off 7bp. The slightly-longer-than-average Performance Highlights table is comprised entirely of FixedReset losers. Volume was enormous.

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	0.3178 %	2,509.9
FixedFloater	4.36 %	3.67 %	28,067	18.04	1	0.5076 %	3,728.6
Floater	2.77 %	3.00 %	63,064	19.72	4	0.3178 %	2,710.1
OpRet	4.64 %	0.87 %	52,721	0.37	4	-0.0860 %	2,590.8
SplitShare	4.59 %	4.54 %	44,243	4.32	2	-0.1195 %	2,904.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0860 %	2,369.1
Perpetual-Premium	5.25 %	-1.32 %	77,542	0.12	30	0.0374 %	2,346.6
Perpetual-Discount	4.85 %	4.89 %	135,267	15.65	4	-0.0305 %	2,645.5
FixedReset	4.92 %	2.90 %	228,587	3.59	78	-0.1865 %	2,475.9
Deemed-Retractible	4.87 %	3.21 %	122,205	0.34	45	-0.0714 %	2,426.8

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.H	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-18 Maturity Price : 23.67 Evaluated at bid price : 25.51 Bid-YTW : 2.88 %
BMO.PR.M	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 3.34 %
MFC.PR.F	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.62 Bid-YTW : 3.67 %
GWO.PR.J	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.11 %
MFC.PR.E	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-19 Maturity Price : 25.00 Evaluated at bid price : 26.17 Bid-YTW : 3.01 %

Volume Highlights
Issue	Index	Shares Traded	Notes
ENB.PR.T	FixedReset	338,175	Added to TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.43 Bid-YTW : 3.80 %
MFC.PR.J	FixedReset	272,297	Added to both TXPR and TXPL. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 3.40 %
BAM.PF.C	Perpetual-Discount	196,649	Added to TXPR. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-18 Maturity Price : 24.59 Evaluated at bid price : 24.98 Bid-YTW : 4.90 %
NA.PR.Q	FixedReset	192,222	Added to TXPR and TXPL. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-11-15 Maturity Price : 25.00 Evaluated at bid price : 26.40 Bid-YTW : 2.51 %
GWO.PR.R	Deemed-Retractible	187,985	Added to TXPR. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 4.53 %
BAM.PR.B	Floater	184,462	Nesbitt crossed 100,000 at 17.55; RBC crossed blocks of 49,700 and 12,700 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-18 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 3.01 %
RY.PR.X	FixedReset	176,890	Scotia crossed blocks of 85,100 and 69,500 at 26.93 and bought 15,400 from RBC at 26.92. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.88 Bid-YTW : 2.07 %
NA.PR.L	Deemed-Retractible	155,878	National crossed 25,000 at 25.50; Scotia crossed 40,000 at the same price; TD crossed 40,000 at the same price; and Nesbitt crossed 40,000 at the same price again. Hmmm … I wonder if a large manager was allocating one large internal cross? YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-15 Maturity Price : 25.25 Evaluated at bid price : 25.47 Bid-YTW : 0.93 %
FTS.PR.J	Perpetual-Premium	109,247	Added to TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.91 Bid-YTW : 4.39 %
MFC.PR.G	FixedReset	103,374	National crossed two blocks of 50,000 each, both at 26.40. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 26.25 Bid-YTW : 3.15 %
There were 82 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CU.PR.C	FixedReset	Quote: 26.41 – 27.00 Spot Rate : 0.5900 Average : 0.4316 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-01 Maturity Price : 25.00 Evaluated at bid price : 26.41 Bid-YTW : 2.77 %
FTS.PR.E	OpRet	Quote: 26.58 – 27.00 Spot Rate : 0.4200 Average : 0.3052 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-06-01 Maturity Price : 25.75 Evaluated at bid price : 26.58 Bid-YTW : -2.22 %
GWO.PR.Q	Deemed-Retractible	Quote: 26.14 – 26.47 Spot Rate : 0.3300 Average : 0.2270 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 26.14 Bid-YTW : 4.59 %
PWF.PR.M	FixedReset	Quote: 25.80 – 26.15 Spot Rate : 0.3500 Average : 0.2498 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 2.65 %
FTS.PR.H	FixedReset	Quote: 25.51 – 25.83 Spot Rate : 0.3200 Average : 0.2203 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-18 Maturity Price : 23.67 Evaluated at bid price : 25.51 Bid-YTW : 2.88 %
TD.PR.I	FixedReset	Quote: 26.46 – 26.77 Spot Rate : 0.3100 Average : 0.2219 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.46 Bid-YTW : 2.23 %

AT&T got whacked for pension charges:

AT&T Inc. (T), the largest U.S. phone company, recording a $10 billion fourth-quarter charge for its pension plan and said smartphone subsidies put pressure on profit in the period.

The company lowered its expected long-term rate of return for the pension to 7.75 percent, citing “continued uncertainty” for the stock market and the U.S. economy, according to a filing today.

According to the 2011 Annual Report:

Our return on assets assumption was 8.25% for the year ended December 31, 2011. In 2011, we experienced actual returns on investments lower than expected; however, in 2012 we will maintain 8.25% for our expected return on assets, based on long-term expectations of future market performance and the asset mix of the plans’ investments.

Consider the plans’ asset mix, I’d say 7.75% is wildly optimistic:

	Pension Assets			Postretirement (VEBA) Assets
	Target	2011	2010	Target	2011	2010
Equity securities:
Domestic	25% – 35%	24%	29%	34% – 44%	39%	42%
International	10% – 20%	15	15	26% – 36%	31	34
Fixed income securities	30% – 40%	34	34	16% – 26%	21	14
Real assets	6% – 16%	11	9	0% – 6%	1	1
Private equity	4% – 14%	13	12 0% – 10%	5	4
Other	0% – 5%	3	1	0% – 8%	3	5
Total	100%			100%

However, they can proudly declare that they’re not as bad as Illinois:

Three brawling Illinois Democrats are presiding over a fiscal muck that has made the state the new archetype of dysfunction as longtime champion California last week projected its first surplus in a decade.

Years of indecision, gridlock and mismanagement have produced a $97 billion pension-funding deficit and more than $9 billion in unpaid bills, saddling Illinois with the nation’s lowest rating from Moody’s Investors Service. As a result, taxpayers are paying more to borrow, and the state’s ability to provide essential services is withering as annual retirement obligations devour more money.

It was another mixed day for the Canadian preferred share market, with PerpetualPremiums dropping 3bp, FixedResets up 7bp and DeemedRetractibles gaining 6bp. Volatility was low. Volume continued to be heavy.

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	-0.1322 %	2,502.0
FixedFloater	4.38 %	3.70 %	29,237	18.00	1	-0.6419 %	3,709.8
Floater	2.78 %	3.00 %	60,970	19.73	4	-0.1322 %	2,701.5
OpRet	4.63 %	0.73 %	53,298	0.37	4	0.0096 %	2,593.0
SplitShare	4.58 %	4.50 %	44,705	4.32	2	0.1196 %	2,908.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0096 %	2,371.1
Perpetual-Premium	5.25 %	-0.54 %	76,006	0.12	30	-0.0303 %	2,345.7
Perpetual-Discount	4.85 %	4.87 %	135,982	15.70	4	-0.1015 %	2,646.3
FixedReset	4.91 %	2.83 %	222,340	3.64	78	0.0738 %	2,480.5
Deemed-Retractible	4.87 %	1.61 %	117,943	0.34	45	0.0568 %	2,428.5

Performance Highlights
Issue	Index	Change	Notes
HSB.PR.D	Deemed-Retractible	1.10 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2013-02-16 Maturity Price : 25.50 Evaluated at bid price : 25.85 Bid-YTW : -8.74 %
GWO.PR.N	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.68 Bid-YTW : 3.80 %

Volume Highlights
Issue	Index	Shares Traded	Notes
NA.PR.Q	FixedReset	295,576	Added to TXPR and TXPL. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-11-15 Maturity Price : 25.00 Evaluated at bid price : 26.36 Bid-YTW : 2.54 %
ENB.PR.T	FixedReset	235,283	Added to TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 3.78 %
GWO.PR.N	FixedReset	141,890	RBC crossed two blocks of 65,000 each, both at 23.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.68 Bid-YTW : 3.80 %
BAM.PR.Z	FixedReset	108,812	Desjardins crossed 11,800 at 26.45. RBC crossed blocks of 44,700 and 44,600, both at 26.47. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.46 Bid-YTW : 3.57 %
RY.PR.X	FixedReset	70,216	Scotia crossed blocks of 26,800 and 40,000, both at 26.89. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.95 Bid-YTW : 1.90 %
MFC.PR.J	FixedReset	56,866	Added to TXPR and TXPL. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 3.44 %
There were 57 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.G	FixedFloater	Quote: 21.67 – 22.31 Spot Rate : 0.6400 Average : 0.4932 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-17 Maturity Price : 22.31 Evaluated at bid price : 21.67 Bid-YTW : 3.70 %
PWF.PR.L	Perpetual-Premium	Quote: 25.51 – 26.10 Spot Rate : 0.5900 Average : 0.4497 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-31 Maturity Price : 25.25 Evaluated at bid price : 25.51 Bid-YTW : 4.37 %
VNR.PR.A	FixedReset	Quote: 26.10 – 26.40 Spot Rate : 0.3000 Average : 0.2269 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-10-15 Maturity Price : 25.00 Evaluated at bid price : 26.10 Bid-YTW : 3.37 %
FTS.PR.E	OpRet	Quote: 26.70 – 26.95 Spot Rate : 0.2500 Average : 0.1792 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-06-01 Maturity Price : 25.75 Evaluated at bid price : 26.70 Bid-YTW : -3.42 %
ELF.PR.F	Perpetual-Premium	Quote: 25.37 – 25.60 Spot Rate : 0.2300 Average : 0.1689 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-02-16 Maturity Price : 25.25 Evaluated at bid price : 25.37 Bid-YTW : -0.54 %
IGM.PR.B	Perpetual-Premium	Quote: 26.75 – 26.96 Spot Rate : 0.2100 Average : 0.1607 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-31 Maturity Price : 26.00 Evaluated at bid price : 26.75 Bid-YTW : 4.04 %

Yesterday I highlighted political violence in Greece. Now there’s talk of currency wars:

The world is on the brink of a fresh “currency war,” Russia warned, as European policy makers joined Japan in bemoaning the economic cost of rising exchange rates.

“Japan is weakening the yen and other countries may follow,” Alexei Ulyukayev, first deputy chairman of Russia’s central bank, said at a conference today in Moscow.

The alert from the country that chairs the Group of 20 came as Luxembourg Prime Minister Jean-Claude Juncker complained of a “dangerously high” euro and officials in Norway and Sweden expressed exchange-rate concern.

The push for weaker currencies is being driven by a need to find new sources of economic growth as monetary and fiscal policies run out of room.

Does anybody feel nervous yet? How about this?

The World Bank cut its global growth forecast for this year as austerity measures, high unemployment and low business confidence weigh on economies in developed nations. German Chancellor Angela Merkel’s government cut its growth forecast for Europe’s biggest economy. Luxembourg Prime Minister Jean- Claude Juncker said the strength of the euro poses a threat to the region’s economy.

The OSC has issued an invitation to some Consultation Sessions on OSC Staff Consultation Paper 45-710, Considerations for New Capital Raising Prospectus Exemptions.

Some oil company executives are taking time off from their busy schedule of explaining why the price of gas goes up on summer long-weekends to rail against the law of supply and demand:

Major oil companies are eager to ship to the coast to take advantage of higher prices on world markets than they can get by shipping to refineries in the U.S. Midwest and Southeast. But some of them are balking at the price – known in the industry as tolls – which they argue would allow Kinder Morgan to earn returns on the project that are far above its historical 7 to 12 per cent.
…
Suncor, in response, say it is “critical” for the NEB to make sure there is a “just and reasonable” cost to shipping oil to the West Coast at a time when companies are desperate for new pipelines. The company says it is “disturbed” by how pipeline firms are “exerting market power that flows from the infrastructure shortage and need and necessity of take away capacity.”

Three tears for Suncor! Boo! Hoo! Hoo!

This story regarding modern day moonlighting is hilarious:

Bob was his company’s best software developer, got glowing performance reviews and earned more than $250,000 a year.

Then one day last spring, Bob’s employer thought the company’s computer system had been attacked by a virus.

The ensuing forensic probe revealed that Bob’s software code had in fact been the handiwork of a Chinese subcontractor.

Bob was paying a Chinese firm about $50,000 a year to do his work, then spent the day surfing the web, watching cat videos and updating his Facebook page.

Telecommuting, anyone? There’s more detail on Verizon’s security blog.

Reuters warns about “showrooming”:

More than 80 percent of shoppers in the study from International Business Machines Corp last bought something at a store, but only half said they would go to a brick-and-mortar retailer next time.

The study showed both the importance and global reach of “showrooming,” in which shoppers examine products in stores and then make their purchase online.
…
Of eight categories tracked in the IBM survey of 26,000 shoppers, the two most popular for online purchases were consumer electronics and luxury items, including jewelry and designer clothing.

Nearly 25 percent of Internet shoppers had intended to buy in the store but ultimately purchased online, primarily for price and convenience, IBM said. Retailers that only operate online account for one-third of purchases by showroomers, IBM said.

I think showrooming is the way of the future. Why stock all that inventory? Open up a pop-up store for a weekend – or rent a corner in a large store that exists for the purpose of selling shelf space to distributors – and take all your orders on-line.

Some may recall my musing on housing affordability, last mused on December 27. If only 60% of the population own a house, is it appropriate to use the average income of everybody to measure affordability? And if we restrict the calculation to the top 60%, does this change the numbers? Assiduous Reader BB writes in and says:

I ran across the following, from which I was able to derive the information:
link

Looking at income based on household:
22%: >100k
4%: 90-99k
5%: 80-89k
30% falls somewhere in the 80-89k category. Let’s say 84k.

That got me wondering, and I checked the census. The following is from 1996. However, they have this information for other years as well.

Go to link then choose Statistical Profile of Canadian Communities. On the page that is loaded (link) choose Profile of Census Metropolitan Areas and Census Agglomerations, 1996 Census. On this page (link), which shows the data, choose Toronto in the Geography drop down list.

Looking at Census family income of all families (20% sample data):
15%: >100k
5%: 90k-99,999
6%: 80k-89,999
8%: 70k-79,999

30% falls somewhere in the 70k-79,999 category, probably right in the middle. Let’s say 75k.

In other words the median income of the 60% of the top earning households increased 12% from 1996 to 2006. You can probably figure out various other trends for different years.

So from a website of unknown credibility, I got the following chart of Toronto housing prices:

At a glance the chart looks more than just a little bit fishy: the y-axis is linear. Given that the “trend-line” goes from about $90,000 to about $420,000 in 50 years, the slope is about $6,600 per year, or +7.3%p.a. in 1953 and only +1.6%p.a. in 2012 (expressed in constant 2012 dollars). But never mind that, we’re only interested in the 1996 to 2006 period.

According to the Bank of Canada Inflation Calculator, inflation was just under 2%p.a. over 1996-2006, for a total deflator of 1 / 1.2174.

My calculation from the 1996 StatsCan data makes the 30 percentile just under $80,000, rather than about $75,000 (I multiplied the number of households, 1,162,145 by 0.3 to get 348,643, then subtracted the number in the top tiers from this until I got close to zero).

A proper comparison does not seem to be available from Statistics Canada, so I’ll go along with eyeballing the chart of 2005 data on page 5 of the City of Toronto document and go along with the estimate of about maybe $84,000.

These results are highly unfortunate for my theory, since this implies that there was a decline in real income even for those in the 30 percentile in the period 1996-2005/6, even while the real price of houses increased substantially. Or revise my theory. Or – even better – use different data! Or maybe vote just vote NDP next time, comrades.

Shaw Communications, proud issuer of SJR.PR.A, recently did a deal with Rogers:

Shaw Communications Inc. (“Shaw” or “the Company”) announced today that it has entered into agreements with Rogers Communications Inc. (“Rogers”) to sell to Rogers its shares in its Hamilton-based cable operations, Mountain Cablevision Limited (“Mountain Cable”), grant to Rogers an option to acquire Shaw’s spectrum licenses for advanced wireless service in British Columbia, Alberta, Saskatchewan, Manitoba and Northern Ontario (the “Spectrum Licenses”) and to purchase from Rogers its 33.3% partnership interest in the TVtropolis General Partnership (“TVtropolis”).

DBRS comments:

DBRS recognizes the strategic merit behind the transaction as we believe Shaw could stand to benefit from enhancing its network and service quality as competition continues to intensify in its core business lines. Proceeds from the planned divestures are intended for long-term strategic network investments; however, DBRS believes the resulting impact on operating income and cash flow growth over the near term is difficult to gauge. DBRS also notes the magnitude of the incremental investment is meaningful, but not momentous in terms of Shaw’s overall capital budget for the next couple years.

In terms of the transaction’s broader significance, DBRS appreciates a formal sale of the Company’s wireless spectrum as it will remove lingering concerns associated with the risk of wireless expansion in the future. DBRS also likes the fact that Shaw may be able to finance the acceleration of its capex program with the sale of non-core assets as opposed to raising debt. Although these factors have a one-time positive effect on Shaw’s credit risk profile, the broader forces at play on the Company’s core businesses generally remain the same.

As such, DBRS will continue to focus on Shaw’s ability to maintain and grow its subscriber base as it competes with IPTV and works to improve its product offerings. DBRS believes the trajectory of operating income and cash flow remain the key driver of the Company’s credit risk profile going forward, particularly since DBRS does not expect material debt reduction over the near to medium term, as Shaw’s free cash flow after dividends will likely be nominal over this time frame.

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums up 14bp, FixedResets flat and DeemedRetractibles off 2bp. Volatility was above average, but is reverting towards normal levels as corrections from Monday’s big rejigging work themselves out. Volume was extremely high.

PerpetualDiscounts now yield 4.87%, equivalent to 6.33% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.25% (maybe at bit over), so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 205bp, a widening from the 195bp reported January 9.

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	0.3183 %	2,505.3
FixedFloater	4.36 %	3.67 %	30,460	18.06	1	-1.3122 %	3,733.7
Floater	2.78 %	3.01 %	61,606	19.72	4	0.3183 %	2,705.1
OpRet	4.63 %	1.80 %	51,943	0.42	4	-0.1622 %	2,592.8
SplitShare	4.59 %	4.49 %	43,410	4.32	2	0.5210 %	2,904.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1622 %	2,370.9
Perpetual-Premium	5.25 %	-2.14 %	74,655	0.13	30	0.1363 %	2,346.4
Perpetual-Discount	4.84 %	4.87 %	136,722	15.70	4	0.2237 %	2,649.0
FixedReset	4.91 %	2.84 %	219,202	3.60	78	0.0010 %	2,478.7
Deemed-Retractible	4.87 %	1.86 %	115,433	0.35	45	-0.0219 %	2,427.1

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.G	FixedFloater	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-16 Maturity Price : 22.40 Evaluated at bid price : 21.81 Bid-YTW : 3.67 %
RY.PR.I	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.82 Bid-YTW : 2.66 %
HSB.PR.D	Deemed-Retractible	-1.12 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.25 Evaluated at bid price : 25.57 Bid-YTW : 3.84 %
IFC.PR.A	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 26.12 Bid-YTW : 3.22 %
GWO.PR.N	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.40 Bid-YTW : 3.96 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BAM.PF.C	Perpetual-Discount	110,897	Added to TXPR. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-16 Maturity Price : 24.59 Evaluated at bid price : 24.98 Bid-YTW : 4.90 %
ENB.PR.F	FixedReset	75,922	Added to TXPL. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : 3.70 %
FTS.PR.J	Perpetual-Premium	75,209	Added to TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-12-01 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 4.34 %
MFC.PR.J	FixedReset	65,660	Added to TXPR and TXPL. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.79 Bid-YTW : 3.44 %
BNS.PR.M	Deemed-Retractible	59,123	TD crossed 49,000 at 25.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-07-27 Maturity Price : 25.75 Evaluated at bid price : 25.89 Bid-YTW : 3.02 %
RY.PR.I	FixedReset	55,688	Added to TXPL. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.82 Bid-YTW : 2.66 %
There were 61 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.K	Perpetual-Premium	Quote: 25.26 – 25.99 Spot Rate : 0.7300 Average : 0.4909 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 4.25 %
CU.PR.C	FixedReset	Quote: 26.43 – 27.00 Spot Rate : 0.5700 Average : 0.3653 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-01 Maturity Price : 25.00 Evaluated at bid price : 26.43 Bid-YTW : 2.74 %
BNS.PR.Y	FixedReset	Quote: 24.38 – 24.89 Spot Rate : 0.5100 Average : 0.3172 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.38 Bid-YTW : 3.16 %
HSB.PR.D	Deemed-Retractible	Quote: 25.57 – 25.90 Spot Rate : 0.3300 Average : 0.2000 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.25 Evaluated at bid price : 25.57 Bid-YTW : 3.84 %
BAM.PR.R	FixedReset	Quote: 26.37 – 26.69 Spot Rate : 0.3200 Average : 0.2026 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-16 Maturity Price : 23.71 Evaluated at bid price : 26.37 Bid-YTW : 3.67 %
TCA.PR.X	Perpetual-Premium	Quote: 51.81 – 52.15 Spot Rate : 0.3400 Average : 0.2692 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-15 Maturity Price : 50.00 Evaluated at bid price : 51.81 Bid-YTW : 0.43 %

Assiduous Reader PL sends me an interesting link, unlike you other bums who never send me NUTHIN’: this one is about so-called hunt and destroy algorithms:

In stock trading, twin practices have coexisted for ages. First, a large number of investors enter stop-loss orders to protect themselves. Second, such stop-loss orders become sitting ducks for some professionals.

In the past, it was a common complaint that market makers and brokers tended to run the stops. These days hunt-and-destroy algorithms have evolved to run down the stops. Such algorithms simply try to guess where the stops are grouped, and if stops are hit, the algorithms take advantage, first, by short-selling and then buying to cover. The complexities are overly simplified here to illustrate the point.
…
We take precautions to make sure that our subscribers do not become victims of such algorithms. Further, as part of our tactics, we help our subscribers profit from buying into artificially depressed prices that occur from such algorithms.

The following are the elements of the ZYX Change Method Trade Management Guidelines:

• •Not placing stops in the zones where others can easily anticipate. In other words, do not becoming a sitting duck.
• •Not using stops as the primary risk-control mechanism.
• •Anticipating the stops would be run and exiting trading positions before such occurrences as well as reducing the size of long-term investment positions before such occurrences. Notice the distinction between trading positions and long-term investment positions.
• •Stepping up and buying when prices are artificially depressed because of stop-loss orders getting hit.

Seems to me that a much better strategy is not placing stop-loss orders at all. If you’re willing to sell at $24, why not sell at $25? Stop-Loss orders were responsible for the excesses of the Flash Crash, although you won’t hear any regulators admitting that.

The Europeans are still dithering on bank bail-outs:

A European Commission proposal for bank rescues recently leaked to the Financial Times suggests that euro area officials may not be ready after all to break the destructive loop between banks and their sovereigns.
…
If the commission’s proposal becomes policy, this would be terrible news for markets and the euro. The burden of supporting rotten banks will still be able to bankrupt states — see Spain, Ireland and Cyprus — and rotten states will still be able to bankrupt otherwise healthy banks — see Greece.
…
The European Commission’s latest plan attempts to keep Germany happy that it isn’t underwriting bankrupt banks in the Mediterranean, while still producing the direct euro area bank capitalization that countries like Spain so desperately need. It does so by saying that countries that have to resort to the European Stability Mechanism to recapitalize their banks would have to guarantee the fund against making a loss. This shares the same flaw as previous proposals: It fails to break that destructive loop between banks and their governments.

The bottom line is that if a country is bankrupt and needs direct bank recapitalization from the euro area’s common fund, then that same bankrupt sovereign would still have to serve as the final backstop for its banks, as it indemnifies the euro area fund for any losses.

So what, in terms of the fundamentals, would be different under the European Commission’s latest proposal? Not much. The proposals can of course change, but for now it should become that much harder for optimists to delude themselves that the negative feedback loop between banks and sovereigns is about to be cut.

It seems clear that Europe will have to move to a market-based system, in which sovereign debt is held by pension funds and other market bodies, rather than the banks … but this is contrary to the new liquidity rules and other instruments of financial repression, which seek to ensure that the banks will always buy sovereigns in great hulking gobs.

It was a mixed day of spring-back for the Canadian preferred share market today, with PerpetualPremiums gaining 2bp, FixedResets off 13bp and DeemedRetractibles winning 27bp. For the last two classes, these figures represent about half of yesterday’s change, when RBC roiled the market. Volatility was high again today, with many issues rebounding about half their Monday gain or loss. Volume was extremely high.

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	0.0000 %	2,497.4
FixedFloater	4.30 %	3.61 %	30,948	18.16	1	-1.3393 %	3,783.4
Floater	2.79 %	3.01 %	63,706	19.71	4	0.0000 %	2,696.5
OpRet	4.63 %	0.94 %	51,803	0.38	4	0.1051 %	2,597.0
SplitShare	4.61 %	4.58 %	45,083	4.32	2	-0.0601 %	2,889.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1051 %	2,374.7
Perpetual-Premium	5.26 %	-2.31 %	74,577	0.13	30	0.0155 %	2,343.2
Perpetual-Discount	4.86 %	4.87 %	137,857	15.70	4	0.3879 %	2,643.1
FixedReset	4.91 %	2.91 %	218,101	3.65	78	-0.1310 %	2,478.7
Deemed-Retractible	4.89 %	2.07 %	116,677	0.35	46	0.2730 %	2,427.6

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.I	FixedReset	-2.22 %	Up 2.27% yesterday. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 26.42 Bid-YTW : 3.18 %
CM.PR.K	FixedReset	-1.98 %	Up 2.06% yesterday. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.24 Bid-YTW : 1.94 %
PWF.PR.R	Perpetual-Premium	-1.38 %	Up 2.99% yesterday. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-04-30 Maturity Price : 26.00 Evaluated at bid price : 27.14 Bid-YTW : 4.13 %
BAM.PR.G	FixedFloater	-1.34 %	Up 1.13% yesterday. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-15 Maturity Price : 22.60 Evaluated at bid price : 22.10 Bid-YTW : 3.61 %
SLF.PR.G	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.86 Bid-YTW : 3.40 %
IFC.PR.A	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.83 Bid-YTW : 3.37 %
IAG.PR.G	FixedReset	-1.03 %	Up 3.82% yesterday. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.93 Bid-YTW : 2.51 %
HSE.PR.A	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-15 Maturity Price : 23.65 Evaluated at bid price : 26.01 Bid-YTW : 3.09 %
POW.PR.G	Perpetual-Premium	1.02 %	Down 1.68% yesterday. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-15 Maturity Price : 25.00 Evaluated at bid price : 26.65 Bid-YTW : 4.66 %
MFC.PR.C	Deemed-Retractible	1.12 %	Down 2.62% yesterday. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.45 Bid-YTW : 4.88 %
NA.PR.L	Deemed-Retractible	1.12 %	Down 2.23% yesterday. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-15 Maturity Price : 25.25 Evaluated at bid price : 25.26 Bid-YTW : 3.45 %
MFC.PR.B	Deemed-Retractible	1.14 %	Down 1.40% yesterday. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.93 Bid-YTW : 4.76 %
TRP.PR.C	FixedReset	1.19 %	Down 1.40% yesterday. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-15 Maturity Price : 23.57 Evaluated at bid price : 25.60 Bid-YTW : 2.97 %
GWO.PR.I	Deemed-Retractible	1.19 %	Down 2.29% yesterday. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.59 Bid-YTW : 4.78 %
SLF.PR.D	Deemed-Retractible	1.20 %	Down 2.02% yesterday. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 4.77 %
BAM.PR.N	Perpetual-Discount	1.24 %	Down 2.10% yesterday. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-15 Maturity Price : 24.17 Evaluated at bid price : 24.50 Bid-YTW : 4.87 %
FTS.PR.H	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-15 Maturity Price : 23.76 Evaluated at bid price : 25.83 Bid-YTW : 2.83 %
BNS.PR.L	Deemed-Retractible	1.33 %	Down 1.96% yesterday. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-04-26 Maturity Price : 25.75 Evaluated at bid price : 25.83 Bid-YTW : 2.51 %
SLF.PR.B	Deemed-Retractible	1.41 %	Down 1.86% yesterday. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.19 Bid-YTW : 4.49 %
MFC.PR.H	FixedReset	1.94 %	Down 2.50% yesterday. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 26.25 Bid-YTW : 3.41 %

Volume Highlights
Issue	Index	Shares Traded	Notes
NA.PR.L	Deemed-Retractible	300,760	Deleted from TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-15 Maturity Price : 25.25 Evaluated at bid price : 25.26 Bid-YTW : 3.45 %
ENB.PR.T	FixedReset	182,770	Added to TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.49 Bid-YTW : 3.75 %
MFC.PR.C	Deemed-Retractible	160,158	TD crossed 106,500 at 24.42. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.45 Bid-YTW : 4.88 %
TD.PR.K	FixedReset	159,352	RBC crossed 108,000 at 26.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.77 Bid-YTW : 1.43 %
BMO.PR.L	Deemed-Retractible	145,760	RBC crossed 110,000 at 26.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-25 Maturity Price : 26.00 Evaluated at bid price : 26.73 Bid-YTW : -0.15 %
SLF.PR.A	Deemed-Retractible	128,561	Nesbitt crossed 94,400 at 24.86. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 4.85 %
IAG.PR.G	FixedReset	117,098	RBC bought 22,700 from Desjardins at 27.00, then crossed 20,800 at 27.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.93 Bid-YTW : 2.51 %
There were 59 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.G	FixedFloater	Quote: 22.10 – 22.59 Spot Rate : 0.4900 Average : 0.3238 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-15 Maturity Price : 22.60 Evaluated at bid price : 22.10 Bid-YTW : 3.61 %
HSE.PR.A	FixedReset	Quote: 26.01 – 26.32 Spot Rate : 0.3100 Average : 0.1765 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-15 Maturity Price : 23.65 Evaluated at bid price : 26.01 Bid-YTW : 3.09 %
PWF.PR.L	Perpetual-Premium	Quote: 25.53 – 26.00 Spot Rate : 0.4700 Average : 0.3570 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-31 Maturity Price : 25.25 Evaluated at bid price : 25.53 Bid-YTW : 4.30 %
ELF.PR.H	Perpetual-Premium	Quote: 26.10 – 26.42 Spot Rate : 0.3200 Average : 0.2131 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 26.10 Bid-YTW : 4.88 %
TRP.PR.A	FixedReset	Quote: 25.67 – 25.90 Spot Rate : 0.2300 Average : 0.1373 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-15 Maturity Price : 23.82 Evaluated at bid price : 25.67 Bid-YTW : 3.29 %
PWF.PR.I	Perpetual-Premium	Quote: 25.55 – 25.75 Spot Rate : 0.2000 Average : 0.1230 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-02-14 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : -22.52 %