PrefBlog

The latest worry is Quantitative Easing effects on European corporate bond liquidity:

The European Central Bank’s addition of three listed companies’ notes to a bond-buying program has sparked concerns about how far it may push into the corporate-bond market and the impact this would have on already tight liquidity.

The inclusion of the listed companies, all Italian utilities less than 30 percent state owned, may mark a first step toward buying bonds from any government-backed company, BNP Paribas SA analysts wrote in a note. That may open as much as 157 billion euros ($174 billion) of securities outstanding to potential ECB buying, including notes from Volkswagen AG, Airbus Group SE and Telekom Austria AG, they said.

“Let’s hope the ECB leaves its additions here, but there are plenty more companies that seem to tick its latest box for inclusion,” said Jeroen Van Den Broek, the head of developed-markets credit strategy and research at ING Bank NV in Amsterdam. “With the ECB buying up what little liquidity there is left in euro-zone investment-grade corporates, it pushes real money managers even further down the curve.”

Liquidity has already plunged in the corporate-bond market, with trading tumbling about 90 percent since 2006, according to Royal Bank of Scotland Group Plc. That slump, predominately caused by banks cutting holdings to preserve capital in response to tougher capital rules, has prompted the Bank for International Settlements to warn about liquidity traps.

The Chinese may be relative newcomers to equity markets but they’ve got the official response to downturns down pat:

Rumor-spreading short sellers and foreign investors with a hidden agenda.

If you believe China’s state-run media, those are some of the key culprits for a stock-market rout that erased $3.2 trillion of value in three weeks — or almost $1 million for each minute of trading on mainland exchanges. The underlying message, that market manipulation is fueling the selloff, was reinforced by securities regulators last week as they pledged to crack down on “vicious” short selling.

The problem with that narrative, though, is that the numbers tell a different story. Short positions on the Shanghai Stock Exchange totaled just 1.95 billion yuan ($314 million) on Thursday, or less than 0.03 percent of the country’s market capitalization, as bears closed out more than half their bets since June 12. Foreign money managers own fewer than 3 percent of Chinese shares, and they’ve been adding to holdings in Shanghai as prices tumble.

There has been lots of credit news lately! Greece … Puerto Rico … Ontario:

• •We are lowering our long-term issuer credit and senior unsecured debt ratings on the Province of Ontario to ‘A+’ from ‘AA-‘.
• •At the same time, we are affirming our ‘A-1+’ short-term and commercial paper ratings on the province.
• •The downgrade reflects our view that Ontario is a sustained and projected underperformer on its budgetary performance and debt burden versus domestic and international peers.
• •The stable outlook reflects our expectation that, under our base-case scenario, Ontario will continue to make slow progress in reducing its after-capital deficit in the next two fiscal years and that it will continue with its stated 10-year capital plan.

RATING ACTION
On July 6, 2015, Standard & Poor’s Ratings Services lowered its long-term issuer credit rating and senior unsecured debt ratings on the Province of Ontario to ‘A+’ from ‘AA-‘. At the same time, Standard & Poor’s affirmed its ‘A-1+’ short-term and commercial paper ratings on the province. The outlook is stable.

RATIONALE
The downgrade reflects our view that Ontario is a sustained and projected underperformer on its budgetary performance and debt burden versus domestic and international peers. Although Ontario continues to beat its fiscal targets and expects to close its operating budget gap by fiscal 2018 (year-ended March 31), it will still have to contend with sizable yearly after-capital deficits, given its large net capital spending intentions. Under our base-case scenario, we foresee Ontario’s after-capital deficit remaining above 7% of total adjusted revenues over the next two years. Additional capital revenues from potential asset sales or the cap-and-trade scheme put forward but not articulated in the fiscal 2016 budget could mitigate the province’s medium-term borrowing demands. In the next two years, however, we expect capital funding needs to cause Ontario’s tax-supported debt to peak at 267% of consolidated operating revenues (and its interest payments to remain near 9%of adjusted operating revenues from fiscal years 2015-2017), which we consider very high. While some domestic and international peers display very weak budgetary performances or very high debt burdens similarly, it is the combination of both that sets Ontario apart from the group, leading us to conclude that its credit profile is more consistent with an ‘A+’ rating.

I just hope they’ve accounted for the near-certainty that the millions of tourists coming here for the Pan-Scam Games will be so impressed by our enormous solar power research, engineering and production industry that they place huge orders.

Margaret Wente had a thought-provoking piece in the Globe on the weekend, The world’s nicest, most law-abiding generation:

Social norms have changed a lot since then. The past 50 years have been a watershed for attitudes toward everything from sexism and human rights to littering (now almost a capital offence). By almost any measure you can find, people across the developed world today are the least violent, most law-abiding, hardest-working and most tolerant generation who ever lived.

The biggest measurable change is in violent crime. After peaking in the 1990s, crime rates have plummeted across the developed world, even in the famously violent United States. In Canada, crime rates are now back to where they were in the 1960s. Although theories abound, nobody really knows why.
…
What explains this remarkable progress in conduct and morality? Harvard psychologist Stephen Pinker argues that they are simply the continuation of a long-term evolution in behaviour that began centuries ago. Since medieval times, Northern Europeans have gradually grown less cruel, less violent, and more self-restrained. As society became more complex, it rewarded people who were more diligent, prudent and mild-mannered, and punished people with poor impulse control.
…
This evolution hasn’t stopped. As Simon Kuper suggested in the Financial Times this week, modern society increasingly rewards restraint. Discipline, self-control, compliance and the ability to get along with others are more important than they’ve ever been. Parents increasingly seek to instill those values in their children. They know there’s no frontier to escape to any more. They know that if their kid can’t manage to sit still and behave himself in school for a minimum of 12 to 14 years, that kid will be a loser.

Simon Kuper’s piece in the Financial Times, Why safety now trumps freedom suggests:

Elias’s great work, The Civilizing Process, argued that humans have been getting less violent since medieval times. States forced them to behave, and growing trade encouraged them to. Sadly, Elias’s timing was terrible. His book appeared in German in 1939, just as civilisation was collapsing. But today his argument sounds more credible. We now have evidence — which Elias didn’t — that western homicides have fallen fairly steadily for 700 years.

One disciple of Elias, the Harvard psychologist Steven Pinker, argues that in the 1990s western countries embarked on one of their periodic “civilising processes”. Governments got “tough on crime”. Social norms changed too. The 1960s ethos of “do your own thing, let it all hang out, take a walk on the wild side” lost favour.
…
“Safety” is such a magic word that American campuses now often ban controversial speakers because students must feel “safe” — an attitude that would have baffled 1960s campus activists. Western governments plead security to spy on citizens, and most citizens accept it. They have learnt to love Big Brother.

I suggest that the world’s wimpification stems from technological progress. Since the second war, technology has grown by leaps and bounds, exponentially. We have no idea of what tomorrow might bring, so we seek solace in making our personal lives more predictable.

There are many secondary effects as well; technology has made us immeasurably more productive than we used to be, making it possible to employ far more people as regulators of various sorts, whether these regulators are actually government regulators, police, jail guards, teachers or simply busybodies with time on their hands who achieve a measure of personal satisfaction and social acclaim for telling people they’re not behaving properly.

Increasing technology has, as Ms. Wente states, made school and education more important and has done so at a time when elementary and secondary teaching has become feminized. There are now two types of elementary school teacher: women and reckless idiots. Secondary school has not gone quite so far down that road, but far enough to make a difference. When I was about ten, there was a period when I got into a fist-fight every single day when school let out for lunch, with a guy I loved to hate. We were just kids, as full of piss and vinegar as ten-year-old boys can be. Nowadays we’d be sent for psychiatric evaluation by the horrified female teaching staff.

And we no longer despise informers; we celebrate them as whistle-blowers and see no shame in paying them.

Where will it end? If Wente’s sources are to be believed, it won’t. If my explanation is to be believed, it will end when the populace as a whole becomes inured to technological change and no longer fears innovation. We will see!

Another aspect of all this is that despite (or perhaps due to) all this regimentation and niceness, people are becoming less empathetic:

The research, led by Sara H. Konrath of the University of Michigan at Ann Arbor and published online in August in Personality and Social Psychology Review, found that college students’ self-reported empathy has declined since 1980, with an especially steep drop in the past 10 years. To make matters worse, during this same period students’ self-reported narcissism has reached new heights, according to research by Jean M. Twenge, a psychologist at San Diego State University.

… and that acceptance of social norms masks a hidden agenda:

The study, co-authored by Millennials expert Jean M. Twenge, was really three studies in one. All three are based on surveys that captured the values of millions of American 18-year-olds and college freshman between 1966 and 2009.

The first part looked at life goals. It turns out Millennials and GenX’ers (born between 1962 and 1981) rated being very well off financially, being a leader in the community (which is correlated with a desire for fame), living close to relatives, and having administrative responsibility over others as more important to them than Boomers—born 1946 to 1961—did when they were in their late teens.

Boomers—mostly over the age of 50 now—rated developing a meaningful philosophy of life, finding purpose and meaning, keeping up-to-date with politics, and becoming involved in programs to clean up the environment as more important when they were young than Millennials. Being “very well off financially” was the eighth most important life goal (out of 12) for Boomers; now, it’s consistently ranked most important.

If all this is true, then it suggests we are heading for a new Victorian era, in which social norms are extravagantly and viciously enforced (see my discussion of the Junior Justice League on May 12, amongst other places) while vice and hypocrisy flourish (Mayhew estimated 80,000 prostitutes in London, serving a total population of about 2.8-million; but note that Mayhew included what would now be called lovers and/or mistresses in his count).

It was a good day for the Canadian preferred share market, with PerpetualDiscounts up 17bp, FixedResets gaining 9bp and DeemedRetractibles winning 30bp. The Performance Highlights table has a good length. Volume was very low.

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

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

Here’s TRP:

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 20.01 to be $0.64 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.49 cheap at its bid price of 16.20.

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

Most expensive is MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 24.82 to be $0.45 rich, while MFC.PR.M, resetting at +236bp on 2019-12-19, is bid at 23.05 to be $0.30 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.17 to be $0.80 cheap. BAM.PR.X, resetting at +180bp 2017-6-30 is bid at 17.27 and appears to be $0.54 rich.

FTS.PR.G, with a spread of +213bp, and bid at 21.46, looks $0.20 cheap and resets 2018-9-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 23.70 and is $0.12 rich.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of about 0.39%, including the outlier TRP.PR.A / TRP.PR.F at -0.19%. On the junk side, four of the six pairs are outliers, all with negative break-even yields.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.0468 %	2,214.3
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0468 %	3,871.6
Floater	3.50 %	3.55 %	60,443	18.44	3	0.0468 %	2,353.9
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0938 %	2,768.8
SplitShare	4.59 %	4.96 %	64,649	3.23	3	-0.0938 %	3,244.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0938 %	2,531.8
Perpetual-Premium	5.47 %	3.97 %	65,272	0.31	13	-0.0543 %	2,516.4
Perpetual-Discount	5.33 %	5.24 %	93,915	14.86	21	0.1747 %	2,685.4
FixedReset	4.51 %	3.61 %	213,946	16.33	88	0.0852 %	2,330.0
Deemed-Retractible	5.01 %	3.15 %	107,067	0.80	34	0.3050 %	2,628.6
FloatingReset	2.48 %	2.89 %	53,561	6.09	10	-0.2867 %	2,320.4

Performance Highlights
Issue	Index	Change	Notes
ENB.PF.A	FixedReset	-3.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.74 %
ENB.PF.C	FixedReset	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 4.69 %
TRP.PR.E	FixedReset	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 21.86 Evaluated at bid price : 22.27 Bid-YTW : 3.73 %
ENB.PF.E	FixedReset	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 4.69 %
ELF.PR.G	Perpetual-Discount	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 21.80 Evaluated at bid price : 22.05 Bid-YTW : 5.39 %
BAM.PR.K	Floater	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 14.06 Evaluated at bid price : 14.06 Bid-YTW : 3.56 %
SLF.PR.J	FloatingReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.20 Bid-YTW : 7.07 %
MFC.PR.B	Deemed-Retractible	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.98 Bid-YTW : 5.82 %
SLF.PR.D	Deemed-Retractible	1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.74 Bid-YTW : 5.73 %
MFC.PR.M	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.05 Bid-YTW : 4.57 %
NA.PR.W	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 22.09 Evaluated at bid price : 22.65 Bid-YTW : 3.48 %
MFC.PR.K	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.63 Bid-YTW : 4.55 %
FTS.PR.J	Perpetual-Discount	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 23.33 Evaluated at bid price : 23.70 Bid-YTW : 5.05 %
IFC.PR.A	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.54 Bid-YTW : 6.12 %
BAM.PR.M	Perpetual-Discount	1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 21.32 Evaluated at bid price : 21.32 Bid-YTW : 5.61 %
ENB.PR.F	FixedReset	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.71 %
SLF.PR.A	Deemed-Retractible	1.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.83 Bid-YTW : 5.42 %
MFC.PR.C	Deemed-Retractible	2.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.86 Bid-YTW : 5.73 %
MFC.PR.L	FixedReset	2.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 4.57 %
TD.PF.D	FixedReset	3.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 22.96 Evaluated at bid price : 24.45 Bid-YTW : 3.53 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.Z	FixedReset	111,784	Scotia bought 83,100 from GMP at 23.43. Nesbitt crossed 23,200 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.40 Bid-YTW : 3.37 %
HSE.PR.G	FixedReset	108,557	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 22.90 Evaluated at bid price : 24.30 Bid-YTW : 4.43 %
BNS.PR.B	FloatingReset	100,924	RBC crossed 100,000 at 23.95. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 2.86 %
BAM.PR.Z	FixedReset	87,237	Scotia bought 79,700 from GMP at 23.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 22.77 Evaluated at bid price : 23.45 Bid-YTW : 4.10 %
TRP.PR.B	FixedReset	29,157	Scotia crossed 25,000 at 14.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 3.53 %
BMO.PR.K	Deemed-Retractible	26,623	TD crossed 24,100 at 25.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-05 Maturity Price : 25.50 Evaluated at bid price : 25.72 Bid-YTW : 1.84 %
There were 15 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.N	FixedReset	Quote: 22.92 – 23.60 Spot Rate : 0.6800 Average : 0.4198 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.92 Bid-YTW : 4.58 %
ENB.PF.A	FixedReset	Quote: 19.50 – 20.10 Spot Rate : 0.6000 Average : 0.3916 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.74 %
TRP.PR.F	FloatingReset	Quote: 18.55 – 19.27 Spot Rate : 0.7200 Average : 0.5260 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 3.30 %
ENB.PF.C	FixedReset	Quote: 19.68 – 20.05 Spot Rate : 0.3700 Average : 0.2364 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 4.69 %
ENB.PF.E	FixedReset	Quote: 19.82 – 20.17 Spot Rate : 0.3500 Average : 0.2464 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 4.69 %
PWF.PR.P	FixedReset	Quote: 18.20 – 18.54 Spot Rate : 0.3400 Average : 0.2365 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-06 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 3.37 %

There’s another reason not to hire a ‘star manager’ to run your mutual fund:

Aston Hill Financial Inc. has lost a key portfolio manager, the latest in a series of setbacks for the embattled asset manager. Late Tuesday, the company announced that Jeffrey Burchell, who had been with the company since 2010 and was also its co-chief investment officer, had resigned.
…
Mr. Burchell carved out a niche at Aston Hill running mutual funds with a dollop of hedge-fund style investing. A portion of the assets in Aston Hill Capital Growth Fund are sold short – a rarity in the mutual fund industry.

Most mutual funds use a long-only strategy. The firm also used Mr. Burchell prominently in marketing materials to sell its funds.

Riots in France have targeted Uber:

Uber Technologies Inc. suspended its UberPop share-a-ride service in France amid difficulties in the country including clashes with taxi drivers, tensions with the government and arrests of top executives.

The UberPop service is to be suspended from 8:00 p.m. local time to protect drivers and calm tensions with the French government, according to Uber France spokesman Thomas Meister.

Uber is awaiting a ruling from the French constitutional court in September on the Thevenoud law, which regulates services to transport passengers, Meister said.
…
This followed a protest staged last week by taxi drivers against the low-cost service UberPop. French President Francois Hollande said at the time that UberPop “must be dismantled and made illegal.”

The protest even caught up American rock singer Courtney Love, who said on her verified Twitter account that she escaped Roissy Charles de Gaulle airport on a motorcycle after rock-throwing protesters bashed her chauffeured car with metal bats and slashed its tires. She said she felt she’d be be safer in Baghdad.

The vested interests were not so lucky in Toronto:

An Ontario Superior Court judge has dismissed the City of Toronto’s attempt to shut down ride-sharing company Uber.

After a month of deliberating, Justice Sean Dunphy delivered his ruling Friday, saying the city failed to prove that Uber has broken any bylaws or that it is operating an illegal taxicab company.

There is a move in the States towards benefits over cash wages:

In lieu of higher salaries, employers are offering plusher benefits packages to attract and retain talent, a new survey suggests.

In a report on more than 450 employers surveyed by the Society of Human Resource Management, 35 percent cited bigger benefits packages, compared to 28 percent the year before. A small chunk of those asked—7 percent—noted a reduction, but that’s down from 9 percent the year earlier. The survey also noted the rise of such new benefits as company-provided fitness trackers, egg-freezing, group fitness, and student loan repayment programs.

The more attractive vacation and wellness offerings come at the expense of salary increases, as wages remain stagnant. The survey suggested that employees are promoting that trend. “Research has shown that many job seekers frequently place greater importance on health care coverage, flexible work schedules and other benefits rather than on their base salaries,” the report said.
…
The focus on benefits packages has less to do with changing employee preferences than health insurance trends. As health care costs have risen over the last 10 years, health benefits have eaten up an ever-growing share of total employee compensation. Between 2003 and 2013, health insurance premiums rose 60 percent with only an 11 percent increase in income during that same time period, per a Commonwealth Funds study. In the last few years, employers have started shoving even more of those costs on employees, without raising wages, according to the Center for American Progress. That falls in line with SHRM’s survey, which found 43 percent of employers now offer health-savings accounts, in which people put away tax free money to pay for their own medical costs, up from 38 percent five years ago. The report also found an increased focus on preventative focus health plans, with the hopes of decreased spending.

Those who are getting their insurance through Obamacare are in a good position to explain why health benefits are desirable:

Health insurance companies around the country are seeking rate increases of 20 percent to 40 percent or more, saying their new customers under the Affordable Care Act turned out to be sicker than expected. Federal officials say they are determined to see that the requests are scaled back.

Blue Cross and Blue Shield plans — market leaders in many states — are seeking rate increases that average 23 percent in Illinois, 25 percent in North Carolina, 31 percent in Oklahoma, 36 percent in Tennessee and 54 percent in Minnesota, according to documents posted online by the federal government and state insurance commissioners and interviews with insurance executives.
…
A study of 11 cities in different states by the Kaiser Family Foundation found that consumers would see relatively modest increases in premiums if they were willing to switch plans. But if they switch plans, consumers would have no guarantee that they can keep their doctors. And to get low premiums, they sometimes need to accept a more limited choice of doctors and hospitals.
…
Sylvia Mathews Burwell, the secretary of health and human services, said that federal subsidies would soften the impact of any rate increases. Of the 10.2 million people who obtained coverage through federal and state marketplaces this year, 85 percent receive subsidies in the form of tax credits to help pay premiums.

One problem, I think, is that the rates are cost-plus:

Federal officials have often highlighted a provision of the Affordable Care Act that caps insurers’ profits and requires them to spend at least 80 percent of premiums on medical care and related activities. “Because of the Affordable Care Act,” Mr. Obama told supporters in 2013, “insurance companies have to spend at least 80 percent of every dollar that you pay in premiums on your health care — not on overhead, not on profits, but on you.”

So why get tough on charges? If you pay $53 for a pair of gloves, you can justify $66 worth of premiums! Score!

But if you’re uninsured you’re pigeon pie:

Fifty hospitals in the United States are charging uninsured consumers more than 10 times the actual cost of patient care, according to research published Monday.
…
Topping the list is North Okaloosa Medical Center, a 110-bed facility in the Florida Panhandle about an hour outside of Pensacola. Uninsured patients are charged 12.6 times the actual cost of patient care.
…
By comparison, the researchers said, a typical U.S. hospital charges 3.4 times the cost of patient care.

Partners Value Split Corp., proud issuer of PVS.PR.A, PVS.PR.B, PVS.PR.C and PVS.PR.D, has been confirmed at Pfd-2(low) by DBRS:

DBRS Limited (DBRS) has today confirmed the Pfd-2 (low) ratings of the Class AA Preferred Shares, Series 1 (the Series 1 Preferred Shares), Class AA Preferred Shares, Series 3 (the Series 3 Preferred Shares), Class AA Preferred Shares, Series 5 (the Series 5 Preferred Shares) and the Class AA Preferred Shares, Series 6 (the Series 6 Preferred Shares; collectively, the Class AA Preferred Shares) issued by Partners Value Split Corp. (the Company).

The Company owns a portfolio (the Portfolio) of Class A Limited Voting Shares (the BAM Shares) of Brookfield Asset Management Inc. (BAM; rated A (low) by DBRS).
…
The downside protection available to the Class AA Preferred Shares is approximately 84%, based on the market value of the BAM Shares as of July 2, 2015. The current Class AA Preferred Share dividend coverage ratio is approximately 1.8 times. As a result, the Company continues to be able to fund the Class AA Preferred Shares distributions without relying on other methods for generating income or reverting to the sale of common shares in the Portfolio. In the event of a shortfall, the Company may sell some of the BAM Shares, engage in securities lending or write covered call options to generate sufficient income to satisfy its obligations to pay the Class AA Preferred Shares dividends.

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.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 27bp, FixedResets off 1bp and DeemedRetractibles flat. Floaters got hammered. The Performance Highlights table shows that volatility continues. There are not enough adjectives in the English language to describe how low the volume was, as all the hard-working PMs and advisors enjoyed the US holiday.

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

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

Here’s TRP:

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 20.01 to be $0.58 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.67 cheap at its bid price of 16.09.

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

Most expensive is MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 24.61 to be $0.40 rich, while MFC.PR.M, resetting at +236bp on 2019-12-19, is bid at 22.80 to be $0.38 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.35 to be $0.75 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 23.50 and appears to be $0.42 rich.

FTS.PR.G, with a spread of +213bp, and bid at 21.38, looks $0.39 cheap and resets 2018-9-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.41 and is $0.23 rich.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of about 0.35%, including the outlier TRP.PR.A / TRP.PR.F at -0.03%. On the junk side there are three outliers: FFH.PR.E / FFH.PR.F at -0.58%; BRF.PR.A / BRF.PR.B at -0.68%; and AIM.PR.A / AIM.PR.B at -0.01%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-1.4065 %	2,213.2
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.4065 %	3,869.8
Floater	3.50 %	3.51 %	61,195	18.53	3	-1.4065 %	2,352.8
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1071 %	2,771.4
SplitShare	4.59 %	4.94 %	65,595	3.24	3	-0.1071 %	3,248.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1071 %	2,534.2
Perpetual-Premium	5.46 %	3.87 %	66,390	0.08	13	0.0846 %	2,517.8
Perpetual-Discount	5.33 %	5.24 %	93,269	15.00	21	0.2689 %	2,680.7
FixedReset	4.51 %	3.78 %	217,156	16.19	88	-0.0071 %	2,328.1
Deemed-Retractible	5.02 %	4.76 %	107,882	0.80	34	-0.0047 %	2,620.6
FloatingReset	2.92 %	3.25 %	54,158	6.00	10	0.1567 %	2,327.1

Performance Highlights
Issue	Index	Change	Notes
TD.PF.D	FixedReset	-3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.73 Evaluated at bid price : 23.90 Bid-YTW : 3.84 %
ENB.PR.F	FixedReset	-2.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 4.96 %
BAM.PR.C	Floater	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 3.58 %
BAM.PR.B	Floater	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 3.46 %
CM.PR.O	FixedReset	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.12 Evaluated at bid price : 22.65 Bid-YTW : 3.68 %
IFC.PR.A	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.27 Bid-YTW : 6.41 %
IAG.PR.A	Deemed-Retractible	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 5.88 %
BAM.PR.K	Floater	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 14.26 Evaluated at bid price : 14.26 Bid-YTW : 3.51 %
ELF.PR.H	Perpetual-Discount	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 24.46 Evaluated at bid price : 24.95 Bid-YTW : 5.51 %
FTS.PR.F	Perpetual-Discount	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 23.31 Evaluated at bid price : 23.60 Bid-YTW : 5.24 %
RY.PR.Z	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.57 Evaluated at bid price : 23.40 Bid-YTW : 3.48 %
SLF.PR.H	FixedReset	1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.78 Bid-YTW : 5.51 %
ENB.PR.P	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 18.57 Evaluated at bid price : 18.57 Bid-YTW : 4.81 %
BAM.PF.D	Perpetual-Discount	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 21.42 Evaluated at bid price : 21.75 Bid-YTW : 5.65 %
SLF.PR.G	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.50 Bid-YTW : 7.31 %
TRP.PR.E	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.12 Evaluated at bid price : 22.67 Bid-YTW : 3.78 %
TD.PF.A	FixedReset	2.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.38 Evaluated at bid price : 23.11 Bid-YTW : 3.57 %
SLF.PR.J	FloatingReset	2.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.40 Bid-YTW : 7.39 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.L	Deemed-Retractible	111,827	TD crossed 100,100 at 25.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-04-27 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 3.46 %
SLF.PR.I	FixedReset	63,900	Nesbitt crossed 59,600 at 24.80. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 3.90 %
TD.PF.D	FixedReset	41,300	Scotia crossed 25,000 at 24.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.73 Evaluated at bid price : 23.90 Bid-YTW : 3.84 %
BNS.PR.Z	FixedReset	30,551	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 3.53 %
SLF.PR.J	FloatingReset	23,954	Recently listed following conversion. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.40 Bid-YTW : 7.39 %
ENB.PR.Y	FixedReset	17,286	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 17.92 Evaluated at bid price : 17.92 Bid-YTW : 4.87 %
There were 6 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PF.D	FixedReset	Quote: 23.90 – 24.90 Spot Rate : 1.0000 Average : 0.5472 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.73 Evaluated at bid price : 23.90 Bid-YTW : 3.84 %
TRP.PR.H	FloatingReset	Quote: 14.35 – 20.09 Spot Rate : 5.7400 Average : 5.5474 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 14.35 Evaluated at bid price : 14.35 Bid-YTW : 3.83 %
CM.PR.O	FixedReset	Quote: 22.65 – 23.45 Spot Rate : 0.8000 Average : 0.6075 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 22.12 Evaluated at bid price : 22.65 Bid-YTW : 3.68 %
NA.PR.W	FixedReset	Quote: 22.40 – 22.89 Spot Rate : 0.4900 Average : 0.3094 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 21.93 Evaluated at bid price : 22.40 Bid-YTW : 3.66 %
ENB.PR.A	Perpetual-Discount	Quote: 24.78 – 25.26 Spot Rate : 0.4800 Average : 0.3123 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 24.53 Evaluated at bid price : 24.78 Bid-YTW : 5.61 %
ENB.PR.F	FixedReset	Quote: 17.91 – 18.32 Spot Rate : 0.4100 Average : 0.2442 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-03 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 4.96 %

Jobs, jobs, jobs!

The U.S. labor market took one step forward and one back in June as job creation advanced while wages stagnated and the size of the labor force receded.

The addition of 223,000 jobs followed a 254,000 increase in the prior month that was less than previously estimated, a Labor Department report showed Thursday in Washington. The jobless rate fell to a seven-year low of 5.3 percent as people left the workforce.
…
Earnings at private employers held at $24.95 an hour in June on average and rose 2 percent over the past 12 months, matching the mean since the current expansion began six years ago. Wages had increased 2.3 percent in the year ended in May.
…
Stocks fell as investors waited for Greece’s weekend referendum on austerity measures. The Standard & Poor’s 500 Index declined 0.2 percent to 2,072.51 at 12:27 p.m. in New York. The weak wage reading lifted Treasuries, dropping the yield on the benchmark 10-year note to 2.37 percent from 2.42 percent late on Wednesday.

Naturally, this juxtaposition of higher employment with disappointing wages has increased speculation regarding what the Fed thinks:

By one measure, the U.S. labor market has already met the Federal Reserve’s expectations for 2015: The jobless rate fell to 5.3 percent in June, matching the policy makers’ projection for the end of the year, a Labor Department report Thursday showed.

The Federal Open Market Committee said in June that unemployment would ease to 5.2 to 5.3 percent in 2015, elevated just slightly from their expectation of a 5-to-5.2 percent longer-run natural rate (the joblessness that exists because of factors like labor market churn rather than due to cyclical weakness in the economy). The fact that the labor market has reached the committee’s 2015 estimate already — and has done so without spurring stronger wage gains — may prompt officials to lower both the 2015 and the long-run estimate at their September meeting.

SEC Commissioner Daniel M. Gallagher is not happy with the proposed Compensation Clawback Listing Standards:

Over the past four years, I have made it obvious to most that I am no fan of the Dodd-Frank Act, and certainly not the Act’s executive compensation rulemaking mandates. As I have noted many times in the past, there are real opportunity costs to this agency when our resources are devoted to these politically-motivated mandates.[1] Staff hours spent on clawbacks, pay-for-performance, pay ratio, and hedging rules — not to mention other nonsensical Dodd-Frank mandates like conflict minerals and extractive resources —is time not being spent on meaningful, important projects like the disclosure review project.[2] We desperately need to revamp our disclosure rules to cut through the clutter and ensure that we are only requiring disclosure of information that is important to a reasonable investor’s voting or investment decision. And there are other projects in need of CorpFin’s attention — most notably the much-needed revamp of our shareholder proposal rule. But instead of addressing these actually important issues, for years priority has been placed on plowing through Dodd-Frank’s many intrusions into state corporate governance rules.
…
The third devil is that the scope of the required compensation to be clawed back includes compensation based on financial reporting metrics as well as compensation based on share price metrics like Total Shareholder Return, or TSR. Calculating the appropriate amount of clawback for TSR-based compensation is much more difficult than calculating a clawback for a financial reporting measure, requiring an analysis such as an event study to determine what the share price would have been but for the misstatement at the time the compensation was earned. These analyses require substantial use of assumptions and judgment, often producing a range of numbers, rather than a firm number. The release candidly admits this difficulty, and proposes simply that issuers “be permitted to use reasonable estimates.”[20] This is cold comfort for the post-facto second-guessing that is likely to occur.[21] And yet, excluding TSR-based metrics from the scope of the rule would not have been the right approach either, as it would have shifted compensation packages towards these pay metrics, further entrenching the short-termism that is abetted by the Commission’s executive compensation rules.[22] I don’t know what the right answer is here, but I do know that today’s proposal isn’t it.

I had to laugh at a trend in the advising industry highlighted by Kenmar Associates in their (subscription-based) newsletter “INVESTOR PROTECTION IN CANADA- Q2 2015”:

Are you being “Reverse Churned? We are seeing a large number of accounts being converted to fee-based effectively turning commissions into fees. This may not be in your Best interests. “Reverse churning,” a claim alleging that a dealer representative has failed in his/her duties to act fairly, honestly and good faith to a client by moving an under-traded account from a commission to a fee-based compensation structure solely for the purpose of generating revenue from that account or by failing to make trades in an account that would have otherwise been made had the account been commission, instead of fee-based could be taking place. The historic effect of the prevalence of churning claims, and the attendant increase in the necessity of documenting client approval of such transactions, as well as CRM2 reporting has been the creation of an incentive for brokers to move their clients to fee-based accounts. In other words, because commission-based accounts require more action to document and justify commissions/ paid, there is an incentive for brokers to move their clients to accounts which require less day-to-day oversight. This incentive also exists with respect to accounts in which there is relatively little trading say as in, RRIF’s. IIROC rules require that a dealer representative (aka “advisor”) have a reasonable basis to believe that a recommended transaction or investment strategy involving a security or securities is suitable for the customer based on information obtained through reasonable diligence of the member or associated person to ascertain the customer’s investment profile. Is the rule being enforced? Don’t count on it. We recommend asking your advisor some probing questions if you have been converted.

I’m not sure that the choice of fee model counts as a “recommended transaction or investment strategy”, but I suppose that will be the subject of some complaints of some sort over the next little while. Many clients will, of course, be outraged that they are being charged $2,000 by an advisor who only executed two trades in a year; that will be a big issue should a fiduciary requirement eventually be imposed.

Sweden is going negative:

Sweden’s central bank lowered its main interest rate deeper into negative levels and expanded its bond purchases to the end of the year as the turmoil in Greece raises the specter of further krona gains.

The repo rate was cut to minus 0.35 percent from minus 0.25 percent, the Stockholm-based bank said in a statement. A reduction was predicted by 4 of 18 analysts in a Bloomberg survey, with remainder forecasting no change. The bank expanded its bond purchasing program by 45 billion kronor ($5.3 billion) to the end of year, adding to the 80 billion kronor to 90 billion kronor already announced.
…
The bank kept its repo rate unchanged in April after two cuts earlier in the year. Policy makers then added 40 billion kronor to 50 billion kronor to its bond buying from an initial 40 billion kronor announced since February.

The moves earlier this year had limited success in keeping the krona from strengthening against the euro, as the ECB’s own bond purchases and the turmoil in Greece weigh on the common currency. Before today, the krona was up more than 2 percent against the euro this year.

Here’s one reason why the US is pushing for free trade in dairy:

There’s so much milk flowing out of U.S. cows these days that some is ending up in dirt pits because dairies can’t find buyers.

Domestic output is set to be the highest ever for a fifth straight year. Farmers are still making money as prices tumble because of cheaper and more abundant feed for their herds. Supplies of raw milk are topping capacity at processing plants in parts of the U.S. and compounding a global surplus even with demand improving.
…
Global dairy prices have dropped 39 percent from an all-time high in February 2014 and are the lowest in five years, United Nations data show. In Chicago, benchmark Class III milk futures, used in cheese making, are down 36 percent to $16.23 per 100 pounds from a record $25.30 in September. Prices may fall to $14.41 by the end of the year before recovering in 2016, said Tom Bailey, a New York-based analyst at Rabobank International.
…
At the same time, the dollar’s rally against most of the world’s currencies helped to spur a 10 percent drop in U.S. milk exports in the first four months of 2015, while imports rose 12 percent, compounding the domestic surplus, government data show.

The bear market has been no barrier to more supply. At Mitch Breunig’s farm in Sauk City, Wisconsin, he’s still profitable even as the value of his milk fell 26 percent. Costs have dropped for things like fuel, and wet spring weather left an abundant alfalfa harvest, providing higher-quality hay for his 420 cows to eat. The animals are producing 3 percent more milk than last year.

Nice to see a tiny hint of rationality in Canadian securities regulation:

In Canada’s balkanized financial markets enforcement regime, when one provincial watchdog bans or suspends a fraudster or someone else who has violated securities rules, the others usually need to hold their own “rubber stamp” hearings to make the order apply in other provinces.

But the Alberta Securities Commission announced Thursday that as of July 1, most orders and settlement agreements made by other securities commissions across Canada will “automatically take effect” in Alberta, without any hearing or any notice to the person or company affected. Decisions made by regulators outside Canada, such as the U.S. Securities Exchange Commission, will not be automatically reciprocated, but could still be rubber-stamped and enforced by the ASC as they are now.
…
The changes comes after a rare and unusual decision last year, in which an ASC panel initially chose not to endorse an Ontario Securities Commission settlement with Bruce Moore, a former investment banker who agreed he had improperly traded shares through offshore accounts using confidential information he gleaned from his work at Canadian Imperial Bank of Commerce. The OSC had imposed a 15-year ban on working as a registrant in the securities industry and a 10-year ban on trading shares of public companies.

The ASC panel said it denied the request to enforce the bans in Alberta, because it had not received enough information from ASC staff – not even a copy of the original OSC decision in the case. However, the ASC later reciprocated the order, presumably after commissioners were provided with enough background.

Come on, guys. We know that provincial securities regulation is just a cash grab. You don’t need to make such a pretense of independence as all that.

It’s nice to see more Chinese money recycled into the global economy:

The trend has already hit Sydney, Vancouver and the U.S. Now it’s happening in Japan: busloads of real estate buyers from China coming in, buying up homes and pushing prices higher.

Realty agencies in Beijing are organizing twice-monthly tours to Tokyo and Osaka, where 40 Chinese at a time come for three-day property-shopping trips, seeking safe places to invest their cash abroad. They’re being prompted by the yen’s decline to 22-year lows and excitement over the 2020 Tokyo Olympics driving up prices, as they did in Beijing in 2008. Property tours will soon start from Shanghai too.

Partly as a result of nascent Chinese buying, Tokyo apartment prices have reached the highest levels since the early 1990s, up 11 percent over two years, according to the Real Estate Economic Institute Co.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 31bp, FixedResets off 4bp and DeemedRetractibles gaining 2bp. The Performance Highlights table is its usual lengthy self. Volume was exceedingly very awfully extremely low; I suppose today’s juxtaposition between a Canadian closing and an American one persuaded many fine representatives of the highest paid profession on earth to stay home.

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

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

Here’s TRP:

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 20.11 to be $0.74 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.53 cheap at its bid price of 16.21.

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

Most expensive is MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 24.83 to be $0.588 rich, while MFC.PR.M, resetting at +236bp on 2019-12-19, is bid at 22.80 to be $0.41 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.39 to be $0.75 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 23.75 and appears to be $0.48 rich.

FTS.PR.G, with a spread of +213bp, and bid at 21.38, looks $0.31 cheap and resets 2018-9-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.28 and is $0.12 rich.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of about 0.37%, including the outlier TRP.PR.A / TRP.PR.F at -0.21. On the junk side there are three outliers: FFH.PR.E / FFH.PR.F at -0.79%; BRF.PR.A / BRF.PR.B at -0.43%; and DC.PR.B / DC.PR.D at -0.18%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.1382 %	2,244.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.1382 %	3,925.0
Floater	3.45 %	3.48 %	60,124	18.61	3	-0.1382 %	2,386.4
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0134 %	2,774.4
SplitShare	4.59 %	4.82 %	67,992	3.24	3	-0.0134 %	3,251.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0134 %	2,536.9
Perpetual-Premium	5.47 %	2.65 %	66,837	0.16	13	0.1089 %	2,515.7
Perpetual-Discount	5.35 %	5.30 %	97,153	14.94	21	0.3126 %	2,673.5
FixedReset	4.51 %	3.75 %	224,674	16.16	88	-0.0397 %	2,328.2
Deemed-Retractible	5.01 %	4.81 %	109,386	3.17	34	0.0239 %	2,620.7
FloatingReset	2.92 %	3.26 %	56,296	6.00	10	-0.2482 %	2,323.4

Performance Highlights
Issue	Index	Change	Notes
SLF.PR.J	FloatingReset	-3.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.00 Bid-YTW : 7.70 %
SLF.PR.H	FixedReset	-2.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 5.68 %
TRP.PR.E	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 21.84 Evaluated at bid price : 22.25 Bid-YTW : 3.87 %
TD.PF.A	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 22.07 Evaluated at bid price : 22.60 Bid-YTW : 3.67 %
IFC.PR.C	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 4.84 %
NA.PR.M	Deemed-Retractible	-1.32 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-05-15 Maturity Price : 25.25 Evaluated at bid price : 25.51 Bid-YTW : 5.64 %
NA.PR.S	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 22.85 Evaluated at bid price : 23.95 Bid-YTW : 3.57 %
PWF.PR.R	Perpetual-Premium	-1.15 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-04-30 Maturity Price : 25.25 Evaluated at bid price : 25.76 Bid-YTW : 5.22 %
NA.PR.Q	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.02 Bid-YTW : 3.60 %
HSE.PR.C	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 22.47 Evaluated at bid price : 23.30 Bid-YTW : 4.42 %
NA.PR.W	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 22.00 Evaluated at bid price : 22.51 Bid-YTW : 3.70 %
BAM.PF.G	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 22.54 Evaluated at bid price : 23.50 Bid-YTW : 4.14 %
HSE.PR.A	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 16.17 Evaluated at bid price : 16.17 Bid-YTW : 4.23 %
BAM.PF.C	Perpetual-Discount	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 5.75 %
IFC.PR.A	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 6.26 %
ENB.PR.N	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 4.84 %
FTS.PR.J	Perpetual-Discount	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 23.19 Evaluated at bid price : 23.55 Bid-YTW : 5.08 %
GWO.PR.N	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.11 Bid-YTW : 6.89 %
HSE.PR.E	FixedReset	1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 23.00 Evaluated at bid price : 24.50 Bid-YTW : 4.51 %
ELF.PR.G	Perpetual-Discount	2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 22.08 Evaluated at bid price : 22.36 Bid-YTW : 5.31 %
IAG.PR.A	Deemed-Retractible	3.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 5.73 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.M	Deemed-Retractible	130,160	TD crossed 123,300 at 25.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-26 Maturity Price : 25.25 Evaluated at bid price : 25.60 Bid-YTW : 0.30 %
BMO.PR.Q	FixedReset	64,379	Nesbitt crossed 52,200 at 23.40. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 3.49 %
FTS.PR.H	FixedReset	33,605	Desjardins crossed 30,500 at 16.95. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 3.57 %
ENB.PF.E	FixedReset	24,190	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 4.74 %
TRP.PR.B	FixedReset	20,908	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 14.68 Evaluated at bid price : 14.68 Bid-YTW : 3.73 %
ENB.PF.C	FixedReset	16,543	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 20.08 Evaluated at bid price : 20.08 Bid-YTW : 4.74 %
There were 9 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
SLF.PR.H	FixedReset	Quote: 20.50 – 21.23 Spot Rate : 0.7300 Average : 0.4779 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 5.68 %
PVS.PR.C	SplitShare	Quote: 24.92 – 25.50 Spot Rate : 0.5800 Average : 0.3662 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 5.16 %
MFC.PR.L	FixedReset	Quote: 22.31 – 23.02 Spot Rate : 0.7100 Average : 0.5012 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.31 Bid-YTW : 4.90 %
PWF.PR.R	Perpetual-Premium	Quote: 25.76 – 26.25 Spot Rate : 0.4900 Average : 0.3256 YTW SCENARIO Maturity Type : Call Maturity Date : 2020-04-30 Maturity Price : 25.25 Evaluated at bid price : 25.76 Bid-YTW : 5.22 %
PWF.PR.S	Perpetual-Discount	Quote: 24.02 – 24.50 Spot Rate : 0.4800 Average : 0.3185 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 23.64 Evaluated at bid price : 24.02 Bid-YTW : 5.06 %
TRP.PR.E	FixedReset	Quote: 22.25 – 22.74 Spot Rate : 0.4900 Average : 0.3432 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-02 Maturity Price : 21.84 Evaluated at bid price : 22.25 Bid-YTW : 3.87 %

The Canadian economic news is not encouraging:

Statistics Canada reported Tuesday that real gross domestic product (i.e. adjusted for inflation) shrank by 0.1 per cent in April from March. The economy was hit hard by a 3.4-per-cent drop in oil and gas extraction, as the Alberta oil sands, battered in recent months by sharply lower oil prices, was hit by maintenance shutdowns and other production delays. Manufacturing, retail sales and construction also took a step backward in the month.

The April decline was something of a shock to economists and market watchers, who had anticipated a turnaround from March’s 0.2-per-cent decline, and from a dismal first-quarter in which the economy contracted at an annualized rate of 0.6 per cent – its weakest quarter since the Great Recession. The oil price shock, harsh weather and U.S. port strikes weighed down activity in the quarter, but those factors appeared to have eased with the arrival of spring.

The Canadian dollar slumped about four-tenths of a penny against its U.S. counterpart on the news, to about 80.5 cents (U.S.).

Meanwhile, the US is going all-out to increase productivity:

Retailers and manufacturers blasted President Barack Obama’s plan to make more Americans eligible for overtime pay, saying the move would stunt workers’ careers and cost companies billions.

The National Retail Federation says Obama’s proposed rule change to greatly increase how many salaried employees can claim overtime would force companies to use more part-time and entry-level workers. Businesses also may offer fewer promotions and convert salaried employees to hourly to avoid raising their pay, the NRF said.
…
Obama’s plan would make workers who earn a salary of as much as $970 a week, or about $50,000 a year, eligible to claim overtime under the Fair Labor Standards Act. The current threshold is $455 a week, or about $24,000 a year, which is below the poverty line for a family of four. This change would benefit 4.68 million people, the White House said Tuesday on its website.

An analysis by the Economic Policy Institute showed large increases in the percentage of workers that would be eligible for overtime if the threshold were raised to a level similar to Obama’s proposal. Among retail supervisors, about 56 percent would be covered, up from 8 percent. The group calculated comparable jumps for restaurant managers, insurance clerks and customer-service representatives.

This is another step in the process of improving North American productivity, in conjunction with minimum wage changes. A few businesses will, no doubt, go under. Good. If your business operating model can be summed up as ‘Sweat Your Labour’, then the faster you go bankrupt the better it will be for those of us who prefer a more skilful approach.

Speaking of productivity I was thrilled to learn of a bricklaying robot:

As robots get smarter, cheaper and more versatile, they’re taking on a growing number of challenges – and bricklaying can now be added to the list. Engineers in Perth, Australia, have created a fully working house-building machine that can create the brick framework of a property in just two days, working about 20 times faster than a human bricklayer.

Named Hadrian (after Hadrian’s Wall in the UK), the robot has a top laying speed of 1,000 bricks per hour, which works out as the equivalent of about 150 homes a year. Of course there’s no need for the machine to sleep, eat or take tea breaks either, giving it another advantage over manual laborers.

At the heart of Hadrian is a 28 m (92 ft) articulated telescopic boom. Though mounted on an excavator in the photo below, the finished version will sit on a truck, allowing it easier movement from place to place. The robot brick-layer uses information fed from a 3D CAD representation of the home for brick placement, with mortar or adhesive delivered under pressure to the head of the boom.

Impressive! And according to the company video, it builds proper double-brick houses instead of this frame crap we adore in Canada. It’s too bad the engineering for this initiative was done in Australia, but not in Canada … but I suppose in Canada we’re plenty productive enough already, eh?

And Jody Shenn of Bloomberg made an excellent point at the end of her story about lending to shadow-banks:

U.S. banks’ loans to nondepository financial companies, or shadow banks, have jumped more than 230 percent over the past three years, according to the semiannual risk perspective report released by the Office of the Comptroller of the Currency on Tuesday. They were the fifth-largest category of commercial-loan holdings at banks at the end of last year, up from the 11th spot at the end of 2011.
…
It’s not just banks that are offering nonbanks a helping hand.

Another report released Tuesday, from the overseer of Fannie Mae and Freddie Mac, shows that those companies may also be playing a role, as they increase the fees they charge lenders to guarantee mortgages.

Over the past two years, the mortgage giants have been charging small lenders less (on a risk-adjusted basis) to guarantee loans than they charge large ones, in a switch from the past, according to the report. And many of those small lenders are nonbanks.

In other words, if you push risk down in one place, it can pop up in another place that may not be so far removed from the first.

I thought that was an interesting nugget regarding the elimination of incentives for volume. It’s true!

December 2012
FHFA directs Enterprises to implement an additional 10 basis point average increase, raise 30-year fees by more than 15-year fees to better align returns across both products, and make changes intended to increase fees by more for larger lenders in order to remove fee concessions for volume of deliveries.

I can’t seem to find anything regarding the rationale for this peculiar action.

The Canadian preferred share market ended a horrible month on a positive note, with PerpetualDiscounts winning 22bp, FixedResets gaining 11bp and DeemedRetractibles up 18bp. The Performance Highlights table is its usual lengthy self. Volume was low.

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

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

Here’s TRP:

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 20.02 to be $0.58 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.48 cheap at its bid price of 16.35.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule). The lowest spread issue, MFC.PR.F, is again noticeably off the line defined by the higher-spread issues.

Most expensive is MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 24.61 to be $0.44 rich, while MFC.PR.M, resetting at +236bp on 2019-12-19, is bid at 22.60 to be $0.53 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.37 to be $0.79 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 23.75 and appears to be $0.69 rich.

FTS.PR.G, with a spread of +213bp, and bid at 21.25, looks $0.34 cheap and resets 2018-9-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.34 and is $0.29 rich.

That’s the first time since I started publishing these charts regularly that FTS.PR.H has not been the cheapest issue; it is therefore interesting to see just how good Implied Volatility Theory has been as a predictor of returns since January 23, a date for which the Fortis issues were examined in detail in the post Effect of Varying GOC-5 Rate On Implied Volatility Rich/Cheap Analysis.

Well … I’d say Implied Volatility worked pretty well!

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of about 0.36%, including the outlier TRP.PR.A / TRP.PR.F at -0.09 and the new SLF.PR.G / SLF.PR.J pair at +1.08%. On the junk side there are three outliers: FFH.PR.E / FFH.PR.F at -0.64%; BRF.PR.A / BRF.PR.B at -0.88%; and DC.PR.B / DC.PR.D at -0.24%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	2.3327 %	2,247.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	2.3327 %	3,930.4
Floater	3.45 %	3.47 %	60,674	18.57	3	2.3327 %	2,389.7
OpRet	4.79 %	-4.82 %	22,401	0.08	1	0.0392 %	2,774.8
SplitShare	4.59 %	4.80 %	68,624	3.25	3	0.2281 %	3,251.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0392 %	2,537.3
Perpetual-Premium	5.50 %	5.10 %	64,414	4.21	19	-0.0668 %	2,512.9
Perpetual-Discount	5.28 %	5.20 %	118,505	15.07	15	0.2233 %	2,665.2
FixedReset	4.51 %	3.77 %	228,423	16.34	88	0.1074 %	2,329.1
Deemed-Retractible	5.01 %	4.69 %	110,914	0.64	34	0.1759 %	2,620.1
FloatingReset	2.96 %	3.23 %	41,834	6.01	11	-0.1035 %	2,329.2

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.I	FloatingReset	-3.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 3.71 %
TRP.PR.A	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 3.68 %
GWO.PR.N	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.85 Bid-YTW : 7.08 %
ENB.PR.J	FixedReset	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 19.54 Evaluated at bid price : 19.54 Bid-YTW : 4.74 %
BAM.PF.E	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 21.75 Evaluated at bid price : 22.15 Bid-YTW : 4.17 %
MFC.PR.L	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 4.94 %
TRP.PR.G	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 23.11 Evaluated at bid price : 24.91 Bid-YTW : 3.77 %
PWF.PR.P	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 3.65 %
FTS.PR.G	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 3.77 %
ENB.PF.A	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 4.71 %
MFC.PR.C	Deemed-Retractible	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 5.93 %
ENB.PR.T	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.83 %
BAM.PR.N	Perpetual-Discount	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 20.77 Evaluated at bid price : 20.77 Bid-YTW : 5.76 %
ENB.PR.D	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.84 %
ELF.PR.F	Perpetual-Premium	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 24.23 Evaluated at bid price : 24.53 Bid-YTW : 5.40 %
VNR.PR.A	FixedReset	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 23.09 Evaluated at bid price : 24.00 Bid-YTW : 3.96 %
BMO.PR.T	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.18 Evaluated at bid price : 22.75 Bid-YTW : 3.62 %
BAM.PR.M	Perpetual-Discount	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.72 %
BAM.PR.C	Floater	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 14.35 Evaluated at bid price : 14.35 Bid-YTW : 3.47 %
BAM.PF.B	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.30 %
TRP.PR.C	FixedReset	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 3.80 %
BAM.PR.T	FixedReset	1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 4.09 %
TD.PF.C	FixedReset	1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.09 Evaluated at bid price : 22.65 Bid-YTW : 3.64 %
RY.PR.Z	FixedReset	2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.44 Evaluated at bid price : 23.15 Bid-YTW : 3.53 %
BAM.PR.B	Floater	2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 14.79 Evaluated at bid price : 14.79 Bid-YTW : 3.37 %
BAM.PR.K	Floater	3.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 14.29 Evaluated at bid price : 14.29 Bid-YTW : 3.49 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.K	FloatingReset	59,000	Nesbitt crossed 25,000 at 24.41. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 3.23 %
ENB.PR.F	FixedReset	56,853	Scotia crossed blocks of 35,000 and 12,000, both at 18.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 4.87 %
TD.PF.C	FixedReset	45,300	Scotia crossed 25,000 at 22.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.09 Evaluated at bid price : 22.65 Bid-YTW : 3.64 %
TRP.PR.A	FixedReset	39,530	TD crossed 37,000 at 20.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 3.68 %
RY.PR.L	FixedReset	37,200	TD crossed blocks of 10,000 and 15,200, both at 25.92. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.89 Bid-YTW : 3.36 %
BMO.PR.T	FixedReset	28,106	Desjardins crossed 18,300 at 22.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.18 Evaluated at bid price : 22.75 Bid-YTW : 3.62 %
There were 22 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
FTS.PR.I	FloatingReset	Quote: 16.00 – 16.98 Spot Rate : 0.9800 Average : 0.6831 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 3.71 %
HSE.PR.E	FixedReset	Quote: 24.05 – 24.80 Spot Rate : 0.7500 Average : 0.5393 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.82 Evaluated at bid price : 24.05 Bid-YTW : 4.61 %
CM.PR.O	FixedReset	Quote: 22.95 – 23.45 Spot Rate : 0.5000 Average : 0.3706 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.31 Evaluated at bid price : 22.95 Bid-YTW : 3.62 %
MFC.PR.M	FixedReset	Quote: 22.60 – 23.15 Spot Rate : 0.5500 Average : 0.4271 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 4.89 %
TRP.PR.A	FixedReset	Quote: 20.02 – 20.49 Spot Rate : 0.4700 Average : 0.3500 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 3.68 %
FTS.PR.J	Perpetual-Discount	Quote: 23.20 – 23.75 Spot Rate : 0.5500 Average : 0.4327 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-06-30 Maturity Price : 22.88 Evaluated at bid price : 23.20 Bid-YTW : 5.16 %