Category: Market Action

Yesterday we learned that IIROC is very concerned about “layering”, a term which they did not define.

Fortunately, a real regulator commissioned a study, High frequency trading, information, and profits, by Jonathan A. Brogaard, which addresses this question:

Layering
Layering is an illegitimate strategy by which a malevolent trader places hidden orders on one side of the market, and then puts in displayed orders on the other side so as to deceive other traders into thinking that the price is moving in a given direction. Once the hidden orders have been crossed and a trade occurs, the malevolent trader withdraws his displayed orders. This is illegal and at least one firm, Trillium Trading, has been caught engaging in it (FINRA, 2010).

For example, if a trader wants to buy a stock at 10.01, but its current bid is 10.02 and its ask is 10.03, it may put in a limit order to buy (a bid) at 10.01 that is hidden (or displayed). It will then place several limit orders to sell (offers) at a slightly higher price, say 10.05. Others will see that there is strong selling pressure and will subsequently adjust their bids and offers lower. Once the offer price hits 10.01 there will be a trade. The trader will have bought the stock for 10.01 and will withdraw his offer quotes.

The FINRA settlement with Trillium is in picture format, so I won’t quote from it.

Felix Salmon points out:

What Trillium did is market manipulation, to be sure, and it deserves a fine. But it’s a bit of a stretch to paint this as the first battle in the war against high-frequency traders — not least because there isn’t actually anything particularly high-frequency about what Trillium was doing.

Yes, Finra does say that Trillium’s layering was an “improper high frequency trading strategy”. But fundamentally it was about misdirection, rather than speed.
…
But the victims are the people (or algorithms) who thought there was a naive trader posting public buy orders, and wanted to trade against that order. It’s hard to feel a lot of sympathy for them.

Frankly, I don’t feel any sympathy for them and, equally frankly, I don’t understand why layering is considered illegal. It’s misdirection, sure. So what? The layerers are putting up actionable trades that can get executed. The only people who get hurt are those who are (a) too clever by half and (b) not trading on fundamentals.

It all gets back to my insistence that anything that doesn’t necessarily hurt a fundamental trader should almost always be perfectly legal. Let us say, for instance, that I want to buy 10,000 shares of ABC.PR.A at 25.05 but the market’s really thin: 25.00-10, with not much size on the 25.10 offer and not much behind it.

Some might say I should put in a bid for 10,000 at 25.05, since that’s what I want to do, but we can disregard that advice. I’m not going to write a put option for 10,00 shares mid-market for free! No, I might bid 1,000 at 25.01. Maybe 25.00. Who knows, maybe even only 24.95, outside the market, if there isn’t much of a bid. I mean, hell, if I’m the only one willing to supply liquidity, why shouldn’t I get paid for it?

So along comes the the horrible, horrible layering guy. He wants to buy at 25.00. So he puts in an offer for 10,000 shares at 25.05 to drive the price down. So I lift his offer (maybe with a pounce algorithm, if I happen to be using such a a facility) – thank you very much! I’ve got my trade done and, to the extent that I am an “informed trader”, I’m probably going to make some money and he’s probably going to lose some.

Why does IIROC have such a prejudice against informed traders? Why is IIROC so eager to protect speculative cowboys at the expense of fundamental traders?

To be fair, there are opposing views:

Say a stock is trading at $25/share. Looking at the Level II ladder, on the buy side you can see many shares at $25, $24.99, $24.98, $24.97, $24.96, waiting to execute. As a daytrader, you make an offer to buy at say $25.97, believing that there really are buyers at these levels and that the market is currently heavily traded. Your trade is filled but just as that happens, you see the offers to buy literally evaporate. These were phony to begin with, and in truth, the security was really thinly traded, not heavily traded at all. Now you have difficulty exiting your trade and you end up taking a loss.

But look at that … “in truth, the security was really thinly traded”. Well, if you don’t know anything about the stock you’re trading other than a one-time snapshot of the market, I suggest you should get burnt. Note the author’s profession:

Barbara Cohen CIO, Shadowtraders, and professional day trader, specializes in teaching students how they can be trading futures with their own trading system and trading strategies.

It would seem that at least a partial explanation for her opposition is that the HFT guys are simply better at the job than are her students.

And look what passes for brilliant innovation among the old-money crowd! As mentioned on 2012-2-8, RBC received a good dose of breathless adoration for it’s THOR execution product. And what does THOR do, one might ask? According to the product sheet:

Latency normalization is an important factor in securing liquidity and obtaining best execution.
• THOR’s synchronization logic compensates for timing differentials across North America, minimizing cancellation windows for high-frequency trading algorithms; this significantly reduces information leakage, leading to higher fill rates.

So the programme staggers the sending times to minimize the difference in the exchange’s receiving times, thereby minimizing the window in which the Evil HFT Layerer can cancel his misdirecting order. May I be excused for thinking that this idea is a teensy-weeny little bit obvious? As well as resulting from a simple reverse-engineering investigation, rather than breaking new ground?

The LIBOR hand-wringing is heating up again:

The conspiracy wasn’t confined to low-level employees. Senior managers at RBS, Britain’s largest publicly owned lender, knew banks were systematically rigging Libor as early as August 2007, transcripts of phone conversations obtained by Bloomberg show. Some traders colluded with counterparts at other banks to boost profits from interest-rate futures by aligning their submissions. Members of the close-knit group knew each other from working at the same firms or going on trips organized by interdealer brokers such as ICAP Plc (IAP) to Chamonix, a French ski resort, or the Monaco Grand Prix.
…
Regulators have known since at least August 2007 that banks were using artificially low Libor submissions to appear healthier than they were. That month, a Barclays employee in London e-mailed the Federal Reserve Bank of New York, questioning the numbers that other banks were inputting, according to transcripts published by the New York Fed.

Nine months later, Tim Bond, then head of asset allocation at Barclays’s investment bank, publicly described the Libor figures as “divorced from reality,” saying in a Bloomberg Television interview that firms were routinely misstating their borrowing costs to avoid the perception they were facing stress.

The New York Fed and the Bank of England say they didn’t act because they had no responsibility for oversight of Libor. That fell to the British Bankers’ Association, the industry lobbying group that created the rate and largely ignored recommendations from central bankers after 2008 to change the way the benchmark is computed. Regulators also were preoccupied with the biggest financial crisis since the Great Depression, and forcing banks to be honest about their Libor submissions might have revealed they were paying penalty rates to borrow.

Here’s deposit insurance with a vengeance:

The European Commission plans to propose the bank resolution mechanism in 2013, EU leaders said in a statement after the meeting.

The resolution mechanism “will be based on contributions by the financial sector” and will contain backstops that will “be fiscally neutral over the medium term, by ensuring that public assistance is recouped by means of ex-post levies on the financial industry,” the leaders said in the statement.

Penalizing good banks for the sins of bad banks and their lackadaisical regulators? How can this possibly be justified? And why isn’t 500 years of bankruptcy law good enough? I’m still waiting for an answer to that last one.

As part of the continuing effort to ensure that the experience and wisdom of Canadian regulators is properly venerated and applied to the questions of the day, the CSA has released DISCUSSION PAPER AND REQUEST FOR COMMENT 81-407: MUTUAL FUND FEES. I was most interested in Figure 11.

At present, mutual fund manufacturers may fund increased trailing commissions to advisors by simply allocating a greater portion of the management fees they earn to the payment of these commissions. While overall fund costs do not increase in this scenario, investors have no say in the extent to which their mutual fund assets are used to pay for advisor compensation.

Oh, the horror! Imagine that! Mutual Funds are just like every single other product sold to retail, including vegetables and beer!

Using fund assets to pay for trailing commissions could encourage additional sales of the fund. This could increase the fund’s assets under management, which would increase the management fees payable. This creates an actual or a perceived conflict of interest between the mutual fund manufacturer and the fund’s investors.83 This practice could put the mutual fund manufacturer at odds with its statutory duty to act in the best interest of the mutual fund84 to the extent the mutual fund manufacturer, rather than the fund and its investors, is the primary beneficiary of the fund’s asset growth. The mutual fund manufacturer must be able to demonstrate that it is acting in the best interests of the mutual fund and its investors, and not itself, when engaging in this practice.85

I find this rather breathtaking; not just in the bland assertion that charging for services rendered “could” be a conflict of interest, but in the implication of the last sentence, in which the manufacturers are obliged to prove they are not crooks.

So now we get to the grand finale:

Some possible changes include:
i. Advisor services to be specified and provided in exchange for trailing commissions …
ii. A standard class for DIY investors with no or reduced trailing commission
Every mutual fund could have a low-cost ‘execution-only’ series or class of securities available for direct purchase by investors. The lower management fees of this series or class would reflect that no or nominal trailing commissions are paid to advisors, in light of the lack of advice sought by DIY investors who purchase and hold securities of this series or class. This low-cost series or class of securities could be made available to investors through a discount brokerage, or alternatively, be distributed directly by the mutual fund manufacturer, in which case the mutual fund manufacturer would need to be registered as a mutual fund dealer.
iii. Trailing commission component of management fees to be unbundled and charged/disclosed as a separate assetbased fee…
iv. A separate series or class of funds for each purchase option …
v. Cap commissions There could be a maximum limit set on the portion of mutual fund assets that could be used to pay trailing commissions to advisors as a way to mitigate the perceived conflicts of interests and the lack of alignment of advisor compensation and services described in Part V. This could be achieved by imposing a cap on the separate asset-based fee discussed in option iii above. Trailing commissions could further be plainly labelled or described as “ongoing sales commissions” in mutual fund disclosure documents, thus providing greater transparency for investors of their main purpose.

In addition or as an alternative to a cap on trailing commissions at the mutual fund level, there could be a cap imposed on the aggregate sales charge, that is, the sum of any initial sales charge and “ongoing sales commission” that could be paid by an individual investor at the account level over the length of a mutual fund investment. Once the cap is reached, the investor’s holdings could be automatically converted to a series or class of securities of the mutual fund not bearing an ongoing assetbased sales charge. This would bring certainty to an investor as to the maximum sales commission payable.

The U.S. imposes caps on commissions paid by mutual fund investors. These caps are imposed through a prohibition on advisors who are members of FINRA from offering or selling shares of any investment company if the sales charges described in the prospectus are excessive. “Excessive” is determined by reference to specific sales charge limits prescribed under FINRA’s business conduct rules.157 Those same rules similarly impose limits on trailing commission rates for both load158 and no-load investment companies.159

vi. Implement additional standards or duties for advisors…

vii. Discontinue the practice of advisor compensation being set by mutual fund manufacturers…

With respect to (ii), it’s not clear how the discount brokerages will get paid. Earth to CSA: no pay, no work. It’s also not clear just what the manufacturor’s responsibilities will be in the event they are registered to sell securities direct. I suspect it means lots and lots of jobs for ex-regulators.

With respect to (v), it’s just plain none of the regulators’ damn business.

I think all the specified regulatory make-work projects are completely nuts myself, but I am well aware that others will differ. Those others may wish to know:

VIII. COMMENT PROCESS
We welcome feedback on the issues raised and the potential regulatory options discussed in this paper. We invite all interested parties to make written submissions. Submissions received by April 12, 2013 will be considered.

DBRS confirmed BAM Split at Pfd-2(low) (proud issuer of BNA.PR.B, BNA.PR.C, BNA.PR.D and BNA.PR.E):

The Pfd-2 (low) ratings of the Class AA Preferred Shares are primarily based on the downside protection and dividend coverage available to the Class AA Preferred Shares.

The main constraints to the ratings are the following:

(1) The downside protection available to holders of the Class AA Preferred Shares depends solely on the market value of the BAM Shares held in the Portfolio, which will fluctuate over time.

(2) There is a lack of diversification as the Portfolio is entirely made up of BAM Shares.

(3) Changes in the dividend policy of BAM may result in reductions in Class AA Preferred Shares dividend coverage.

(4) As the BAM Shares pay dividends in U.S. dollars, the Company is exposed to foreign currency risk relating to the Canadian-U.S. exchange rate, specifically the appreciation of the Canadian dollar vs. the U.S. dollar. This may have a negative impact on the dividend coverage ratio of the Class AA Preferred Shares as these dividends are paid in Canadian dollars.

(5) Downside protection available to the Class AA Preferred Shares may be negatively affected by the retraction of the Junior Preferred Shares.

Oddly, there was no mention of the credit quality of BAM itself in the DBRS press release. According to the DBRS SplitShare methodology:

The importance of credit quality in a portfolio increases as the diversifi cation of the portfolio decreases. To be included as a single name in a split share portfolio, a company should be diversified in its business operations by product and by geography. The rating on preferred shares with exposure to single-name portfolios will generally not exceed the rating on the preferred shares of the underlying company since the downside protection is dependent entirely on the value of the common shares of that company.

S&P dropped a bomb on bank preferreds:

• •We believe that the Canadian banking sector is encountering incremental pressure from headwinds facing the Canadian economy, which is heightening economic risk in the banking system. We also believe that industry risk for the Canadian banking sector is increasing. We expect that intensifying competition for loans and deposits will lead to pressure on profitability growth, especially in banks’ retail businesses.
• •We are therefore lowering our issuer credit ratings by one notch on The Bank of Nova Scotia, Central 1 Credit Union, Caisse centrale Desjardins, Home Capital Group Inc., Laurentian Bank of Canada, and National Bank of Canada. The outlook is stable.
• •We are affirming our issuer credit ratings and stable outlooks on Bank of Montreal (and BMO Financial), Canadian Imperial Bank of Commerce, and Manulife Bank of Canada. We have lowered the related stand-alone credit profiles (SACPs) for these institutions by one notch, however.
• •We are also affirming our issuer credit ratings on Royal Bank of Canada and The Toronto-Dominion Bank, and revising the respective outlooks to stable from negative.
• •We are also affirming our issuer credit rating with a negative outlook on HSBC Bank Canada, which reflect those on its parent.

• HSB preferreds were unaffected, but the outlook remained negative, where it was set last August.
• TD was affirmed, Outlook revised to Stable
• RY was affirmed, Outlook revised to Stable
• BMO was downgraded to P-2, Outlook Stable
• BNS was downgraded to P-2(high), Outlook now stable
• LB was downgraded to P-3(high), Outlook now Stable
• NA was downgraded to P-2, Outlook now Stable
• CM was downgraded, the NVCC issues to P-2(low), non-NVCC issues to P-2

It was a strikingly mixed day for the Canadian preferred share market, with PerpetualPremiums up 10bp, FixedResets off 5bp and DeemedRetractibles gaining 15bp. Volatility was low. Volume was high and the highlights are exclusively FixedResets.

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	-0.1837 %	2,473.5
FixedFloater	4.12 %	3.48 %	30,010	18.32	1	-0.3459 %	3,904.1
Floater	2.81 %	3.00 %	61,994	19.73	4	-0.1837 %	2,670.7
OpRet	4.64 %	2.00 %	51,684	0.51	4	-0.3336 %	2,591.1
SplitShare	4.65 %	4.72 %	61,904	4.41	2	0.0809 %	2,866.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.3336 %	2,369.3
Perpetual-Premium	5.25 %	1.70 %	72,110	0.20	30	0.0994 %	2,322.5
Perpetual-Discount	4.86 %	4.86 %	133,287	15.63	4	0.1222 %	2,634.6
FixedReset	4.94 %	3.02 %	233,276	4.33	77	-0.0460 %	2,448.8
Deemed-Retractible	4.91 %	2.25 %	115,789	0.44	46	0.1550 %	2,410.9

Performance Highlights
Issue	Index	Change	Notes
TD.PR.E	FixedReset	-4.17 %	Not real – the market maker just fell asleep, that’s all. The issue traded 5,850 shares in a range of 26.45-60, so this is just another example of inexcusable sloppiness. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 5.28 %

Volume Highlights
Issue	Index	Shares Traded	Notes
SLF.PR.F	FixedReset	158,700	Desjardins crossed 150,000 at 26.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.36 Bid-YTW : 2.22 %
HSB.PR.E	FixedReset	152,025	RBC crossed 145,000 at 26.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.55 Bid-YTW : 2.30 %
ENB.PR.T	FixedReset	118,825	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-13 Maturity Price : 23.10 Evaluated at bid price : 25.02 Bid-YTW : 3.70 %
BAM.PR.P	FixedReset	94,176	Nesbitt crossed 50,000 at 26.80; TD crossed 24,200 at the same price; Desjardins crossed 12,000 at the same price again. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.70 Bid-YTW : 2.92 %
BNS.PR.Q	FixedReset	75,131	Nesbitt crossed 48,300 at 24.80. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.86 Bid-YTW : 3.32 %
CIU.PR.C	FixedReset	73,800	Nesbit sold 15,000 to Desjardins at 24.81, crossed 36,400 at 24.84, and sold 10,000 to RBC at 24.84. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-13 Maturity Price : 23.24 Evaluated at bid price : 24.80 Bid-YTW : 2.69 %
There were 40 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PR.E	FixedReset	Quote: 25.51 – 26.55 Spot Rate : 1.0400 Average : 0.5817 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 5.28 %
BAM.PR.C	Floater	Quote: 17.44 – 17.99 Spot Rate : 0.5500 Average : 0.3545 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-13 Maturity Price : 17.44 Evaluated at bid price : 17.44 Bid-YTW : 3.00 %
MFC.PR.A	OpRet	Quote: 25.75 – 26.23 Spot Rate : 0.4800 Average : 0.2970 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-06-19 Maturity Price : 25.50 Evaluated at bid price : 25.75 Bid-YTW : 2.00 %
BAM.PR.P	FixedReset	Quote: 26.70 – 27.10 Spot Rate : 0.4000 Average : 0.2652 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.70 Bid-YTW : 2.92 %
IGM.PR.B	Perpetual-Premium	Quote: 26.38 – 26.69 Spot Rate : 0.3100 Average : 0.1946 YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.38 Bid-YTW : 5.00 %
TD.PR.G	FixedReset	Quote: 26.41 – 26.64 Spot Rate : 0.2300 Average : 0.1300 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.41 Bid-YTW : 2.60 %

IIROC has published a study of HFT titled The HOT Study: Phases I and II of IIROC’s Study of High Frequency Trading Activity on Canadian Equity Marketplaces:

Despite the absence of a clear definition, HFT is of concern to many stakeholders in the Canadian equity marketplace:
• Retail investors complain that their bids and offers are often continuously bettered by the minimum tick size, forcing them to cross the spread by entering market orders to execute a trade;

So retail investors attempting to get paid for supplying liquidity to the marketplace find out that somebody else can supply it cheaper. BooHooHoo.

• Institutional investors, and inventory traders providing liquidity to them, are concerned that algorithms with a technological advantage prey on their large orders, negatively impacting their transaction prices and trading costs;

So market participants with brains manage to out-trade salesmen with big smiles. BooHooHoo.

• Traditional market makers complain they are unable to compete with high frequency electronic liquidity providers (“ELP”);

So the buggy-whip boys can’t compete with nerdy little geeks who didn’t even go to the right schools. BooHooHoo.

• Regulators are concerned with the heightened possibility of spoofing, layering, quote stuffing and other potentially manipulative activity; and

Finally! A point that might, possibly, in some alternate universe, be of concern. You can’t spoof or manipulate somebody who trades on fundamentals – in fact, any attempt to do so is just as likely to provide a fundamental trader with an opportunity as otherwise. Why are the regulators so concerned about protecting idiots who don’t trade on fundamentals? Why are the regulators so upset that sometimes the gamers get outgamed?

• Participants are impacted by increased messaging rates incurring costs for processing and storing data.

Well, that’s the participants’ problem, isn’t it? Just part of that nasty little thing called “competition”, that the regulators are determined to stamp out so the financial marketplace can become a cooperative game where we all help each other, just like in kiddy-school. At any rate, if the exchanges consider it to be a problem (or a potential source of competitive advantage) they can always start charging for each order placed, regardless of whether or not it’s filled.

IIROC, eh? They’re good at awarding single-source contracts to insiders … at thinking things through, not so much.

The Press Release highlights the findings:

Key Findings of Phases I and II — Trading by the Study Group

• • HOT traders:
  • o represent 11% of User IDs
  • o account for 22% of trading volume, 32% of dollar value, 42% of trades and 94% of all order messages sent
  • o trade 36% of all Canadian share volume traded in US inter-listed securities
  • o trade 60% of all Canadian trading in ETFs and ETNs
• • HOT users trade:
  • o a larger percentage of total dark activity than displayed market activity
  • o anonymously more often than other market participants
  • o passively approximately 66% of the time
  • o over 90% of their activity through seven IIROC Dealer Members
  • o 23% of their volume within the same broker1 – generally more than retail users and less than other users (excluding retail)
  • o predominantly liquid TSX-listed securities priced over $1.00
  • o more in TSX 60 Index securities than in other TSX-listed securities
  • o primarily outside of the Opening or Market on Close trading sessions
• • HOT Users earned $250,000 more per day in rebates than they paid in fees. All other participants earned more rebates than HOT Users; however these other participants paid $462,000 more per day in fees than they earned in rebates.
• • 40% of HOT Users were identified as DMA (as opposed to non-DMA).
• • HOT DMA Users:
  • o were responsible for the majority of trading by all HOT Users
  • o that were categorized as “Fast” (44% of HOT DMA Users) were responsible for 91% of HOT DMA Users’ share volume
  • o have lower order-to-trade ratios when compared with non-DMA HOT Users
• • Average order-to-trade ratio is higher in ETF trading for all HOT Users, but particularly for the non-DMA groups.
• • By all measures, HOT clients (DMA and non-DMA) are more active in common shares and HOT non-DMA (inventory and other) are more active in ETFs/ETNs.

The FOMC statement was interesting:

To support continued progress toward maximum employment and price stability, the Committee expects that a highly accommodative stance of monetary policy will remain appropriate for a considerable time after the asset purchase program ends and the economic recovery strengthens. In particular, the Committee decided to keep the target range for the federal funds rate at 0 to 1/4 percent and currently anticipates that this exceptionally low range for the federal funds rate will be appropriate at least as long as the unemployment rate remains above 6-1/2 percent, inflation between one and two years ahead is projected to be no more than a half percentage point above the Committee’s 2 percent longer-run goal, and longer-term inflation expectations continue to be well anchored. The Committee views these thresholds as consistent with its earlier date-based guidance. In determining how long to maintain a highly accommodative stance of monetary policy, the Committee will also consider other information, including additional measures of labor market conditions, indicators of inflation pressures and inflation expectations, and readings on financial developments. When the Committee decides to begin to remove policy accommodation, it will take a balanced approach consistent with its longer-run goals of maximum employment and inflation of 2 percent.

The Canadian preferred share market drifted slightly upwards today, with PerpetualPremiums and DeemedRetractibles gaining 2bp and FixedResets winning 6bp. Volatility was minimal. Volume was average, but made notable by significant trading in the BAM floaters.

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%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 210bp, a slight (and perhaps spurious) decline from the 215bp reported December 5.

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	-0.0083 %	2,478.1
FixedFloater	4.11 %	3.46 %	29,202	18.35	1	0.6090 %	3,917.7
Floater	2.80 %	2.99 %	57,383	19.76	4	-0.0083 %	2,675.7
OpRet	4.62 %	1.81 %	35,823	0.51	4	0.0569 %	2,599.7
SplitShare	4.65 %	4.71 %	62,597	4.41	2	0.0405 %	2,864.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0569 %	2,377.2
Perpetual-Premium	5.25 %	2.14 %	73,055	0.38	30	0.0187 %	2,320.2
Perpetual-Discount	4.86 %	4.87 %	134,646	15.61	4	0.0139 %	2,631.4
FixedReset	4.94 %	2.95 %	230,818	4.34	77	0.0640 %	2,449.9
Deemed-Retractible	4.91 %	3.17 %	115,934	0.68	46	0.0230 %	2,407.2

Performance Highlights
Issue	Index	Change	Notes
GWO.PR.N	FixedReset	-1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.22 Bid-YTW : 3.86 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.J	FixedReset	281,692	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 3.82 %
BAM.PR.K	Floater	172,050	Nesbitt crossed 150,000 at 17.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-12 Maturity Price : 17.36 Evaluated at bid price : 17.36 Bid-YTW : 3.02 %
BAM.PR.B	Floater	160,822	Nesbitt crossed 150,000 at 17.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-12 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 2.99 %
RY.PR.T	FixedReset	136,250	RBC crossed 119,800 at 26.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.76 Bid-YTW : 2.22 %
SLF.PR.G	FixedReset	103,828	Desjardins crossed 95,800 at 24.30. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.27 Bid-YTW : 3.51 %
BMO.PR.M	FixedReset	96,184	National crossed 70,000 at 24.76. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.81 Bid-YTW : 3.19 %
There were 29 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.K	Floater	Quote: 17.36 – 18.10 Spot Rate : 0.7400 Average : 0.5562 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-12 Maturity Price : 17.36 Evaluated at bid price : 17.36 Bid-YTW : 3.02 %
FTS.PR.E	OpRet	Quote: 27.12 – 27.50 Spot Rate : 0.3800 Average : 0.2807 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-06-01 Maturity Price : 25.75 Evaluated at bid price : 27.12 Bid-YTW : -5.98 %
GWO.PR.N	FixedReset	Quote: 23.22 – 23.45 Spot Rate : 0.2300 Average : 0.1307 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.22 Bid-YTW : 3.86 %
CIU.PR.B	FixedReset	Quote: 26.64 – 26.90 Spot Rate : 0.2600 Average : 0.1626 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-01 Maturity Price : 25.00 Evaluated at bid price : 26.64 Bid-YTW : 2.31 %
HSE.PR.A	FixedReset	Quote: 25.78 – 26.03 Spot Rate : 0.2500 Average : 0.1529 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-12 Maturity Price : 23.58 Evaluated at bid price : 25.78 Bid-YTW : 2.92 %
HSB.PR.D	Deemed-Retractible	Quote: 25.82 – 26.10 Spot Rate : 0.2800 Average : 0.1838 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-30 Maturity Price : 25.50 Evaluated at bid price : 25.82 Bid-YTW : -6.20 %

What’s going on with Northern Securities, IIROC and Penson?:

9. NSI advised IIROC Staff that it was considering the following three options to address the pending wind down of Penson:
i. Retain a new carrying broker;
ii. Enter into an omnibus arrangement with an existing carrying broker or self-clearing firm and administer certain back office functions itself;
iii. Enter into a business amalgamation or a sale.

10. On November 23, 2012, IIROC Staff advised NSI that NSI’s failure to enter into a new introducing-carrying arrangement or to demonstrate progress toward an alternative arrangement would soon result in such financial and operating difficulty for NSI that NSI cannot be permitted to continue to operate without risk of imminent harm to NSI’s clients.

11. IIROC Staff also advised NSI that if it did not enter into a binding agreement for either a new introducing-carrying arrangement or a business combination with a self-clearing Dealer Member by December 7, 2012, then IIROC Staff would proceed to an expedited hearing to seek appropriate remedies from an IIROC Hearing Panel.

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 6bp, FixedResets down 3bp and DeemedRetractibles off 2bp. Volatility was low. Volume was 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	0.0133 %	2,478.3
FixedFloater	4.13 %	3.48 %	28,122	18.30	1	-0.4762 %	3,894.0
Floater	2.79 %	3.01 %	56,494	19.63	4	0.0133 %	2,675.9
OpRet	4.60 %	1.03 %	35,270	0.48	4	0.0569 %	2,598.3
SplitShare	4.65 %	4.72 %	64,652	4.41	2	0.3247 %	2,863.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0569 %	2,375.9
Perpetual-Premium	5.25 %	1.83 %	74,102	0.38	30	0.0601 %	2,319.8
Perpetual-Discount	4.83 %	4.87 %	132,848	15.61	4	0.0304 %	2,631.0
FixedReset	4.94 %	2.95 %	219,461	4.34	77	-0.0298 %	2,448.4
Deemed-Retractible	4.91 %	2.52 %	119,262	0.45	46	-0.0152 %	2,406.6

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.C	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-11 Maturity Price : 23.57 Evaluated at bid price : 25.67 Bid-YTW : 2.79 %

Volume Highlights
Issue	Index	Shares Traded	Notes
ENB.PR.T	FixedReset	249,620	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-11 Maturity Price : 23.10 Evaluated at bid price : 25.02 Bid-YTW : 3.70 %
MFC.PR.J	FixedReset	140,025	Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : 3.91 %
TD.PR.O	Deemed-Retractible	106,124	Nesbitt crossed 100,000 at 25.85. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-10 Maturity Price : 25.50 Evaluated at bid price : 25.83 Bid-YTW : -4.40 %
ENB.PR.B	FixedReset	103,159	TD crossed 73,600 at 25.24; Nesbitt bought 10,000 from National at 25.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-11 Maturity Price : 23.28 Evaluated at bid price : 25.24 Bid-YTW : 3.57 %
POW.PR.G	Perpetual-Premium	101,380	Nesbitt crossed 100,000 at 27.15. YTW SCENARIO Maturity Type : Call Maturity Date : 2020-04-15 Maturity Price : 25.25 Evaluated at bid price : 27.02 Bid-YTW : 4.58 %
TD.PR.I	FixedReset	78,652	RBC crossed 67,600 at 26.85. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.84 Bid-YTW : 2.11 %
There were 43 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.K	Floater	Quote: 17.50 – 18.10 Spot Rate : 0.6000 Average : 0.3548 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-11 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 3.03 %
TRP.PR.C	FixedReset	Quote: 25.67 – 25.99 Spot Rate : 0.3200 Average : 0.1784 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-11 Maturity Price : 23.57 Evaluated at bid price : 25.67 Bid-YTW : 2.79 %
PWF.PR.M	FixedReset	Quote: 26.03 – 26.36 Spot Rate : 0.3300 Average : 0.2250 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-31 Maturity Price : 25.00 Evaluated at bid price : 26.03 Bid-YTW : 2.91 %
PWF.PR.P	FixedReset	Quote: 25.12 – 25.35 Spot Rate : 0.2300 Average : 0.1665 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-11 Maturity Price : 23.40 Evaluated at bid price : 25.12 Bid-YTW : 2.95 %
BMO.PR.K	Deemed-Retractible	Quote: 26.16 – 26.27 Spot Rate : 0.1100 Average : 0.0707 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-10 Maturity Price : 26.00 Evaluated at bid price : 26.16 Bid-YTW : 0.25 %
POW.PR.C	Perpetual-Premium	Quote: 25.51 – 25.65 Spot Rate : 0.1400 Average : 0.1052 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-10 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : -7.73 %

The US has shaken down HSBC & Standard Chartered:

HSBC (HSBA) Holdings Plc will pay at least $1.9 billion in a deferred prosecution agreement that settles U.S. probes of money laundering tied to Europe’s largest bank, a person familiar with the matter said, making it the largest such accord ever.
…
Yesterday, Standard Chartered Plc (STAN), Britain’s second-largest bank by market value, agreed to pay $327 million in fines after regulators alleged it violated U.S. sanctions with Iran.

As far as I can tell from the Senate REPORT: U.S. Vulnerabilities to Money Laundering, Drugs, and Terrorist Financing: HSBC Case History, the problem was that they did not create enough paper:

An outside auditor hired by HBUS has so far identified, from 2001 to 2007, more than 28,000 undisclosed, OFAC sensitive transactions that were sent through HBUS involving $19.7 billion. Of those 28,000 transactions, nearly 25,000 involved Iran, while 3,000 involved other prohibited countries or persons. The review has characterized nearly 2,600 of those transactions, including 79 involving Iran, and with total assets of more than $367 million, as “Transactions of Interest” requiring additional analysis to determine whether violations of U.S. law occurred. While the aim in many of those cases may have been to avoid the delays associated with the OFAC filter and individualized reviews, rather than to facilitate prohibited transactions, actions taken by HSBC affiliates to circumvent OFAC safeguards may have facilitated transactions on behalf of terrorists, drug traffickers, or other wrongdoers. While HBUS insisted, when asked, that HSBC affiliates provide fully transparent transaction information, when it obtained evidence that some affiliates were acting to circumvent the OFAC filter, HBUS failed to take decisive action to confront those affiliates and put an end to the conduct. HBUS’ experience demonstrates the strong measures that the U.S. affiliate of a global bank must take to prevent affiliates from circumventing OFAC prohibitions.

It was a directionless day for the Canadian preferred share market, with PerpetualPremiums up 4bp while FixedResets and DeemedRetractibles both gained 1bp. Volatility was low. Volume was 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	0.0133 %	2,477.9
FixedFloater	4.11 %	3.47 %	27,743	18.34	1	0.0000 %	3,912.6
Floater	2.79 %	3.00 %	56,227	19.64	4	0.0133 %	2,675.5
OpRet	4.60 %	1.97 %	48,654	0.52	4	-0.1231 %	2,596.8
SplitShare	4.67 %	4.75 %	64,641	4.42	2	-0.0608 %	2,853.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1231 %	2,374.5
Perpetual-Premium	5.26 %	1.75 %	71,809	0.82	30	0.0356 %	2,318.4
Perpetual-Discount	4.83 %	4.87 %	127,243	15.62	4	-0.0708 %	2,630.2
FixedReset	4.94 %	3.03 %	221,169	4.34	77	0.0055 %	2,449.1
Deemed-Retractible	4.91 %	3.24 %	117,205	0.86	46	0.0051 %	2,407.0

Performance Highlights
Issue	Index	Change	Notes
SLF.PR.A	Deemed-Retractible	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 5.02 %
IFC.PR.C	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.50 Bid-YTW : 2.77 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PR.S	FixedReset	116,203	Nesbitt bought three blocks from TD, of 14,000 shares, 10,200 and 15,000, all at 24.84, then crossed 31,600 at 24.85. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.84 Bid-YTW : 3.17 %
NA.PR.K	Deemed-Retractible	101,103	Desjardins crossed 90,300 at 25.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-09 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 1.95 %
TD.PR.Y	FixedReset	83,165	TD crossed 62,600 at 24.84. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 3.29 %
BMO.PR.M	FixedReset	66,278	Nesbitt crossed blocks of 35,000 and 15,000, both at 24.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.74 Bid-YTW : 3.23 %
ENB.PR.T	FixedReset	53,117	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-10 Maturity Price : 23.10 Evaluated at bid price : 25.01 Bid-YTW : 3.70 %
BMO.PR.Q	FixedReset	48,444	TD crossed 15,300 at 24.77. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.77 Bid-YTW : 3.19 %
There were 29 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.C	Floater	Quote: 17.58 – 18.58 Spot Rate : 1.0000 Average : 0.5591 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-10 Maturity Price : 17.58 Evaluated at bid price : 17.58 Bid-YTW : 3.01 %
TCA.PR.X	Perpetual-Premium	Quote: 51.92 – 52.95 Spot Rate : 1.0300 Average : 0.6847 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-15 Maturity Price : 50.00 Evaluated at bid price : 51.92 Bid-YTW : 1.75 %
CU.PR.C	FixedReset	Quote: 26.16 – 26.48 Spot Rate : 0.3200 Average : 0.1790 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-01 Maturity Price : 25.00 Evaluated at bid price : 26.16 Bid-YTW : 2.93 %
BNA.PR.E	SplitShare	Quote: 25.15 – 25.54 Spot Rate : 0.3900 Average : 0.2635 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 4.75 %
CM.PR.D	Perpetual-Premium	Quote: 25.80 – 26.00 Spot Rate : 0.2000 Average : 0.1273 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-09 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : -23.34 %
GWO.PR.H	Deemed-Retractible	Quote: 24.97 – 25.22 Spot Rate : 0.2500 Average : 0.1833 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-30 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 4.79 %

When does a recession become a depression? Ask the Greeks:

Greece’s economy shrank by 6.9 per cent in the third quarter of the year, compared with the same period in 2011.

The national statistics agency says that the decrease was less than the 7.2-per-cent drop estimated in November, based on new data that wasn’t available last month.

However, the Greeks have the answer – steal from bank shareholders:

Greece’s three biggest banks said they participated in the government’s 10 billion-euro ($13 billion) buyback of sovereign debt, the second hit to their bond holdings this year as the nation rushes to cut a debt load that threatens further international aid.

National Bank of Greece SA, the largest lender, Alpha Bank SA and Eurobank Ergasias SA said in statements to the Athens bourse today that their boards agreed unanimously to join the offer, which ended at 7 p.m. Athens time. No further details were provided.
…
Stung by the biggest sovereign restructuring in history earlier this year, the Greek banks got a promise that they won’t be subject to any legal proceedings from shareholders for participating in the offer. Finance Minister Yannis Stournaras said today the banks would have legal indemnity from potential shareholder lawsuits.

The buyback is aimed at the 62 billion euros of new bonds issued when Greece restructured its privately held debt in March. Greek banks held about 15 billion euros of the bonds, while the country’s pension funds had 8 billion euros, according to a Nov. 27 draft report by the troika of the European Commission, European Central Bank and IMF.
…
The prices offered for bonds maturing from 2023 to 2042 averaged 33.1 percent of face value, based on information in a statement from the Athens-based Public Debt Management Agency on Dec. 3.

There was a good, but not great, US Jobs number:

Total nonfarm payroll employment rose by 146,000 in November, and the unemployment rate edged down to 7.7 percent, the U.S. Bureau of Labor Statistics reported today. Employment increased in retail trade, professional and business services, and health care.

However:

The drop in the jobless rate, from 7.9 percent in October, wasn’t great news because of why it happened: More people dropped out of the labor force so they weren’t counted among the unemployed. The labor-force participation rate remains depressed more than three years after the end of the 2007-09 recession. If it were at normal levels, the unemployment rate would be substantially higher.

IIROC has released new rules on electronic trading:

The amendments expand on existing obligations under the Universal Market Integrity Rules (UMIR) by assigning IIROC-regulated dealers clear supervisory and gatekeeper responsibilities to protect against errors related to electronic trading. The changes will ensure that market participants have appropriate automated filters, testing of algorithms, and other risk management tools in place for handling orders before those orders enter the marketplace.

For “gatekeeper”, read “policeman”. Everybody’s a policeman! Yay!

DBRS confirmed BIG.PR.B and BIG.PR.C at Pfd-2:

The Class B Preferred Shares and Class C Preferred Shares yield 7.00% and 5.75% annually, respectively, on their issue price of $12 per Preferred Share and rank pari passu with respect to return of principal and payment of dividends. Holders of the Capital Shares are expected to receive all excess dividend income after Preferred Share distributions and other Company expenses have been paid.

DBRS last confirmed the rating of the Preferred Shares at Pfd-2 on December 7, 2011. Performance has been generally stable since the last rating confirmation, with the NAV of the Company fluctuating between $28 and $32. The current dividend coverage ratio is 1.6 times and the current downside protection (as of November 30, 2012) available to holders of the preferred shares is approximately 62.4%. The confirmation of the rating of the Preferred Shares is based primarily on the level of downside protection and dividend coverage available, as well as on the high credit quality and consistency of dividend distributions of the underlying names in the Portfolio.

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

As of September 30, 2012, the Portfolio consisted of 68% Canadian common stock, 22% REITs, 6% power generation and pipeline trusts and 3% Canadian preferred stock. Since the rating was last confirmed in December 2011, performance has been slightly negative. Downside protection available to holders of the Preferred Securities has slowly trended lower over the past year, falling from 23.9% on November 30, 2011, to 17.4% as of November 30, 2012. The yield on the Portfolio has also decreased slightly, causing the distribution coverage ratio to drop to 0.8 times (as of November 30, 2012). Despite the reduction, downside protection remains at levels sufficient for a Pfd-4 (low) rating. The rating on the Preferred Securities continues to be constrained by the large percentage of underlying securities in the Portfolio that are not rated by any rating agency and the grind on the Portfolio due to distributions exceeding income.

The redemption date for the Preferred Securities is March 31, 2015.

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums down 10bp, FixedResets gaining 3bp and DeemedRetractibles off 1bp. Volatility was minimal. Volume was 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	-0.0531 %	2,477.6
FixedFloater	4.11 %	3.46 %	26,490	18.35	1	-0.6452 %	3,912.6
Floater	2.79 %	3.01 %	58,233	19.63	4	-0.0531 %	2,675.2
OpRet	4.59 %	1.44 %	47,967	0.49	4	-0.1419 %	2,600.0
SplitShare	4.66 %	4.79 %	65,388	4.42	2	0.0203 %	2,855.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1419 %	2,377.4
Perpetual-Premium	5.26 %	1.66 %	71,794	0.83	30	-0.1014 %	2,317.6
Perpetual-Discount	4.83 %	4.86 %	92,344	15.63	4	0.0607 %	2,632.1
FixedReset	4.94 %	3.09 %	223,262	4.35	77	0.0257 %	2,449.0
Deemed-Retractible	4.91 %	3.15 %	117,677	0.70	46	-0.0085 %	2,406.9

Performance Highlights
Issue	Index	Change	Notes
IAG.PR.G	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.86 Bid-YTW : 3.43 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PR.S	FixedReset	202,470	Nesbitt crossed 150,000 at 24.85; Desjardins crossed 20,000 at 24.82. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.82 Bid-YTW : 3.18 %
BNS.PR.Q	FixedReset	134,265	Nesbitt crossed 100,000 at 24.70. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.69 Bid-YTW : 3.41 %
ENB.PR.T	FixedReset	104,111	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-07 Maturity Price : 23.10 Evaluated at bid price : 25.01 Bid-YTW : 3.71 %
CM.PR.L	FixedReset	87,686	Nesbitt crossed 35,000 at 26.80; National crossed 49,600 at 26.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.75 Bid-YTW : 1.89 %
ENB.PR.P	FixedReset	59,887	RBC crossed 50,000 at 25.18. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-07 Maturity Price : 23.16 Evaluated at bid price : 25.17 Bid-YTW : 3.68 %
MFC.PR.J	FixedReset	59,750	Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 3.89 %
There were 33 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.O	Perpetual-Premium	Quote: 26.63 – 27.00 Spot Rate : 0.3700 Average : 0.2294 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-31 Maturity Price : 26.00 Evaluated at bid price : 26.63 Bid-YTW : 4.57 %
BAM.PR.G	FixedFloater	Quote: 23.10 – 23.80 Spot Rate : 0.7000 Average : 0.6336 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-07 Maturity Price : 23.34 Evaluated at bid price : 23.10 Bid-YTW : 3.46 %
HSE.PR.A	FixedReset	Quote: 25.55 – 25.76 Spot Rate : 0.2100 Average : 0.1483 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-07 Maturity Price : 23.51 Evaluated at bid price : 25.55 Bid-YTW : 2.97 %
PWF.PR.R	Perpetual-Premium	Quote: 26.60 – 26.80 Spot Rate : 0.2000 Average : 0.1432 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.60 Bid-YTW : 4.68 %
ENB.PR.N	FixedReset	Quote: 25.22 – 25.38 Spot Rate : 0.1600 Average : 0.1085 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-07 Maturity Price : 23.18 Evaluated at bid price : 25.22 Bid-YTW : 3.78 %
RY.PR.I	FixedReset	Quote: 25.29 – 25.62 Spot Rate : 0.3300 Average : 0.2791 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : 3.33 %

DBRS confirmed Loblaws at Pfd-3:

Loblaw’s ratings continue to be supported by its strong market position, large scale, national diversification and industry-leading private labels. The ratings also continue to reflect the high level of, and intensifying competition in, Canadian food retailing.

The confirmation also reflects DBRS’s view that Loblaw’s earnings profile should remain in the range acceptable for the current rating category, despite intensifying competition and a difficult consumer environment. DBRS expects top-line revenue will remain relatively flat in the near term, based on a modest increase in square footage and flat-to-negative same-store sales. EBITDA margins should remain under pressure as Loblaw could be forced to increase its use of promotional pricing to help drive traffic as competition intensifies (particularly with new openings of Wal-Mart Supercenters and Target stores) and the Company continues to invest in infrastructure upgrades. As such, DBRS expects EBITDA (on a comparable basis) will decline moderately or, at best, remain flat in the near term.
…
DBRS will review all aspects of the [REIT spin-off] transaction upon closing. Should the proposed transaction close on terms and conditions that are not substantially in accordance with those outlined in the proposed plan provided to DBRS and/or Loblaw or the transaction experience material adverse changes, DBRS will consider the actual terms and a rating action could result.

DBRS confirmed Weston at Pfd-3.

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 3bp, FixedResets up 4bp and DeemedRetractibles off 9bp. Volatility was average. Volume was 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	0.2394 %	2,478.9
FixedFloater	4.09 %	3.44 %	27,556	18.41	1	1.0870 %	3,938.0
Floater	2.79 %	3.01 %	58,118	19.64	4	0.2394 %	2,676.6
OpRet	4.59 %	-1.52 %	47,589	0.49	4	0.0568 %	2,603.7
SplitShare	4.67 %	4.79 %	67,727	4.43	2	0.2033 %	2,855.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0568 %	2,380.8
Perpetual-Premium	5.25 %	1.56 %	71,970	0.83	30	0.0291 %	2,319.9
Perpetual-Discount	4.83 %	4.88 %	93,307	15.61	4	-0.0506 %	2,630.5
FixedReset	4.94 %	3.06 %	224,960	4.35	77	0.0389 %	2,448.3
Deemed-Retractible	4.91 %	2.54 %	121,531	0.46	46	-0.0880 %	2,407.1

Performance Highlights
Issue	Index	Change	Notes
NA.PR.K	Deemed-Retractible	-1.56 %	Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-05 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 2.15 %
IAG.PR.G	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 3.67 %
BAM.PR.G	FixedFloater	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-06 Maturity Price : 23.46 Evaluated at bid price : 23.25 Bid-YTW : 3.44 %
MFC.PR.G	FixedReset	2.72 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.69 Bid-YTW : 3.64 %

Volume Highlights
Issue	Index	Shares Traded	Notes
NA.PR.K	Deemed-Retractible	267,235	Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-05 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 2.15 %
ENB.PR.T	FixedReset	216,755	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-06 Maturity Price : 23.09 Evaluated at bid price : 24.99 Bid-YTW : 3.71 %
MFC.PR.J	FixedReset	94,000	Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 3.89 %
BMO.PR.M	FixedReset	43,455	Nesbitt crossed 10,300 at 24.66. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 3.28 %
FTS.PR.G	FixedReset	38,790	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-06 Maturity Price : 23.58 Evaluated at bid price : 24.20 Bid-YTW : 3.52 %
BNS.PR.R	FixedReset	31,850	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 3.47 %
There were 33 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IAG.PR.E	Deemed-Retractible	Quote: 26.65 – 27.00 Spot Rate : 0.3500 Average : 0.2148 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-31 Maturity Price : 26.00 Evaluated at bid price : 26.65 Bid-YTW : 4.32 %
CIU.PR.C	FixedReset	Quote: 24.81 – 25.15 Spot Rate : 0.3400 Average : 0.2344 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-06 Maturity Price : 23.24 Evaluated at bid price : 24.81 Bid-YTW : 2.69 %
VNR.PR.A	FixedReset	Quote: 26.07 – 26.50 Spot Rate : 0.4300 Average : 0.3389 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-10-15 Maturity Price : 25.00 Evaluated at bid price : 26.07 Bid-YTW : 3.54 %
HSB.PR.D	Deemed-Retractible	Quote: 26.06 – 26.25 Spot Rate : 0.1900 Average : 0.1306 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-30 Maturity Price : 25.50 Evaluated at bid price : 26.06 Bid-YTW : -3.69 %
IAG.PR.G	FixedReset	Quote: 25.60 – 25.75 Spot Rate : 0.1500 Average : 0.0974 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 3.67 %
FTS.PR.J	Perpetual-Premium	Quote: 25.36 – 25.49 Spot Rate : 0.1300 Average : 0.0816 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.36 Bid-YTW : 4.62 %

It seems that the Financial Stability Oversight Council is getting annoyed at SEC footdragging on the MMF issue and has issued its own discussion paper:

Based on this proposed determination, the Council seeks comment on the proposed recommendations for structural reforms of MMFs that reduce the risk of runs and significant problems spreading through the financial system stemming from the practices and activities described above. The Council is proposing three alternatives for consideration:

• • Alternative One: Floating Net Asset Value. Require MMFs to have a floating net asset value (“NAV”) per share by removing the special exemption that currently allows MMFs to utilize amortized cost accounting and/or penny rounding to maintain a stable NAV. The value of MMFs’ shares would not be fixed at $1.00 and would reflect the actual market value of the underlying portfolio holdings, consistent with the requirements that apply to all other mutual funds.
• • Alternative Two: Stable NAV with NAV Buffer and “Minimum Balance at Risk.” Require MMFs to have an NAV buffer with a tailored amount of assets of up to 1 percent to absorb day-to-day fluctuations in the value of the funds’ portfolio securities and allow the funds to maintain a stable NAV. The NAV buffer would have an appropriate transition period and could be raised through various methods. The NAV buffer would be paired with a requirement that 3 percent of a shareholder’s highest account value in excess of $100,000 during the previous 30 days — a minimum balance at risk (MBR) — be made available for redemption on a delayed basis. Most redemptions would be unaffected by this requirement, but redemptions of an investor’s MBR itself would be delayed for 30 days. In the event that an MMF suffers losses that exceed its NAV buffer, the losses would be borne first by the MBRs of shareholders who have recently redeemed, creating a disincentive to redeem and providing protection for shareholders who remain in the fund. These requirements would not apply to Treasury MMFs, and the MBR requirement would not apply to investors with account balances below $100,000.
• • Alternative Three: Stable NAV with NAV Buffer and Other Measures. Require MMFs to have a risk-based NAV buffer of 3 percent to provide explicit loss-absorption capacity that could be combined with other measures to enhance the effectiveness of the buffer and potentially increase the resiliency of MMFs. Other measures could include more stringent investment diversification requirements, increased minimum liquidity levels, and more robust disclosure requirements. The NAV buffer would have an appropriate transition period and could be raised through various methods. To the extent that it can be adequately demonstrated that more stringent investment diversification requirements, alone or in combination with other measures, complement the NAV buffer and further reduce the vulnerabilities of MMFs, the Council could include these measures in its final recommendation and would reduce the size of the NAV buffer required under this alternative accordingly.

I like #3. SEC Commissioner Luis Aguilar, who has opposed meaningful reform, is hastily covering his ass by focussing on migration to unregulated funds:

The outflow of money fund assets to an unregulated market is a significant systemic risk concern, and can result in harm to our market and investors. As was stated by an SEC spokesperson, this was not a concern shared by the SEC staff.

However, the SEC staff’s recent report has now identified the issue of migration to unregulated products and is, for the first time, offering a more in-depth analysis. Moreover, the new Director of Investment Management, Norm Champ, who has experience with unregulated funds, has indicated to me that the staff is now actively considering this issue.

Additionally, both Secretary Geithner and FSOC have expressly raised the need to address the concern of money fund assets migrating to an opaque, unregulated market as a result of structural changes to money market funds.

The serious consideration by the SEC staff and FSOC of the potential migration of money fund assets to opaque, unregulated funds is also a welcome development.

The FSOC paper used the word “unregulated” exactly once:

The Council recognizes that regulated and unregulated or less-regulated cash management products (such as unregistered private liquidity funds) other than MMFs may pose risks that are similar to those posed by MMFs, and that further MMF reforms could increase demand for non-MMF cash management products. The Council seeks comment on other possible reforms that would address risks that might arise from a migration to non-MMF cash management products. Further, the Council is not considering MMF reform in isolation. The Council and its members intend to use their authorities, where appropriate and within their jurisdictions, to address any risks to financial stability that may arise from various products within the cash management industry in a consistent manner. Such consistency would be designed to reduce or eliminate any regulatory gaps that could result in risks to financial stability if cash management products with similar risks are subject to dissimilar standards.

The extra report Aguilar was whining about has been published: Response to Questions Posed by Commissioners Aguilar, Paredes, and Gallagher:

Third, the Commissioners asked how money market funds would likely have performed during the events of September 2008 had the 2010 reforms been in place at the time. The effect of heightened liquidity standards on fund resiliency, given specific levels of capital losses and redemption activity, is examined using money market fund portfolio holdings in September 2008. The findings indicate that funds are more resilient now to both portfolio losses and investor redemptions than they were in 2008. That being said, no fund would have been able to withstand the losses that The Reserve Primary Fund incurred in 2008 without breaking the buck, and nothing in the 2010 reforms would have prevented The Reserve Primary Fund’s holding of Lehman Brothers debt.

Well, of course. The only thing that’s going to allow a fund to maintain par value in the face of a significant default is capital. Duh!

Special dividends are all the rage:

So far this quarter, U.S. companies have pledged more than $21-billion (U.S.) in one-off dividends – and that’s not including early payment of regular ones. Shareholders receiving them will be able to book the gains at the 15-per-cent tax rate currently in place rather than the worst-case 39.6 per cent scheduled to go into effect next year if President Barack Obama and Congress don’t agree on an alternative rate.
…
If this quarter’s special dividends alone were instead paid out next year with the highest feasible tax rates in force, the U.S. government’s coffers would be at least $5-billion heavier in a few months’ time.

Enbridge Inc. was confirmed at Pfd-2(low) by DBRS:

The ratings reflect (1) a relatively strong business risk profile, (2) pressure on the Company’s near-to-medium-term credit metrics and (3) results under the 10-year Competitive Tolling Settlement (CTS) effective July 1, 2011.

RioCan Real Estate Investment Trust was confirmed at Pfd-3(high) by DBRS:

following the Trust’s announcement that that it has entered into a purchase and sale agreement (the Agreement) to acquire a $1.1 million portfolio of Canadian retail properties, including five regional malls and three grocery-anchored unenclosed shopping centres.

The properties are currently owned by Primaris Retail REIT (Primaris). Pursuant to the Agreement, RioCan will acquire a 100% interest in six properties and a 50% interest in two properties. The Agreement is in support (and subject to completion) of the proposed offer to acquire Primaris by a KingSett Capital-led consortium (the Offer), which was announced earlier today.

The confirmation is based on the fact that the potential acquisition, totaling $1.1 billion, would represent only approximately 10% of RioCan’s current total assets. In addition, the target properties are considered to be good quality assets that are well located in major Canadian markets.

In terms of financing, the potential acquisition would be funded with $635 million of new fully-underwritten debt financing commitments from The Toronto-Dominion Bank and the assumption of $499 million of debt. While this would temporarily increase leverage to approximately 49% total debt-to-capital, RioCan has stated its intention to repay a meaningful portion of the incremental debt within six to nine months, primarily with proceeds from asset sales. Despite the increase in leverage, DBRS believes RioCan’s EBITDA coverage ratio (including capitalized interest), with the additional operating income generated from the targeted properties, should stay close to 2.5 times (x), a level well within the range acceptable for the current rating category.

I continue to be fascinated by the concept of converting atmospheric CO₂ into usable energy, preferably by using sunlight as the energy source. Now I learn that there’s a project at my alma mater delving into that very thing. My alma mater wants money from me … I suggest that they simply ask the Ontario government to stop blowing cash on second rate solar technology and plough the money into research that might lead to something that actually works.

I urge all readers to remember that Christmas is a time to give to the less fortunate. And who could be less fortunate than the owner of a telemarketting firm?:

The Cancer Society’s 2010 contract with InfoCision for a telemarketing campaign called Notes to Neighbors estimated the charity would receive 44 percent of the money raised. Solicitors used scripts, approved by the Society, falsely claiming that 70 percent of the money raised would go to the charity.

That year, InfoCision kept 100 percent of the $5.3 million it raised for the charity, according to Cancer Society filings with the IRS and the state of Maine.

The American Diabetes Association approved a script the same year for use by InfoCision telemarketers.

“Overall, 75 percent of every dollar received goes directly to serving people with diabetes and their families,” the script says.

The Association’s fundraising contract for that period estimated the Association would receive just 15 percent, with the rest going to InfoCision.

Other of the nation’s largest health charities, including the American Heart Association, the American Lung Association and the March of Dimes, have hired InfoCision during the past decade. The telemarketer brought in a total of $425.5 million for more than 30 nonprofits from 2007 to 2010, keeping $220.6 million, or 52 percent, according to state-filed records.

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums down 8bp, FixedResets off 6bp and DeemedRetractibles gaining 5bp. Volatility was average. Volume was above average, dominated by recent issues.

PerpetualDiscounts now yield 4.87%, equivalent to 6.33% interest at the standard conversion factor of 1.3x. Long corporates now yield about 4.2%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 215bp, unchanged from the November 28 report.

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	-0.0399 %	2,473.0
FixedFloater	4.13 %	3.48 %	27,406	18.32	1	0.6124 %	3,895.7
Floater	2.79 %	3.01 %	58,866	19.64	4	-0.0399 %	2,670.2
OpRet	4.59 %	1.53 %	36,979	0.53	4	0.0852 %	2,602.2
SplitShare	4.67 %	4.83 %	67,940	4.43	2	0.0814 %	2,849.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0852 %	2,379.5
Perpetual-Premium	5.25 %	1.58 %	71,767	0.84	30	-0.0839 %	2,319.3
Perpetual-Discount	4.83 %	4.87 %	94,789	15.61	4	0.4677 %	2,631.8
FixedReset	4.94 %	3.04 %	224,725	4.46	77	-0.0628 %	2,447.4
Deemed-Retractible	4.91 %	3.33 %	121,447	0.55	46	0.0457 %	2,409.2

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.G	FixedReset	-1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 4.27 %
RY.PR.I	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.46 Bid-YTW : 3.24 %
GWO.PR.I	Deemed-Retractible	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 4.67 %

Volume Highlights
Issue	Index	Shares Traded	Notes
ENB.PR.T	FixedReset	968,467	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-05 Maturity Price : 23.09 Evaluated at bid price : 25.00 Bid-YTW : 3.71 %
MFC.PR.J	FixedReset	122,437	Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 3.94 %
ENB.PR.B	FixedReset	109,581	Scotia crossed 97,000 at 25.23. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-05 Maturity Price : 23.28 Evaluated at bid price : 25.24 Bid-YTW : 3.57 %
BAM.PF.C	Perpetual-Discount	60,150	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-05 Maturity Price : 24.33 Evaluated at bid price : 24.71 Bid-YTW : 4.92 %
NA.PR.Q	FixedReset	43,035	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.84 Bid-YTW : 3.14 %
RY.PR.C	Deemed-Retractible	38,563	National crossed 30,000 at 25.82. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-11-24 Maturity Price : 25.50 Evaluated at bid price : 25.79 Bid-YTW : 3.48 %
There were 37 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: 23.00 – 24.80 Spot Rate : 1.8000 Average : 1.0549 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-05 Maturity Price : 23.27 Evaluated at bid price : 23.00 Bid-YTW : 3.48 %
TCA.PR.X	Perpetual-Premium	Quote: 51.98 – 52.95 Spot Rate : 0.9700 Average : 0.5911 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-15 Maturity Price : 50.00 Evaluated at bid price : 51.98 Bid-YTW : 1.58 %
GWO.PR.L	Deemed-Retractible	Quote: 26.35 – 26.94 Spot Rate : 0.5900 Average : 0.3326 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-31 Maturity Price : 26.00 Evaluated at bid price : 26.35 Bid-YTW : 4.58 %
FTS.PR.E	OpRet	Quote: 27.18 – 27.79 Spot Rate : 0.6100 Average : 0.3797 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-06-01 Maturity Price : 25.75 Evaluated at bid price : 27.18 Bid-YTW : -6.19 %
MFC.PR.G	FixedReset	Quote: 25.01 – 25.76 Spot Rate : 0.7500 Average : 0.5311 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 4.27 %
VNR.PR.A	FixedReset	Quote: 26.12 – 26.50 Spot Rate : 0.3800 Average : 0.2391 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-10-15 Maturity Price : 25.00 Evaluated at bid price : 26.12 Bid-YTW : 3.50 %

Global banks are moving more into asset management but there are problems:

Global banks, forced by regulators to reduce their dependence on profits from high-risk trading, have rediscovered the appeal of the mundane business of managing money for clients.

Deutsche Bank AG (DBK) is now counting on the fund unit it failed to sell to help boost return on equity, a measure of profitability. UBS AG (UBSN) is paring investment banking as it focuses on overseeing assets for wealthy clients. Goldman Sachs Group Inc. (GS), JPMorgan Chase & Co. (JPM) and Wells Fargo & Co. (WFC), three of the five biggest U.S. banks, are considering expanding asset- management divisions as they seek to grab market share from fund companies such as Fidelity Investments.
…
Banks will need to overcome the perception that they sometimes push their own funds and improve their middle-of-the- pack performance as money managers if they want to attract assets from investors. Goldman Sachs’s stock and bond mutual funds have trailed about 61 percent of their respective peers on average over the five years ended Sept. 30, and about 52 percent over the past three years, according to data from Morningstar Inc. in Chicago. JPMorgan’s mutual funds have been beaten by 42 percent of rivals over the past five years, while Wells Fargo’s have lagged behind 44 percent, the Morningstar data show.
…
As recently as 2000, brokers, banks and insurers dominated the rankings of global asset-management firms, accounting for six of the top 10 spots based on assets, according to data from trade publication Pensions & Investments. Today, they hold four of those positions as the balance shifted to BlackRock Inc. (BLK), Vanguard Group Inc. and Fidelity. The four banks and insurance companies on the list collectively have about $5.5 trillion in assets compared with more than $11 trillion for the rest.

The decline reflects a combination of poor performance, the rise of mutual-fund sales through fee-only independent advisers rather than bank-owned brokerages and the impact of a mutual- fund trading scandal uncovered by then-New York Attorney General Eliot Spitzer in 2003. The inquiries into improper trading led to increased regulation, raised operating costs and resulted in more than $4 billion in penalties to firms including Bank of America Corp. (BAC), Merrill Lynch & Co. and Citigroup Inc. (C).

The Boston Fed has published a discussion paper titled A Psychological Perspective of Financial Panic:

In spite of large number of financial crises, often depicted as episodes of financial panic, the notion of panic in financial markets is not very well understood. Many have argued that in order to understand financial crises, and in particular panic events, we need to go beyond classic economic arguments. This paper is an effort in that direction, in which we attempt to give a psychological account of panic and of panic in financial markets in particular, by discussing uncertainty, the desire for predictability and control, the illusion of control, and confidence. We suggest how one might incorporate these psychological insights into existing economic models.

There’s been a development in the Rochdale Securities scandal:

The FBI on Tuesday arrested David Miller, a former Rochdale Securities trader whose outsized, unauthorized purchases of Apple stock in October nearly sank his firm.

U.S. prosecutors in Connecticut charged Miller with wire fraud, alleging he lied about his trading of Apple shares ahead of the tech giant’s Oct. 25 earnings announcement.

According to a criminal complaint filed in federal court on Monday, Miller bought Apple shares for himself and then reported to Rochdale the trade was for a customer who would bear the risk if it lost money.

Miller would have been able to walk away with a profit for himself had Apple’s share price risen, but it fell. As a result, Rochdale was left unexpectedly owning more than a million and a half shares of Apple and had to sell them for a $5 million loss.

According to the complaint, Miller also pretended to be a representative of a client’s firm and told another broker-dealer to sell Apple shares, supposedly on behalf of the firm.

The Canadian preferred share market had a day of modest gains today, with both PerpetualPremiums and DeemedRetractibles gaining 5bp while FixedResets were up 6bp. Volatility was average. Volume was on the high side of 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	0.0532 %	2,474.0
FixedFloater	4.16 %	3.50 %	27,116	18.27	1	0.1314 %	3,872.0
Floater	2.79 %	3.01 %	57,552	19.64	4	0.0532 %	2,671.3
OpRet	4.59 %	1.73 %	37,162	0.56	4	0.0000 %	2,600.0
SplitShare	4.68 %	4.83 %	68,257	4.43	2	0.1018 %	2,846.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0000 %	2,377.4
Perpetual-Premium	5.25 %	1.51 %	72,173	0.16	30	0.0542 %	2,321.2
Perpetual-Discount	4.85 %	4.89 %	95,081	15.58	4	0.0000 %	2,619.6
FixedReset	4.95 %	2.97 %	221,301	4.36	76	0.0570 %	2,448.9
Deemed-Retractible	4.91 %	3.47 %	121,536	0.95	46	0.0500 %	2,408.1

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.G	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 3.94 %
POW.PR.G	Perpetual-Premium	-1.07 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-04-15 Maturity Price : 25.50 Evaluated at bid price : 26.87 Bid-YTW : 4.67 %
ELF.PR.H	Perpetual-Premium	1.01 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.94 Bid-YTW : 5.08 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.J	FixedReset	375,718	New issue settled today. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 3.96 %
TRP.PR.A	FixedReset	76,819	Nesbitt crossed 40,000 at 25.34; RBC crossed 21,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-04 Maturity Price : 23.69 Evaluated at bid price : 25.34 Bid-YTW : 3.13 %
ENB.PR.B	FixedReset	57,662	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-04 Maturity Price : 23.28 Evaluated at bid price : 25.25 Bid-YTW : 3.57 %
BNS.PR.Z	FixedReset	56,194	Nesbitt crossed 30,000 at 24.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.76 Bid-YTW : 3.19 %
BMO.PR.P	FixedReset	38,611	Scotia crossed 18,700 at 26.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.72 Bid-YTW : 2.29 %
BNS.PR.R	FixedReset	33,302	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.91 Bid-YTW : 3.51 %
There were 36 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.G	FixedReset	Quote: 25.40 – 25.86 Spot Rate : 0.4600 Average : 0.2912 YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 3.94 %
PWF.PR.I	Perpetual-Premium	Quote: 25.54 – 25.85 Spot Rate : 0.3100 Average : 0.2038 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-03 Maturity Price : 25.00 Evaluated at bid price : 25.54 Bid-YTW : -12.85 %
GWO.PR.F	Deemed-Retractible	Quote: 25.51 – 25.73 Spot Rate : 0.2200 Average : 0.1432 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-03 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : -22.61 %
SLF.PR.A	Deemed-Retractible	Quote: 24.54 – 24.75 Spot Rate : 0.2100 Average : 0.1360 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.54 Bid-YTW : 4.98 %
POW.PR.G	Perpetual-Premium	Quote: 26.87 – 27.16 Spot Rate : 0.2900 Average : 0.2178 YTW SCENARIO Maturity Type : Call Maturity Date : 2019-04-15 Maturity Price : 25.50 Evaluated at bid price : 26.87 Bid-YTW : 4.67 %
NA.PR.O	FixedReset	Quote: 26.28 – 26.56 Spot Rate : 0.2800 Average : 0.2202 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-15 Maturity Price : 25.00 Evaluated at bid price : 26.28 Bid-YTW : 2.55 %

Fitch Ratings (my favourite CRA) didn’t win an account recently – so they decided to win some political brownie points instead:

The recently closed CSMC Trust Mortgage Corp 2012-CIM3 (‘CIM3’) transaction has insufficient credit enhancement to achieve a ‘AAA’ rating, according to Fitch Ratings.
While asked to provide feedback, Fitch was ultimately not selected to rate the transaction, the ninth new issue prime RMBS transaction completed in 2012. Fitch believes it has a more conservative credit stance regarding this transaction. In fact, at 5.85%, the credit enhancement available to the ‘AAA’ rated A-2 class is more than 15% lower than any Fitch rated prime RMBS transaction issued since 2008. Fitch’s estimated credit enhancement (‘CE’) for the senior class A-1 and A-2 notes was 8%.

The collateral attributes of the CIM3 pool are consistent with those Fitch would consider representative of a high credit quality prime portfolio. That said, the 5.85% CE available to the A-2 class is not sufficient in Fitch’s view to fully address the risks associated with the pool, including concentrations in geographies whose property prices remain well above what Fitch believes are sustainable values.

A key component of Fitch’s analysis is to reduce home prices to their sustainable value prior to applying its market value decline (MVD) stresses. Six of the top ten MSA’s represented in the transaction were applied base MVD’s over 20% including Washington-Arlington-Alexandria that accounts for 17.3% of the pool.

They didn’t say who won the deal but Bloomberg did:

The AAA ratings assigned by Standard & Poor’s in a mortgage-bond deal by Credit Suisse Group AG (CSGN) are too high, Fitch Ratings said for the second time this year.
…
Rating companies have stepped up their public criticism of competitors’ grades on securitized debt after investors and lawmakers accused them of lowering standards to win business as issuers practiced so-called ratings shopping during the credit boom. A report by a Senate panel last year described the industry as engaging in “a race to the bottom,” before the bubble began to burst in 2007 and sparked a global financial crisis.

I am perplexed to learn that the SEC is studying decimalization:

The Securities and Exchange Commission today announced that its staff will host a roundtable early next year to discuss the impact of decimal-based stock trading on small and mid-sized companies, market professionals, investors, and U.S. securities markets.

The roundtable will be held on Feb. 5 at the SEC’s Washington, D.C., headquarters, and will be open to the public and webcast live on the SEC’s website. Information on the agenda and participants will be issued shortly.

This has been given some focus by the SEC Report to Congress on Decimalization:

One of the IPO Task Force’s conclusions is that changes in the market structure of U.S. capital markets toward a low-cost, frictionless environment characterized by electronic trading has favored highly liquid, very large capitalization stocks at the expense of smaller capitalization stocks. According to the IPO Task Force Report, the impact of decimalization has been twofold. First, market structure changes associated with decimalization favor short-term trading strategies over long-term fundamental strategies. For smaller public company stocks with lower liquidity, the lack of fundamental strategies results in trading volume that is too low “to make money for the investment bank’s trading desk.” The IPO Task Force Report argues that this lack of profitability undermines the incentive for underwriters to take smaller companies public.

Second, the IPO Task Force Report states that “decimalization . . . put the economic sustainability of sell-side research departments under stress by reducing the spreads and trading commissions that formerly helped to fund research analyst coverage.” The IPO Task Force Report also argues that analyst coverage has significantly shifted away from smaller capitalization stocks towards highly liquid, larger capitalization stocks, reflecting the change in financial institution focus.9 In particular, the IPO Task Force Report suggests that analyst coverage of smaller public companies has become unprofitable both because of the Global Analyst Research Settlement in 2003, which prohibited the direct compensation of research analysts through investment banking revenue, and the advent of decimalization, which reduced spreads that formerly helped fund analyst coverage. Thus, the IPO Task Force Report concludes, less analyst coverage of smaller capitalization companies means that less information on these stocks is generated, which, in turn, reduces market interest in these stocks.

In many ways this echoes my criticism of the concept of exchange trading for bonds: transparency sounds wonderful, but it leads to a shallower and more brittle market than OTC. However, my perception is that the big problem for smaller companies is the immense cost of prospectus preparation and compliance with regulation for public companies; I think the SEC would be better advised to fix that first, prior to fiddling with market mechanics.

The Nobel Foundation is reaching for yield:

The Nobel Foundation, which this year lopped 20 percent off its cash prizes, is planning to invest more money through hedge funds to boost its returns and restore the award to its previous size.

“When we look at the analysis we see that we can get more return with less risks by doing that,” Executive Director Lars Heikensten said in an interview at the Nobel Foundation’s Stockholm headquarters yesterday. “If we can choose hedge funds that we trust, then we can get better returns for given risks.” The fund “probably shouldn’t” be fully invested in debt securities, he said.

Audit fees and expenses are going up:

Accounting firm Ernst & Young LLP has been accused by regulators of failing to properly scrutinize the books of failed forestry company Sino-Forest Corp., marking a rare case of auditors facing allegations of wrongdoing by the Ontario Securities Commission.

The case was announced Monday just as lawyers for Sino-Forest’s shareholders were also revealing they had reached a record $117-million settlement with E&Y late last week. The settlement is the largest class-action lawsuit payment by an audit firm in Canadian history.

Both developments are expected to have a broad impact on the work of auditors, especially those working for companies like Sino-Forest who trade on Canadian stock exchanges but have all their operations based in another country.

The Canadian preferred share market drifted very slightly upward today, with PerpetualPremiums and DeemedRetractibles up 2bp while FixedResets gained 4bp. There was a surprising amount of volatility, heavily skewed to the upside. Volume was below 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	0.0799 %	2,472.7
FixedFloater	4.16 %	3.51 %	26,315	18.27	1	0.4399 %	3,866.9
Floater	2.79 %	3.00 %	57,798	19.66	4	0.0799 %	2,669.8
OpRet	4.59 %	0.27 %	37,728	0.56	4	0.3326 %	2,600.0
SplitShare	4.68 %	4.81 %	68,941	4.43	2	-0.3854 %	2,844.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.3326 %	2,377.4
Perpetual-Premium	5.25 %	1.86 %	72,080	0.23	30	0.0233 %	2,319.9
Perpetual-Discount	4.85 %	4.89 %	125,425	15.59	4	0.0305 %	2,619.6
FixedReset	4.96 %	2.98 %	212,356	4.32	75	0.0446 %	2,447.5
Deemed-Retractible	4.91 %	2.63 %	118,517	0.88	46	0.0195 %	2,406.9

Performance Highlights
Issue	Index	Change	Notes
ELF.PR.H	Perpetual-Premium	-1.42 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.68 Bid-YTW : 5.23 %
IAG.PR.G	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.02 Bid-YTW : 3.27 %
POW.PR.G	Perpetual-Premium	1.12 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-04-15 Maturity Price : 26.00 Evaluated at bid price : 27.16 Bid-YTW : 4.46 %
GWO.PR.N	FixedReset	1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.88 Bid-YTW : 3.49 %
MFC.PR.G	FixedReset	1.38 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.56 %
BAM.PR.O	OpRet	1.53 %	YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 0.27 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PR.G	FixedReset	72,795	RBC sold 10,000 to Scotia at 26.63, then crossed blocks of 22,500 and 20,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.61 Bid-YTW : 1.98 %
BAM.PF.C	Perpetual-Discount	52,449	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-03 Maturity Price : 24.23 Evaluated at bid price : 24.60 Bid-YTW : 4.94 %
BMO.PR.Q	FixedReset	33,023	RBC crossed 24,800 at 25.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 3.02 %
BNS.PR.R	FixedReset	32,890	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 3.52 %
CM.PR.D	Perpetual-Premium	30,850	RBC crossed 20,000 at 25.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-02 Maturity Price : 25.00 Evaluated at bid price : 25.92 Bid-YTW : -29.40 %
TD.PR.I	FixedReset	29,405	RBC bought 16,300 from anonymous at 26.87. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.88 Bid-YTW : 1.98 %
There were 26 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BNA.PR.C	SplitShare	Quote: 24.05 – 24.30 Spot Rate : 0.2500 Average : 0.1592 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 5.10 %
ELF.PR.H	Perpetual-Premium	Quote: 25.68 – 25.94 Spot Rate : 0.2600 Average : 0.1711 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.68 Bid-YTW : 5.23 %
BMO.PR.L	Deemed-Retractible	Quote: 26.62 – 26.86 Spot Rate : 0.2400 Average : 0.1835 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-25 Maturity Price : 26.00 Evaluated at bid price : 26.62 Bid-YTW : 0.77 %
W.PR.H	Perpetual-Premium	Quote: 25.69 – 25.95 Spot Rate : 0.2600 Average : 0.2118 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-15 Maturity Price : 25.00 Evaluated at bid price : 25.69 Bid-YTW : -11.12 %
ENB.PR.A	Perpetual-Premium	Quote: 25.95 – 26.15 Spot Rate : 0.2000 Average : 0.1527 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-02 Maturity Price : 25.00 Evaluated at bid price : 25.95 Bid-YTW : -35.89 %
ELF.PR.F	Perpetual-Premium	Quote: 25.45 – 25.65 Spot Rate : 0.2000 Average : 0.1533 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-02 Maturity Price : 25.25 Evaluated at bid price : 25.45 Bid-YTW : 3.82 %

I have long been amused that monetary loosening intended to provoke investment in productivity enhancing endeavors has instead had the result of inflating housing bubbles; and now Citibank says there’s another problem:

Worldwide quantitative easing may be making investors richer rather than encouraging business investment, according to Citigroup Inc. (C)

Fulfilling the goals of central bankers such as Federal Reserve Chairman Ben S. Bernanke, ultra-low interest rates and bond purchases are encouraging investors to buy stocks. Policy makers’ intent was that asset prices and wealth would rise, encouraging consumers and businesses to spend more.

The sticking point is the particular equities investors are favoring, Robert Buckland, Citigroup’s London-based chief global equity strategist, said in a Nov. 21 report. His research suggests they tend to choose companies that issue dividends and buy back shares rather than those that invest in the economy.

It was a modest day in the Canadian preferred share market, with PerpetualPremiums up 4bp while FixedResets and DeemedRetractibles both gained 2bp. Volatility was low but entirely comprised of losers. Volume was high.

And that’s it for another month!

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	0.1600 %	2,470.7
FixedFloater	4.18 %	3.53 %	27,289	18.24	1	0.3532 %	3,849.9
Floater	2.80 %	3.00 %	58,323	19.66	4	0.1600 %	2,667.7
OpRet	4.61 %	2.67 %	49,529	0.54	4	-0.2937 %	2,591.4
SplitShare	5.45 %	4.85 %	66,461	4.44	3	0.0000 %	2,855.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2937 %	2,369.6
Perpetual-Premium	5.25 %	1.71 %	72,608	0.23	30	0.0362 %	2,319.4
Perpetual-Discount	4.86 %	4.89 %	125,232	15.58	4	0.2651 %	2,618.8
FixedReset	5.00 %	2.98 %	210,799	4.17	75	0.0176 %	2,446.4
Deemed-Retractible	4.91 %	2.39 %	116,928	0.48	46	0.0178 %	2,406.4

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.G	FixedReset	-1.55 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 3.93 %
BAM.PR.O	OpRet	-1.47 %	YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 2.95 %
GWO.PR.N	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 3.68 %

Volume Highlights
Issue	Index	Shares Traded	Notes
FTS.PR.J	Perpetual-Premium	186,070	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 4.68 %
BMO.PR.P	FixedReset	185,604	National crossed blocks of 40,000 shares, 49,800 and 80,000, all at 26.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.65 Bid-YTW : 2.40 %
TD.PR.K	FixedReset	144,246	Nesbitt crossed 35,000 at 26.90; RBC crossed 100,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.85 Bid-YTW : 2.05 %
TD.PR.S	FixedReset	128,253	RBC crossed 100,000 at 24.72. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.72 Bid-YTW : 3.27 %
TD.PR.Q	Deemed-Retractible	127,800	Scotia crossed 75,000 at 26.50, then bought blocks of 14,200 shares, 10,800 and 12,400 from Nesbitt at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-31 Maturity Price : 26.00 Evaluated at bid price : 26.45 Bid-YTW : -2.16 %
BAM.PF.C	Perpetual-Discount	106,760	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-11-30 Maturity Price : 24.21 Evaluated at bid price : 24.58 Bid-YTW : 4.94 %
There were 41 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.O	OpRet	Quote: 25.51 – 26.01 Spot Rate : 0.5000 Average : 0.3118 YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 2.95 %
MFC.PR.G	FixedReset	Quote: 25.40 – 25.78 Spot Rate : 0.3800 Average : 0.2113 YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 3.93 %
MFC.PR.A	OpRet	Quote: 25.63 – 26.22 Spot Rate : 0.5900 Average : 0.4486 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-06-19 Maturity Price : 25.50 Evaluated at bid price : 25.63 Bid-YTW : 2.74 %
IAG.PR.F	Deemed-Retractible	Quote: 26.53 – 26.77 Spot Rate : 0.2400 Average : 0.1457 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-03-31 Maturity Price : 26.00 Evaluated at bid price : 26.53 Bid-YTW : 4.55 %
POW.PR.G	Perpetual-Premium	Quote: 26.86 – 27.19 Spot Rate : 0.3300 Average : 0.2468 YTW SCENARIO Maturity Type : Call Maturity Date : 2019-04-15 Maturity Price : 25.50 Evaluated at bid price : 26.86 Bid-YTW : 4.67 %
SLF.PR.E	Deemed-Retractible	Quote: 23.94 – 24.14 Spot Rate : 0.2000 Average : 0.1332 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.94 Bid-YTW : 5.06 %