PrefBlog

Years of back-door largesse are having an effect on Chicago’s municipal pension plan:

A plan to ease Chicago’s $20 billion public-worker pension deficit is illegal, an Illinois judge ruled, leaving the city vulnerable to another credit downgrade.

Immediately after the ruling, Standard & Poor’s said it would probably lower the city’s rating again if a solution isn’t found. S&P already cut Chicago’s rating earlier this month to BBB+, or three levels above junk.

The Illinois Constitution bars the diminishing of public pensions, state court judge Rita Novak ruled Friday. The Illinois Supreme Court in May killed similar changes to the state’s pension funds.
…
The pension system in Chicago is $20 billion short and is only 36 percent funded, compared with 61 percent in 2005.

It’s not just equities that are getting nailed:

A plunge in commodities is pushing investors to the sidelines as they look to sell their most vulnerable holdings, while treading cautiously around new offerings. With oil prices slumping below $48, energy bonds have lost 5.3 percent this month, and debt linked to metals and mining companies have handed lenders declines of more than 8 percent.
…
Leveraged loans, which are repaid before junk bonds, haven’t been immune to the turmoil. Prices of the debt have fallen to 94.5 cents on the dollar, the lowest since December, according to the Standard & Poor’s/LSTA U.S. Leveraged Loan 100 index.

This provides some company for the loonie:

Bank of Canada Governor Stephen Poloz has sparked a fire sale on the Canadian dollar.

The currency plunged as much as 0.5 percent to C$1.3103 against its U.S. counterpart, the lowest on an intraday basis since September 2004. It fell after a private gauge of Chinese manufacturing dropped to the lowest in 15 months, signaling decreased commodities demand.
…
The Canadian currency fell 0.2 percent to C$1.3066 versus the U.S. dollar as of 11:57 a.m. in Toronto. That’s weaker than C$1.29, the median year-end estimate of analysts and strategists surveyed by Bloomberg. The loonie is poised for a 4.6 percent decline this month.

Traders are still pricing in the chance of another interest-rate cut, though these expectations have moderated in the last week. Trading in overnight index swaps show an implied policy rate of 0.39 percent in six months, compared to the Bank of Canada’s current 0.5 percent, Bloomberg calculations show. Last week they were pricing a rate of 0.36 percent.

There will be a major new investment management firm in the States … led by Hillary Clinton! The firm’s gimmick will be an emphasis on long-term investment; I think the marketing slogan will be ‘Buy, Hold and Prosper’:

Hillary Clinton sharpened her criticism against what she sees as Wall Street excess by targeting investors who demand short-term corporate measures like share buybacks and dividends to pump up a company’s stock price.

“We need a new generation of committed, long-term investors to provide a counter-weight to the hit-and-run activists,” the Democratic presidential candidate said Friday in a speech at New York University’s Stern School of Business. She contrasted her favored approach with investors who agitate for immediate change “no matter how much it discourages and distracts management from pursuing strategies that would add the most long-term value.”
…
“Real value comes from long-term growth, not short-term profits,” said Clinton, 67. “It comes from building companies, not stripping them; from creating good jobs, not eliminating them; from seeing workers as assets to cultivate, not costs to be cut.”
…
Clinton is proposing that the top 43.4 percent tax rate on short-term capital gains be extended to apply to assets held for less than two years, compared with the current one-year threshold. Beyond that, she would implement a sliding scale of long-term capital gains rates, and taxpayers in the top bracket would have to keep holdings for at least six years to get today’s rate of 23.8 percent, which would remain the lowest available.

With a top investment manager like Clinton in charge, performance at this new firm is virtually certain to be better than that at all the firms run by dummies. Where do I send my money?

Geez, I haven’t mentioned drones since May 5; it’s a good thing there’s a Bloomberg piece on drone traffic control:

Google Inc., the company that brought order to the Internet, has set its sights on doing the same for the flocks of commercial drones expected to someday clog the skies.

The search-engine pioneer is joining some of the biggest companies in technology, communications and aviation — including Amazon.com Inc., Verizon Communications Inc. and Harris Corp. — in trying to create an air-traffic control system to prevent mid-air collisions.

But don’t expect a big federally operated network of control towers. The government hasn’t said who will run the system or how it will operate, and is asking for ideas.
…
At least 14 companies, including Google, Amazon, Verizon and Harris, have signed agreements with NASA to help devise the first air-traffic system to coordinate small, low-altitude drones, which the agency calls the Unmanned Aerial System Traffic Management. More than 100 other companies and universities have also expressed interest in the project, which will be needed before commercial drones can fly long distances to deliver goods, inspect power lines and survey crops.
…
PrecisionHawk, a Raleigh, North Carolina, drone company with about 100 employees, began developing its own drone traffic control system because the large agriculture and oil companies it flies for wanted something to keep tabs on unmanned flights. “Our clients need it,” Tyler Collins, the program’s director, said.

In a recent demonstration over a North Carolina cattle farm, Collins and his team intentionally steered a quad-copter drone toward an imagined crop duster at work on an adjacent farm, the kind of hazardous scenario PrecisionHawk employees have seen in the real world.

Within seconds an alert popped up on the operator’s smartwatch: “WARNING, nearing no-fly zone.” When the operator ignored the warning, an autopilot took over and flew the whirring machine back to safety.

PrecisionHawk’s system can automatically block its drones from flying into danger, such as around airports and other aircraft. And it makes a drone’s real-time flight track available so others can stay away.

CU Inc., proud issuer of CIU.PR.A and CIU.PR.C, has announced:

it will issue $400,000,000 of 3.964% Debentures maturing on July 27, 2045, at a price of $100.00 to yield 3.964%. This issue was sold by BMO Nesbitt Burns Inc., RBC Dominion Securities Inc., TD Securities Inc., Scotia Capital Inc. and CIBC World Markets Inc. Proceeds from the issue will be used to finance capital expenditures, to repay existing indebtedness, and for other general corporate purposes of ATCO Electric Ltd. and ATCO Gas and Pipelines Ltd.

CIU.PR.A is a PerpetualDiscount yielding 5.11% at today’s bid price of 22.77; the interest-equivalent is 6.64%, a spread of 268bp over these new long bonds.

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts flat, FixedResets down 40bp and DeemedRetractibles off 11bp. The Performance Highlights table is its usual exaggerated length. Volume was below average.

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

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

Here’s TRP:

TRP.PR.B, which resets 2020-6-30 at +128, is bid at 14.98 to be $0.62 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.74 cheap at its bid price of 15.50.

Another good fit today!

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 22.05 to be $0.18 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 22.00 to be $0.19 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 18.50 to be $0.88 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 22.10 and appears to be $1.12 rich.

FTS.PR.K, with a spread of +205bp, and bid at 21.10, looks $0.51 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 20.45 and is $0.66 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of 0.07%, with no outliers. There are two junk outliers, one above +1.00% and one below -1.00%.

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	0.0000 %	2,113.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0000 %	3,696.0
Floater	3.47 %	3.52 %	60,052	18.47	3	0.0000 %	2,247.2
OpRet	0.00 %	0.00 %	0	0.00	0	0.0535 %	2,776.3
SplitShare	4.58 %	4.93 %	63,595	3.18	3	0.0535 %	3,253.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0535 %	2,538.6
Perpetual-Premium	5.53 %	4.94 %	70,321	2.27	13	-0.0336 %	2,506.9
Perpetual-Discount	5.31 %	5.31 %	92,888	14.90	23	-0.0037 %	2,677.6
FixedReset	4.63 %	3.79 %	213,536	16.11	88	-0.3952 %	2,274.3
Deemed-Retractible	5.05 %	4.92 %	106,941	3.30	34	-0.1106 %	2,611.6
FloatingReset	2.36 %	3.06 %	43,624	6.06	10	-0.1553 %	2,281.6

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.G	FixedReset	-2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 3.71 %
BAM.PR.Z	FixedReset	-2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 22.53 Evaluated at bid price : 23.03 Bid-YTW : 4.14 %
ENB.PR.J	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.79 %
HSE.PR.A	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 15.81 Evaluated at bid price : 15.81 Bid-YTW : 4.02 %
BAM.PR.T	FixedReset	-2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 18.89 Evaluated at bid price : 18.89 Bid-YTW : 4.22 %
FTS.PR.K	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 3.57 %
TRP.PR.F	FloatingReset	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 3.40 %
HSE.PR.E	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 22.64 Evaluated at bid price : 23.65 Bid-YTW : 4.55 %
HSE.PR.C	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 21.94 Evaluated at bid price : 22.40 Bid-YTW : 4.47 %
ENB.PF.G	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 4.90 %
MFC.PR.K	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 4.90 %
ELF.PR.G	Perpetual-Discount	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 22.07 Evaluated at bid price : 22.30 Bid-YTW : 5.35 %
SLF.PR.J	FloatingReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.42 Bid-YTW : 6.77 %
BMO.PR.S	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 22.33 Evaluated at bid price : 22.95 Bid-YTW : 3.50 %
CM.PR.Q	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 22.82 Evaluated at bid price : 24.11 Bid-YTW : 3.56 %
POW.PR.D	Perpetual-Discount	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 23.36 Evaluated at bid price : 23.65 Bid-YTW : 5.31 %
BAM.PR.M	Perpetual-Discount	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 21.18 Evaluated at bid price : 21.18 Bid-YTW : 5.67 %
BAM.PF.C	Perpetual-Discount	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 5.66 %
BAM.PR.N	Perpetual-Discount	2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.59 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.B	FixedReset	110,982	TD crossed 99,200 at 14.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 14.98 Evaluated at bid price : 14.98 Bid-YTW : 3.40 %
TRP.PR.C	FixedReset	105,026	TD crossed 100,000 at 15.28. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 3.69 %
BAM.PF.F	FixedReset	94,553	Desjardins crossed 94,000 at 23.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 22.40 Evaluated at bid price : 23.12 Bid-YTW : 4.05 %
IFC.PR.A	FixedReset	77,200	Nesbitt crossed 67,500 at 18.65. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.44 Bid-YTW : 6.86 %
RY.PR.O	Perpetual-Discount	70,078	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 24.12 Evaluated at bid price : 24.48 Bid-YTW : 5.02 %
RY.PR.A	Deemed-Retractible	61,566	RBC crossed 50,000 at 24.97. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-23 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 3.79 %
There were 25 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.B	FixedReset	Quote: 14.98 – 15.74 Spot Rate : 0.7600 Average : 0.4321 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 14.98 Evaluated at bid price : 14.98 Bid-YTW : 3.40 %
MFC.PR.L	FixedReset	Quote: 22.05 – 22.99 Spot Rate : 0.9400 Average : 0.7237 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 4.97 %
BAM.PR.N	Perpetual-Discount	Quote: 21.50 – 22.05 Spot Rate : 0.5500 Average : 0.3722 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.59 %
FTS.PR.G	FixedReset	Quote: 20.45 – 21.20 Spot Rate : 0.7500 Average : 0.5741 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 3.71 %
BAM.PR.Z	FixedReset	Quote: 23.03 – 23.59 Spot Rate : 0.5600 Average : 0.4147 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 22.53 Evaluated at bid price : 23.03 Bid-YTW : 4.14 %
CM.PR.Q	FixedReset	Quote: 24.11 – 24.75 Spot Rate : 0.6400 Average : 0.5014 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-24 Maturity Price : 22.82 Evaluated at bid price : 24.11 Bid-YTW : 3.56 %

There has been widening of NVCC-compliant sub-debt:

Investors who leaped into Basel-compliant bonds issued by Canadian banks to great fanfare are likely regretting their haste. A year on, the reward for taking on the risk of bailing out a bank has become much richer.

Relative yields of the bonds have widened 25 basis points this year, the worst performance among Canadian five-year corporate bonds, according to RBC Dominion Securities research. The debt is designed to convert to equity if a bank gets into financial distress, in line with new Basel rules to prevent another financial crisis. The first issue of the debt, called contingent capital bonds, in Canada was by Royal Bank of Canada in July, 2014.
…
Toronto-Dominion Bank was the most recent issuer, pricing $1.5-billion of 10-year notes on June 18 at a yield of 166 basis points more than the equivalent government benchmark. By comparison, investors demand about 108 basis points to hold senior-ranking bank debt, according to Merrill Lynch.

Google rallied a few days ago; today it was Amazon’s turn:

Amazon.com Inc. reported a surprise second-quarter profit on top of sales that beat analysts’ estimates, showing investors — as it has done before — that the Web retailer can make money when it puts the brakes on investments.

Shares in Amazon jumped as much as 19 percent after it reported Thursday that revenue rose 20 percent to $23.2 billion, helped by a fast-growing cloud-computing business and initiatives to lure more customers. Net income was $92 million, or 19 cents a share. Analysts projected, on average, a loss of 14 cents on sales of $22.4 billion.
…
Shares surged after the close of trading in New York, helping to push Amazon’s market capitalization to about $267 billion, more than Wal-Mart Stores Inc., the world’s largest retailer. The stock declined 1.3 percent to $482.18 at the close, leaving it up 55 percent this year.

And even the Canadian economy is forecast to grow:

The Canadian economy is already bouncing back from a slump in the first half of the year, but it remains vulnerable to further falls in oil prices and any renewed weakness in export demand from the United States, a Reuters poll found.

After the economy contracted in the first three months of the year, the second quarter also got off to a weak start, suggesting Canada, a major oil exporter, may have been in recession in the first half of 2015.

But economists, none of whom predicted such an outcome when polled on the outlook six months ago, forecast gross domestic product is already re-accelerating to a 1.7-per-cent rate, followed by 2.2 per cent in the fourth quarter.

A Reuters poll taken last week after the Bank of Canada shocked markets for a second time this year with an interest rate cut to dull the sting from falling oil prices found that the new rate of 0.5 per cent will likely be the floor.

It was a good, if mixed, day for the Canadian preferred share market, with PerpetualDiscounts gaining 18bp, FixedResets up 30bp and DeemedRetractibles off 1bp. The Performance Highlights table is dominated by winners. 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.B, which resets 2020-6-30 at +128, is bid at 14.95 to be $0.63 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.82 cheap at its bid price of 15.40.

Another good fit today!

Most expensive is MFC.PR.I, resetting at +286bp on 2017-9-19, bid at 25.10 to be $0.16 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.58 to be $0.15 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 20.61 to be $1.00 cheap. BAM.PR.X, resetting at +180bp on 2017-6-30 is bid at 17.29 and appears to be $1.15 rich.

FTS.PR.K, with a spread of +205bp, and bid at 21.50, looks $0.66 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 21.00 and is $0.37 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of 0.09%, with no outliers. There are no junk outliers.

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	1.5415 %	2,113.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.5415 %	3,696.0
Floater	3.47 %	3.52 %	60,973	18.47	3	1.5415 %	2,247.2
OpRet	0.00 %	0.00 %	0	0.00	0	0.1743 %	2,774.8
SplitShare	4.59 %	4.90 %	64,083	3.18	3	0.1743 %	3,251.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1743 %	2,537.3
Perpetual-Premium	5.53 %	5.01 %	70,613	2.27	13	-0.0835 %	2,507.8
Perpetual-Discount	5.31 %	5.27 %	93,990	14.96	23	0.1834 %	2,677.7
FixedReset	4.61 %	3.75 %	210,688	16.22	88	0.2961 %	2,283.3
Deemed-Retractible	5.04 %	4.84 %	110,502	3.30	34	-0.0106 %	2,614.5
FloatingReset	2.36 %	3.06 %	43,901	6.06	10	0.0877 %	2,285.1

Performance Highlights
Issue	Index	Change	Notes
TD.PF.D	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 22.78 Evaluated at bid price : 24.02 Bid-YTW : 3.57 %
PWF.PR.K	Perpetual-Discount	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 23.69 Evaluated at bid price : 23.99 Bid-YTW : 5.17 %
NA.PR.S	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 22.69 Evaluated at bid price : 23.61 Bid-YTW : 3.40 %
BMO.PR.S	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 22.47 Evaluated at bid price : 23.20 Bid-YTW : 3.45 %
MFC.PR.K	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 4.75 %
BAM.PF.D	Perpetual-Discount	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 21.34 Evaluated at bid price : 21.65 Bid-YTW : 5.70 %
BAM.PR.Z	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 22.83 Evaluated at bid price : 23.55 Bid-YTW : 4.03 %
HSE.PR.C	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 22.13 Evaluated at bid price : 22.70 Bid-YTW : 4.40 %
BAM.PR.M	Perpetual-Discount	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 5.74 %
ENB.PF.A	FixedReset	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.78 %
ELF.PR.G	Perpetual-Discount	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 22.28 Evaluated at bid price : 22.55 Bid-YTW : 5.29 %
CM.PR.Q	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 22.93 Evaluated at bid price : 24.37 Bid-YTW : 3.51 %
BAM.PF.F	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 22.52 Evaluated at bid price : 23.35 Bid-YTW : 4.00 %
BAM.PR.K	Floater	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 3.52 %
HSE.PR.E	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 22.80 Evaluated at bid price : 24.00 Bid-YTW : 4.47 %
RY.PR.H	FixedReset	1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 22.03 Evaluated at bid price : 22.50 Bid-YTW : 3.45 %
IFC.PR.A	FixedReset	1.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.43 Bid-YTW : 6.87 %
ENB.PR.J	FixedReset	2.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 18.95 Evaluated at bid price : 18.95 Bid-YTW : 4.68 %
BAM.PR.C	Floater	3.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 3.52 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.H	FixedReset	117,185	Desjardins crossed 80,900 at 22.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 22.03 Evaluated at bid price : 22.50 Bid-YTW : 3.45 %
RY.PR.O	Perpetual-Discount	108,168	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 24.22 Evaluated at bid price : 24.59 Bid-YTW : 4.99 %
BNS.PR.Z	FixedReset	93,414	RBC crossed 50,000 at 22.70. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.69 Bid-YTW : 3.85 %
PWF.PR.T	FixedReset	75,700	Desjardins crossed 75,000 at 24.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 23.16 Evaluated at bid price : 24.60 Bid-YTW : 3.20 %
BMO.PR.Y	FixedReset	60,300	Scotia crossed 40,000 at 24.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 23.00 Evaluated at bid price : 24.56 Bid-YTW : 3.49 %
TD.PF.F	Perpetual-Discount	52,135	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 24.30 Evaluated at bid price : 24.67 Bid-YTW : 4.98 %
There were 20 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.O	Perpetual-Premium	Quote: 25.85 – 26.19 Spot Rate : 0.3400 Average : 0.2144 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-10-31 Maturity Price : 25.75 Evaluated at bid price : 25.85 Bid-YTW : 3.76 %
FTS.PR.G	FixedReset	Quote: 21.00 – 21.50 Spot Rate : 0.5000 Average : 0.3811 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 3.61 %
VNR.PR.A	FixedReset	Quote: 22.01 – 22.50 Spot Rate : 0.4900 Average : 0.3727 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 21.60 Evaluated at bid price : 22.01 Bid-YTW : 4.09 %
MFC.PR.L	FixedReset	Quote: 22.05 – 22.65 Spot Rate : 0.6000 Average : 0.4865 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 4.96 %
RY.PR.M	FixedReset	Quote: 24.10 – 24.50 Spot Rate : 0.4000 Average : 0.2868 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 22.80 Evaluated at bid price : 24.10 Bid-YTW : 3.41 %
FTS.PR.J	Perpetual-Discount	Quote: 24.00 – 24.59 Spot Rate : 0.5900 Average : 0.4768 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-23 Maturity Price : 23.60 Evaluated at bid price : 24.00 Bid-YTW : 5.00 %

So evidence is accumulating that the deterioration of the Treasury market is having an effect on corporate new issues (although some might say it’s the other way ’round):

News of a debt offering from Intel Corp. took Treasuries on a rollercoaster ride.

The swings Wednesday are the latest sign that corporate-bond offerings are driving bigger moves in U.S. government debt prices this year, as a historic wave of issuance competes with Treasuries for space in investors’ portfolios, according to strategists at Bank of America Corp. The trend has picked up as post-financial crisis regulations prompt dealers to step back from Treasury trading, which means smaller trades can move prices.

When a corporate comes out, the underwriters will short sovereigns to hedge their interest-rate risk. Some of the initial buyers might do this as well to lock in the new issue concession prior to flipping the issue in the next little while. This was discussed on May 26; there may also be a little pop in price due to index-inclusion subsequent to the initial trading period, although attribution of pops due to these different effects might prove to be a little difficult!

At any rate, what this means is that hedging a sizable purchase of new issues corporates is going to be (a) more expensive and (b) less certain. Therefore the concessions will have to be higher than otherwise; therefore the issuer will have to eat extra costs when issuing bonds; therefore the market has become less efficient in transmitting capital from lenders to borrowers. But who cares? The important thing about markets is that Granny’s investment of $5,000 is priced fairly. If industry is crippled due to the necessity of accommodating Granny, it’s a small price to pay.

Speaking of borrowing, there is speculation that Canada’s books won’t be balanced this year:

The federal government is headed for a deficit this year, Parliament’s budget watchdog warns in a fresh assessment of finances that sows doubt about the Conservatives’ centrepiece pledge to balance the books in 2015 as well as about their credentials as economic managers.

The Parliamentary Budget Officer says calculations using the Bank of Canada’s latest economic forecast show that Ottawa is on track to dip into the red by about $1-billion in the 2015-16 fiscal year.

This bleaker prediction was immediately rejected by Prime Minister Stephen Harper’s government, which insists that Ottawa will avoid a deficit this year even after it doled out $3-billion in enriched child-care benefits this week

And speaking of operating losses:

Bombardier Inc.’s shares and bonds tumbled on concern that demand is weakening for business jets, a pillar of profit at a company struggling to develop its first commercial airliner.

The sell-off probably was triggered by comments Wednesday from an aviation-parts supplier, B/E Aerospace Inc. about softening buyer interest in large-cabin executive aircraft, said Benoit Poirier, a Desjardins Securities Inc. analyst.
…
Bombardier’s widely traded Class B shares sank 3.9 percent to C$1.72 at the close in Toronto, paring an earlier plunge of as much as 18 percent. The 6 percent bonds due October 2022 fell 4.8 percent to 79 cents on the dollar. They had traded above par value in January.

According to the Globe:

Amin Khoury, the executive chairman of B/E Aerospace Inc. of Florida, had told analysts on a conference call that “energy-producing companies and governments have put a damper on capital spending, which has negatively impacted business-jet sales. On a regional basis, new large-cabin business-jet demand has come under pressure as international markets that represented a significant source of demand have now become sellers, putting their used aircraft on the market, including China, Russia and Latin America.”

And the loonie got smacked:

The Canadian dollar ended the day at its lowest closing level in more than a decade as falling oil prices, which may have plunged the economy into recession in the first half of the year, resumed their descent.

The currency has been falling since last week when the Bank of Canada cut its benchmark interest rate and forecast two straight quarters of economic contraction, saying the hit from crude oil’s collapse was proving to be more severe than expected. Oil prices fell again Wednesday, with the North American benchmark trading below $50 per barrel.
…
The loonie, as the currency is known for the image of the aquatic bird on the C$1 coin, ended trading Wednesday at C$1.3033 per U.S. dollar, or 76.73 U.S cents, the lowest closing level for the currency since September 2004.

Which is good news for the tourist industry! I remember the glory days of the early 2000’s … in the evening, busses with US plates would be parked all over the theatre district … it was great!

And backtracking a bit and speaking of simple-minded trading strategies:

Buy when the stock market opens. Sell at the close. Repeat.

As far as trading strategies go, that’s about as simple as it gets. Turns out it’s also been a great way to make money in China, thanks to what analysts say is a pattern of afternoon equity purchases by state-backed funds.

When applied to the Shanghai Composite Index, the trading rule generated a 23 percent return since July 8, compared with 8 percent for a buy-and-hold approach. Use it on PetroChina Co., an obvious target of state support given the stock’s heavy weighting in benchmark indexes, and the difference is even starker: 43 percent versus 0.5 percent.

Late-day rallies are the latest quirk to emerge from an equity market where government intervention — from price ceilings on initial public offerings to bans on stake sales by major shareholders — has increased to unprecedented levels after a $4 trillion selloff.

Hat tip to Assiduous Reader JP for sending me this!

I see that New York is implementing a higher minimum wage – for fast food chains only:

A panel appointed by Gov. Andrew M. Cuomo recommended on Wednesday that the minimum wage be raised for employees of fast-food chain restaurants throughout the state to $15 an hour over the next few years. Wages would be raised faster in New York City than in the rest of the state to account for the higher cost of living there.

I can’t think of any sensible rationale for carving out fast-food chains from the rest of the economy.

I support a higher (across the board) minimum wage for precisely the reason that jobs will be lost – although if I were king, implementation would be delayed until the economy started looking a little better.

Low wages encourage low-skill industries; increasing the minimum wage will encourage automation as discussed October 15, 2013.

It is not redistribution that makes us rich; productivity makes us rich.

Westcoast Energy Inc., proud issuer of W.PR.H and W.PR.J, has been confirmed at Pfd-2(low) by DBRS:

DBRS Limited (DBRS) has today confirmed the Issuer Rating and Unsecured Debentures rating of Westcoast Energy Inc. (Westcoast or the Company) at A (low) as well as its Commercial Paper rating at R-1 (low) and First Preferred Shares rating at Pfd-2 (low). All trends are Stable. The rating confirmations reflect Westcoast’s strong business risk profile supported by low-risk regulated or fee-for-service operations accounting for nearly 95% of the Company’s earnings and provide downside protection from the current low commodity price environment. The Company’s financial profile remained reasonable for the current rating category.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 13bp, FixedResets down 16bp and DeemedRetractibles gaining 6bp. The Performance Highlights table is its usual lively self. Volume was average.

PerpetualDiscounts now yield 5.29%, equivalent to 6.88% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.02%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 285bp, a slight (and perhaps spurious) narrowing from the 290bp reported July 15.

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.B, which resets 2020-6-30 at +128, is bid at 14.97 to be $0.60 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.77 cheap at its bid price of 15.50.

Another good fit today!

Most expensive is MFC.PR.I, resetting at +286bp on 2017-9-19, bid at 25.03 to be $0.17 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 22.00 to be $0.25 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-06-30, bid at 18.38 to be $1.05 cheap. BAM.PR.X, resetting at +180bp on 2017-6-30 is bid at 17.20 and appears to be $1.04 rich.

FTS.PR.K, with a spread of +205bp, and bid at 21.55, looks $0.65 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 21.10 and is $0.34 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of 0.09%, with two outliers above 1.00%. There are no junk outliers.

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	1.1824 %	2,081.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.1824 %	3,639.9
Floater	3.52 %	3.58 %	61,760	18.35	3	1.1824 %	2,213.1
OpRet	0.00 %	0.00 %	0	0.00	0	0.0671 %	2,770.0
SplitShare	4.59 %	4.95 %	64,433	3.19	3	0.0671 %	3,246.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0671 %	2,532.8
Perpetual-Premium	5.52 %	4.96 %	73,554	2.27	13	-0.0152 %	2,509.9
Perpetual-Discount	5.32 %	5.29 %	93,931	14.91	23	-0.1319 %	2,672.8
FixedReset	4.62 %	3.75 %	218,681	16.12	88	-0.1589 %	2,276.6
Deemed-Retractible	5.03 %	4.90 %	111,852	3.30	34	0.0648 %	2,614.8
FloatingReset	2.36 %	3.05 %	44,529	6.07	10	0.1320 %	2,283.1

Performance Highlights
Issue	Index	Change	Notes
CM.PR.Q	FixedReset	-2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 22.78 Evaluated at bid price : 24.02 Bid-YTW : 3.58 %
SLF.PR.H	FixedReset	-2.10 %	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 %
HSE.PR.C	FixedReset	-1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 21.95 Evaluated at bid price : 22.42 Bid-YTW : 4.46 %
TRP.PR.E	FixedReset	-1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 21.61 Evaluated at bid price : 21.92 Bid-YTW : 3.75 %
HSE.PR.G	FixedReset	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 22.47 Evaluated at bid price : 23.35 Bid-YTW : 4.62 %
BAM.PR.R	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 18.38 Evaluated at bid price : 18.38 Bid-YTW : 4.26 %
IFC.PR.A	FixedReset	-1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.07 Bid-YTW : 7.12 %
FTS.PR.J	Perpetual-Discount	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 23.51 Evaluated at bid price : 23.90 Bid-YTW : 5.02 %
TRP.PR.F	FloatingReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 3.35 %
TRP.PR.D	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 21.33 Evaluated at bid price : 21.33 Bid-YTW : 3.82 %
BNS.PR.Y	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.26 Bid-YTW : 3.69 %
BAM.PF.C	Perpetual-Discount	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.83 %
MFC.PR.J	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 4.06 %
BAM.PR.Z	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 22.67 Evaluated at bid price : 23.26 Bid-YTW : 4.09 %
ENB.PR.B	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 16.63 Evaluated at bid price : 16.63 Bid-YTW : 4.88 %
BAM.PR.K	Floater	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 13.30 Evaluated at bid price : 13.30 Bid-YTW : 3.58 %
FTS.PR.F	Perpetual-Discount	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 23.98 Evaluated at bid price : 24.26 Bid-YTW : 5.11 %
TRP.PR.C	FixedReset	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 15.48 Evaluated at bid price : 15.48 Bid-YTW : 3.69 %
NA.PR.S	FixedReset	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 22.80 Evaluated at bid price : 23.85 Bid-YTW : 3.35 %
FTS.PR.M	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 22.51 Evaluated at bid price : 23.35 Bid-YTW : 3.59 %
SLF.PR.J	FloatingReset	1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.60 Bid-YTW : 6.63 %
HSE.PR.A	FixedReset	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 16.28 Evaluated at bid price : 16.28 Bid-YTW : 3.90 %
TRP.PR.B	FixedReset	1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 14.97 Evaluated at bid price : 14.97 Bid-YTW : 3.40 %
RY.PR.J	FixedReset	2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 23.00 Evaluated at bid price : 24.53 Bid-YTW : 3.47 %
PWF.PR.P	FixedReset	2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 3.47 %
BAM.PR.B	Floater	2.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 13.82 Evaluated at bid price : 13.82 Bid-YTW : 3.44 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.O	Perpetual-Discount	254,478	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 24.20 Evaluated at bid price : 24.57 Bid-YTW : 4.99 %
BNS.PR.Z	FixedReset	144,280	RBC crossed 100,000 at 22.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 3.84 %
RY.PR.F	Deemed-Retractible	117,800	TD crossed blocks of 55,000 and 50,000, both at 25.30. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 3.85 %
RY.PR.A	Deemed-Retractible	111,756	RBC crossed 99,100 at 25.15. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 4.49 %
RY.PR.B	Deemed-Retractible	108,316	Scotia crossed 80,000 at 25.22. National sold 10,000 each to Nesbitt and TD, both at 25.22. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 2.47 %
TD.PF.E	FixedReset	104,050	RBC crossed 50,000 at 24.90. TD crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 23.11 Evaluated at bid price : 24.90 Bid-YTW : 3.49 %
There were 30 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IFC.PR.A	FixedReset	Quote: 18.07 – 18.83 Spot Rate : 0.7600 Average : 0.5419 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.07 Bid-YTW : 7.12 %
SLF.PR.H	FixedReset	Quote: 19.54 – 20.07 Spot Rate : 0.5300 Average : 0.3513 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 %
FTS.PR.J	Perpetual-Discount	Quote: 23.90 – 24.39 Spot Rate : 0.4900 Average : 0.3528 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 23.51 Evaluated at bid price : 23.90 Bid-YTW : 5.02 %
BAM.PF.E	FixedReset	Quote: 22.00 – 22.45 Spot Rate : 0.4500 Average : 0.3186 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 21.65 Evaluated at bid price : 22.00 Bid-YTW : 4.02 %
BAM.PR.R	FixedReset	Quote: 18.38 – 18.79 Spot Rate : 0.4100 Average : 0.2843 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 18.38 Evaluated at bid price : 18.38 Bid-YTW : 4.26 %
CM.PR.Q	FixedReset	Quote: 24.02 – 24.45 Spot Rate : 0.4300 Average : 0.3158 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-22 Maturity Price : 22.78 Evaluated at bid price : 24.02 Bid-YTW : 3.58 %

Commodities got smacked yesterday. Today it was technology’s turn:

The biggest technology rally since October was knocked cold, as disappointing earnings reports punished Microsoft Corp. and left Apple Inc. in danger of its worst-ever loss of market value.

Five days after Google Inc.’s earnings sparked the largest one-day increase in market capitalization, computer and software shares are tumbling. Apple, Microsoft and Yahoo! Inc. retreated on disappointing results. Apple, the world’s most valuable company, dropped 6.7 percent, a slump that would wipe more than $50 billion from its value.

Hopes were high for the industry as earnings season began, with shares in the sector leading a rebound in U.S. equities after overseas tensions eased. The Nasdaq Composite Index rallied to an all-time high on July 17 after Google surged 16 percent, adding $65 billion to its market cap.
…
Cracks in the facade appeared before Tuesday. Intel Corp., kicking off earnings by the largest U.S. technology companies last week, said it expects the personal-computer market to fall further than expected, spotlighting the challenges for chipmakers. International Business Machines Corp. dropped 5.9 percent during regular trading Tuesday after sales fell for a 13th quarter.
…
Microsoft slid 3.1 percent following its largest-ever quarterly net loss, hurt by a $7.5 billion writedown after the purchase of Nokia’s handset unit failed to rescue the company’s mobile business.

According to Big Taxi funding recipient de Blasio, New York may have too many taxis:

The New York City Council may vote as soon as this week on Mayor Bill de Blasio’s plan to limit the growth of ride-hailing service Uber Technologies Inc.

No decision has been made on whether the measure will come up at the council’s next scheduled meeting Thursday, said Eric Koch, a spokesman for Speaker Melissa Mark-Viverito. The bill would first have to clear the transportation committee, where it has the support of Chairman Ydanis Rodriguez, an outspoken Uber critic backed by the yellow-taxi industry. De Blasio said Monday that he wanted the council to vote “as quickly as possible.”

The measure would restrict the growth of fleets with 500 or more cars to 1 percent while city officials conduct a study on traffic congestion, which would be due April 30. While the limit would affect all for-hire ride services, including traditional black-car companies like Carmel and Dial 7, the biggest loser would be San Francisco-based Uber, which has grown to include 19,000 vehicles and is expanding about 3 percent a month.
…
The legislation is the latest battle in a fight between the traditional taxi and limousine industry, which gave de Blasio’s 2013 mayoral campaign more than $500,000, and digital ride-sharing companies like Uber and Lyft Inc. The taxi industry also donated more than $150,000 to council members, including more than $27,000 this year to [City Council Speaker] Mark-Viverito. [Transportation committee Chairman Ydanis] Rodriguez received $8,500 in 2013.

It was a mixed, but mostly negative, day for the Canadian preferred share market, with PerpetualDiscounts gaining 5bp, FixedResets down 30bp and DeemedRetractibles off 21bp. The Performance Highlights table continues to illustrate a high level of volatility in the marketplace. Volume was average.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +128, is bid at 22.30 to be $0.78 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.88 cheap at its bid price of 15.30.

Another good fit today!

Most expensive is MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 24.31 to be $0.33 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 22.00 to be $0.22 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-06-30, bid at 18.68 to be $0.83 cheap. BAM.PR.X, resetting at +180bp on 2017-6-30 is bid at 17.20 and appears to be $0.95 rich.

FTS.PR.K, with a spread of +205bp, and bid at 21.63, looks $0.79 expensive and resets 2019-3-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 23.00 and is $0.30 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of 0.05%, with one outliers above 1.00%. There is also one junk pair below -1.00%.

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	-0.7243 %	2,057.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.7243 %	3,597.4
Floater	3.57 %	3.62 %	62,440	18.26	3	-0.7243 %	2,187.2
OpRet	0.00 %	0.00 %	0	0.00	0	0.2961 %	2,768.1
SplitShare	4.60 %	4.94 %	67,020	3.19	3	0.2961 %	3,244.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2961 %	2,531.1
Perpetual-Premium	5.52 %	3.69 %	74,284	0.28	13	-0.1188 %	2,510.3
Perpetual-Discount	5.33 %	5.31 %	87,558	14.89	22	0.0489 %	2,676.4
FixedReset	4.61 %	3.69 %	221,426	16.29	88	-0.3021 %	2,280.2
Deemed-Retractible	5.03 %	4.97 %	112,282	5.51	34	-0.2071 %	2,613.1
FloatingReset	2.36 %	3.07 %	45,059	6.07	10	-0.1881 %	2,280.1

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.P	FixedReset	-2.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 3.54 %
TRP.PR.F	FloatingReset	-2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 3.31 %
ENB.PR.J	FixedReset	-2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 4.85 %
IFC.PR.A	FixedReset	-2.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.36 Bid-YTW : 6.91 %
IAG.PR.G	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 4.07 %
MFC.PR.L	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 4.99 %
ENB.PR.N	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 18.08 Evaluated at bid price : 18.08 Bid-YTW : 4.87 %
BNS.PR.Z	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.92 Bid-YTW : 3.68 %
TRP.PR.G	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 22.78 Evaluated at bid price : 24.06 Bid-YTW : 3.79 %
TRP.PR.E	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 21.88 Evaluated at bid price : 22.30 Bid-YTW : 3.68 %
ENB.PF.E	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 18.96 Evaluated at bid price : 18.96 Bid-YTW : 4.87 %
MFC.PR.N	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.47 Bid-YTW : 4.82 %
BAM.PR.K	Floater	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 13.15 Evaluated at bid price : 13.15 Bid-YTW : 3.62 %
TD.PF.C	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 21.67 Evaluated at bid price : 22.01 Bid-YTW : 3.53 %
ENB.PF.A	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.82 %
BAM.PR.Z	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 22.81 Evaluated at bid price : 23.51 Bid-YTW : 4.04 %
ENB.PF.C	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 4.85 %
TRP.PR.D	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 3.75 %
HSB.PR.C	Deemed-Retractible	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 5.15 %
ENB.PR.T	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 17.92 Evaluated at bid price : 17.92 Bid-YTW : 4.77 %
HSB.PR.D	Deemed-Retractible	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 5.23 %
HSE.PR.E	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 22.72 Evaluated at bid price : 23.83 Bid-YTW : 4.51 %
TRP.PR.C	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 15.27 Evaluated at bid price : 15.27 Bid-YTW : 3.74 %
ENB.PR.Y	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 17.47 Evaluated at bid price : 17.47 Bid-YTW : 4.78 %
MFC.PR.F	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.00 Bid-YTW : 7.07 %
HSE.PR.G	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 22.67 Evaluated at bid price : 23.75 Bid-YTW : 4.53 %
TRP.PR.H	FloatingReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 2.79 %
BNS.PR.Y	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.52 Bid-YTW : 3.50 %
NA.PR.W	FixedReset	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 21.92 Evaluated at bid price : 22.38 Bid-YTW : 3.49 %
CU.PR.G	Perpetual-Discount	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 21.92 Evaluated at bid price : 22.24 Bid-YTW : 5.11 %
HSE.PR.C	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 22.22 Evaluated at bid price : 22.85 Bid-YTW : 4.36 %
BAM.PR.R	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 18.68 Evaluated at bid price : 18.68 Bid-YTW : 4.19 %
CM.PR.P	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 21.80 Evaluated at bid price : 22.20 Bid-YTW : 3.50 %
IFC.PR.C	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 5.04 %
BAM.PR.X	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 3.96 %
FTS.PR.J	Perpetual-Discount	1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 23.84 Evaluated at bid price : 24.25 Bid-YTW : 4.94 %
RY.PR.M	FixedReset	2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 22.94 Evaluated at bid price : 24.44 Bid-YTW : 3.43 %
MFC.PR.J	FixedReset	2.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.31 Bid-YTW : 3.93 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.F	Perpetual-Discount	464,790	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 24.29 Evaluated at bid price : 24.66 Bid-YTW : 4.98 %
ENB.PF.A	FixedReset	108,792	Nesbitt crossed 100,000 at 19.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.82 %
ENB.PF.C	FixedReset	80,465	Nesbitt crossed 50,000 at 19.00 and sold 13,000 to RBC at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 4.85 %
ENB.PR.N	FixedReset	80,040	TD crossed 71,000 at 18.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 18.08 Evaluated at bid price : 18.08 Bid-YTW : 4.87 %
ENB.PR.F	FixedReset	76,866	Secotia crossed three blocks, one of 50,000 and two of 10,000, all at 17.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 4.87 %
RY.PR.A	Deemed-Retractible	73,225	RBC crossed 50,000 at 25.22. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 4.48 %
There were 30 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.P	FixedReset	Quote: 16.55 – 17.48 Spot Rate : 0.9300 Average : 0.6637 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 3.54 %
IAG.PR.G	FixedReset	Quote: 24.40 – 24.96 Spot Rate : 0.5600 Average : 0.3579 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 4.07 %
ELF.PR.G	Perpetual-Discount	Quote: 22.15 – 22.83 Spot Rate : 0.6800 Average : 0.4919 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 21.91 Evaluated at bid price : 22.15 Bid-YTW : 5.39 %
CM.PR.O	FixedReset	Quote: 22.82 – 23.49 Spot Rate : 0.6700 Average : 0.5098 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 22.23 Evaluated at bid price : 22.82 Bid-YTW : 3.47 %
HSE.PR.E	FixedReset	Quote: 23.83 – 24.45 Spot Rate : 0.6200 Average : 0.4619 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-21 Maturity Price : 22.72 Evaluated at bid price : 23.83 Bid-YTW : 4.51 %
MFC.PR.N	FixedReset	Quote: 22.47 – 23.00 Spot Rate : 0.5300 Average : 0.3888 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.47 Bid-YTW : 4.82 %

Commodities got smacked today:

The Bloomberg Commodities Index is holding losses after dropping Monday to a 13-year low, weaker than after the banking meltdown of 2008 and the euro-zone crisis of 2012. From oil to copper to sugar, little has escaped the rout in the year’s worst-performing asset class.
…
Gold, the most heavily-weighted commodity in the index, is the latest to get hit hard, socked by a stronger dollar and concern about a slowdown in China. During a stretch of about 15 minutes in Asian trading hours Monday, gold prices plunged by the most in two years.
…
Investors pulled about $530 million from exchange-traded funds tracking commodities last week, or almost 1 percent of the funds’ market value. Citigroup Inc. analyst Aakash Doshi estimates that $2.3 billion was pulled from investments linked to commodity indexes in the week ended July 14, bringing total withdrawals since June 30 to $2.8 billion.

So guess what happened:

The Standard & Poor’s/TSX Composite Index fell 217.29 points, or 1.5 per cent, to 14,425.55 in Toronto. The benchmark equity gauge has declined 2.1 per cent in two days, after rallying 3.2 per cent in the previous five sessions.

Gold miners bore the brunt of selling Monday, as the metal sank to as low as $1,080 an ounce, the lowest since 2010. Barrick sank 16 per cent to close at a 25-year low, while Goldcorp tumbled 12 per cent to its worst close since 2005.

An index of gold miners retreated 12 per cent to end at the lowest since April 2001, with Yamana Gold Inc. sliding 12 percent and Kinross Gold Corp. plunging 13 per cent.

Raw-materials producers retreated 6.3 per cent for a fourth day of losses that now total 10 percent.

Aston Hill, which was reported on PrefBlog as being for sale on April 16 and losing a portfolio manager on July 3, has now lost its CFO and CEO:

Aston Hill Financial Inc. has been hit by a new wave of executive departures that will see both its CEO and CFO leave.

Eric Tremblay, who co-founded the asset management firm in 2007, is stepping down as chief executive officer effective Aug. 31 to “pursue personal endeavours” the firm said in a release. He is also resigning as chairman of the board but will remain with the firm as a director.

On Aug. 1 Peter Anderson takes over as interim CEO. Mr. Anderson, who earlier in his career worked at CI Financial Corp. for 15 years as chief investment officer and head of institutional sales until 2012, joined Aston Hill as a board member in November, 2014.

Chief financial officer Larry Titley is leaving the firm effective July 31. He had been with Aston Hill for the past 8 years. Derek Slemko, senior VP of finance will take over as CFO in an interim basis.

Aston Hill is also closing down its Calgary office.

In January 2011, Aston Hill renamed its subsidiary, Catapult Financial Management Inc. to Aston Hill Investments Inc.

Catapult was mentioned on PrefBlog in February 2009 as offering a closed-end actively managed preferred share fund, Preferred Share Investment Trust. This fund now has $68.1-million under management and is still managed by Aston Hill Investments Inc. Performance has been disappointing.

It was a reasonably good day for the Canadian preferred share market, with PerpetualDiscounts up 50bp, FixedResets gaining 4bp and DeemedRetractibles off 3bp. The Performance Highlights table is lengthy, with BAM issues doing well. Volume was well below average.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +128, is bid at 22.66 to be $0.88 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.82 cheap at its bid price of 15.40.

Another good fit today!

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 22.40 to be $0.42 rich, while MFC.PR.J, resetting at +261bp on 2018-3-19, is bid at 23.69 to be $0.34 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-06-30, bid at 18.47 to be $0.97 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 21.90 and appears to be $0.84 rich.

FTS.PR.K, with a spread of +205bp, and bid at 21.53, looks $0.77 expensive and resets 2019-3-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 23.00 and is $0.30 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of 0.12%, with two outliers slightly above 1.00%. There are also two junk pairs below -1.00%.

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	-0.9646 %	2,072.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.9646 %	3,623.6
Floater	3.54 %	3.56 %	63,009	18.38	3	-0.9646 %	2,203.2
OpRet	0.00 %	0.00 %	0	0.00	0	-0.7746 %	2,759.9
SplitShare	4.61 %	5.00 %	67,739	3.19	3	-0.7746 %	3,234.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.7746 %	2,523.7
Perpetual-Premium	5.51 %	2.03 %	74,616	0.08	13	-0.0396 %	2,513.3
Perpetual-Discount	5.36 %	5.33 %	87,449	14.89	21	0.4981 %	2,675.0
FixedReset	4.60 %	3.68 %	211,101	16.20	88	0.0448 %	2,287.1
Deemed-Retractible	5.02 %	4.64 %	112,934	0.82	34	-0.0299 %	2,618.5
FloatingReset	2.35 %	3.02 %	46,780	6.07	10	0.2925 %	2,284.4

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.K	Floater	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 13.34 Evaluated at bid price : 13.34 Bid-YTW : 3.56 %
ENB.PR.B	FixedReset	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 16.66 Evaluated at bid price : 16.66 Bid-YTW : 4.87 %
BAM.PF.F	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.36 Evaluated at bid price : 23.05 Bid-YTW : 4.06 %
PVS.PR.B	SplitShare	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 4.85 %
TRP.PR.C	FixedReset	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 15.44 Evaluated at bid price : 15.44 Bid-YTW : 3.70 %
RY.PR.Z	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.37 Evaluated at bid price : 23.02 Bid-YTW : 3.37 %
MFC.PR.J	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.69 Bid-YTW : 4.25 %
CIU.PR.C	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 3.36 %
BAM.PR.R	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 18.47 Evaluated at bid price : 18.47 Bid-YTW : 4.24 %
MFC.PR.G	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 3.84 %
CM.PR.P	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.62 Evaluated at bid price : 21.95 Bid-YTW : 3.54 %
IGM.PR.B	Perpetual-Premium	-1.16 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-12-31 Maturity Price : 25.25 Evaluated at bid price : 25.60 Bid-YTW : 5.18 %
BMO.PR.S	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.39 Evaluated at bid price : 23.07 Bid-YTW : 3.47 %
ENB.PR.D	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 4.80 %
ENB.PR.Y	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 17.66 Evaluated at bid price : 17.66 Bid-YTW : 4.72 %
BAM.PR.T	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 4.09 %
BAM.PF.A	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.39 Evaluated at bid price : 22.95 Bid-YTW : 4.07 %
BAM.PR.X	FixedReset	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 16.99 Evaluated at bid price : 16.99 Bid-YTW : 4.01 %
BAM.PF.G	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.50 Evaluated at bid price : 23.40 Bid-YTW : 4.00 %
TRP.PR.D	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.60 Evaluated at bid price : 21.87 Bid-YTW : 3.70 %
HSE.PR.C	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.07 Evaluated at bid price : 22.61 Bid-YTW : 4.42 %
BAM.PF.C	Perpetual-Discount	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.77 %
BAM.PF.E	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.58 Evaluated at bid price : 21.90 Bid-YTW : 4.04 %
MFC.PR.N	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 4.63 %
IFC.PR.C	FixedReset	1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.88 Bid-YTW : 5.20 %
BAM.PR.N	Perpetual-Discount	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 5.73 %
BAM.PF.D	Perpetual-Discount	1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.31 Evaluated at bid price : 21.61 Bid-YTW : 5.71 %
BAM.PR.M	Perpetual-Discount	1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 20.98 Evaluated at bid price : 20.98 Bid-YTW : 5.72 %
VNR.PR.A	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.56 Evaluated at bid price : 21.95 Bid-YTW : 4.10 %
ENB.PR.T	FixedReset	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 18.14 Evaluated at bid price : 18.14 Bid-YTW : 4.71 %
HSE.PR.A	FixedReset	2.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 3.93 %
TRP.PR.E	FixedReset	3.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.12 Evaluated at bid price : 22.66 Bid-YTW : 3.60 %
BAM.PR.Z	FixedReset	3.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.97 Evaluated at bid price : 23.81 Bid-YTW : 3.98 %
TRP.PR.H	FloatingReset	4.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 2.81 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.G	FixedReset	136,035	Desjardins crossed 82,000 at 24.45; National sold 10,000 to anonymous and 12,400 to TD at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.94 Evaluated at bid price : 24.45 Bid-YTW : 3.71 %
RY.PR.D	Deemed-Retractible	92,380	RBC crossed blocks of 50,000 and 40,000, both at 25.29. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 3.85 %
TD.PF.C	FixedReset	43,908	TD crossed 25,700 at 22.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.87 Evaluated at bid price : 22.30 Bid-YTW : 3.47 %
TD.PF.E	FixedReset	23,100	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 23.11 Evaluated at bid price : 24.90 Bid-YTW : 3.49 %
ENB.PR.A	Perpetual-Discount	20,120	Nesbitt crossed 17,700 at 24.95. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 24.68 Evaluated at bid price : 24.95 Bid-YTW : 5.59 %
PVS.PR.D	SplitShare	18,537	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 5.00 %
There were 23 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.H	FloatingReset	Quote: 14.85 – 25.00 Spot Rate : 10.1500 Average : 5.4998 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 2.81 %
BAM.PF.F	FixedReset	Quote: 23.05 – 23.75 Spot Rate : 0.7000 Average : 0.4806 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.36 Evaluated at bid price : 23.05 Bid-YTW : 4.06 %
BAM.PR.C	Floater	Quote: 13.10 – 13.77 Spot Rate : 0.6700 Average : 0.4863 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 13.10 Evaluated at bid price : 13.10 Bid-YTW : 3.63 %
CM.PR.P	FixedReset	Quote: 21.95 – 22.50 Spot Rate : 0.5500 Average : 0.3910 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.62 Evaluated at bid price : 21.95 Bid-YTW : 3.54 %
TD.PF.B	FixedReset	Quote: 22.40 – 22.99 Spot Rate : 0.5900 Average : 0.4515 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.96 Evaluated at bid price : 22.40 Bid-YTW : 3.46 %
RY.PR.M	FixedReset	Quote: 23.88 – 24.50 Spot Rate : 0.6200 Average : 0.4927 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.70 Evaluated at bid price : 23.88 Bid-YTW : 3.55 %

The loonie got smacked today:

Canada’s currency weakened past C$1.30 per U.S. dollar for the first time since 2009 amid speculation the nation’s central bank will cut interest rates again to fight the economic damage from lower oil prices.

The loonie, as the Canadian dollar is known for the image of the aquatic bird on the C$1 coin, fell to as weak as C$1.3008. It traded at C$1.2965 at 9:26 a.m. in Toronto, and is poised to decline for a fourth week.
…
Monetary easing in Canada contrasts with the U.S. Federal Reserve, which is contemplating its first interest-rate increase in almost a decade.

“For the Canadian dollar, the policy-divergence theme got a strong boost with the Bank of Canada cutting rates, while leaving the door open to more,” Matt Derr, a foreign-exchange strategist at Credit Suisse Group AG in New York, said by e-mail. Declining crude prices may put further pressure on the currency, he said.

Canada’s dollar has fallen 3.3 percent in the last three months, making it the second-worst performer among 10 developed-nation peers, according to data compiled by Bloomberg.

Canadian headline inflation is not an impediment to loose money:

Canada’s annual inflation rate quickened to 1 percent in June as food and shelter costs increased and energy provided less of a drag, providing no impetus for the central bank to change course on loose monetary policy.

Consumer prices accelerated from a 0.9 percent pace in May, Statistics Canada said Friday in Ottawa, as meat, dairy and bakery products and fresh fruit grew dearer.

Bank of Canada policy makers cut interest rates this week, saying a weak economy threatened to keep inflation from returning to its 2 percent target. The currency depreciated to the lowest since 2009 on speculation price gains aren’t enough to eliminate the chance of another central-bank rate cut.
…
The core rate, which excludes eight volatile products such as energy, accelerated to 2.3 percent, close to the March reading of 2.4 percent that was the fastest since 2008.

Canada’s dollar dropped to C$1.3008 per U.S. dollar today. Two-year bond yields rose 1 basis point to 0.43 percent and 30-year securities fell to 2.25 percent from 2.27 percent.

The plunge in crude oil prices has driven down inflation and also triggered four straight monthly declines in output. At the same time, core prices have remained elevated on higher costs for meat and telecommunications products.

Economists surveyed by Bloomberg forecast Friday’s report would show overall inflation at 1 percent and the core rate remaining at 2.2 percent.

Energy costs fell 9 percent in June from 12 months earlier, less than May’s 11.8 percent rate of decline. Excluding energy the inflation rate slowed to 2.1 percent from 2.2 percent.

While the reported core inflation rate is above 2.0%, the July Monetary Policy Report states:

In contrast, core inflation as measured by CPIX has been slightly above 2 per cent, boosted by the pass-through effects of the past depreciation of the Canadian dollar and some sector-specific factors, which have offset the disinflationary force from slack in the economy (Chart 15). Although the impact of pass-through is difficult to gauge precisely, the Bank estimates that it is currently raising CPIX inflation by about 0.4 to 0.6 percentage points (Box 1).2 The underlying trend in inflation is assessed to be 1.5 to 1.7 per cent, a bit lower than in the April Report, consistent with material and increased slack in the Canadian economy.

In an interesting twist, Freddie Mac is selling structured notes:

Freddie Mac is expanding its risk-sharing efforts meant to protect taxpayers and potentially prepare the $9.4 trillion U.S. home-loan market for its future.

In a planned $300 million offering of mortgage-backed securities being managed by Credit Suisse Group AG, the government-backed company will sell $22.5 million of junior-ranking bonds without its guarantees, a person with knowledge of the deal said.
…
The bonds reflect directions that Freddie Mac and rival Fannie Mae have received from their overseer, the Federal Housing Finance Agency, to experiment with different ways of pushing their losses from homeowner defaults to bond buyers and insurers. The FHFA has also pushed them to increase the amount of the risk-sharing.

It will be interesting to see what the ultimate effect of all this is … how much will investors be willing to pay for the company guarantee when they’ve already got the first-loss protection afforded by the Junior Notes?

BCIMC has posted some good returns:

A tactical decision to shift investments into global stock markets paid off last year for British Columbia Investment Management Corp., which earned a 14.2-per-cent return for the year and boosted its total assets to $124-billion.

BCIMC reported it moved more assets into global equities during the fiscal year ended March 31, 2015, while reducing its weighting in fixed income holdings and mortgages, responding to volatility in Canadian stock markets as oil prices declined.

The fund ended the fiscal year with 49.5 per cent of its assets invested in public stock markets, up from 47.6 per cent a year earlier. BCIMC had 21.5 per cent of its holdings in fixed-income securities such as bonds, down slightly from 22 per cent last year, while 14.6 per cent of the portfolio is in real estate, a decline from 17.4 per cent at the end of fiscal 2014.

The fund said its Canadian public equity holdings earned a 7.5-per-cent return last year, while global public equities earned a far higher 23 per cent and emerging markets equities posted 21.4-per-cent gains, illustrating the value of shifting out of Canada’s volatile stock market.
…
BCIMC said investing in passive benchmarks last year would have earned a 12.6-per-cent return, so its active investment strategy added $1.4-billion in additional returns. Over the past 10 years, BCIMC earned an average 8.1-per-cent annualized return, exceeding its benchmark of 7.3 per cent.

But, we all ask, what are the cool kids doing now?:

Options on indexes made up of credit default swaps (CDS) have been a sleeper hit over the past few years.

While trading indexes comprising CDS tied to a basket of corporate names can give investors a cheap and easy way to trade corporate credit at a time when the cash market is said to be illiquid, options written on those same indexes can do one better. The options give investors the right to buy or sell CDS indexes, such as Markit’s CDX or iTraxx series.
…
In 2005, Citigroup estimated that about $2 billion worth of credit index options were trading per month, or roughly $24 billion over the course of the year. Last December, the same Citi analysts figured that about $1.4 trillion of the instruments had exchanged hands in all of 2014, compared with $573 billion worth in 2013. If correct, that would be more than a 5,000 percent jump in activity over the course of a decade.
…
The risk is that the popularity of options on CDS indexes, combined with a big move in one of the indexes, could spark a flurry of hedging activity by the big dealer-banks as they struggle to get their positions back to neutral. That in turn could end up amplifying the move in the underlying index.

Here’s Barclays:

The relative growth of option volumes will likely make it increasingly more common to have option hedging (by dealers) exerting a meaningful influence on index dynamics—ie, we can expect to see the “option tail wagging the index dog” … This is particularly relevant because anecdotal evidence suggests that the majority of trades executed by investors are without delta as pure directional positions, and if anything, this proportion has been increasing over time. As such, in response to spread moves, the majority of delta-hedging will take place on the dealer side, with limited “natural” offset by investors delta-hedging in the opposite direction. Should the trend of rising relative option volumes continue, we are likely to see more cases of “pin risk” (delta-hedging of options bought by dealers making it more likely that spreads will stay around the strike) or “negative gamma” (delta-hedging of options sold by dealers, leading to amplifications of spread moves wider and tighter).

PDV.PR.A was confirmed at Pfd-3(high) by DBRS:

On July 18, 2014, DBRS upgraded the rating of the Preferred Shares to Pfd-3 (high) mainly based on a significant increase in downside protection to holders of the Preferred Shares. Over the last few months, the NAV of the Company has been declining as a result of high levels of uncertainty in the markets, resulting in a reduction in downside protection to 43% average compared with 45% a year ago. The dividend coverage ratio stands at approximately 0.7 times. Current performance metrics are still commensurate with the rating assigned, and as a result, the rating of the Preferred Shares has been confirmed at Pfd-3 (high).

After all the horror of the past six weeks-odd (not to mention the past six damn months!) the preferred share market has found a better place.

If this keeps up for the rest of the month, we might even break-even year-to-date!

It was a superb day for the Canadian preferred share market, with PerpetualDiscounts up 51bp, FixedResets winning an incredible 138bp and DeemedRetractibles gaining 45bp. The Performance Highlights table is … well, the Performance Highlights table is much as you’d expect, OK? Volume was very high.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +128, is bid at 22.00 to be $0.37 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.59 cheap at its bid price of 15.70.

An extremely good fit today!

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 22.30 to be $0.31 rich, while MFC.PR.N, resetting at +230bp on 2020-3-19, is bid at 22.48 to be $0.24 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 20.76 to be $0.68 cheap. BAM.PR.X, resetting at +180bp on 2017-6-30 is bid at 16.79 and appears to be $0.68 rich.

FTS.PR.K, with a spread of +205bp, and bid at 21.60, looks $0.80 expensive and resets 2019-3-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 22.87 and is $0.32 cheap.

There is only one outlier; one of the junk pairs is below -1.00%.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of 0.05% (which seems a little extreme!).

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	1.7363 %	2,092.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.7363 %	3,658.9
Floater	3.51 %	3.49 %	61,881	18.55	3	1.7363 %	2,224.6
OpRet	0.00 %	0.00 %	0	0.00	0	0.1873 %	2,781.5
SplitShare	4.57 %	4.90 %	68,000	3.20	3	0.1873 %	3,259.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1873 %	2,543.4
Perpetual-Premium	5.51 %	2.95 %	74,960	0.29	13	0.0487 %	2,514.3
Perpetual-Discount	5.38 %	5.35 %	87,275	14.86	21	0.5088 %	2,661.8
FixedReset	4.60 %	3.78 %	218,381	16.03	88	1.3821 %	2,286.1
Deemed-Retractible	5.02 %	4.81 %	112,481	3.13	34	0.4508 %	2,619.3
FloatingReset	2.53 %	3.18 %	47,513	6.05	10	0.6075 %	2,277.8

Performance Highlights
Issue	Index	Change	Notes
RY.PR.J	FixedReset	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.80 Evaluated at bid price : 24.02 Bid-YTW : 3.65 %
CU.PR.D	Perpetual-Discount	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.91 Evaluated at bid price : 23.25 Bid-YTW : 5.33 %
BAM.PR.C	Floater	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 13.13 Evaluated at bid price : 13.13 Bid-YTW : 3.62 %
MFC.PR.H	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.84 Bid-YTW : 2.75 %
CU.PR.F	Perpetual-Discount	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.89 Evaluated at bid price : 22.19 Bid-YTW : 5.12 %
GWO.PR.H	Deemed-Retractible	1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.78 Bid-YTW : 5.58 %
PWF.PR.P	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 3.58 %
HSE.PR.A	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 4.20 %
TD.PF.E	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 23.17 Evaluated at bid price : 25.09 Bid-YTW : 3.53 %
BAM.PF.G	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.35 Evaluated at bid price : 23.12 Bid-YTW : 4.14 %
ENB.PF.G	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 19.43 Evaluated at bid price : 19.43 Bid-YTW : 4.88 %
HSB.PR.D	Deemed-Retractible	1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.07 %
TRP.PR.A	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 19.09 Evaluated at bid price : 19.09 Bid-YTW : 3.75 %
SLF.PR.C	Deemed-Retractible	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 6.01 %
GWO.PR.N	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.19 Bid-YTW : 7.49 %
GWO.PR.Q	Deemed-Retractible	1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 5.22 %
SLF.PR.B	Deemed-Retractible	1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.54 Bid-YTW : 5.66 %
BMO.PR.T	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.16 Evaluated at bid price : 22.71 Bid-YTW : 3.54 %
CM.PR.Q	FixedReset	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 23.00 Evaluated at bid price : 24.55 Bid-YTW : 3.55 %
TD.PF.B	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.89 Evaluated at bid price : 22.30 Bid-YTW : 3.57 %
BMO.PR.W	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.90 Evaluated at bid price : 22.33 Bid-YTW : 3.58 %
SLF.PR.A	Deemed-Retractible	1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 5.60 %
RY.PR.H	FixedReset	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.10 Evaluated at bid price : 22.61 Bid-YTW : 3.57 %
BAM.PF.A	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.22 Evaluated at bid price : 22.69 Bid-YTW : 4.22 %
HSE.PR.C	FixedReset	1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.89 Evaluated at bid price : 22.33 Bid-YTW : 4.57 %
BMO.PR.Q	FixedReset	1.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.40 Bid-YTW : 3.49 %
HSB.PR.C	Deemed-Retractible	1.76 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-16 Maturity Price : 25.00 Evaluated at bid price : 25.44 Bid-YTW : -12.85 %
TD.PF.C	FixedReset	1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.93 Evaluated at bid price : 22.39 Bid-YTW : 3.54 %
BMO.PR.S	FixedReset	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.53 Evaluated at bid price : 23.32 Bid-YTW : 3.51 %
BAM.PR.Z	FixedReset	1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.57 Evaluated at bid price : 23.10 Bid-YTW : 4.22 %
BAM.PF.E	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.32 Evaluated at bid price : 21.60 Bid-YTW : 4.19 %
ENB.PF.C	FixedReset	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 19.21 Evaluated at bid price : 19.21 Bid-YTW : 4.86 %
PWF.PR.K	Perpetual-Discount	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 23.68 Evaluated at bid price : 23.95 Bid-YTW : 5.17 %
BIP.PR.A	FixedReset	2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.85 Evaluated at bid price : 22.30 Bid-YTW : 4.94 %
BNS.PR.D	FloatingReset	2.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.68 Bid-YTW : 3.77 %
ENB.PR.F	FixedReset	2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 4.94 %
FTS.PR.K	FixedReset	2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 3.55 %
MFC.PR.J	FixedReset	2.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.02 Bid-YTW : 4.15 %
BAM.PR.N	Perpetual-Discount	2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 20.63 Evaluated at bid price : 20.63 Bid-YTW : 5.82 %
BAM.PR.M	Perpetual-Discount	2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 5.82 %
BAM.PF.C	Perpetual-Discount	2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 5.85 %
ENB.PF.E	FixedReset	2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.88 %
ENB.PR.J	FixedReset	2.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 18.71 Evaluated at bid price : 18.71 Bid-YTW : 4.85 %
BNS.PR.Z	FixedReset	2.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.39 Bid-YTW : 3.43 %
ENB.PF.A	FixedReset	2.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.90 %
NA.PR.W	FixedReset	2.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.80 Evaluated at bid price : 22.20 Bid-YTW : 3.61 %
MFC.PR.C	Deemed-Retractible	2.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.76 Bid-YTW : 5.81 %
BAM.PF.F	FixedReset	2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.57 Evaluated at bid price : 23.45 Bid-YTW : 4.06 %
ENB.PR.H	FixedReset	2.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 4.84 %
RY.PR.Z	FixedReset	2.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.56 Evaluated at bid price : 23.37 Bid-YTW : 3.39 %
ENB.PR.P	FixedReset	2.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.90 %
BAM.PR.R	FixedReset	2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 4.32 %
BAM.PF.B	FixedReset	3.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 4.36 %
ENB.PR.Y	FixedReset	3.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 17.84 Evaluated at bid price : 17.84 Bid-YTW : 4.78 %
BAM.PF.D	Perpetual-Discount	3.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.82 %
BAM.PR.T	FixedReset	3.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 19.24 Evaluated at bid price : 19.24 Bid-YTW : 4.25 %
BAM.PR.X	FixedReset	3.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 16.79 Evaluated at bid price : 16.79 Bid-YTW : 4.20 %
TRP.PR.C	FixedReset	3.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 15.68 Evaluated at bid price : 15.68 Bid-YTW : 3.80 %
CIU.PR.C	FixedReset	3.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 16.26 Evaluated at bid price : 16.26 Bid-YTW : 3.46 %
BAM.PR.K	Floater	3.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 13.70 Evaluated at bid price : 13.70 Bid-YTW : 3.47 %
ENB.PR.N	FixedReset	4.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 18.39 Evaluated at bid price : 18.39 Bid-YTW : 4.90 %
ENB.PR.D	FixedReset	4.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 17.13 Evaluated at bid price : 17.13 Bid-YTW : 4.88 %
MFC.PR.M	FixedReset	4.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 4.75 %
IFC.PR.A	FixedReset	4.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.81 Bid-YTW : 6.67 %
MFC.PR.K	FixedReset	4.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.11 Bid-YTW : 4.89 %
ENB.PR.B	FixedReset	4.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 4.90 %
MFC.PR.N	FixedReset	4.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.48 Bid-YTW : 4.86 %
TRP.PR.F	FloatingReset	5.88 %	Reversing a good-sized chunk of yesterday‘s nonsense. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 3.41 %
MFC.PR.L	FixedReset	6.70 %	Nothing wrong with this! Each of the last 25 trades were above the closing bid and the high for the day was 22.61. The VWAP on 7,504 shares was 22.18. After making the Performance Highlights Table (and not in a good way) on each of July 7, July 8, July 9 and July 10, it was about time the issue caught a break. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 4.87 %

Volume Highlights
Issue	Index	Shares Traded	Notes
NA.PR.M	Deemed-Retractible	220,933	Scotia crossed 220,000 at 25.52. Nice ticket! YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-16 Maturity Price : 25.50 Evaluated at bid price : 25.50 Bid-YTW : 0.20 %
BNS.PR.Y	FixedReset	150,667	Scotia crossed 130,000 at 22.30. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.27 Bid-YTW : 3.70 %
SLF.PR.I	FixedReset	70,939	Nesbitt crossed 43,000 at 23.80. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 4.36 %
RY.PR.F	Deemed-Retractible	58,300	TD crossed 55,000 at 25.41. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.41 Bid-YTW : 3.26 %
HSE.PR.G	FixedReset	43,617	Nesbitt crossed 24,700 at 23.99. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.76 Evaluated at bid price : 23.95 Bid-YTW : 4.56 %
BAM.PF.E	FixedReset	38,016	RBC crossed 35,000 at 21.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.32 Evaluated at bid price : 21.60 Bid-YTW : 4.19 %
There were 53 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.E	FixedReset	Quote: 22.00 – 23.00 Spot Rate : 1.0000 Average : 0.6436 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.67 Evaluated at bid price : 22.00 Bid-YTW : 3.83 %
PWF.PR.L	Perpetual-Discount	Quote: 24.22 – 24.98 Spot Rate : 0.7600 Average : 0.4906 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 23.95 Evaluated at bid price : 24.22 Bid-YTW : 5.27 %
RY.PR.J	FixedReset	Quote: 24.02 – 24.64 Spot Rate : 0.6200 Average : 0.3973 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.80 Evaluated at bid price : 24.02 Bid-YTW : 3.65 %
CU.PR.D	Perpetual-Discount	Quote: 23.25 – 23.89 Spot Rate : 0.6400 Average : 0.4494 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 22.91 Evaluated at bid price : 23.25 Bid-YTW : 5.33 %
GWO.PR.S	Deemed-Retractible	Quote: 25.65 – 26.18 Spot Rate : 0.5300 Average : 0.3627 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 4.97 %
TRP.PR.D	FixedReset	Quote: 21.60 – 22.10 Spot Rate : 0.5000 Average : 0.3356 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-17 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 3.84 %