Category: Market Action

The FOMC Statement held no surprises:

To promote a stronger pace of economic recovery and to help ensure that inflation, over time, is at levels consistent with its mandate, the Committee decided today to continue expanding its holdings of securities as announced in November. The Committee will maintain its existing policy of reinvesting principal payments from its securities holdings. In addition, the Committee intends to purchase $600 billion of longer-term Treasury securities by the end of the second quarter of 2011, a pace of about $75 billion per month. The Committee will regularly review the pace of its securities purchases and the overall size of the asset-purchase program in light of incoming information and will adjust the program as needed to best foster maximum employment and price stability.

The Committee will maintain the target range for the federal funds rate at 0 to 1/4 percent and continues to anticipate that economic conditions, including low rates of resource utilization, subdued inflation trends, and stable inflation expectations, are likely to warrant exceptionally low levels for the federal funds rate for an extended period.
…
Voting against the policy was Thomas M. Hoenig. In light of the improving economy, Mr. Hoenig was concerned that a continued high level of monetary accommodation would increase the risks of future economic and financial imbalances and, over time, would cause an increase in long-term inflation expectations that could destabilize the economy.

It occurs to me that Mr. Hoenig is being used – probably with his enthusiastic cooperation – as a straw man. The Fed wants to send an explicit signal that they’ve thought about this, discussed this and reached a concensus to reject this. There’s no shortage of blogs out there claiming hyperinflation is imminent! Given the increased public discussion of economic data, with various levels of competence, one wonders if more public pronouncements by governments and their agencies will set up straw men in their releases and recognize that forecasts are necessarily imprecise.

“The Cabinet today decided that all protesters at G-20 meetings held in Canada will be billy-clubbed. Voting against the motion was the Public Safety Commissioner, who wished to place land-mines in approved protest areas”.

Oh boy, this is just like the old days! The Canadian preferred share market got clobbered today, with PerpetualDiscounts losing 70bp and FixedResets down 12bp. Volume continued at elevated levels.

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.0499 %	2,281.1
FixedFloater	4.73 %	3.22 %	27,492	19.00	1	0.0000 %	3,557.5
Floater	2.62 %	2.40 %	52,063	21.23	4	0.0499 %	2,463.0
OpRet	4.82 %	3.40 %	70,159	2.39	8	-0.1060 %	2,379.8
SplitShare	5.35 %	1.12 %	1,162,643	0.98	4	2.4532 %	2,440.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1060 %	2,176.1
Perpetual-Premium	5.75 %	5.62 %	154,216	13.76	27	-0.4668 %	1,993.6
Perpetual-Discount	5.46 %	5.49 %	274,996	14.68	51	-0.7021 %	1,995.6
FixedReset	5.27 %	3.63 %	369,356	3.16	52	-0.1246 %	2,244.3

Performance Highlights
Issue	Index	Change	Notes
GWO.PR.L	Perpetual-Premium	-8.07 %	Just another dumb quote. the issue traded 1,610 shares today in a range of 24.70-91 before being quoted at 22.77-24.71. No rants today. I’m getting closer to solving the puzzle … just need the results of one more inquiry. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 22.64 Evaluated at bid price : 22.77 Bid-YTW : 6.22 %
FTS.PR.G	FixedReset	-2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 25.11 Evaluated at bid price : 25.20 Bid-YTW : 4.59 %
TD.PR.O	Perpetual-Discount	-1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 22.88 Evaluated at bid price : 23.09 Bid-YTW : 5.31 %
SLF.PR.D	Perpetual-Discount	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 19.43 Evaluated at bid price : 19.43 Bid-YTW : 5.75 %
GWO.PR.I	Perpetual-Discount	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 5.50 %
PWF.PR.K	Perpetual-Discount	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 22.29 Evaluated at bid price : 22.45 Bid-YTW : 5.59 %
RY.PR.W	Perpetual-Discount	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 22.83 Evaluated at bid price : 23.06 Bid-YTW : 5.35 %
HSB.PR.D	Perpetual-Discount	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 22.94 Evaluated at bid price : 23.15 Bid-YTW : 5.41 %
CM.PR.J	Perpetual-Discount	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 21.23 Evaluated at bid price : 21.23 Bid-YTW : 5.38 %
RY.PR.C	Perpetual-Discount	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 21.62 Evaluated at bid price : 21.62 Bid-YTW : 5.37 %
RY.PR.H	Perpetual-Premium	-1.36 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-23 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 5.45 %
SLF.PR.C	Perpetual-Discount	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 19.54 Evaluated at bid price : 19.54 Bid-YTW : 5.72 %
MFC.PR.C	Perpetual-Discount	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 5.79 %
HSB.PR.C	Perpetual-Discount	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 23.04 Evaluated at bid price : 23.27 Bid-YTW : 5.49 %
RY.PR.D	Perpetual-Discount	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.35 %
RY.PR.E	Perpetual-Discount	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.35 %
RY.PR.G	Perpetual-Discount	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.34 %
BAM.PR.J	OpRet	-1.10 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 26.11 Bid-YTW : 4.66 %
RY.PR.A	Perpetual-Discount	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 21.68 Evaluated at bid price : 21.68 Bid-YTW : 5.18 %
BMO.PR.L	Perpetual-Premium	-1.04 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-24 Maturity Price : 25.00 Evaluated at bid price : 25.66 Bid-YTW : 5.41 %
SLF.PR.E	Perpetual-Discount	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.73 %
SLF.PR.G	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 25.20 Evaluated at bid price : 25.25 Bid-YTW : 3.87 %
CM.PR.K	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 26.60 Bid-YTW : 3.65 %
BNA.PR.E	SplitShare	10.82 %	Just a reversal of yesterday’s nonsense. Even after the price drop from Friday’s issue price of $25.00, it’s still hellishly expensive … BNA.PR.C is now quoted at 22.10-32, for a bid-side YTW of 6.25%. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.38 Bid-YTW : 5.30 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CIU.PR.A	Perpetual-Discount	108,550	Nesbitt crossed 75,000 at 21.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 21.44 Evaluated at bid price : 21.75 Bid-YTW : 5.32 %
POW.PR.D	Perpetual-Discount	102,090	Desjardins crossed 73,900 at 22.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 22.56 Evaluated at bid price : 22.75 Bid-YTW : 5.58 %
MFC.PR.B	Perpetual-Discount	91,082	Nesbitt crossed 25,000 at 20.30; T crossed 49,000 at 20.34. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.78 %
TD.PR.Q	Perpetual-Premium	68,701	Nesbitt crossed 50,000 at 25.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-02 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 5.46 %
SLF.PR.A	Perpetual-Discount	58,672	Desjardins crossed 38,500 at 20.92. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 5.72 %
BNS.PR.N	Perpetual-Discount	58,193	Desjardins crossed blocks of 35,000 and 11,200, both at 24.37. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-14 Maturity Price : 23.98 Evaluated at bid price : 24.20 Bid-YTW : 5.50 %
There were 51 other index-included issues trading in excess of 10,000 shares.

CalPERS, the gigantic California pension fund most notable for not doing its own credit analysis, has been told to take a running jump:

Judge Richard Kramer in San Francisco state court said yesterday that the companies’ ratings of three structured investment vehicles that the California Public Employees’ Retirement System lost money on are a form of speech about an issue of public interest that is protected under a state law designed to fend off cases meant to chill public debate.
…
The companies all gave their highest ratings to Cheyne Finance LLC, Stanfield Victoria Funding LLC and Sigma Finance Inc., prompting Calpers to invest $1.3 billion in them in 2006, the fund said in its complaint.

The Australian covered bond market is attracting attention:

Westpac Banking Corp., Commonwealth Bank of Australia, Australia & New Zealand Banking Group Ltd. and National Australia Bank Ltd. may be able to issue three-year covered bonds priced to yield about 50 basis points more than the bank bill swap rate, less than the 85 basis-point spread on senior debt, according to Royal Bank of Scotland Group Plc. Moody’s Investors Service estimates savings of 20 percent.

Covered bonds are “essential weapons as banks look for cheaper and more diversified sources of funding,” John Manning, a credit analyst at RBS in Sydney, said in a telephone interview. Even when global credit markets seized up, European banks “had good access to covered bond markets and were able to access the funding they required at quite commercially acceptable rates,” he said.

The Australian government will amend the law to let financiers issue the securities for the first time, Treasurer Wayne Swan said Dec. 12 as he announced an overhaul package aimed at spurring competition in the banking industry. Global sales of the securities, including Pfandbriefe, as they are known in Germany, have surged 33 percent to a record 329 billion euros ($435 billion) in 2010, according to data compiled by Bloomberg, as investors seek the relative safety of debt backed by both the issuer and an underlying pool of assets.
…
Investors in Europe demand 177 basis points of extra yield to hold covered bonds instead of government debt, according to Bank of America Merrill Lynch’s EMU Covered Bonds index. Spreads average 237 basis points, or 2.37 percentage points, on the region’s financial debt, a separate index shows.

Australia’s government will release draft amendments to the Banking Act to allow the sale of covered securities during the first sitting of Parliament next year, according to a federal document detailing the planned changes.

Allowing covered bonds will help “secure the long-term safety and sustainability” of Australia’s banking system, the document states. Treasury may impose a cap on the amount of covered bonds that each bank can sell, “for example five percent of an issuer’s total Australian assets,” it said.
…
Canadian Imperial Bank of Commerce raised A$750 million in October in the first sale of Australian dollar-denominated covered bonds since the start of the credit crisis in 2007. The Australian laws don’t block overseas banks issuing the notes.

The 5.75 percent notes due December 2013 were priced to yield 91.25 basis points more than similar-maturity government debt, according to a statement at the time. The spread has narrowed to 87 basis points, according to ANZ Bank prices on Bloomberg. A basis point is 0.01 percentage point.

It was clobberin’ time on the Canadian preferred share market, as high volume and losses continued. PerpetualDiscounts got smacked for 42bp, while FixedResets were down 10bp.

The most irritating news of the day was the closing quote on BNA.PR.E, which settled on Friday and has already been forgotten by the underwriters who made a nice little fee for flogging it. It traded 64,885 shares on the day in a range of 24.81-91. So far, so good, right? The closing quote was 22.00-24.80, 20×50. That’s a two dollar and eighty cent spread on issue that closed on the previous trading day. This is a disgrace; the market maker, the exchange and the underwriters should be ashamed of themselves.

One factoid of note is that Scotia was the only broker with any buying interest, responsible for 60,500 of the buy side, leaving only 4,385 for the rest of the street.

Meanwhile, remember GWO.PR.J? It was quoted Friday at 26.40-27.60 after trading 2,457 shares and today traded 5,764 shares in a range of 26.75-95 before closing with a quote of 26.80-60, 1×8.

This is simply not acceptable. Market makers get valuable privileges and if they want to keep them, should be required to earn them.

I have sent the following eMail to the Exchange:

Sirs,

I have not yet received a reply to the eMail below. Can you tell me when I might expect to receive it?

I note additionally that GWO.PR.J had a closing quote 26.40-27.60 on Friday and a quote of 26.80-60. Can you explain why you permit such incompetent market making?

I also note that BNA.PR.E, a new issue which settled on Friday, closed the second trading day of its existence with a quote of 22.00 – 24.80. Why does the Exchange permit such a lackadaisical attitude by those whom it rewards with market making privileges?

I sent the original eMail on December 2.

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	0.2473 %	2,279.9
FixedFloater	4.73 %	3.22 %	27,662	19.00	1	0.0000 %	3,557.5
Floater	2.62 %	2.40 %	51,752	21.24	4	0.2473 %	2,461.7
OpRet	4.81 %	3.46 %	70,954	2.40	8	0.2896 %	2,382.4
SplitShare	5.49 %	0.73 %	118,649	0.99	4	-2.8850 %	2,381.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2896 %	2,178.5
Perpetual-Premium	5.72 %	5.61 %	156,596	6.43	27	-0.1549 %	2,002.9
Perpetual-Discount	5.42 %	5.42 %	272,507	14.74	51	-0.4207 %	2,009.7
FixedReset	5.26 %	3.62 %	365,525	3.11	52	-0.1026 %	2,247.1

Performance Highlights
Issue	Index	Change	Notes
BNA.PR.E	SplitShare	-11.65 %	A disgraceful quote that needs to be explained by the Exchange. See discussion in main post. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 7.09 %
CM.PR.G	Perpetual-Discount	-1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-13 Maturity Price : 23.98 Evaluated at bid price : 24.26 Bid-YTW : 5.63 %
MFC.PR.E	FixedReset	-1.89 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 4.46 %
PWF.PR.E	Perpetual-Discount	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-13 Maturity Price : 23.24 Evaluated at bid price : 24.27 Bid-YTW : 5.70 %
GWO.PR.G	Perpetual-Discount	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-13 Maturity Price : 23.24 Evaluated at bid price : 23.50 Bid-YTW : 5.54 %
MFC.PR.D	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 26.76 Bid-YTW : 4.49 %
GWO.PR.M	Perpetual-Premium	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-13 Maturity Price : 24.31 Evaluated at bid price : 24.52 Bid-YTW : 5.93 %
SLF.PR.A	Perpetual-Discount	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-13 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 5.66 %
SLF.PR.C	Perpetual-Discount	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-13 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 5.64 %
SLF.PR.E	Perpetual-Discount	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-13 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 5.67 %
PWF.PR.F	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-13 Maturity Price : 23.53 Evaluated at bid price : 23.80 Bid-YTW : 5.58 %
TD.PR.S	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2013-08-30 Maturity Price : 25.00 Evaluated at bid price : 25.95 Bid-YTW : 3.67 %
BNS.PR.K	Perpetual-Discount	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-13 Maturity Price : 23.11 Evaluated at bid price : 23.35 Bid-YTW : 5.20 %
GWO.PR.J	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.80 Bid-YTW : 3.43 %

Volume Highlights
Issue	Index	Shares Traded	Notes
PWF.PR.E	Perpetual-Discount	91,420	Scotia crossed blocks of 45,700 and 41,300, both at 24.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-13 Maturity Price : 23.24 Evaluated at bid price : 24.27 Bid-YTW : 5.70 %
CM.PR.K	FixedReset	70,675	TD crossed 11,300 at 26.10; Nesbitt crossed 50,000 at 26.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 26.33 Bid-YTW : 3.95 %
MFC.PR.B	Perpetual-Discount	64,894	RBC crossed 38,400 at 20.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-13 Maturity Price : 20.41 Evaluated at bid price : 20.41 Bid-YTW : 5.73 %
BNA.PR.E	SplitShare	64,885	Recent new issue. See also main post. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 7.09 %
CM.PR.I	Perpetual-Discount	54,804	RBC crossed 35,000 at 22.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-13 Maturity Price : 21.96 Evaluated at bid price : 22.08 Bid-YTW : 5.39 %
CIU.PR.C	FixedReset	40,364	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-13 Maturity Price : 23.13 Evaluated at bid price : 25.00 Bid-YTW : 3.62 %
There were 48 other index-included issues trading in excess of 10,000 shares.

Still no commentary! Sorry, guys, I’m sure next week will be better.

The Canadian preferred share market continued to slide today on above average volume, with PerpetualDiscounts down 21bp and FixedReset losing 13bp. Yield on FixedResets has climbed all the back up to 3.58%, which is a big difference from just over a month ago when it set a new all-time low of 2.88%. The current all-time low of 2.84% was reached on November 10.

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	0.0125 %	2,274.3
FixedFloater	4.73 %	3.21 %	27,723	19.02	1	0.0000 %	3,557.5
Floater	2.62 %	2.39 %	53,906	21.26	4	0.0125 %	2,455.7
OpRet	4.80 %	3.48 %	71,437	2.37	8	0.1828 %	2,375.5
SplitShare	5.33 %	0.72 %	1,258,989	0.99	4	-0.4278 %	2,452.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1828 %	2,172.2
Perpetual-Premium	5.71 %	5.53 %	155,289	6.44	27	-0.2139 %	2,006.1
Perpetual-Discount	5.39 %	5.39 %	273,259	14.77	51	-0.2084 %	2,018.2
FixedReset	5.25 %	3.58 %	369,111	3.12	52	-0.1307 %	2,249.4

Performance Highlights
Issue	Index	Change	Notes
POW.PR.D	Perpetual-Discount	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-10 Maturity Price : 22.67 Evaluated at bid price : 22.86 Bid-YTW : 5.55 %
BNS.PR.K	Perpetual-Discount	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-10 Maturity Price : 22.81 Evaluated at bid price : 23.03 Bid-YTW : 5.27 %
BNS.PR.N	Perpetual-Discount	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-10 Maturity Price : 24.05 Evaluated at bid price : 24.27 Bid-YTW : 5.47 %
CIU.PR.A	Perpetual-Discount	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-10 Maturity Price : 21.52 Evaluated at bid price : 21.52 Bid-YTW : 5.39 %
PWF.PR.P	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-10 Maturity Price : 25.17 Evaluated at bid price : 25.22 Bid-YTW : 4.08 %
GWO.PR.H	Perpetual-Discount	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-10 Maturity Price : 22.89 Evaluated at bid price : 23.10 Bid-YTW : 5.25 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNA.PR.E	SplitShare	190,750	New issue settled today. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 4.93 %
BNS.PR.Q	FixedReset	105,870	TD crossed two blocks of 50,000 each, both at 26.10. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-11-24 Maturity Price : 25.00 Evaluated at bid price : 25.91 Bid-YTW : 3.84 %
BNS.PR.T	FixedReset	81,560	RBC crossed blocks of 20,000 and 50,000, both at 27.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.45 Bid-YTW : 3.49 %
RY.PR.L	FixedReset	70,786	RBC crossed two blocks of 30,000 each, both at 26.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.44 Bid-YTW : 3.78 %
GWO.PR.I	Perpetual-Discount	66,740	Nesbitt crossed 50,000 at 21.12. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-10 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 5.36 %
BAM.PR.T	FixedReset	31,940	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-10 Maturity Price : 23.08 Evaluated at bid price : 24.96 Bid-YTW : 4.56 %
There were 47 other index-included issues trading in excess of 10,000 shares.

No commentary at all today … it’s PrefLetter week! I have been grateful for the response to my request for spreadsheet testers, but the more the merrier! I need comments prior to about 11:59pm Sunday, but the need is there until then.

Volume on the Canadian preferred share market eased off to merely above average levels, but prices took a beating, with PerpetualDiscounts down 25bp and FixedResets losing 20bp.

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	0.2876 %	2,274.0
FixedFloater	4.73 %	3.21 %	28,829	19.02	1	0.0000 %	3,557.5
Floater	2.62 %	2.40 %	54,547	21.24	4	0.2876 %	2,455.3
OpRet	4.81 %	3.47 %	71,718	2.37	8	-0.0529 %	2,371.2
SplitShare	5.46 %	0.72 %	120,921	1.00	3	0.3017 %	2,463.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0529 %	2,168.2
Perpetual-Premium	5.70 %	5.53 %	152,546	5.43	27	-0.0329 %	2,010.4
Perpetual-Discount	5.38 %	5.40 %	280,094	14.77	51	-0.2475 %	2,022.4
FixedReset	5.25 %	3.54 %	367,935	3.12	52	-0.2025 %	2,252.3

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.J	OpRet	-1.59 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 26.61 Bid-YTW : 4.55 %
SLF.PR.A	Perpetual-Discount	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 5.60 %
CM.PR.K	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 26.50 Bid-YTW : 3.74 %
TRP.PR.C	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 25.13 Evaluated at bid price : 25.18 Bid-YTW : 4.00 %
GWO.PR.H	Perpetual-Discount	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 22.60 Evaluated at bid price : 22.79 Bid-YTW : 5.32 %
IAG.PR.C	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.45 Bid-YTW : 4.08 %
BAM.PR.K	Floater	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 2.94 %
CM.PR.M	FixedReset	2.16 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.89 Bid-YTW : 3.40 %
BAM.PR.I	OpRet	2.34 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2011-01-08 Maturity Price : 25.50 Evaluated at bid price : 25.85 Bid-YTW : 1.13 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.B	Perpetual-Discount	98,407	Nesbitt crossed three blocks, each of 25,000 at 20.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 5.66 %
FTS.PR.H	FixedReset	90,961	Nesbitt crossed 80,000 at 25.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 25.30 Evaluated at bid price : 25.35 Bid-YTW : 3.83 %
NA.PR.N	FixedReset	80,990	Desjadins crossed blocks of 50,000 and 27,900, both at 26.40. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-09-14 Maturity Price : 25.00 Evaluated at bid price : 26.36 Bid-YTW : 3.37 %
BNS.PR.P	FixedReset	57,143	Nesbitt crossed 38,500 at 26.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.88 Bid-YTW : 3.70 %
BNS.PR.K	Perpetual-Discount	55,840	Nesbitt bought 10,000 from RBC at 23,50, then crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 23.15 Evaluated at bid price : 23.39 Bid-YTW : 5.19 %
PWF.PR.K	Perpetual-Discount	55,573	Nesbitt crossed 50,000 at 23.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 22.80 Evaluated at bid price : 23.00 Bid-YTW : 5.44 %
There were 40 other index-included issues trading in excess of 10,000 shares.

American banks are getting more competitive:

U.S. bank bonds are about the safest on record relative to debt from European financial institutions as a growing economy allows Citigroup Inc. to wean itself off government support and a fiscal crisis roils Europe.

The average cost of protecting the notes of the six biggest U.S. banks including Citigroup and JPMorgan Chase & Co. against default fell to 12.16 basis points below the Markit iTraxx Financial Index of 25 European banks and insurers. Credit- default swaps on U.S. banks were 341 basis points higher than their European counterparts at the height of the credit crisis in October 2008.

Governments world-wide continued to express their contempt for the judicial process:

MasterCard and London-based Visa Europe Ltd. said yesterday that they are suspending use of their networks by WikiLeaks after the anti-secrecy group released thousands of clandestine U.S. military and State Department documents. The actions are the latest in a series by companies that may crimp access to funds for WikiLeaks, a nonprofit that relies on donations.
…
Simon Kleine, a spokesman for Visa Europe, declined to comment beyond a company statement yesterday that said it had suspended payment acceptance on WikiLeaks’ website “pending further investigation into the nature of its business and whether it contravenes Visa operating rules.”
…
Chris Monteiro, MasterCard’s chief spokesman, has said that the company didn’t receive a request from the U.S. government or any third party before cutting off WikiLeaks. “This decision was MasterCard’s alone,” he said yesterday.

Volume remained high in the Canadian preferred share market, as PerpetualDiscounts lost 5bp and FixedResets gained 10bp.

PerpetualDiscounts now yield 5.38%, equivalent to 7.53% interest at the standard equivalency factor of 1.4x. Long Corporates now yield about 5.5%, so the pre-tax interest equivalent spread (also called the Seniority Spread) is now about 200bp, a tightening from the 210bp reported on December 1 that has been accomplished solely through an increase in yield for the bonds.

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	-0.3489 %	2,267.5
FixedFloater	4.73 %	3.21 %	29,979	19.03	1	0.0000 %	3,557.5
Floater	2.63 %	2.40 %	54,961	21.24	4	-0.3489 %	2,448.3
OpRet	4.80 %	3.44 %	86,341	2.38	8	-0.0913 %	2,372.4
SplitShare	5.48 %	1.01 %	119,371	1.00	3	-0.1473 %	2,455.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0913 %	2,169.3
Perpetual-Premium	5.70 %	5.45 %	158,298	5.45	27	0.1033 %	2,011.0
Perpetual-Discount	5.37 %	5.38 %	280,812	14.79	51	-0.0457 %	2,027.4
FixedReset	5.24 %	3.50 %	376,460	3.12	52	0.1046 %	2,256.9

Performance Highlights
Issue	Index	Change	Notes
CM.PR.M	FixedReset	-2.12 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.30 Bid-YTW : 4.05 %
BAM.PR.J	OpRet	-1.17 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 26.00 Evaluated at bid price : 27.04 Bid-YTW : 4.25 %
PWF.PR.A	Floater	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-08 Maturity Price : 21.50 Evaluated at bid price : 21.76 Bid-YTW : 2.40 %
RY.PR.R	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.48 Bid-YTW : 3.19 %
PWF.PR.E	Perpetual-Discount	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-08 Maturity Price : 23.36 Evaluated at bid price : 24.56 Bid-YTW : 5.61 %
GWO.PR.J	FixedReset	2.47 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.60 Bid-YTW : 3.67 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.X	FixedReset	98,015	TD crossed 95,000 at 27.52. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.52 Bid-YTW : 3.42 %
IGM.PR.B	Perpetual-Premium	94,313	RBC crossed three blocks, of 45,000 shares, 28,500 and 10,000, all at 25.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-08 Maturity Price : 24.85 Evaluated at bid price : 25.07 Bid-YTW : 5.96 %
RY.PR.T	FixedReset	85,400	RBC crossed 75,000 at 27.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 27.51 Bid-YTW : 3.50 %
TD.PR.K	FixedReset	82,595	RBC crossed 72,500 at 27.55. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.56 Bid-YTW : 3.53 %
RY.PR.I	FixedReset	82,056	RBC crossed 74,500 at 26.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.20 Bid-YTW : 3.47 %
TD.PR.I	FixedReset	76,977	RBC crossed 74,500 at 27.55. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.50 Bid-YTW : 3.59 %
There were 57 other index-included issues trading in excess of 10,000 shares.

The David Berry Saga keeps grinding on:

David Berry has lost another bid to toss out disciplinary action taken against him by IIROC (Investment Industry Regulators of Canada).

The Divisional Court of the Ontario Court of Justice dismissed Berry’s attempt to block an action commenced against him by market regulation services, a forerunner of IIROC. Berry had previously asked the Ontario Securities Commission to block the disciplinary action, but the OSC dismissed the matter in September 2009. That’s why Berry took the matter to Ontario’s Divisional Court, which is often the venue for appeals of administrative decisions.

A news release from IIROC says Berry’s challenge was dismissed on Nov. 26, but it refers you to the court’s written decision for more details. As of this moment, those reasons aren’t on CanLII.

It has been so long since any news on this matter that I was beginning to think it had been quietly settled! Long time Assiduous Readers will remember that David Berry was Scotia’s pref trader for several years and made them literally hundreds of millions of dollars, of which he got a percentage. Scotia’s executives then demonstrated their levels of personal integrity by putting a rather large team of accountants and lawyers on the case to dig up any picayune regulatory infractions he might have committed in order to gain negotiating power over a new contract, a process in which IIROC was pleased to participate.

The Europeans think they’ve done enough:

European finance ministers ruled out immediate aid for Portugal and Spain or an increase in the 750 billion-euro ($1 trillion) crisis fund, counting on European Central Bank bond purchases to calm debt-spooked markets.

A week after handing Ireland an 85 billion-euro lifeline, the finance chiefs voiced confidence that Spain and Portugal will tame their budget deficits and said the existing credit line is enough to defend them in an emergency.
…
A 22-week high in ECB bond-buying brought a respite from speculative attacks, masking divisions between the 16 euro-area governments over the next steps to fight the explosion of debt that threatens the currency.

Meanwhile, the US sold its Citigroup stake, bringing the North American situation closer to a common or garden (albeit very nasty) recession.

There is still another three weeks odd to go, but the following effort from a major bank/dealer has a lock on the covetted PrefBlog “Most Asinine Investment Advice of 2010” Award:

The Canadian preferred share market got hit today on very heavy volume, with PerpetualDiscounts down 17bp and FixedResets losing 21bp.

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	-0.1493 %	2,275.4
FixedFloater	4.73 %	3.20 %	28,903	19.04	1	-0.0435 %	3,557.5
Floater	2.62 %	2.37 %	53,338	21.32	4	-0.1493 %	2,456.9
OpRet	4.80 %	3.47 %	86,735	2.38	8	-0.1822 %	2,374.6
SplitShare	5.47 %	1.20 %	118,890	1.00	3	-0.1871 %	2,459.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1822 %	2,171.3
Perpetual-Premium	5.70 %	5.42 %	157,066	5.44	27	-0.2282 %	2,008.9
Perpetual-Discount	5.37 %	5.38 %	282,382	14.75	51	-0.1696 %	2,028.4
FixedReset	5.24 %	3.57 %	352,310	3.12	52	-0.2095 %	2,254.5

Performance Highlights
Issue	Index	Change	Notes
IAG.PR.C	FixedReset	-2.50 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.52 Bid-YTW : 3.98 %
BAM.PR.I	OpRet	-2.02 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2012-07-30 Maturity Price : 25.00 Evaluated at bid price : 25.28 Bid-YTW : 5.47 %
MFC.PR.E	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 26.54 Bid-YTW : 3.84 %
GWO.PR.H	Perpetual-Discount	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-07 Maturity Price : 22.75 Evaluated at bid price : 22.95 Bid-YTW : 5.28 %
FTS.PR.G	FixedReset	-1.54 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-01 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 4.33 %
GWO.PR.M	Perpetual-Premium	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-07 Maturity Price : 24.62 Evaluated at bid price : 24.84 Bid-YTW : 5.84 %
TD.PR.K	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.41 Bid-YTW : 3.69 %
MFC.PR.C	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-07 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 5.62 %
GWO.PR.I	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-07 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 5.36 %
POW.PR.D	Perpetual-Discount	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-07 Maturity Price : 23.45 Evaluated at bid price : 23.70 Bid-YTW : 5.35 %
BNS.PR.P	FixedReset	1.44 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-25 Maturity Price : 25.00 Evaluated at bid price : 26.12 Bid-YTW : 3.28 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.M	FixedReset	121,458	Desjardins crossed 70,300 at 26.22; TD crossed 40,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-09-24 Maturity Price : 25.00 Evaluated at bid price : 26.21 Bid-YTW : 3.17 %
BNS.PR.T	FixedReset	106,447	RBC crossed blocks of 50,000 and 47,400, both at 27.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.40 Bid-YTW : 3.53 %
BMO.PR.P	FixedReset	72,177	Nesbitt crossed 50,000 at 27.22. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-03-27 Maturity Price : 25.00 Evaluated at bid price : 27.23 Bid-YTW : 3.19 %
RY.PR.X	FixedReset	61,218	RBC crossed blocks of 37,900 and 11,100, both at 27.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 27.55 Bid-YTW : 3.48 %
CM.PR.J	Perpetual-Discount	50,702	RBC crossed 35,000 at 21.99. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-07 Maturity Price : 21.86 Evaluated at bid price : 21.97 Bid-YTW : 5.18 %
MFC.PR.A	OpRet	47,800	RBC crossed 37,100 at 25.65. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 25.71 Bid-YTW : 3.47 %
There were 75 other index-included issues trading in excess of 10,000 shares.

Germany is convinced that European investments are a risky proposition:

European officials voiced divisions over the steps needed to stop the sovereign debt crisis as Germany opposes increasing the 750 billion-euro ($1 trillion) bailout fund and the introduction of joint European bonds.

Belgian Finance Minister Didier Reynders told reporters on Dec. 4 that the fund might be expanded if ministers decide to introduce a larger permanent facility when the current temporary one expires, breaking ranks with German Chancellor Angela Merkel and France’s Nicolas Sarkozy. Luxembourg and Italy today called for the creation of joint European bonds, a move rebuffed by Germany Finance Minister Wolfgang Schaeuble.
…
Today’s meeting comes after Luxembourg Finance Minister Jean-Claude Juncker and Italian counterpart Giulio Tremonti wrote a letter to the FT calling for the introduction of a joint European government bond.

“E-Bonds” would be sold by a European Debt Agency, which could be created as early as this month and finance as much as 50 percent of the issuances by EU members to create a deep market, they said. A switch would also be offered between E- Bonds and current government bonds.

German Deputy Finance Minister Joerg Asmussen on Dec. 3 rejected such a move because it wouldn’t encourage countries to fix their finances.

It was a muted day overall on the Canadian preferred share market, with PerpetualDiscounts up 6bp and FixedResets losing 5bp. There was some decent volatility, as shown on the performance highlights, and volume remained high.

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.0996 %	2,278.8
FixedFloater	4.73 %	3.20 %	28,454	19.05	1	0.0000 %	3,559.0
Floater	2.61 %	2.36 %	53,667	21.36	4	0.0996 %	2,460.5
OpRet	4.79 %	3.16 %	68,773	2.38	8	0.2163 %	2,378.9
SplitShare	5.46 %	1.39 %	119,715	1.00	3	0.1472 %	2,464.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2163 %	2,175.3
Perpetual-Premium	5.69 %	5.44 %	153,990	5.38	27	0.1252 %	2,013.5
Perpetual-Discount	5.36 %	5.38 %	284,090	14.78	51	0.0611 %	2,031.8
FixedReset	5.23 %	3.48 %	352,034	3.13	52	-0.0511 %	2,259.3

Performance Highlights
Issue	Index	Change	Notes
GWO.PR.J	FixedReset	-3.35 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 4.47 %
BNS.PR.P	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.90 %
RY.PR.N	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.27 Bid-YTW : 3.38 %
MFC.PR.B	Perpetual-Discount	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-06 Maturity Price : 20.88 Evaluated at bid price : 20.88 Bid-YTW : 5.59 %
MFC.PR.E	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 26.98 Bid-YTW : 3.36 %
BNS.PR.X	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.45 Bid-YTW : 3.49 %
BAM.PR.I	OpRet	2.67 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2011-01-05 Maturity Price : 25.50 Evaluated at bid price : 25.80 Bid-YTW : 3.16 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.X	FixedReset	65,687	Nesbitt crossed 50,000 at 27.54. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 27.50 Bid-YTW : 3.53 %
SLF.PR.D	Perpetual-Discount	53,626	TD crossed 25,000 at 20.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-06 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 5.48 %
BNS.PR.T	FixedReset	52,678	Nesbitt crossed 50,000 at 27.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.50 Bid-YTW : 3.41 %
CL.PR.B	Perpetual-Premium	51,300	Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2011-01-30 Maturity Price : 25.00 Evaluated at bid price : 24.94 Bid-YTW : 5.06 %
TRP.PR.C	FixedReset	46,039	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-06 Maturity Price : 25.24 Evaluated at bid price : 25.29 Bid-YTW : 3.98 %
GWO.PR.N	FixedReset	45,715	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-06 Maturity Price : 24.42 Evaluated at bid price : 24.47 Bid-YTW : 3.72 %
There were 53 other index-included issues trading in excess of 10,000 shares.

The inherent contradictions of the brokerage business continue to cause problems:

Social media sites such as LinkedIn and Twitter are redefining the way businesses reach their customers. Securities firms are largely absent from the revolution.
…
The U.S. Securities and Exchange Commission, which regulates the securities industry, says all broker stock recommendations must be ‘‘suitable” for individual clients by measuring their risk tolerance, security holdings, income, net worth and investment objectives, according to the agency’s website. Tweeting a stock pick or posting it on Facebook generally breaks this rule, said David Sobel, executive vice president and compliance officer at New York-based Abel/Noser Corp., which helps clients lower trading costs and does allow its employees to use LinkedIn for networking.

Stockbrokers are salesmen; the “suitability” rule is nonsense. One step forward would be to change their registration title to “Salesman” and prohibit their use of any other title. Anybody who wants to think about “suitability” or “advice” should be a fiduciary and be required to publish their track record.

As suggested yesterday, the debt panel’s recommendations did not win enough of a supermajority:

The seven votes against the plan were enough to sink it, even though 11 of the 18 members voted in favor, because 14 were needed to forward the proposal to Congress for consideration. Five of the six senators on the panel backed the plan, as did five of the six unelected officials. Five of six House members opposed it, with the sole support coming from South Carolina Democrat John Spratt, who was defeated in the Nov. 2 election.

I continue to believe the US will not take its fiscal problems seriously until the President gets a call from the Treasury secretary asking him to play bond salesman. The Hot Air blog which, as far as I can tell, is a mouthpiece for the Republican party, claims to want to reduce the deficit but only if it’s done through spending cuts. That would be nice, folks, and it may even be the best solution, but nothing will last until there is a bipartisan consensus.

Meanwhile, Baucus (who was on the committee and voted no) has been busy:

U.S. Senate Finance Committee Chairman Max Baucus, a Montana Democrat, omitted a provision to boost tax rates on so- called carried interest from a bill to extend Bush-era tax cuts for middle-income Americans that is set for a Senate vote tomorrow. The bill also would renew dozens of expired business tax breaks to which the carried interest proposal had been attached as a budget-balancing measure.
…
Since winning control of Congress in 2006, Democrats have made taxing such income at ordinary rates a priority. The House voted in May to tax three quarters of carried interest as wages. While the Senate trimmed it back further to a 50-50 split in June, objections from Republicans and some Democrats blocked the proposal from being considered on the floor.

The Obama administration has proposed taxing carried interest as ordinary income in each of its annual budget proposals.

Can’t be too smug about all this, though, because there’s no plan for balancing the books in Canada either – although, with Spend-Every-Penny in charge, that’s scarcely a surprise.

But Spain is getting serious:

Spain’s Cabinet yesterday raised tax on tobacco and set a date for a pension overhaul, two days after saying it plans to raise about 14 billion euros ($18.4 billion) from selling stakes in the airport operator and lottery company.

“Time has run out; we have been talking for months,” Deputy Prime Minister Alfredo Perez Rubalcaba told reporters, referring to the pension plan. “We are going to work even harder to reach agreements.”

The Basel Committee has announced that it:

agreed on the details of the Basel III rules text, which includes global regulatory standards on capital adequacy and liquidity. The liquidity coverage ratio and the net stable funding ratio will be subject to an observation period and will include a review clause to address any unintended consequences.
…
The Committee expects to publish the Basel III rules text by the end of this year.
…
In addition, the Committee reviewed issues related to globally systemic banking institutions. Such banks should have loss-absorbing capacity beyond the Basel III standards and work on this topic continues in the Committee and the Financial Stability Board (FSB). The Committee reviewed a provisional methodology comprising both quantitative and qualitative indicators to assist national authorities in assessing the systemic importance of financial institutions at the global level. It will send a paper on these topics to the FSB by the end of this year for its review. The Committee will complete by mid-2011 a study of the magnitude of additional loss absorbency that global systemically important banks should have. It is also assessing the extent of going-concern loss absorbency that could be provided by different instruments. This review will be completed by mid-2011.

Taking account of comments received during a recent public consultation, the Committee agreed on key elements of the proposal to ensure the loss absorbency of regulatory capital at the point of non-viability and will elaborate the rules concerning transitional arrangements and grandfathering.

Mention of a leverage cap is conspicuous by its absence. DBRS has concluded there will be no credit effect on Canadian banks.

BIS has also published a working paper by Ilhyock Shim and Haibin Zhu titled The impact of CDS trading on the bond market: evidence from Asia:

This paper investigates the impact of CDS trading on the development of the bond market in Asia. In general, CDS trading has lowered the cost of issuing bonds and enhanced the liquidity in the bond market. The positive impact is stronger for smaller firms, non-financial firms and those firms with higher liquidity in the CDS market. These empirical findings support the diversification and information hypotheses in the literature. Nevertheless, CDS trading has also introduced a new source of risk. There is strong evidence that, at the peak of the recent global financial crisis, those firms included in CDS indices faced higher bond yield spreads than those not included.

Very soon trading will become a cooperative game and everybody will win without risk – if only the CFTC enforces enough rules:

The CFTC in October said it was seeking public comment on whether and how to regulate potentially disruptive practices including algorithmic trading and “spoofing,” in which someone enters a bid or offer with the intent of canceling it before the trade is carried out.
…
Though the Dodd-Frank law expressly prohibits spoofing, Joel Hasbrouck, a professor at New York University, said that a rule tailored to that practice would likely be too narrow. “I think it is going to be based on intent,” he said. “And I would not be in the position of wanting to have to define it.”

The CFTC request for comments takes particular aim at algorithms:

15. Should the Commission consider promulgating rules to regulate the use of algorithmic or automated trading systems to prevent disruptive trading practices? If so, what kinds of rules should the Commission consider?

16. Should the Commission consider promulgating rules to regulate the design of algorithmic or automated trading systems to prevent disruptive trading practices? If so, what kinds of rules should the Commission consider?

17. Should the Commission consider promulgating rules to regulate the supervision and monitoring of algorithmic or automated trading systems to prevent disruptive trading practices? If so, what kinds of rules should the Commission consider?

18. Should the Commission promulgate additional rules specifically applicable to the use of algorithmic trading methodologies and programs that are reasonably necessary to prevent algorithmic trading systems from disrupting fair and equitable markets? If so, what kinds of rules should the Commission consider?

19. Should algorithmic traders be held accountable if they disrupt fair and equitable trading? If so, how?

Last I heard, there needed to be two parties to a trade. If they have agreed on the price, what’s unfair?

Themis Trading notes approvingly:

A new front has been opened up by the CFTC on the battle against HFT.

Police Chief Blair has admitted that his remarks on the arrest of Adam Nobody were completely devoid of factual basis:

Toronto Police Chief Bill Blair publicly apologized Friday to G20 protester Adam Nobody for suggesting he was armed and violent when arrested by police.

Chief Blair said there is no evidence Mr. Nobody was armed at the time of his arrest.

He also said he regretted that his comments in a radio interview created a false impression that the video of Mr. Nobody’s takedown, captured in two segments by bank employee John Bridge, had been doctored in an attempt to mislead.

So that’s how seriously the Toronto Police Force takes well-supported allegations of excessive force: automatic denial, blaming of the victim and making no effort whatsoever to ascertain the facts. We are poorly served and protected.

And, as long as I’m updating that story (discussed December 1, I’ll also update the Emil Cohen story:

The principal’s decision to suspend Cohen, 17, was one Northern’s principal made with a “heavy heart,” said Supt. Ian Allison.

“The issue here is not the speech itself,” he said. “The issue is there was a process and he didn’t follow through.”
…
The school has countered that the speech he read wasn’t an approved version and he disobeyed his teacher.

I love the contradiction there. ‘The issue isn’t censorship, the issue is that we think he didn’t submit to the censorship process to our satisfaction.’ Never mind, Emil – even if you aren’t on the way to university, most of your classmates are, and there you will all be able to criticize your professors and the administration to your heart’s content – generally speaking, they feel secure enough in their competence to avoid hysterical responses to criticism (informed and otherwise; respectful and otherwise). It’s just too bad Toronto’s secondary school system hasn’t done anything to help you learn to deal with that freedom.

The Canadian preferred share market bounced today and recovered a portion of yesterday’s losses, with PerpetualDiscounts gaining 12 bp (down 38bp yesterday) and Fixed Resets up 13bp (down 58bp yesterday). However, the FixedReset index would have lost today if it hadn’t been for the reinstatement of a reasonable quote for GWO.PR.J, so don’t break out the champagne just yet. Volume was down from yesterday’s peak, but still quite 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	0.2497 %	2,276.6
FixedFloater	4.73 %	3.19 %	28,358	19.06	1	1.0984 %	3,559.0
Floater	2.62 %	2.35 %	53,182	21.37	4	0.2497 %	2,458.1
OpRet	4.80 %	3.50 %	81,172	2.42	8	-0.2062 %	2,370.9
SplitShare	5.47 %	1.37 %	121,161	1.01	3	0.0603 %	2,460.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2062 %	2,168.0
Perpetual-Premium	5.70 %	5.47 %	155,220	5.39	27	0.1290 %	2,011.0
Perpetual-Discount	5.36 %	5.40 %	284,327	14.79	51	0.1155 %	2,030.6
FixedReset	5.23 %	3.45 %	354,103	3.13	52	0.1283 %	2,260.4

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.I	OpRet	-2.41 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2013-12-30 Maturity Price : 25.00 Evaluated at bid price : 25.13 Bid-YTW : 5.70 %
MFC.PR.B	Perpetual-Discount	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-03 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 5.65 %
TD.PR.O	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-03 Maturity Price : 23.50 Evaluated at bid price : 23.75 Bid-YTW : 5.15 %
BAM.PR.G	FixedFloater	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-03 Maturity Price : 22.84 Evaluated at bid price : 23.01 Bid-YTW : 3.19 %
MFC.PR.E	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 26.67 Bid-YTW : 3.69 %
PWF.PR.K	Perpetual-Discount	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-03 Maturity Price : 22.80 Evaluated at bid price : 23.00 Bid-YTW : 5.44 %
RY.PR.N	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.60 Bid-YTW : 2.96 %
GWO.PR.I	Perpetual-Discount	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-03 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.32 %
GWO.PR.L	Perpetual-Premium	1.46 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.62 %
CIU.PR.A	Perpetual-Discount	1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-03 Maturity Price : 21.55 Evaluated at bid price : 21.90 Bid-YTW : 5.27 %
GWO.PR.J	FixedReset	8.42 %	A bounce from yesterday’s nonsense. To my complete astonishment, the Toronto Stock Exchange has not yet responded to my queries regarding yesterday’s quote. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.90 Bid-YTW : 3.27 %

Volume Highlights
Issue	Index	Shares Traded	Notes
FTS.PR.H	FixedReset	235,422	Nesbitt crossed blocks of 50,000 and 150,000, both at 25.55. TD crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-07-01 Maturity Price : 25.00 Evaluated at bid price : 25.54 Bid-YTW : 3.73 %
BNS.PR.Q	FixedReset	212,876	Desjardins crossed blocks of 115,000 and 89,600, both at 26.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-11-24 Maturity Price : 25.00 Evaluated at bid price : 26.23 Bid-YTW : 3.36 %
TRP.PR.A	FixedReset	147,361	Nesbitt crossed 100,000 at 25.85. RBC crossed 35,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 3.62 %
FTS.PR.E	OpRet	101,000	Nesbitt crossed 100,000 at 27.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-07-01 Maturity Price : 25.75 Evaluated at bid price : 26.92 Bid-YTW : 2.94 %
CIU.PR.C	FixedReset	100,200	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-03 Maturity Price : 23.13 Evaluated at bid price : 25.00 Bid-YTW : 3.56 %
RY.PR.F	Perpetual-Discount	97,031	Nesbitt bought 10,000 from RBC at 22.14. RBC crossed 23,900 and Nesbitt crossed 50,000, both at 22.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-03 Maturity Price : 22.03 Evaluated at bid price : 22.15 Bid-YTW : 5.05 %
There were 52 other index-included issues trading in excess of 10,000 shares.

The European emergency measures is being extended:

Under pressure from investors to lead the charge against the spreading sovereign debt crisis, Trichet said the ECB will keep offering banks as much cash as they want through the first quarter over periods of up to three months at a fixed interest rate. As he spoke, ECB staff embarked upon a new wave of purchases, triggering a surge in Irish and Portuguese bonds.
…
While the ECB chose not to deploy new crisis-fighting tools, Trichet managed to avoid sparking another market selloff four days after traders gave a vote of no-confidence to a bailout of Ireland. He kept up pressure on governments to fight the crisis by saying that “benign neglect” is not enough and indicated they could expand Europe’s rescue fund amid concern it’s not large enough to finance any bailout of Spain.
…
The yield on Portuguese 10-year bonds dropped 50 basis points to 6.13 percent and Irish yields fell 37 basis points to 8.76 percent. The Spanish 10-year yield declined 22 basis points to 5.07 percent. The euro traded at $1.3228 at 5:41 p.m. in London compared with $1.3152 before Trichet started talking.
…
Signaling disagreement within the 22-member council, Trichet said an “overwhelming majority” of officials backed the ECB’s Securities Market Program and that a “consensus” supported maintaining the status quo on providing liquidity. Bond purchases will continue to be offset to keep the money supply unchanged, in contrast to the Federal Reserve and the Bank of England, he said.

“It’s not quantitative easing, we’re withdrawing all the liquidity,” he said.

The future seniority of ESM debt to public sovereign debt is cited as a potential trigger for a Greek downgrade:

Greece’s ‘BB+’ long-term sovereign rating was placed on “CreditWatch” with negative implications, Standard & Poor’s Ratings Services said in a statement today from Madrid. S&P said it is assessing credit implications of the so-called European Stability Mechanism that may govern European Union sovereign bonds beginning in July 2013.

“Assigning ‘preferred creditor’ status to future official lending via the ESM could be detrimental to the ability of non- official holders of sovereign debt to be repaid,” S&P said.
…
The EU in October agreed on the need to set up the ESM as a permanent crisis mechanism to safeguard the financial stability of the euro area as a whole. The Eurogroup, comprising the finance ministers of the 16 nations sharing the euro, said in a statement on Nov. 28 that “an ESM loan will enjoy preferred creditor status, junior only” to the loan from the International Monetary Fund.

Greece in May got a three-year aid package of 110 billion euros ($145 billion) from the euro area and the IMF to prevent a debt default.

The Icelandic model is being touted:

While analysts expect Iceland’s recession to extend into next year, the nation’s exporters are benefiting from a 28 percent drop in the krona against the dollar since September 2008. The decline may help the nation of 320,000 people rebalance its economy faster than Ireland, whose euro membership rules out a currency devaluation. With Iceland’s OMX share index up 17 percent this year, the third-biggest gain in Europe after Denmark and Sweden, Nobel Prize-winning economist Paul Krugman says Iceland may be an example of “bankrupting yourself to recovery.”

“The difference is that in Iceland we allowed the banks to fail,” Iceland President Olafur R. Grimsson said in a Nov. 26 interview with Bloomberg Television’s Mark Barton. “These were private banks and we didn’t pump money into them in order to keep them going; the state did not shoulder the responsibility of the failed private banks.”

The insolvency was highly unpopular at the time – but a lot better for the world than the pretend sort-of insolvencies being touted by politicians.

In the meantime, it appears that the US still isn’t taking its fiscal deficit seriously enough:

Senate Finance Committee Chairman Max Baucus, a Democrat, and incoming House Ways and Means Committee Chairman Dave Camp, a Republican, said today they will vote against the plan tomorrow. They join Representatives Paul Ryan, a Wisconsin Republican, and Jan Schakowsky, an Illinois Democrat, in opposition.

The plan requires approval from 14 of the panel’s 18 members to forward it to Congress, meaning five “no” votes would kill it. Texas Republican Jeb Hensarling said today he is leaning against the proposal.

The recommendations are “wrong for Montana and wrong for rural communities across the country,” Baucus of Montana said in a statement. While reducing the deficit is “imperative,” he said, “we cannot cut the deficit at the expense of veterans, seniors, ranchers, farmers and hard-working families.”

Ideally, of course, Baucus will be dead, retired, or gainfully employed by the time the shit hits the fan. ABC News reports that it:

has learned Andrew Stern will vote no on the deficit commission’s plan to reduce the national deficit by nearly $4 trillion. Mr. Stern, the former president of the SEIU, has informed co-chairmen Erskine Bowles and Alan Simpson that he will be the fifth member voting no, ending the commission’s hopes of officially passing the plan to Congress.

Two recent products to hit the Toronto market FFL / FFL.U and SST / SST.U are either craziness or genius. One or the other. The latter is the iPath® US Treasury Flattener Exchange Traded Note, which:

is linked inversely to the performance of the Barclays Capital US Treasury 2Y/10Y Yield Curve Index™. The index employs a strategy that seeks to capture returns that are potentially available from a “steepening” or “flattening”, as applicable, of the U.S. Treasury yield curve through a notional rolling investment in U.S. Treasury note futures contracts. The level of the index is designed to increase in response to a “steepening” of the yield curve and to decrease in response to a “flattening” of the yield curve. To accomplish this objective, the performance of the index tracks the returns of a notional investment in a weighted “long” position in relation to 2-year Treasury futures contracts and a weighted “short” position in relation to 10-year Treasury futures contracts, as traded on the Chicago Board of Trade.

The iPath® US Treasury Flattener ETN employs an index multiplier that provides the investor at maturity or upon redemption a participation rate of $0.10 gain or loss per each 1.00 point decrease or increase, respectively, in the level of the index. For purposes of calculating the closing indicative note value on a given day, the index multiplier is multiplied by the daily index performance, which is added to the daily interest that accrued from a notional investment of the value of the ETN at the 28-day U.S. Treasury Bill rate, from which all applicable costs and fees are deducted.

On the one hand, this is a way for retail and small institutions to adjust their exposures without entering into costly trades. On the other hand, trading Treasuries is about the cheapest thing you can do in the capital markets. And retail’s lucky if it understands duration, let alone steepeners, flatteners and convexity. And there’s no related product to handle the 10-30 spread. On the other hand, I guess, if it sells, it sells.

CIBC debt capital markets division is doing well:

Canadian Imperial Bank of Commerce ranks among the top three banks managing corporate bond sales in Canada for the first time since 2004, displacing Toronto- Dominion Bank as company issuance surges to a three-year high.

The bank’s CIBC World Markets unit ranks second this year after leading debt sales for companies such as Telus Corp. and BCE Inc. Royal Bank of Canada’s RBC Capital Markets is first, extending its streak of more than a decade as the top arranger, according to data compiled by Bloomberg. Bank of Nova Scotia’s Scotia Capital unit ranks third among Canada’s six major banks.
…
Companies have raised C$69.4 billion ($68.2 billion) in bond sales this year, up from C$57.2 billion in all of 2009 and the highest since 2007, according to Bloomberg data.
…
The Toronto-based firm also raised about C$6.2 billion for its parent, Canadian Imperial Bank of Commerce, the country’s fifth-biggest bank.

By comparison, TD Securities had one C$1 billion debt sale this year for its parent, Toronto-Dominion Bank, Canada’s second-biggest bank.

“When we look at things, excluding self-led deals, we see ourselves solidly in second place,” Brad Saunders, vice president of debt syndication at TD Securities, said in an interview.

It was clobberin’ time in the Canadian preferred share market today, with PerpetualDiscounts losing 38bp and FixedResets being hammered for an unbelievable (semi-believable, at best) loss of 58bp. Volume was extremely heavy; so heavy that the market maker for GWO.PR.J had to take the afternoon off – which cost the FixedReset index about a third of its apparent loss.

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	0.0625 %	2,270.9
FixedFloater	4.78 %	3.43 %	29,483	19.16	1	-0.6114 %	3,520.4
Floater	2.62 %	2.36 %	53,048	21.36	4	0.0625 %	2,452.0
OpRet	4.79 %	3.87 %	83,592	2.39	8	-0.1150 %	2,375.8
SplitShare	5.47 %	1.28 %	121,853	1.01	3	-0.0937 %	2,458.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1150 %	2,172.4
Perpetual-Premium	5.70 %	5.50 %	156,073	5.40	27	0.0037 %	2,008.4
Perpetual-Discount	5.37 %	5.39 %	284,189	14.78	51	-0.3814 %	2,028.2
FixedReset	5.24 %	3.42 %	355,418	3.20	52	-0.5792 %	2,257.5

Performance Highlights
Issue	Index	Change	Notes
GWO.PR.J	FixedReset	-9.35 %	This is just a stupid quote. The issue traded 2,831 shares in a range of 27.41-64 and the last of the eleven trades was at 3:33pm. The closing quote was 24.81-27.54, 4×9. There is no excuse for this crap. Market makers get numerous privileges but are nudge-wink obliged ha-ha to maintain orderly markets and reasonable snicker spreads hee-hee. The Toronto Exchange should be investigating this and issuing a statement explaining this apparent gross dereliction of duty; and perhaps stripping the market maker of his responsibilities for this issue; perhaps extending some sanctions to the individual’s other issues and to the rest of his firm. If he was legitimately busy, or had a heart attack or whatever … who cares? That’s what algorithms are for and they can call a market with a latency of somewhat less than half an hour. I have sent an email to the TMX (join in!) inquiring about the circumstances and repercussions of this quote. Who knows … if I’m lucky I might get a note from a clerk six months out of B-School thanking me for my inquiry, which is being taken very seriously. Could we simply chalk this up to the vagaries of the capital markets? Could there be a good reason for this? Sure. Let’s hear it. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-02 Maturity Price : 24.69 Evaluated at bid price : 24.81 Bid-YTW : 5.52 %
TRP.PR.C	FixedReset	-2.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-02 Maturity Price : 25.30 Evaluated at bid price : 25.35 Bid-YTW : 3.96 %
CIU.PR.A	Perpetual-Discount	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-02 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.39 %
BNS.PR.T	FixedReset	-1.66 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.29 Bid-YTW : 3.65 %
TD.PR.E	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.30 Bid-YTW : 3.65 %
RY.PR.L	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.45 Bid-YTW : 3.74 %
RY.PR.F	Perpetual-Discount	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-02 Maturity Price : 22.00 Evaluated at bid price : 22.12 Bid-YTW : 5.06 %
BNS.PR.X	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.36 Bid-YTW : 3.59 %
GWO.PR.I	Perpetual-Discount	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-02 Maturity Price : 20.93 Evaluated at bid price : 20.93 Bid-YTW : 5.38 %
SLF.PR.G	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-02 Maturity Price : 25.25 Evaluated at bid price : 25.30 Bid-YTW : 3.80 %
BMO.PR.N	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-27 Maturity Price : 25.00 Evaluated at bid price : 27.48 Bid-YTW : 3.35 %
MFC.PR.C	Perpetual-Discount	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-02 Maturity Price : 20.21 Evaluated at bid price : 20.21 Bid-YTW : 5.59 %
BMO.PR.K	Perpetual-Discount	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-02 Maturity Price : 24.28 Evaluated at bid price : 24.51 Bid-YTW : 5.38 %
FTS.PR.F	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-02 Maturity Price : 22.68 Evaluated at bid price : 22.85 Bid-YTW : 5.39 %
RY.PR.A	Perpetual-Discount	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-02 Maturity Price : 21.99 Evaluated at bid price : 22.12 Bid-YTW : 5.06 %
BAM.PR.T	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-02 Maturity Price : 23.06 Evaluated at bid price : 24.90 Bid-YTW : 4.52 %
MFC.PR.D	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 27.60 Bid-YTW : 3.48 %
BNS.PR.O	Perpetual-Premium	1.57 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-05-26 Maturity Price : 25.00 Evaluated at bid price : 25.19 Bid-YTW : 5.60 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.L	FixedReset	326,948	RBC crossed six blocks: 91,600 and 74,900 and 25,100 and 40,000 and 10,000 and 50,000, all at 27.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.90 Bid-YTW : 3.18 %
CIU.PR.C	FixedReset	294,500	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-02 Maturity Price : 23.13 Evaluated at bid price : 25.00 Bid-YTW : 3.56 %
BNS.PR.Q	FixedReset	227,885	RBC bought 12,400 from anonymous at 26.18; Desjardins crossed two blocks of 100,000 each, both at 26.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-11-24 Maturity Price : 25.00 Evaluated at bid price : 26.20 Bid-YTW : 3.40 %
CIU.PR.B	FixedReset	209,316	RBC crossed blocks of 132,400 and 74,400, both at 28.06. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-01 Maturity Price : 25.00 Evaluated at bid price : 27.86 Bid-YTW : 3.34 %
NA.PR.N	FixedReset	104,100	RBC sold 19,600 to TD at 26.40, then crossed blocks of 60,800 and 19,000, both at 26.34. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-09-14 Maturity Price : 25.00 Evaluated at bid price : 26.39 Bid-YTW : 3.30 %
BMO.PR.O	FixedReset	87,121	TD crossed 74,300 at 27.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-24 Maturity Price : 25.00 Evaluated at bid price : 27.75 Bid-YTW : 3.29 %
There were 77 other index-included issues trading in excess of 10,000 shares.

S&P has put Portugal on watch-negative:

What Portugal does to combat downward pressures on growth and under what terms it accepts external support–if it does at all–will influence the government’s creditworthiness. The Eurogroup Ministers recently proposed treaty changes to establish a permanent crisis mechanism to be called the European Stability Mechanism (ESM), which will be based on the European Financial Stability Facility. It is our understanding that the ESM may be designed to rank ahead of private creditors in any future debt restructurings beginning in 2013. As a result, debt that European Monetary Union member states issue might not rank pari passu with debt that the ESM issues. We think that this treaty change would represent a move away from the original design of the European Financial Stability Facility, which was intentionally exempt from preferred creditor status by the 16 members of the Euro Area in an effort to assist European Monetary Union members in financial difficulties.

I’m always looking for new perspectives, so I asked the question:

Why Issue Preferred Shares

Glad you asked…
Perferred shares are issued for a wide variety of reasons. One of the reasons why a preferred share may be issued is because people actually like these kinds of shares compared to other types of shares.

Nicole_Marie8201, Answers Expert

Well, I’m relieved to have finally cleared that one up!

Are politicians taking the US fiscal deficit seriously enough? Is the perfect the enemy of the good? If two deficit panel members are to be believed, the answers are “No” and “Yes”:

A panel vote set for today was delayed until Dec. 3. Bowles said yesterday he didn’t know if members will reach agreement on the proposal, which includes scaling back such popular tax breaks as the home-mortgage interest deduction. Agreement from 14 of the commission’s 18 members is needed to send a plan to Congress for a vote on whether to put it into effect. A failure to get 14 votes would kill the plan.
…
Representative Paul Ryan, a Wisconsin Republican on the panel, said in an interview he will vote against the plan because it doesn’t do enough to address rising health-care costs. Representative Jeb Hensarling, a Texas Republican, expressed the same concern and said, “I don’t know if you’re going to get my vote.”

Achieving the goal imperfectly and then merely having to tinker with the solution in place is just not sexy enough, I guess.

I had a laugh at the 7% targetted distribution of Quadravest’s Dividend Select 15 on November 26. In the interest of fairness, I think we should all now laugh just as loudly at Mulvihill’s Canadian Utilities & Telecom Income Fund:

The Fund’s investment objectives are (i) to pay holders of its Units (“Unitholders”) monthly distributions in an amount targeted to be 7.0% per annum on the NAV of the Fund; and (ii) to preserve and enhance the Fund’s NAV while reducing portfolio volatility.

The Fund will seek to achieve its investment objectives by investing in a portfolio consisting principally of equity securities of large capitalization (over $1 billion) utility and, to a lesser degree, telecommunications issuers listed on the Toronto Stock Exchange (“TSX”).

The underwriter’s fee is 5.25%. dealers get a trailer of 40bp, and Mulvihill gets 1.1%; the total underlying performance required for a stable NAV is about 8.91% … not entirely unreasonable for equities, provided we ignore sequence-of-returns risk. And, of course, Mulvihill does not provide details of its track record in the prospectus, merely their experience.

PrefBlog salutes Emil Cohen who, despite the best efforts (and a little bullying) of the Toronto District School Board, has the makings of an independent and assertive young man.

In a further abuse of the right to due process, police can now impound cars for failure to make family support payments. Doesn’t this make everybody feel good? After all, the SIU now admits that their investigation of the police assault on Adam Nobody did not include such esoteric investigative techniques as talking to the guy who made the video (although it seems that in the last few days they have listened to a lecture on investigative techniques by Officer Bubbles).

Abuse of police authority? Cover-ups and grossly incompetent pseudo-investigations? A police spokesman claims the officers involved would be outraged at allegations that there’s any kind of cover-up going on, no sir, no way, ain’t never gonna happen, but remains unable to name the officers. Ah, well … here in the true North strong and free, abuse of power is rewarded.

There was continued high volume on the Canadian preferred share market today, with PerpetualDiscounts losing 14bp and FixedResets down marginally.

PerpetualDiscounts now yield 5.37%, equivalent to 7.52% interest at the standard equivalency factor of 1.4x. Long Corporates now yield 5.4%, so the pre-tax interest equivalent spread is now 210bp, an apparrent, but probably meaningless, tightening from the 220bp reported at month-end (i.e., yesterday).

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	0.3762 %	2,269.5
FixedFloater	4.75 %	3.21 %	28,165	19.05	1	1.2826 %	3,542.0
Floater	2.62 %	2.36 %	52,963	21.36	4	0.3762 %	2,450.4
OpRet	4.78 %	3.48 %	61,361	2.39	8	-0.1292 %	2,378.5
SplitShare	5.47 %	1.65 %	122,561	1.02	3	-0.2602 %	2,461.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1292 %	2,174.9
Perpetual-Premium	5.70 %	5.48 %	157,197	5.44	27	-0.0490 %	2,008.3
Perpetual-Discount	5.35 %	5.37 %	283,204	14.83	51	-0.1415 %	2,036.0
FixedReset	5.23 %	3.30 %	356,668	3.15	51	-0.0062 %	2,270.7

Performance Highlights
Issue	Index	Change	Notes
BNS.PR.O	Perpetual-Premium	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-01 Maturity Price : 24.57 Evaluated at bid price : 24.80 Bid-YTW : 5.71 %
BAM.PR.T	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-01 Maturity Price : 22.96 Evaluated at bid price : 24.60 Bid-YTW : 4.59 %
RY.PR.B	Perpetual-Discount	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-01 Maturity Price : 22.81 Evaluated at bid price : 23.00 Bid-YTW : 5.14 %
TD.PR.C	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-02 Maturity Price : 25.00 Evaluated at bid price : 26.51 Bid-YTW : 3.74 %
TDS.PR.C	SplitShare	-1.25 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2011-12-15 Maturity Price : 10.00 Evaluated at bid price : 10.30 Bid-YTW : 1.65 %
MFC.PR.E	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 26.53 Bid-YTW : 3.83 %
SLF.PR.E	Perpetual-Discount	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-01 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 5.49 %
SLF.PR.A	Perpetual-Discount	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-01 Maturity Price : 21.62 Evaluated at bid price : 21.62 Bid-YTW : 5.50 %
GWO.PR.J	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 27.37 Bid-YTW : 2.66 %
BAM.PR.B	Floater	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-01 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 2.98 %
BAM.PR.G	FixedFloater	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-01 Maturity Price : 22.76 Evaluated at bid price : 22.90 Bid-YTW : 3.21 %
GWO.PR.H	Perpetual-Discount	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-01 Maturity Price : 23.06 Evaluated at bid price : 23.29 Bid-YTW : 5.20 %
TRP.PR.C	FixedReset	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-01 Maturity Price : 23.42 Evaluated at bid price : 25.92 Bid-YTW : 3.69 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PR.I	FixedReset	88,430	RBC crossed three blocks, of 10,000 shares, 49,000 and 25,000, all at 27.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.88 Bid-YTW : 3.15 %
BNS.PR.P	FixedReset	80,493	National crossed 40,000 at 26.22; GMP bought 30,000 from Scotia at 26.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-25 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 3.46 %
TRP.PR.A	FixedReset	75,399	RBC crossed 48,200 at 26.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.91 Bid-YTW : 3.55 %
GWO.PR.N	FixedReset	75,018	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-01 Maturity Price : 24.44 Evaluated at bid price : 24.49 Bid-YTW : 3.70 %
HSB.PR.E	FixedReset	68,597	RBC crossed 50,000 at 28.30. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 28.30 Bid-YTW : 3.14 %
TD.PR.C	FixedReset	68,029	Desjardins crossed 13,000 at 27.05; RBC crossed 48,400 at 26.86. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-02 Maturity Price : 25.00 Evaluated at bid price : 26.51 Bid-YTW : 3.74 %
There were 51 other index-included issues trading in excess of 10,000 shares.