PrefBlog

Remember all that gloomy stuff posted for the past week? Well, don’t. We’re rich!

What you need to know about Thursday’s [US] economic data:

GROSS DOMESTIC PRODUCT (2Q REVISED)

• •Climbed at a revised 3.7 percent annualized rate, exceeding all forecasts in a Bloomberg survey and up from an initial estimate of 2.3 percent
• •All four components — consumer spending, business investment, trade and government outlays — contributed more to growth than first estimated
• •Inventories showed biggest back-to-back quarterly increases on record
• •Gross domestic income grew at a 0.6 percent pace in second quarter

…
JOBLESS CLAIMS (WEEK ENDED AUG. 22)

• •Applications fell by 6,000 to 271,000 with Michigan and Kansas posting biggest drops
• •Claims hovering close to mid-July level of 255,000 that was fewest since 1973

Just ignore the inevitable carpers:

The federal government today released two very different estimates of the U.S. economy’s growth rate in the second quarter. The one that got all the attention was the robust 3.7 percent annual rate of increase in gross domestic product. Not many people noticed that gross domestic income increased at an annual rate of just 0.6 percent.

That’s a big discrepancy for two numbers that should theoretically be the same, since they’re two ways of measuring the same thing: the size of the economy. If you believe the GDP number, you’re happy. If you believe the GDI number, you’re thinking the U.S. is skating close to a recession.

The Bureau of Economic Analysis always gives more prominence to the GDP number in its quarterly press release. But today, for the second time in a quarterly report, it released an average of GDP and GDI growth rates. That average came in at 2.1 percent after rounding—and in this case, that’s probably closer to the truth than either number alone.

So oil popped:

Oil jumped the most in more than six years, caught up in a relief rally that swept the globe as the U.S. economy grew more than predicted.

West Texas Intermediate futures rose 10 percent, the biggest gain since March 2009. U.S. gross domestic product grew at a 3.7 percent annualized rate in the second quarter, exceeding all estimates of economists surveyed by Bloomberg. The Standard & Poor’s 500 Index headed for its biggest two-day gain since 2009 as Chinese shares snapped a five-day losing streak.

Prices extended gains after Royal Dutch Shell Plc issued a force majeure on Bonny Light exports from Nigeria as it worked to repair two crude pipelines shut because of thefts and a leak.

And everybody was happy, happy, happy:

A relief rally swept around the globe, with the Dow Jones Industrial Average capping its biggest two-day gain since 2008 and Chinese shares snapping a five-day tumble. Oil jumped the most in more than six years after data showed the U.S. economy grew more than forecast in the second quarter.

American stocks briefly spiked lower in late afternoon trading, as the Standard & Poor’s 500 Index cut an advance of as much as 2.5 percent to less than 0.5 percent before reversing course and rallying again, indicating markets are still vulnerable to sudden swings.

Shares surged from Asia to the U.S. after the biggest advance in the S&P 500 in four years on Wednesday helped restore some appetite for riskier assets. The rally halted the selloff that’s engulfed markets since China devalued its currency on Aug. 11, an unexpected move that ignited concern that the slowdown in the world’s second largest economy may threaten global growth.

… except maybe bond investors:

Treasury notes fell for a third straight day on a report showing U.S. economic growth exceeded forecasts last quarter and as global stocks rallied.
…
The benchmark two-year yield rose two basis points, or 0.02 percentage point, to 0.69 percent as of 5 p.m. in New York, according to Bloomberg Bond Trader data. The 0.625 percent security due in August 2017 fell 1/32, or 31 cents per $1,000 face amount, to 99 7/8.

The 30-year bond advanced, halting a three-day decline. The prospect of the Fed’s first interest-rate increase in nearly a decade damped expectations for inflation, and can erode longer-maturity bonds’ fixed payments.
…
Traders are pricing in a 53 percent chance of a Fed boost before the end of this year, up from 46 percent two days ago, assuming the benchmark will average 0.375 percent after the first rise.

Here’s a story a like for a lot of reasons. First, the little gal sticks it to the big boys. Second, it’s an illustration of a trend I predict towards customization and personal services (since “things” are so easy to make in a mechanical way nowadays). And, of course, pictures of women in underwear, which is always pleasant. Indie lingerie in Canada:

Uncomfortable watching intimates being developed cheaply and in a rush, and fatigued by taking direction from “men talking about what’s really hot on a woman and what women want… and then [asking me] to cut the ass out of a panty,” Russell broke out on her own in 2010. After careful planning and with strong connections in her pocket, she decided to make underwear on her own terms – and to make it better.

As it turns out, Russell is one of several young indie entrepreneurs in Canada who are applying a slow-living, small-batch ethic to underwear and, in the process, overturning established ideas about what lingerie is, how it should fit and who it’s really for.

Alesha Frederickson started March & August Underthings on January 1, 2014, with a resolution to shift the panty paradigm. She believed the lingerie available in her hometown, Winnipeg, left a lot to be desired: It was off-the-rack, unflattering and there wasn’t much variety between babydoll-style teen-focused items and the offerings from fast-fashion brands. Both, according to Frederickson, were “designed to be like a present to unwrap, like a gift to the person who was viewing, not wearing, it.”
…
In 2011, [former La Senza technical designer Sofia Sokoloff] started Sokoloff Lingerie for the middle market. She was 23 years old at the time and studying industrial management at the École supérieur de mode de Montréal. In the past four years, her brand has grown quickly: She now has two seamstresses and her own production floor that regularly makes more than 1,000 units per month. She went from two points of sale in 2011 to nearly 30 today, and most recently found a distributor in Dubai to sell her collections come fall.
…
Sokoloff was recently recognized as an industry leader when she was named the Les Offices jeunesse internationaux du Québec 2015 prizewinner – a provincial award for young entrepreneurs who are helping to make a name for Quebec on the international market. She also represented Canada earlier this month at the Curve Expo lingerie and swimwear showcase in New York City.

It was a fine day for the Canadian preferred share market, with PerpetualDiscounts up 41bp, FixedResets winning 63bp and DeemedRetractibles gaining 21bp. Yet another very lengthy Performance Highlights table is dominated by FixedReset winners with ENB issues at the top of the pile. 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 +235, is bid at 19.21 to be $1.04 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $0.82 cheap at its bid price of 12.75.

Another good fit today for MFC, with Implied Volatility dropping a bit today.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 23.22 to be 0.78 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, bid at 18.92 to be 0.65 cheap.

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.40 to be $1.61 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.41 and appears to be $1.20 rich.

Implied Volatility fell substantially today but remains unreasonably high.

FTS.PR.M, with a spread of +248bp, and bid at 20.65, looks $0.16 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.45 and is $0.25 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.65%, with no outliers. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -1.00% and the unregulated issues averaging -0.15%. 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	1.5822 %	1,628.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.5822 %	2,847.1
Floater	4.51 %	4.58 %	58,478	16.20	3	1.5822 %	1,731.1
OpRet	0.00 %	0.00 %	0	0.00	0	0.3269 %	2,767.8
SplitShare	4.65 %	5.04 %	57,880	3.12	3	0.3269 %	3,243.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.3269 %	2,530.8
Perpetual-Premium	5.73 %	5.56 %	63,094	2.03	9	0.2436 %	2,482.3
Perpetual-Discount	5.51 %	5.57 %	78,914	14.55	29	0.4087 %	2,564.2
FixedReset	5.02 %	4.30 %	197,369	15.62	87	0.6251 %	2,105.8
Deemed-Retractible	5.18 %	5.27 %	104,080	5.56	34	0.2125 %	2,552.9
FloatingReset	2.39 %	3.61 %	47,921	5.96	9	-0.2059 %	2,177.4

Performance Highlights
Issue	Index	Change	Notes
HSE.PR.E	FixedReset	-3.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 21.34 Evaluated at bid price : 21.63 Bid-YTW : 4.99 %
TRP.PR.G	FixedReset	-2.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.44 %
FTS.PR.H	FixedReset	-2.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 14.66 Evaluated at bid price : 14.66 Bid-YTW : 3.70 %
TRP.PR.B	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 12.25 Evaluated at bid price : 12.25 Bid-YTW : 3.98 %
IAG.PR.A	Deemed-Retractible	-1.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 6.59 %
MFC.PR.K	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.92 Bid-YTW : 6.71 %
PWF.PR.P	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 15.57 Evaluated at bid price : 15.57 Bid-YTW : 3.63 %
BMO.PR.Q	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.41 Bid-YTW : 4.73 %
TRP.PR.D	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 4.30 %
GWO.PR.N	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.15 Bid-YTW : 8.20 %
TD.PR.Y	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 3.02 %
W.PR.H	Perpetual-Discount	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 23.63 Evaluated at bid price : 23.90 Bid-YTW : 5.83 %
MFC.PR.B	Deemed-Retractible	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 6.77 %
PWF.PR.K	Perpetual-Discount	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 22.39 Evaluated at bid price : 22.65 Bid-YTW : 5.51 %
PVS.PR.D	SplitShare	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.30 Bid-YTW : 5.04 %
W.PR.J	Perpetual-Discount	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 23.63 Evaluated at bid price : 23.90 Bid-YTW : 5.94 %
POW.PR.B	Perpetual-Discount	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 23.54 Evaluated at bid price : 23.81 Bid-YTW : 5.69 %
ELF.PR.F	Perpetual-Discount	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 22.66 Evaluated at bid price : 22.90 Bid-YTW : 5.86 %
CM.PR.Q	FixedReset	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 22.04 Evaluated at bid price : 22.60 Bid-YTW : 3.81 %
PWF.PR.T	FixedReset	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 22.42 Evaluated at bid price : 23.05 Bid-YTW : 3.43 %
TRP.PR.A	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 15.42 Evaluated at bid price : 15.42 Bid-YTW : 4.38 %
BAM.PR.X	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 14.72 Evaluated at bid price : 14.72 Bid-YTW : 4.55 %
NA.PR.S	FixedReset	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 3.92 %
RY.PR.M	FixedReset	1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 21.73 Evaluated at bid price : 22.15 Bid-YTW : 3.74 %
ELF.PR.H	Perpetual-Discount	1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 23.78 Evaluated at bid price : 24.25 Bid-YTW : 5.73 %
PWF.PR.F	Perpetual-Discount	1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 24.00 Evaluated at bid price : 24.25 Bid-YTW : 5.46 %
ENB.PR.B	FixedReset	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 14.27 Evaluated at bid price : 14.27 Bid-YTW : 5.48 %
HSE.PR.C	FixedReset	2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 21.13 Evaluated at bid price : 21.13 Bid-YTW : 4.73 %
MFC.PR.N	FixedReset	2.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.40 Bid-YTW : 6.62 %
ENB.PR.D	FixedReset	2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 14.41 Evaluated at bid price : 14.41 Bid-YTW : 5.46 %
RY.PR.H	FixedReset	2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 3.63 %
FTS.PR.G	FixedReset	2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 3.96 %
BAM.PR.C	Floater	2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 10.45 Evaluated at bid price : 10.45 Bid-YTW : 4.58 %
BAM.PR.T	FixedReset	2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 17.03 Evaluated at bid price : 17.03 Bid-YTW : 4.60 %
BAM.PR.K	Floater	2.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 10.40 Evaluated at bid price : 10.40 Bid-YTW : 4.60 %
BIP.PR.A	FixedReset	2.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.00 %
ENB.PR.F	FixedReset	2.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 15.16 Evaluated at bid price : 15.16 Bid-YTW : 5.41 %
ENB.PR.P	FixedReset	2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 5.37 %
ENB.PF.A	FixedReset	3.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 16.86 Evaluated at bid price : 16.86 Bid-YTW : 5.28 %
ENB.PF.C	FixedReset	3.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 5.22 %
MFC.PR.G	FixedReset	3.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 5.38 %
FTS.PR.M	FixedReset	3.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 4.02 %
ENB.PF.E	FixedReset	3.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.28 %
ENB.PR.N	FixedReset	3.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 5.39 %
ENB.PR.T	FixedReset	3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 5.30 %
ENB.PR.J	FixedReset	4.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 5.10 %
ENB.PR.H	FixedReset	5.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 14.30 Evaluated at bid price : 14.30 Bid-YTW : 5.18 %

Volume Highlights
Issue	Index	Shares Traded	Notes
GWO.PR.P	Deemed-Retractible	121,057	Nesbitt crossed 120,000 at 24.55. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 5.81 %
PWF.PR.L	Perpetual-Discount	119,900	Nesbitt crossed 119,900 at 23.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 23.25 Evaluated at bid price : 23.51 Bid-YTW : 5.47 %
BNS.PR.Q	FixedReset	82,500	TD crossed blocks of 39,900 and 40,000, both at 24.87. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.82 Bid-YTW : 3.16 %
TD.PF.B	FixedReset	65,490	TD crossed 40,000 at 20.73. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 20.74 Evaluated at bid price : 20.74 Bid-YTW : 3.72 %
ENB.PR.Y	FixedReset	62,688	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 15.20 Evaluated at bid price : 15.20 Bid-YTW : 5.33 %
ENB.PF.C	FixedReset	54,355	RBC crossed 40,000 at 17.02. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 5.22 %
There were 34 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.B	Deemed-Retractible	Quote: 21.35 – 22.22 Spot Rate : 0.8700 Average : 0.5029 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 6.77 %
IAG.PR.A	Deemed-Retractible	Quote: 21.50 – 22.18 Spot Rate : 0.6800 Average : 0.3913 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 6.59 %
RY.PR.J	FixedReset	Quote: 22.62 – 23.41 Spot Rate : 0.7900 Average : 0.5158 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 22.06 Evaluated at bid price : 22.62 Bid-YTW : 3.74 %
HSE.PR.C	FixedReset	Quote: 21.13 – 22.05 Spot Rate : 0.9200 Average : 0.6783 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 21.13 Evaluated at bid price : 21.13 Bid-YTW : 4.73 %
IFC.PR.C	FixedReset	Quote: 20.55 – 21.20 Spot Rate : 0.6500 Average : 0.4603 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.55 Bid-YTW : 6.00 %
PWF.PR.S	Perpetual-Discount	Quote: 22.65 – 23.26 Spot Rate : 0.6100 Average : 0.4409 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-27 Maturity Price : 22.28 Evaluated at bid price : 22.65 Bid-YTW : 5.34 %

Well, it was another day-and-a-half for equities:

Two things that have supported U.S. stocks in the past, dovish words from the Federal Reserve and improving economic data, triggered the biggest rally since 2011 and halted a plunge that erased $2.2 trillion from share values.

Technology companies led the gains with Apple Inc., Google Inc. and Intel Inc. rising at least 5.5 percent. Amazon.com Inc. surged 7.4 percent, and Netflix Inc. posted a two-day gain of 14 percent. JPMorgan Chase & Co. and Citigroup Inc. increased more than 4.8 percent. Cameron International Corp. soared 41 percent after agreeing to be bought by Schlumberger Ltd. in a $14.8 billion deal.

Gains in equities accelerated in the final hour as the Standard & Poor’s 500 Index climbed 3.9 percent to 1,940.51 at 4 p.m. in New York, halting a six-day slide that was its steepest in four years. The Dow Jones Industrial Average added 619.07 points, or 4 percent, to 16,285.51. The Nasdaq Composite Index rose 4.2 percent for its strongest increase since August 2011. About 10.7 billion shares traded hands on U.S. exchanges, 55 percent above the three-month average.

Dovish words from the Fed? Dudley pointed out that financial markets are important:

Global stock-market turmoil has weakened the case for raising interest rates in September, Federal Reserve Bank of New York President William C. Dudley said, cautioning it’s important not to overreact to short-term developments.

“From my perspective, at this moment, the decision to begin the normalization process at the September FOMC meeting seems less compelling to me than it was a few weeks ago,” Dudley told a news conference Wednesday at the New York Fed.

“Normalization could become more compelling by the time of the meeting as we get additional information on how the U.S. economy is performing, and more information on international and financial market developments.”

Treasuries got whacked:

Treasuries suffered their biggest two-day tumble in six weeks as an unexpected jump in durable-goods orders and a recovery in stocks suppressed demand.

Losses deepened after an auction of five-year Treasuries drew the least interest since 2009, signaling that investors’ safe-haven appetite may have waned.

Debt found only temporary support after Federal Reserve Bank of New York President William Dudley said the case for increasing interest rates in September is less compelling because of worldwide market turmoil. Buyers demurred without evidence that the turbulence will slow the U.S. economy.

Real world effects of financial markets? There are fears that oil prices and currency turmoil are favouring ISIS:

Any currency crisis usually comes with dire consequences for a country, and the threat of one in Iraq shows how the impact can go beyond the economy and markets.

A foreign-exchange crunch because of a drop in oil prices could force a devaluation of the dinar and risk making the fight against Islamic State militants even tougher. The nation, currently OPEC’s biggest producer after Saudi Arabia, is dependent on oil revenue to fund its operations on the battlefield and quell growing unrest over the economy.

Dollar reserves tumbled about 20 percent to $59 billion as of July 23 since the fighting escalated a year before, and the losses are accelerating. In the first 25 days of August, the central bank sold $4.6 billion of currency to keep the dinar at a pegged rate, a daily outflow of about $184 million, data compiled by Bloomberg show.
…
Saudi Arabia’s central bank this week said it’s committed to the riyal’s dollar peg, the Saudi-owned Al Arabiya television reported, amid speculation the country would devalue its currency after the plunge in oil prices.

Canadian Utilities Limited, proud issuer of CU.PR.C, CU.PR.D, CU.PR.E, CU.PR.F, CU.PR.G and CU.PR.H, has been confirmed at Pfd-2(high) by DBRS:

DBRS Limited (DBRS) has today confirmed the Issuer Rating and Unsecured Debentures rating of Canadian Utilities Limited (CU or the Company) at “A,” the Commercial Paper rating at R-1 (low), and the Cum. Preferred Shares rating at Pfd-2 (high). All trends are Stable. The ratings of CU are supported by predictable earnings from its regulated subsidiaries, which are expected to account for approximately 80% of consolidated earnings over the next several years. However, the ratings assume that earnings contribution from the regulated business will gradually decrease to around 70% (but still higher than its historical weighting of 60%) of consolidated earnings over the long term with (1) the downshifting of Alberta’s economy and expected completion of the “big build” associated with electric transmission infrastructure over the next two years and (2) the Company’s focus on contracted, non-regulated business opportunities in Canada, Mexico and Australia. Although CU’s non-regulated segment provides a source of earnings growth and diversification benefits, it also entails higher business risk than that of the regulated utility business. CU’s non-regulated business is challenged by lower long-term earnings visibility and recontracting risk.

The Canadian preferred share market had a bit of rebound today, with both PerpetualDiscounts and FixedResets gaining 10bp and DeemedRetractibles up 28bp. Floaters got hammered again though, so at least something is familiar! The Performance Highlights table continues to show a lot of churning, with 21 losers and 22 winners. Volume was on the low side of average.

PerpetualDiscounts now yield 5.57%, equivalent to 7.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.0%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, a sharp rise from the 310bp reported August 12.

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 +235, is bid at 19.20 to be $0.82 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $0.81 cheap at its bid price of 12.84.

Another good fit today for MFC, while the series maintains its high level of Implied Volatility.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 23.31 to be 1.07 rich, while MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 19.00 to be 0.81 cheap.

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.45 to be $1.51 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.23 and appears to be $1.05 rich.

Implied Volatility jumped today and is unreasonably high.

FTS.PR.K, with a spread of +205bp, and bid at 18.26, looks $0.26 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.01 and is $0.37 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.60%, with no outliers. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.88% and the unregulated issues averaging -0.22%. There is one junk outlier below -1.60%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-2.4567 %	1,603.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	-2.4567 %	2,802.8
Floater	4.58 %	4.69 %	58,355	15.99	3	-2.4567 %	1,704.1
OpRet	0.00 %	0.00 %	0	0.00	0	0.0272 %	2,758.8
SplitShare	4.66 %	5.26 %	57,966	3.12	3	0.0272 %	3,233.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0272 %	2,522.6
Perpetual-Premium	5.74 %	5.71 %	63,469	14.06	9	0.0754 %	2,476.2
Perpetual-Discount	5.53 %	5.57 %	79,770	14.54	29	0.1050 %	2,553.8
FixedReset	5.05 %	4.30 %	199,096	15.50	87	0.1005 %	2,092.7
Deemed-Retractible	5.19 %	5.29 %	99,660	5.56	34	0.2804 %	2,547.4
FloatingReset	2.38 %	3.52 %	47,501	5.96	9	-0.3427 %	2,181.9

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.N	FixedReset	-4.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 6.89 %
BAM.PR.K	Floater	-3.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 10.12 Evaluated at bid price : 10.12 Bid-YTW : 4.73 %
BAM.PR.C	Floater	-3.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 10.20 Evaluated at bid price : 10.20 Bid-YTW : 4.69 %
NA.PR.S	FixedReset	-2.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 3.98 %
TRP.PR.F	FloatingReset	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 4.10 %
MFC.PR.K	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.21 Bid-YTW : 6.51 %
FTS.PR.J	Perpetual-Discount	-2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 5.53 %
IAG.PR.G	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 4.34 %
BNS.PR.D	FloatingReset	-1.80 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.14 Bid-YTW : 4.89 %
RY.PR.H	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 3.72 %
BAM.PR.X	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 4.62 %
VNR.PR.A	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.58 %
BMO.PR.Y	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 22.59 Evaluated at bid price : 23.60 Bid-YTW : 3.62 %
NA.PR.W	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 3.88 %
BIP.PR.A	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.16 %
GWO.PR.N	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 8.32 %
MFC.PR.G	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.07 Bid-YTW : 5.82 %
BAM.PF.E	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 20.33 Evaluated at bid price : 20.33 Bid-YTW : 4.34 %
MFC.PR.L	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 6.42 %
POW.PR.B	Perpetual-Discount	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 23.21 Evaluated at bid price : 23.51 Bid-YTW : 5.76 %
MFC.PR.J	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.74 Bid-YTW : 5.82 %
FTS.PR.M	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 4.17 %
HSE.PR.G	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 21.61 Evaluated at bid price : 21.95 Bid-YTW : 4.82 %
BAM.PR.M	Perpetual-Discount	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 20.38 Evaluated at bid price : 20.38 Bid-YTW : 5.93 %
BAM.PF.F	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 21.86 Evaluated at bid price : 22.25 Bid-YTW : 4.18 %
CM.PR.Q	FixedReset	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 21.85 Evaluated at bid price : 22.30 Bid-YTW : 3.87 %
IFC.PR.A	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.43 Bid-YTW : 8.42 %
HSE.PR.E	FixedReset	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 21.86 Evaluated at bid price : 22.30 Bid-YTW : 4.83 %
PWF.PR.P	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 15.79 Evaluated at bid price : 15.79 Bid-YTW : 3.58 %
ENB.PR.J	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 16.19 Evaluated at bid price : 16.19 Bid-YTW : 5.32 %
BAM.PF.A	FixedReset	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 21.29 Evaluated at bid price : 21.58 Bid-YTW : 4.30 %
ENB.PR.B	FixedReset	1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 14.03 Evaluated at bid price : 14.03 Bid-YTW : 5.57 %
TRP.PR.A	FixedReset	1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 4.47 %
ENB.PR.A	Perpetual-Discount	1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 24.25 Evaluated at bid price : 24.55 Bid-YTW : 5.62 %
BAM.PR.R	FixedReset	2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 4.67 %
HSE.PR.A	FixedReset	2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 13.55 Evaluated at bid price : 13.55 Bid-YTW : 4.57 %
ENB.PR.Y	FixedReset	2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 15.06 Evaluated at bid price : 15.06 Bid-YTW : 5.38 %
ENB.PF.G	FixedReset	3.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.33 %
ENB.PF.C	FixedReset	3.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.40 %
SLF.PR.B	Deemed-Retractible	3.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 6.68 %
TD.PF.E	FixedReset	3.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 22.69 Evaluated at bid price : 23.82 Bid-YTW : 3.65 %
PWF.PR.S	Perpetual-Discount	4.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 22.16 Evaluated at bid price : 22.50 Bid-YTW : 5.37 %
FTS.PR.H	FixedReset	5.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 14.99 Evaluated at bid price : 14.99 Bid-YTW : 3.62 %

Volume Highlights
Issue	Index	Shares Traded	Notes
NA.PR.M	Deemed-Retractible	184,940	Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-09-25 Maturity Price : 25.50 Evaluated at bid price : 25.77 Bid-YTW : -4.76 %
RY.PR.B	Deemed-Retractible	168,722	RBC crossed two blocks of 50,000 each and one of 49,900, all at 25.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.94 Bid-YTW : 4.77 %
RY.PR.J	FixedReset	68,048	RBC crossed 50,000 at 22.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 22.11 Evaluated at bid price : 22.70 Bid-YTW : 3.72 %
ENB.PF.E	FixedReset	45,964	TD crossed 18,000 at 16.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 5.49 %
ENB.PF.G	FixedReset	35,530	TD crossed 18,600 at 16.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.33 %
TRP.PR.B	FixedReset	31,097	Nesbitt crossed 25,000 at 12.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 12.60 Evaluated at bid price : 12.60 Bid-YTW : 3.93 %
There were 29 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.G	FixedReset	Quote: 21.07 – 21.99 Spot Rate : 0.9200 Average : 0.6245 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.07 Bid-YTW : 5.82 %
VNR.PR.A	FixedReset	Quote: 19.50 – 20.35 Spot Rate : 0.8500 Average : 0.6013 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.58 %
BAM.PR.X	FixedReset	Quote: 14.50 – 14.95 Spot Rate : 0.4500 Average : 0.2670 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 4.62 %
MFC.PR.N	FixedReset	Quote: 19.00 – 19.80 Spot Rate : 0.8000 Average : 0.6283 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 6.89 %
POW.PR.B	Perpetual-Discount	Quote: 23.51 – 23.96 Spot Rate : 0.4500 Average : 0.2919 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 23.21 Evaluated at bid price : 23.51 Bid-YTW : 5.76 %
RY.PR.H	FixedReset	Quote: 20.73 – 21.30 Spot Rate : 0.5700 Average : 0.4125 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-26 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 3.72 %

David Parkinson of the Globe offers up some threads of hope for the Canadian economy:

Statistics Canada reported that, month-over-month, retail sales rose 0.6 per cent in June, adding to May’s 0.9-per-cent rise. While the gain was entirely a result of price increases – on a volume basis, sales were flat in the month – the solid retail performance caps a run of impressive growth from several key components of the Canadian economy. Together, they add up to a rebound in gross domestic product in June, after the first-quarter GDP contraction of 0.6 per cent annualized was followed by further negative readings in April and May.

Forecasters are now pegging June’s month-over-month GDP growth in a range of 0.2 to 0.4 per cent, which would make it the first month of positive GDP since the end of 2014.
…
The impressive run of June growth indicators started with the merchandise trade report released early this month, which showed a stellar 6.3-per-cent surge in exports over May – a gain so big it wiped out all the declines from the first five months of the year. Since then, the prospects for a strong June GDP number were bolstered by last week’s report of a 1.2-per-cent month-over-month rise in manufacturing sales, and news this week that wholesale sales gained 1.3 per cent.

Equity markets were very nervous today:

Stock bulls looking for a respite from the worst declines since 2011 instead had to watch as a 442-point rally in the Dow Jones Industrial Average vanished in the final hour. The tumble, stretching to 4 percent from the day’s highest level, dashed hopes that China’s interest-rate cut would put a floor under U.S. equities.

Concern bubbled over as the day progressed that fresh stimulus in China wouldn’t be enough to prop up its stock market, where the Shanghai Composite Index has lost 22 percent in four days. Exchange-traded funds tracking China’s A-shares pared gains of as much as 5.2 percent in U.S. trading, halting a rally earlier in the day spurred by policy makers cutting interest rates for a fifth time since November.
…
At the same time, the rout is occurring at a time of deteriorating market sentiment and stagnant earnings. Owners of mutual and exchange-traded funds yanked $78.8 billion from U.S. shares in the first seven months of 2015, more than in any full year since at least 1993. Profits reported by S&P 500 companies in the second quarter fell 2 percent from a year ago and are projected to slip 5.5 percent in the current period.

Never mind US equity funds, look at how much has been taken off the table in China!

China’s margin debt has plunged by 1 trillion yuan ($156 billion) from its June peak as stock traders close out bets using borrowed money amid a $5 trillion rout.

Outstanding margin loans on the Shanghai and Shenzhen exchanges fell to about 1.25 trillion yuan on Monday from a record high of 2.27 trillion yuan on June 18. The Shanghai Composite Index has plunged 45 percent from its June peak amid concern that the highest valuations among major world markets are unjustified given the outlook for slowing economic growth.

Chinese authorities have taken a page from the western political response and are desperately seeking scapegoats:

Authorities announced a probe of allegations of market malpractice involving the stocks regulator on Tuesday, while the official Xinhua News Agency called for efforts to “purify” the capital markets. The news service also carried remarks by a central bank researcher attributing the global rout to an expected Federal Reserve rate increase.

The Shanghai Composite Index has plunged more than 40 percent from its peak, after concerns over the Chinese economy helped snap a months-long rally encouraged by state-run media. Authorities have repeatedly blamed market manipulators and foreign forces since the sell off began in June and led officials to launch an unprecedented stocks-support program.

Now, after suspending that program, the administration has embarked on a new round of allegations and fault-finding.

And all this is affecting speculation regarding the timing of ‘lift-off’:

Traders see a 28 percent probability that the Fed will raise its target next month, according to data compiled by Bloomberg. That probability rises to 34 percent by the end of October, and jumps to 51 percent by the December gathering.

Yellen holds press conferences after every other Federal Open Market Committee meeting.

Some traders see the lack of an October press conference as a dealbreaker. Yet Yellen has indicated that rate decisions wouldn’t depend on when press conferences are scheduled.

So the September probability, charted on August 19 continues to gyrate.

Liberty Street Economics, a vehicle of the New York Fed, has released a series of posts on market liquidity.

The first is titled Has U.S. Treasury Market Liquidity Deteriorated? which emphasizes that there are many ways to define and measure liquidity and that definitions matter:

As shown in the chart below, bid-ask spreads widened markedly during the crisis, but have been relatively narrow and stable since.
…
The chart below plots order book depth, measured as the average quantity of securities available for sale or purchase at the best bid and offer prices. Depth rebounded healthily after the crisis, but declined markedly during the 2013 taper tantrum and around the October 15, 2014 flash rally. It is not unusually low at present by recent historical standards.

The next chart plots the estimated price impact per $100 million net order flow as calculated weekly over five-minute intervals; higher impacts suggest reduced liquidity. Price impact rose sharply during the crisis, declined markedly after, and then increased some during the taper tantrum and in the week including October 15, 2014. The measure remained somewhat elevated after October 15, but is not now especially high by recent historical standards.

The decline in trade size compared with the precrisis period may merely reflect the increasing prevalence of high frequency trading in the interdealer market, so may be a less reliable indicator of reduced liquidity than the preceding measures.

While the high-frequency liquidity measures provide a mixed message regarding the state of Treasury liquidity, the daily measures we consider next are more consistent. We first look at the dispersion of yields around a smoothed yield curve as estimated by the average absolute difference between actual yields and predicted yields (Hu, Pan, and Wang [2013] construct a similar measure).

If average liquidity is generally good by historical standards, then why all the liquidity concerns? One possibility is that the unease is not so much about on-the-run Treasury securities, but about less liquid Treasury securities or other fixed-income securities such as corporate debt securities, which we have not examined here (and for which there is less detailed data to assess liquidity).

Or perhaps the concerns are not so much about average liquidity levels, as we examined, but about liquidity risk. Indeed the events of October 15 and similar episodes of sharp, seemingly unexplained price changes in the dollar-euro and German Bund markets have heightened worry about tail events in which liquidity suddenly evaporates. Liquidity risk, or really illiquidity risk, is harder to measure than liquidity itself, but we attempt to do so in a future post.

Finally, it might be that liquidity concerns reflect anxiety about future liquidity conditions, with a possible imbalance between liquidity supply and demand. On the demand side, the share of Treasuries owned by mutual funds, which may demand daily liquidity, has increased. On the supply side, the primary dealers have pared their financing activities sharply since the crisis and shown no growth in their gross positions despite the sharp increase in Treasury debt outstanding. Market commentators point to these factors and the current environment of low volatility and worry about what will happen when monetary policy is normalized and volatility rises.

The second post, titled Liquidity during Flash Events, concludes:

In particular, all three events exhibited strained liquidity conditions during periods of extreme price volatility but the Treasury market event arguably exhibited a greater degree of price continuity, consistent with descriptions of the flash rally as “slow-moving.”

The third post, High-Frequency Cross-Market Trading in U.S. Treasury Markets, states:

The cash market platform (in Secaucus, New Jersey) and the futures market exchange (in Aurora, Illinois) exhibit very pronounced cross-market trading activity at an offset of +/-5 milliseconds, strikingly consistent with the time it takes to transmit information between the two trading venues using current microwave tower technology. Spikes occur at both negative and positive offsets, suggesting that sometimes Treasury futures lead cash Treasuries (+5 millisecond offset) and other times the cash market leads futures (-5 millisecond offset), a remarkable fact since it indicates that price discovery takes place in both markets as they can both lead each other.
…
Cross-market trading by now accounts for a significant portion of trading in Treasury instruments in both the cash and futures markets. This reflects improvements in trading technology that allow for high-frequency trading within and across platforms. In particular, nearly simultaneous trading between the cash and futures platforms now accounts for up to 20 percent of cash market activity on many days.

Market participants often presume that price discovery happens in Treasury futures. However, our findings show that this is not always the case: Although futures usually lead cash, the reverse is also often true. Therefore, from a price discovery point of view, the two markets can effectively be seen as one.

The fourth post is a highly technical piece titled The Evolution of Workups in the U.S. Treasury Securities Market. It’s really only comprehensible if you read the associated staff report on Workups, Order Flow Segmentation and the Role of Dark Pool Trading in the Price Discovery of U.S. Treasury Securities.

The last post, What’s Driving Dealer Balance Sheet Stagnation? investigates the issue of the reason for relatively small dealer balance sheets:

The growing role of electronic trading has likely narrowed bid-ask spreads and reduced dealers’ profits from intermediating customer order flow, causing dealers to step back from making markets and reducing their need for large balance sheets. The changing competitive landscape of market making, as manifested by the entry of nondealer firms since the early 2000s, may therefore also play a role in the post-crisis dealer balance sheet dynamics.

The picture that emerges is that post-crisis dealer asset growth represents the confluence of several issues. Our findings suggest that business-cycle factors (the hangover from the housing boom and bust and subsequent risk aversion) and secular trends (electronification and competitive entry) should be considered alongside tighter regulation in explaining stagnating dealer balance sheets.

Meanwhile, it was a positive day for the Canadian preferred share market with PerpetualDiscounts winning 92bp (due largely to a reversal of yesterday‘s nonsense with ELF.PR.G), FixedResets up 16bp and DeemedRetractibles gaining 10bp. The Performance Highlights table is enormous; there is a huge pool of losers (25 issues) balancing a slightly larger pool of winners (33 issues). 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:

Implied volatility dropped sharply to more normal, but still elevated, levels aided by a more rational quotation for TRP.PR.G (see discussion in the Performance Highlights table).

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.26 to be $0.84 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $0.79 cheap at its bid price of 12.77.

Another good fit today, while the series maintains its high level of Implied Volatility.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 23.40 to be 0.91 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, bid at 21.30 to be 0.67 cheap.

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.10 to be $1.72 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 20.55 and appears to be $1.21 rich.

Implied Volatility dropped today, but remains unreasonably high.

FTS.PR.K, with a spread of +205bp, and bid at 18.25, looks $0.47 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.00 and is $0.21 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.45%, with one outlier above +0.80%. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.91% and the unregulated issues averaging +0.18%. There are three junk outliers below -1.20%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	2.2874 %	1,643.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	2.2874 %	2,873.4
Floater	4.46 %	4.53 %	57,332	16.29	3	2.2874 %	1,747.0
OpRet	0.00 %	0.00 %	0	0.00	0	0.9906 %	2,758.0
SplitShare	4.67 %	5.27 %	55,947	3.13	3	0.9906 %	3,232.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.9906 %	2,521.9
Perpetual-Premium	5.75 %	5.67 %	64,403	14.08	9	0.5796 %	2,474.4
Perpetual-Discount	5.54 %	5.58 %	78,687	14.54	29	0.9179 %	2,551.1
FixedReset	5.05 %	4.24 %	200,589	15.44	87	0.1568 %	2,090.6
Deemed-Retractible	5.21 %	5.35 %	97,635	5.57	34	0.1031 %	2,540.3
FloatingReset	2.37 %	3.59 %	48,243	5.97	9	0.2358 %	2,189.4

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.H	FixedReset	-4.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 3.81 %
CM.PR.Q	FixedReset	-3.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.66 Evaluated at bid price : 22.02 Bid-YTW : 3.93 %
BAM.PR.X	FixedReset	-3.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 4.55 %
PWF.PR.P	FixedReset	-2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 15.56 Evaluated at bid price : 15.56 Bid-YTW : 3.63 %
SLF.PR.B	Deemed-Retractible	-2.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.02 Bid-YTW : 7.12 %
GWO.PR.N	FixedReset	-2.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.17 Bid-YTW : 8.18 %
BAM.PF.G	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.72 Evaluated at bid price : 22.11 Bid-YTW : 4.23 %
ENB.PR.Y	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 14.71 Evaluated at bid price : 14.71 Bid-YTW : 5.51 %
ENB.PF.C	FixedReset	-1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.58 %
MFC.PR.G	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.30 Bid-YTW : 5.68 %
W.PR.J	Perpetual-Discount	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.27 Evaluated at bid price : 23.57 Bid-YTW : 6.02 %
ENB.PR.A	Perpetual-Discount	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.82 Evaluated at bid price : 24.07 Bid-YTW : 5.73 %
BMO.PR.T	FixedReset	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 3.65 %
MFC.PR.N	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.86 Bid-YTW : 6.30 %
BAM.PF.F	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.68 Evaluated at bid price : 22.00 Bid-YTW : 4.23 %
MFC.PR.L	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.70 Bid-YTW : 6.29 %
ENB.PF.G	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.50 %
MFC.PR.M	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.85 Bid-YTW : 6.38 %
NA.PR.S	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 3.87 %
RY.PR.M	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.42 Evaluated at bid price : 21.71 Bid-YTW : 3.82 %
ENB.PR.F	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 14.63 Evaluated at bid price : 14.63 Bid-YTW : 5.61 %
MFC.PR.K	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.62 Bid-YTW : 6.23 %
PWF.PR.L	Perpetual-Discount	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.27 Evaluated at bid price : 23.53 Bid-YTW : 5.46 %
RY.PR.H	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 3.67 %
TD.PF.C	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 3.75 %
RY.PR.O	Perpetual-Discount	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.68 Evaluated at bid price : 24.01 Bid-YTW : 5.15 %
FTS.PR.G	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.07 %
PWF.PR.R	Perpetual-Premium	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 24.19 Evaluated at bid price : 24.68 Bid-YTW : 5.61 %
FTS.PR.J	Perpetual-Discount	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.69 Evaluated at bid price : 22.00 Bid-YTW : 5.41 %
RY.PR.N	Perpetual-Discount	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 24.09 Evaluated at bid price : 24.45 Bid-YTW : 5.09 %
BAM.PF.E	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.29 %
ENB.PR.B	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 13.81 Evaluated at bid price : 13.81 Bid-YTW : 5.66 %
SLF.PR.E	Deemed-Retractible	1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.53 Bid-YTW : 7.11 %
POW.PR.D	Perpetual-Discount	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 22.32 Evaluated at bid price : 22.59 Bid-YTW : 5.60 %
CU.PR.C	FixedReset	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 3.68 %
PVS.PR.C	SplitShare	1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 5.27 %
RY.PR.I	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 3.24 %
PWF.PR.F	Perpetual-Discount	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 5.51 %
BAM.PR.K	Floater	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.56 %
HSE.PR.A	FixedReset	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 13.26 Evaluated at bid price : 13.26 Bid-YTW : 4.67 %
ELF.PR.F	Perpetual-Discount	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 22.24 Evaluated at bid price : 22.51 Bid-YTW : 5.96 %
RY.PR.W	Perpetual-Discount	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.97 Evaluated at bid price : 24.22 Bid-YTW : 5.07 %
BAM.PR.N	Perpetual-Discount	1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 5.96 %
POW.PR.B	Perpetual-Discount	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.48 Evaluated at bid price : 23.75 Bid-YTW : 5.70 %
BMO.PR.S	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 3.67 %
POW.PR.G	Perpetual-Premium	2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 24.45 Evaluated at bid price : 24.95 Bid-YTW : 5.67 %
HSE.PR.C	FixedReset	2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 4.78 %
BAM.PR.C	Floater	2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 10.55 Evaluated at bid price : 10.55 Bid-YTW : 4.53 %
MFC.PR.J	FixedReset	2.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.95 Bid-YTW : 5.69 %
ENB.PR.T	FixedReset	2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 5.50 %
BAM.PR.B	Floater	2.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 10.70 Evaluated at bid price : 10.70 Bid-YTW : 4.47 %
BAM.PR.R	FixedReset	3.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 4.78 %
BAM.PF.B	FixedReset	4.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 4.36 %
TRP.PR.B	FixedReset	4.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 12.55 Evaluated at bid price : 12.55 Bid-YTW : 3.95 %
HSE.PR.E	FixedReset	4.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.66 Evaluated at bid price : 22.00 Bid-YTW : 4.90 %
TRP.PR.C	FixedReset	5.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 12.77 Evaluated at bid price : 12.77 Bid-YTW : 4.32 %
TRP.PR.G	FixedReset	12.17 %	Simply a correction of yesterday‘s nonsensical quote. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 4.32 %
ELF.PR.G	Perpetual-Discount	17.97 %	Simply a correction of yesterday‘s nonsensical quote. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.63 %

Volume Highlights
Issue	Index	Shares Traded	Notes
HSB.PR.D	Deemed-Retractible	115,500	RBC crossed 112,400 at 24.99. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 5.28 %
BNS.PR.Q	FixedReset	71,649	Nesbitt crossed 25,000 at 25.00; TD sold 13,000 to anonymous at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 3.10 %
BMO.PR.T	FixedReset	55,912	Scotia crossed 24,500 at 21.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 3.65 %
RY.PR.F	Deemed-Retractible	52,083	Nesbitt crossed 50,000 at 24.98. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 4.50 %
TD.PF.C	FixedReset	46,503	TD crossed 25,000 at 20.78. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 3.75 %
ENB.PR.T	FixedReset	40,812	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 5.50 %
There were 33 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PF.C	FixedReset	Quote: 20.51 – 22.00 Spot Rate : 1.4900 Average : 0.8454 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 3.75 %
HSE.PR.G	FixedReset	Quote: 22.05 – 23.69 Spot Rate : 1.6400 Average : 1.0798 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.68 Evaluated at bid price : 22.05 Bid-YTW : 4.89 %
TRP.PR.A	FixedReset	Quote: 15.15 – 16.20 Spot Rate : 1.0500 Average : 0.6557 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 15.15 Evaluated at bid price : 15.15 Bid-YTW : 4.54 %
BAM.PF.F	FixedReset	Quote: 22.00 – 22.90 Spot Rate : 0.9000 Average : 0.5698 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.68 Evaluated at bid price : 22.00 Bid-YTW : 4.23 %
ENB.PR.A	Perpetual-Discount	Quote: 24.07 – 24.80 Spot Rate : 0.7300 Average : 0.4483 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 23.82 Evaluated at bid price : 24.07 Bid-YTW : 5.73 %
CM.PR.Q	FixedReset	Quote: 22.02 – 22.95 Spot Rate : 0.9300 Average : 0.6495 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-25 Maturity Price : 21.66 Evaluated at bid price : 22.02 Bid-YTW : 3.93 %

It was a day and a half for the equities markets:

The Standard & Poor’s 500 Index fell into a correction for the first time since 2011 in one of the most volatile trading days ever, as a rout in global equity markets deepened.

It was a day of wild swings as equities plunged at the open before staging a sharp rebound, with the Nasdaq 100 Index by midday nearly erasing a 9.8 percent drop. The Dow Jones Industrial Average dropped 1,000 points in the opening minutes of trading, while the S&P 500 tumbled 5.3 percent and then pared declines before an afternoon wave of renewed selling.

The S&P 500 dropped 3.9 percent to 1,893.21 at 4 p.m. in New York, and closed 11 percent below its May record. The Dow lost 588.40 points, or 3.6 percent, to 15,871.35, after sliding as much as 6.6 percent. The Nasdaq Composite Index retreated 3.8 percent to its lowest level since Oct. 27, trimming an early 8.8 percent skid.

Oil got clobbered:

West Texas intermediate oil (WTI) on Monday crashed below $40 (U.S.) a barrel in its biggest one-day drop in almost two months, extending losses as concerns over the health of China’s economy triggered a broad selloff in everything from metals to health and finance.
…
On Monday, WTI oil posted another loss, tumbling more than 5 per cent to $38.24 a barrel. Brent, the global benchmark, fell 6.1 per cent to $42.69 a barrel.

So Canadian equities and the loonie got smacked:

The S&P/TSX index dropped more than 420.9 points or 3.12 per cent to 13,052.74, the worst in almost plunge in almost four years. All 10 main groups fell at least 1 per cent, with the energy sector off 4.3 per cent as WTI crude oil prices slumped near the $38 (U.S.) level. The benchmark Canadian equity gauge has fallen 9.8 per cent this month, headed for a fourth straight monthly decline, the longest such streak since September, 2011.

The Canadian dollar was down nearly half a cent at 75.40 cents (U.S.).

And the news was being talked about even by those with no interest in economics:

The Prime Minister’s Office announced that Stephen Harper spoke with Bank of Canada Governor Stephen Poloz Monday about the latest upheaval in financial markets.
…
The notice made no mention of Finance Minister Joe Oliver, who would normally be the government’s main point of contact with the Bank of Canada.

And so there was an unwelcome guest in the preferred share market today:

At press time, a Bloomberg story timestamped 2:21am reported:

U.S. and European equity-index futures advanced after Monday’s $2.7 trillion global equity wipeout, while the yen retreated with government bonds. Chinese shares headed for the biggest four-day drop in almost 19 years.

Futures on the Standard & Poor’s 500 Index rose 1.2 percent after the U.S. benchmark entered a correction for the first time since 2011. The Shanghai Composite Index took its loss since Wendnesday beyond 20 percent as investors question the government’s ability to stem losses. The dollar strengthened versus major peers as 10-year Treasury yields rose for the first time in five days. Oil climbed 1.4 percent in New York after falling to $38.24 a barrel.

It was a thoroughly appalling day for the Canadian preferred share market; there may have been worse ones during the depths of the Credit Crunch nearly seven years ago, but I can’t think of any offhand. PerpetualDiscounts were down 217bp, FixedResets lost 274bp and DeemedRetractibles were off 94bp. Huge losses in Floaters and SplitShares that would normally be worth special mention are today mere bagatelles. With all that, it may come as a surprise that there was one winner in today’s extraordinarily lengthy Performance Highlights table; but this table also contains fourteen issues losing more than 5%, a level that is usually indicative of a grievous error. Volume was very high, but block action was subdued.

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:

A big jump in Implied Volatility today, but whether it’s meaningful in the light of such poorly fitting data is another question!

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.20 to be $1.58 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.60 cheap at its nonsensical bid price of 18.81 (see discussion in the Performance Highlights table).

Another good fit today! There was another massive increase in Implied Volatility today. Two MFC issues had sufficiently poor bid/bid performances over the day to be discussed further in the Performance Highlights table, but those bids were deemed to be reasonable.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 23.27 to be 0.63 rich, while MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 20.41 to be 0.81 cheap.

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.62 to be $2.16 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.60 and appears to be $1.49 rich.

A big jump in Implied Volatility to an unreasonably high level today.

FTS.PR.K, with a spread of +205bp, and bid at 18.20, looks $0.35 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.80 and is $0.43 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.52%, with no outliers. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.87% and the unregulated issues averaging -0.02%. There is one junk outlier above +0.80% and three below -1.20%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-2.5738 %	1,606.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	-2.5738 %	2,809.1
Floater	4.57 %	4.62 %	56,066	16.12	3	-2.5738 %	1,708.0
OpRet	0.00 %	0.00 %	0	0.00	0	-1.4508 %	2,731.0
SplitShare	4.71 %	5.47 %	56,283	3.13	3	-1.4508 %	3,200.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-1.4508 %	2,497.2
Perpetual-Premium	5.78 %	5.80 %	63,425	14.11	9	-0.9975 %	2,460.1
Perpetual-Discount	5.59 %	5.59 %	79,394	14.48	29	-2.1685 %	2,527.9
FixedReset	5.06 %	4.26 %	195,595	15.30	87	-2.7381 %	2,087.4
Deemed-Retractible	5.21 %	5.34 %	98,904	5.56	34	-0.9440 %	2,537.7
FloatingReset	2.38 %	3.63 %	48,654	5.96	9	-1.0250 %	2,184.2

Performance Highlights
Issue	Index	Change	Notes
ELF.PR.G	Perpetual-Discount	-16.71 %	This is ridiculous. The issue traded 4,000 shares today in a range of 21.50-74, making it one of the better behaved issues, and still the TMX quotes it with a nonsensical bid. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 18.14 Evaluated at bid price : 18.14 Bid-YTW : 6.65 %
TRP.PR.G	FixedReset	-8.91 %	Another ridiculous misquotation from the Toronto Exchange. The issue traded 9,120 shares today in a range of 18.47-22.04, which sounds quite exciting, but the VWAP was 20.62 – only a nickel below yesterday’s closing price – and the closing price was 21.20; so on a close/close basis, the issue is actually a winner! I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.85 %
FTS.PR.M	FixedReset	-8.46 %	The issue traded 10,515 shares today in a range of 19.63-21.51 (!) before closing at a quote of 19.70-00. The VWAP was 20.02, so this quotations is actually quite reasonable. Hurray! Send a thank-you card to the Toronto Exchange and bake them a cake! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 4.22 %
BAM.PR.T	FixedReset	-8.15 %	The issue traded 15,481 shares today in a range of 16.50-17.91 before closing with a quote of 16.45-21. The VWAP was 17.20, but the last twenty-four trades of the day, commencing at 2:48pm, were all at 16.69 and below, so again we can rejoice that the Exchange has not made an obvious error this time. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 4.77 %
FTS.PR.K	FixedReset	-6.67 %	The issue traded 11,870 shares today in a range of 18.08-75 before closing with a quote of 18.20-55. There were eight trades after 3pm, all executed at 18.32 and below, so we’ll give the Exchange a pass on this one as well. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.00 %
TD.PF.E	FixedReset	-6.65 %	The issue traded 2,770 shares in a range of 23.97-57 before closing with a quote of 23.02-24.25. The VWAP was 24.17. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 22.28 Evaluated at bid price : 23.02 Bid-YTW : 3.81 %
MFC.PR.M	FixedReset	-6.19 %	The issue traded 10,467 shares in a range of 19.58-21.46 before closing with a quote of 20.14-35. VWAP was 20.29. There were a lot of 100-lots traded after 3pm, some as low as 19.58 but most closer to 20.00, so we can call this a reasonable quote. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.14 Bid-YTW : 6.18 %
BAM.PF.B	FixedReset	-5.67 %	The issue traded 18,965 shares today in an extraordinary range of 17.67-20.50 (I don’t think we’ve seen anything like that, at least for a non-special-situation company, since the Credit Crunch!) before closing with a quote of 19.15-20.16. The VWAP was 19.84. All twenty-five trades executed after 3:26pm were at or below the closing bid – some, like four trades totalling 600 shares at 17.67, well below! – so this is a decent bid. Given the day’s action, I’ll cut the market maker a little slack on the closing offer and consequent wide spread. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.56 %
ENB.PR.B	FixedReset	-5.54 %	This issue traded 8,250 shares today in a range of 13.20-11, with a VWAP of 13.74, before closing with a quote of 13.64-89, which is quite reasonable. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 13.64 Evaluated at bid price : 13.64 Bid-YTW : 5.74 %
MFC.PR.N	FixedReset	-5.39 %	The issue traded 5,925 shares today in a range of 19.80-21.40, with a VWAP of 20.47, before closing with a quote of 20.18-21.45. The last twelve trades of the day, commencing at 3:05pm, were al below 20.00, so the closing bid of 20.18 is reasonable; or, should I say, a reasonable reflection of market conditions! YTW SCENARIO Maturity Type : Hard Maturity1 Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.18 Bid-YTW : 6.09 %
ENB.PF.A	FixedReset	-5.34 %	The issue traded 8,491 shares today in a range of 15.34-16.97, with a VWAP of 16.23, before closing with a quote of 16.13-28 – a surprisingly tight quote! Additionally, each of the last 23 trades, commencing at 1:54pm, were inside the closing quote, so for this one we should actually give the market maker a pat on the back. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.13 Evaluated at bid price : 16.13 Bid-YTW : 5.53 %
HSE.PR.C	FixedReset	-5.34 %	The issue traded 7,290 shares today in a range of 20.00-21.08, with a VWAP of 20.65, before closing with a quote of 20.40-80. The last trade for the day, 100 shares at 1:17pm, was executed at 20.27. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 4.90 %
FTS.PR.G	FixedReset	-5.32 %	The issue traded 4,560 shares today in a range of 16.62-18.57, with a VWAP of 18.07, before closing with a quote of 17.80-50. The last fourteen trades of the day, commencing at 12:12pm, were all inside the closing quote. So it’s OK … kind of a wide spread, but that’s what happens when the devil comes to town! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.11 %
TRP.PR.F	FloatingReset	-5.22 %	The issue traded 4,750 shares today in a range of 12.01-14.28 (!), with a VWAP of 13.74, before closing with a quote of 14.33-50. So the closing bid was above the day high; I think we can call this, if anything, a rather sunny quote! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 14.33 Evaluated at bid price : 14.33 Bid-YTW : 4.00 %
ENB.PR.T	FixedReset	-4.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 14.71 Evaluated at bid price : 14.71 Bid-YTW : 5.65 %
NA.PR.W	FixedReset	-4.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 3.85 %
BAM.PR.N	Perpetual-Discount	-4.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 19.97 Evaluated at bid price : 19.97 Bid-YTW : 6.06 %
TRP.PR.C	FixedReset	-4.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 12.16 Evaluated at bid price : 12.16 Bid-YTW : 4.54 %
RY.PR.M	FixedReset	-4.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.63 Evaluated at bid price : 22.00 Bid-YTW : 3.77 %
MFC.PR.J	FixedReset	-4.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.41 Bid-YTW : 6.03 %
IFC.PR.A	FixedReset	-4.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.25 Bid-YTW : 8.56 %
RY.PR.J	FixedReset	-4.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.99 Evaluated at bid price : 22.50 Bid-YTW : 3.76 %
FTS.PR.H	FixedReset	-4.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 3.65 %
BMO.PR.Q	FixedReset	-4.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.46 Bid-YTW : 4.68 %
HSE.PR.E	FixedReset	-4.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.16 %
BAM.PR.C	Floater	-4.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 10.28 Evaluated at bid price : 10.28 Bid-YTW : 4.65 %
BNS.PR.Z	FixedReset	-4.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.95 Bid-YTW : 5.19 %
ENB.PF.C	FixedReset	-4.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.31 Evaluated at bid price : 16.31 Bid-YTW : 5.47 %
ELF.PR.F	Perpetual-Discount	-3.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.94 Evaluated at bid price : 22.18 Bid-YTW : 6.05 %
BNS.PR.Y	FixedReset	-3.96 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.87 Bid-YTW : 4.81 %
ENB.PR.N	FixedReset	-3.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 15.12 Evaluated at bid price : 15.12 Bid-YTW : 5.66 %
GWO.PR.R	Deemed-Retractible	-3.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.82 Bid-YTW : 6.79 %
NA.PR.S	FixedReset	-3.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 3.82 %
ENB.PR.F	FixedReset	-3.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 14.82 Evaluated at bid price : 14.82 Bid-YTW : 5.53 %
MFC.PR.I	FixedReset	-3.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.81 Bid-YTW : 5.42 %
BAM.PR.R	FixedReset	-3.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 15.62 Evaluated at bid price : 15.62 Bid-YTW : 4.93 %
ENB.PF.E	FixedReset	-3.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.41 Evaluated at bid price : 16.41 Bid-YTW : 5.48 %
BMO.PR.S	FixedReset	-3.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 3.74 %
PWF.PR.S	Perpetual-Discount	-3.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.65 %
BNS.PR.D	FloatingReset	-3.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.46 Bid-YTW : 4.62 %
BMO.PR.W	FixedReset	-3.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 3.73 %
MFC.PR.G	FixedReset	-3.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.69 Bid-YTW : 5.44 %
GWO.PR.H	Deemed-Retractible	-3.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 6.70 %
ENB.PF.G	FixedReset	-3.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 5.41 %
BAM.PF.C	Perpetual-Discount	-2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 6.10 %
ENB.PR.P	FixedReset	-2.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 14.88 Evaluated at bid price : 14.88 Bid-YTW : 5.56 %
IFC.PR.C	FixedReset	-2.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.30 Bid-YTW : 6.15 %
FTS.PR.F	Perpetual-Discount	-2.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 5.56 %
BAM.PR.M	Perpetual-Discount	-2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.11 Evaluated at bid price : 20.11 Bid-YTW : 6.01 %
SLF.PR.I	FixedReset	-2.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 5.00 %
ENB.PR.J	FixedReset	-2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 5.36 %
BAM.PR.K	Floater	-2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 10.35 Evaluated at bid price : 10.35 Bid-YTW : 4.62 %
W.PR.H	Perpetual-Discount	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.42 Evaluated at bid price : 23.71 Bid-YTW : 5.87 %
BAM.PF.D	Perpetual-Discount	-2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 6.07 %
SLF.PR.H	FixedReset	-2.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.10 Bid-YTW : 6.23 %
SLF.PR.E	Deemed-Retractible	-2.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.27 Bid-YTW : 7.28 %
SLF.PR.D	Deemed-Retractible	-2.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.13 Bid-YTW : 7.32 %
POW.PR.B	Perpetual-Discount	-2.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.10 Evaluated at bid price : 23.36 Bid-YTW : 5.80 %
MFC.PR.L	FixedReset	-2.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 6.09 %
PWF.PR.R	Perpetual-Premium	-2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.92 Evaluated at bid price : 24.40 Bid-YTW : 5.67 %
POW.PR.G	Perpetual-Premium	-2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.92 Evaluated at bid price : 24.40 Bid-YTW : 5.80 %
TD.PF.B	FixedReset	-2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.79 Evaluated at bid price : 20.79 Bid-YTW : 3.71 %
CM.PR.P	FixedReset	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 3.76 %
TD.PF.D	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 22.29 Evaluated at bid price : 23.01 Bid-YTW : 3.72 %
FTS.PR.J	Perpetual-Discount	-2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.43 Evaluated at bid price : 21.75 Bid-YTW : 5.47 %
ENB.PR.H	FixedReset	-2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 13.60 Evaluated at bid price : 13.60 Bid-YTW : 5.46 %
BAM.PF.E	FixedReset	-2.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.34 %
POW.PR.D	Perpetual-Discount	-2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 22.07 Evaluated at bid price : 22.30 Bid-YTW : 5.67 %
SLF.PR.A	Deemed-Retractible	-2.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.32 Bid-YTW : 6.87 %
GWO.PR.L	Deemed-Retractible	-2.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.68 Bid-YTW : 5.99 %
BAM.PF.A	FixedReset	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 4.36 %
BMO.PR.T	FixedReset	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.42 Evaluated at bid price : 21.42 Bid-YTW : 3.58 %
TRP.PR.A	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 15.13 Evaluated at bid price : 15.13 Bid-YTW : 4.55 %
MFC.PR.H	FixedReset	-2.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.27 Bid-YTW : 4.79 %
BIP.PR.A	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 5.14 %
ENB.PR.Y	FixedReset	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 15.03 Evaluated at bid price : 15.03 Bid-YTW : 5.39 %
GWO.PR.G	Deemed-Retractible	-2.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 6.34 %
CM.PR.O	FixedReset	-2.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.61 Evaluated at bid price : 21.90 Bid-YTW : 3.57 %
MFC.PR.K	FixedReset	-1.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.87 Bid-YTW : 6.06 %
GWO.PR.I	Deemed-Retractible	-1.94 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.25 Bid-YTW : 6.82 %
SLF.PR.B	Deemed-Retractible	-1.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.57 Bid-YTW : 6.76 %
PWF.PR.P	FixedReset	-1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 3.53 %
SLF.PR.C	Deemed-Retractible	-1.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 7.24 %
ENB.PR.D	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 5.52 %
HSE.PR.G	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.64 Evaluated at bid price : 22.00 Bid-YTW : 4.90 %
PWF.PR.F	Perpetual-Discount	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.38 Evaluated at bid price : 23.67 Bid-YTW : 5.59 %
CM.PR.Q	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 22.16 Evaluated at bid price : 22.79 Bid-YTW : 3.77 %
TD.PF.A	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.89 Evaluated at bid price : 20.89 Bid-YTW : 3.70 %
PVS.PR.C	SplitShare	-1.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.42 Bid-YTW : 5.89 %
POW.PR.A	Perpetual-Premium	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 24.25 Evaluated at bid price : 24.55 Bid-YTW : 5.77 %
TD.PF.C	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.74 Evaluated at bid price : 20.74 Bid-YTW : 3.71 %
GWO.PR.S	Deemed-Retractible	-1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.51 Bid-YTW : 5.67 %
RY.PR.I	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.46 Bid-YTW : 3.48 %
PWF.PR.K	Perpetual-Discount	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 22.12 Evaluated at bid price : 22.40 Bid-YTW : 5.57 %
PVS.PR.B	SplitShare	-1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.51 Bid-YTW : 4.96 %
RY.PR.W	Perpetual-Discount	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.59 Evaluated at bid price : 23.86 Bid-YTW : 5.15 %
RY.PR.N	Perpetual-Discount	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.82 Evaluated at bid price : 24.16 Bid-YTW : 5.16 %
PWF.PR.E	Perpetual-Discount	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.99 Evaluated at bid price : 24.24 Bid-YTW : 5.72 %
W.PR.J	Perpetual-Discount	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 5.90 %
GWO.PR.Q	Deemed-Retractible	-1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.68 Bid-YTW : 6.04 %
BAM.PR.Z	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 4.42 %
TRP.PR.B	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 4.13 %
GWO.PR.M	Deemed-Retractible	-1.29 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : 5.72 %
MFC.PR.C	Deemed-Retractible	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 7.15 %
RY.PR.L	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 3.63 %
CU.PR.G	Perpetual-Discount	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.46 Evaluated at bid price : 20.46 Bid-YTW : 5.53 %
BMO.PR.Y	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 22.73 Evaluated at bid price : 23.89 Bid-YTW : 3.57 %
TD.PR.Z	FloatingReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.66 Bid-YTW : 3.63 %
RY.PR.H	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 3.63 %
CU.PR.F	Perpetual-Discount	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.52 %
IAG.PR.G	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.08 Bid-YTW : 4.21 %
VNR.PR.A	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 4.52 %
PVS.PR.D	SplitShare	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 5.47 %
GWO.PR.N	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.55 Bid-YTW : 7.86 %
GWO.PR.P	Deemed-Retractible	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 5.89 %
TRP.PR.D	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 18.99 Evaluated at bid price : 18.99 Bid-YTW : 4.23 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.E	FixedReset	94,877	RBC bought two blocks of 25,000 each from Scotia, both at 19.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 4.26 %
BMO.PR.L	Deemed-Retractible	37,430	Nesbitt crossed 21,500 at 25.56. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-09-23 Maturity Price : 25.50 Evaluated at bid price : 25.56 Bid-YTW : 2.64 %
CM.PR.O	FixedReset	32,005	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.61 Evaluated at bid price : 21.90 Bid-YTW : 3.57 %
IGM.PR.B	Perpetual-Premium	27,800	Nesbitt crossed 25,000 at 25.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : 5.88 %
SLF.PR.A	Deemed-Retractible	27,791	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.32 Bid-YTW : 6.87 %
RY.PR.Z	FixedReset	27,499	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 3.61 %
There were 48 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
ELF.PR.G	Perpetual-Discount	Quote: 18.14 – 21.50 Spot Rate : 3.3600 Average : 1.9784 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 18.14 Evaluated at bid price : 18.14 Bid-YTW : 6.65 %
TRP.PR.G	FixedReset	Quote: 18.81 – 22.05 Spot Rate : 3.2400 Average : 1.9794 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.85 %
TD.PF.E	FixedReset	Quote: 23.02 – 24.25 Spot Rate : 1.2300 Average : 0.6641 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 22.28 Evaluated at bid price : 23.02 Bid-YTW : 3.81 %
MFC.PR.N	FixedReset	Quote: 20.18 – 21.45 Spot Rate : 1.2700 Average : 0.7800 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.18 Bid-YTW : 6.09 %
BAM.PF.B	FixedReset	Quote: 19.15 – 20.16 Spot Rate : 1.0100 Average : 0.6249 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.56 %
BAM.PR.T	FixedReset	Quote: 16.45 – 17.21 Spot Rate : 0.7600 Average : 0.4528 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-24 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 4.77 %

It was a kind of interesting day:

Volatility surged as Standard & Poor’s 500 Index capped the worst week in three years while Europe entered a correction and stocks from Hong Kong to Indonesia tumbled into bear markets. Junk bond yields rose to the highest since October 2012 and U.S. Treasuries had the largest weekly gain in five months. Oil sank below $40 a barrel for the first time since 2009 and was set for its longest losing streak since 1986.

The S&P 500 dropped 3.2 percent, the most since November 2011, to below 2,000. The index is down more than 7 percent from a record after sinking below a trading range that has supported it for most of the year. The Dow Jones Industrial Average fell more than 500 points, as is down 10 percent from its record high in May.
…
Hong Kong’s Hang Seng Index dropped 1.3 percent, taking declines since an April high beyond 20 percent. The Shanghai Composite Index slumped 4.3 percent, bringing the week’s loss to more than 10 percent and coming within one point of erasing all gains since the government began efforts to prop up the market in July.
…
The Stoxx Europe 600 Index lost 3.3 percent, as the selloff engulfed all western European markets and industries in the benchmark gauge. The index had its worst weekly loss since 2011, down 6.5 percent. It is down 13 percent from an April high, entering a correction.
…
U.S. Treasuries had their biggest weekly gain in five months as demand for fixed income soared. Ten-year notes drew support from signs the Federal Reserve will keep interest rates close to zero for longer, and from a decline in oil prices that helped push a gauge of inflation expectations toward its lowest since 2010.

Futures show that traders see a 34 percent chance the Fed will raise interest rates at its September meeting, down from a 48 percent probability at the end of last week.

Bloomberg has an interesting story on US lawyers, which also sheds some light on the source of student debt:

Since 2008 partner earnings at firms of all sizes have decreased 9 percent in constant dollars, according to federal tax filings. Solo practitioners have been struggling for much longer. Since 1988 earnings for standalone attorneys, of which there are about 354,000 nationally, have declined 31 percent. The legal industry has shed more than 50,000 jobs in the past eight years. The decline began decades ago. Solo practitioners began floundering in the late 1980s. Their average income, adjusted for inflation, was $71,000 in 1988; it was $49,000 in 2012.

Even as business was tanking for a lot of lawyers, American law schools happily welcomed more students. In 1987 there were 175 accredited American law schools. By 2010 there were 200, and after steadily increasing for years, enrollment peaked at 52,000 that year.

And as far as today’s preferred share market is concerned …

It was a horrible, horrible day for the Canadian preferred share market, with PerpetualDiscounts off 61bp, FixedResets losing 104bp and DeemedRetractibles down 70bp. Floaters got slaughtered. The Performance Highlights table … well, let’s just not talk about it, shall we? Volume was 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 +235, is bid at 19.20 to be $0.96 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.75 cheap at its bid price of 13.77.

Another good fit today! There was a massive increase in Implied Volatility today.

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 21.33 to be 0.53 rich, while MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 21.39 to be 0.58 cheap.

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.21 to be $2.02 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.75 and appears to be $1.13 rich.

FTS.PR.K, with a spread of +205bp, and bid at 19.50, looks $0.41 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.80 and is $0.75 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.29%, with one outlier above +0.80%. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.96% and the unregulated issues averaging +0.16%. There are three junk outliers below -1.20%.

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	-8.0519 %	1,649.1
FixedFloater	0.00 %	0.00 %	0	0.00	0	-8.0519 %	2,883.3
Floater	4.45 %	4.49 %	55,686	16.38	3	-8.0519 %	1,753.1
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0948 %	2,771.2
SplitShare	4.64 %	5.05 %	56,539	3.14	3	-0.0948 %	3,247.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0948 %	2,533.9
Perpetual-Premium	5.72 %	5.53 %	60,155	2.04	9	-0.1542 %	2,484.9
Perpetual-Discount	5.47 %	5.52 %	79,062	14.60	29	-0.6060 %	2,583.9
FixedReset	4.92 %	4.11 %	196,895	15.58	87	-1.0399 %	2,146.1
Deemed-Retractible	5.16 %	5.29 %	97,328	5.55	34	-0.6964 %	2,561.9
FloatingReset	2.39 %	3.55 %	49,349	5.97	9	-1.3120 %	2,206.8

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.B	Floater	-10.82 %	Reasonably real, but perhaps more awful than it should be. The day’s range was 10.40-12.04 (!) on volume of 16,130 shares, with a VWAP of 11.18. The last twenty-five trades of the day are all above 10.75; and all trades after 3:15 were at 11.00 or better. The closing quote was 10.47-20, 5×1. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 10.47 Evaluated at bid price : 10.47 Bid-YTW : 4.57 %
BAM.PR.K	Floater	-7.56 %	Quite real enough! The day’s range was 10.30-11.59 on volume of 6,900 shares; VWAP was 10.88 and the closing quote was 10.64-91, 1×1. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 10.64 Evaluated at bid price : 10.64 Bid-YTW : 4.49 %
BAM.PR.C	Floater	-5.70 %	Totally real. Day’s range was 10.24-11.50 on 10,172 shares; VWAP 10.67; closing quote 10.75-89, 1×1. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 4.45 %
TRP.PR.F	FloatingReset	-4.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 15.12 Evaluated at bid price : 15.12 Bid-YTW : 3.84 %
HSE.PR.A	FixedReset	-4.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 13.01 Evaluated at bid price : 13.01 Bid-YTW : 4.65 %
BAM.PR.R	FixedReset	-4.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 16.21 Evaluated at bid price : 16.21 Bid-YTW : 4.65 %
MFC.PR.G	FixedReset	-4.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.41 Bid-YTW : 4.95 %
CU.PR.C	FixedReset	-4.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 3.63 %
ENB.PR.Y	FixedReset	-4.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 5.19 %
MFC.PR.J	FixedReset	-3.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.39 Bid-YTW : 5.36 %
TRP.PR.A	FixedReset	-3.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 15.46 Evaluated at bid price : 15.46 Bid-YTW : 4.37 %
ENB.PR.N	FixedReset	-3.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 15.74 Evaluated at bid price : 15.74 Bid-YTW : 5.35 %
MFC.PR.H	FixedReset	-3.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.77 Bid-YTW : 4.46 %
HSE.PR.E	FixedReset	-3.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 21.65 Evaluated at bid price : 22.00 Bid-YTW : 4.85 %
FTS.PR.H	FixedReset	-2.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 15.54 Evaluated at bid price : 15.54 Bid-YTW : 3.41 %
ENB.PR.P	FixedReset	-2.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 15.32 Evaluated at bid price : 15.32 Bid-YTW : 5.31 %
HSE.PR.C	FixedReset	-2.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 4.55 %
IFC.PR.A	FixedReset	-2.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.03 Bid-YTW : 7.87 %
FTS.PR.M	FixedReset	-2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 21.52 Evaluated at bid price : 21.52 Bid-YTW : 3.79 %
ENB.PR.H	FixedReset	-2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 13.91 Evaluated at bid price : 13.91 Bid-YTW : 5.23 %
FTS.PR.G	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 3.82 %
MFC.PR.B	Deemed-Retractible	-2.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.36 Bid-YTW : 6.74 %
MFC.PR.K	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.27 Bid-YTW : 5.75 %
RY.PR.O	Perpetual-Discount	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 23.49 Evaluated at bid price : 23.80 Bid-YTW : 5.19 %
MFC.PR.I	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.64 Bid-YTW : 4.88 %
ENB.PR.D	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 14.51 Evaluated at bid price : 14.51 Bid-YTW : 5.32 %
ENB.PF.E	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 5.21 %
BAM.PF.B	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.23 %
ENB.PF.G	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 17.27 Evaluated at bid price : 17.27 Bid-YTW : 5.17 %
TRP.PR.C	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 12.77 Evaluated at bid price : 12.77 Bid-YTW : 4.20 %
TRP.PR.G	FixedReset	-1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 4.36 %
IAG.PR.A	Deemed-Retractible	-1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.22 Bid-YTW : 6.31 %
MFC.PR.C	Deemed-Retractible	-1.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 6.97 %
BIP.PR.A	FixedReset	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.98 %
ENB.PF.C	FixedReset	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.16 %
ENB.PR.T	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 15.48 Evaluated at bid price : 15.48 Bid-YTW : 5.28 %
CM.PR.Q	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 22.39 Evaluated at bid price : 23.20 Bid-YTW : 3.63 %
PWF.PR.S	Perpetual-Discount	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 21.95 Evaluated at bid price : 22.25 Bid-YTW : 5.43 %
GWO.PR.I	Deemed-Retractible	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.67 Bid-YTW : 6.54 %
FTS.PR.J	Perpetual-Discount	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 21.96 Evaluated at bid price : 22.25 Bid-YTW : 5.34 %
BNS.PR.Z	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.84 Bid-YTW : 4.41 %
MFC.PR.L	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 5.72 %
RY.PR.A	Deemed-Retractible	-1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.67 Bid-YTW : 4.71 %
SLF.PR.H	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.85 Bid-YTW : 5.83 %
W.PR.J	Perpetual-Discount	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 24.09 Evaluated at bid price : 24.35 Bid-YTW : 5.82 %
SLF.PR.C	Deemed-Retractible	-1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.91 Bid-YTW : 6.97 %
BAM.PR.X	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 4.28 %
SLF.PR.E	Deemed-Retractible	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.08 Bid-YTW : 6.92 %
BNS.PR.C	FloatingReset	-1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.81 Bid-YTW : 3.76 %
CU.PR.E	Perpetual-Discount	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 21.77 Evaluated at bid price : 22.10 Bid-YTW : 5.55 %
BMO.PR.R	FloatingReset	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.76 Bid-YTW : 3.55 %
TD.PR.T	FloatingReset	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.77 Bid-YTW : 3.49 %
ENB.PF.A	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 17.04 Evaluated at bid price : 17.04 Bid-YTW : 5.15 %
GWO.PR.N	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.71 Bid-YTW : 7.65 %
HSE.PR.G	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 21.92 Evaluated at bid price : 22.40 Bid-YTW : 4.75 %
SLF.PR.D	Deemed-Retractible	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.93 Bid-YTW : 6.96 %
RY.PR.K	FloatingReset	-1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.03 Bid-YTW : 3.64 %
TRP.PR.B	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 12.16 Evaluated at bid price : 12.16 Bid-YTW : 3.98 %
GWO.PR.G	Deemed-Retractible	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 6.04 %
ENB.PR.B	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 14.44 Evaluated at bid price : 14.44 Bid-YTW : 5.31 %
CU.PR.D	Perpetual-Discount	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 21.81 Evaluated at bid price : 22.16 Bid-YTW : 5.53 %
SLF.PR.B	Deemed-Retractible	-1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 6.48 %
RY.PR.W	Perpetual-Discount	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 23.97 Evaluated at bid price : 24.22 Bid-YTW : 5.07 %
RY.PR.H	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 3.53 %
BAM.PR.T	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 4.28 %
PVS.PR.D	SplitShare	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 5.26 %
ENB.PR.F	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 5.23 %
BMO.PR.Y	FixedReset	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 22.85 Evaluated at bid price : 24.17 Bid-YTW : 3.46 %
SLF.PR.G	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.68 Bid-YTW : 7.10 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.G	Deemed-Retractible	92,120	Nesbitt crossed 75,000 at 25.10. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.02 Bid-YTW : 4.34 %
PWF.PR.R	Perpetual-Premium	45,559	Nesbitt crossed 30,000 at 25.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 24.51 Evaluated at bid price : 25.00 Bid-YTW : 5.53 %
ENB.PR.B	FixedReset	34,765	Recent downgrade. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 14.44 Evaluated at bid price : 14.44 Bid-YTW : 5.31 %
ENB.PR.F	FixedReset	33,325	Recent downgrade. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 5.23 %
ENB.PR.Y	FixedReset	29,218	Recent downgrade. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 5.19 %
TD.PF.D	FixedReset	28,813	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 22.57 Evaluated at bid price : 23.55 Bid-YTW : 3.56 %
There were 48 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.A	FixedReset	Quote: 15.46 – 16.20 Spot Rate : 0.7400 Average : 0.4023 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 15.46 Evaluated at bid price : 15.46 Bid-YTW : 4.37 %
TRP.PR.G	FixedReset	Quote: 20.65 – 21.50 Spot Rate : 0.8500 Average : 0.5972 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 4.36 %
IFC.PR.A	FixedReset	Quote: 17.03 – 17.71 Spot Rate : 0.6800 Average : 0.4337 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.03 Bid-YTW : 7.87 %
RY.PR.O	Perpetual-Discount	Quote: 23.80 – 24.47 Spot Rate : 0.6700 Average : 0.4244 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 23.49 Evaluated at bid price : 23.80 Bid-YTW : 5.19 %
BAM.PR.B	Floater	Quote: 10.47 – 11.20 Spot Rate : 0.7300 Average : 0.5087 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-21 Maturity Price : 10.47 Evaluated at bid price : 10.47 Bid-YTW : 4.57 %
TD.PR.T	FloatingReset	Quote: 22.77 – 23.22 Spot Rate : 0.4500 Average : 0.2914 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.77 Bid-YTW : 3.49 %

George Athanassakos of UWO makes an interesting point about the Taylor Rule:

Since the markets have spoken, what is the Fed waiting for? Why is the Fed not raising its effective interest rate yet? According to the well-known Taylor rule, which stipulates by how much nominal interest rates should change in response to a change in inflation and economic activity, the interest rate set by the Fed should have stood by now at about 2 per cent as opposed to almost zero per cent – not because of a rise in inflation but simply because of a pickup in economic activity.

Now if economic activity also results in a pickup of inflationary expectations, then an even higher normalized nominal federal-funds interest rate should be called for. This seems to have been coming into focus recently given that the iShares Long U.S Treasury Bond prices (which were up on a year-over-year basis) are now down by over 3 per cent since May, 2015, while the iShares U.S. TIPS Bond Index is down only by about 1.5 per cent over the same period.

The loonie has problems. Wait a minute, you think the loonie has problems?

Kazakhstan’s tenge plunged a record 23 percent after the country relinquished control of its exchange rate, becoming the latest emerging market to abandon efforts to prop up its currency after China devalued the yuan.

The nation has switched to a free float and will pursue an inflation-targeting monetary policy, Prime Minister Karim Massimov told a government meeting in Astana. Supply and demand will determine the exchange rate, central bank Governor Kairat Kelimbetov said, adding that there will only be intervention if stability is threatened. The tenge sank to an all-time low of 257.21 per dollar in Almaty, data compiled by Bloomberg show.
…
Russia let the ruble float freely and switched to inflation targeting in November after spending about $90 billion last year from reserves trying to contain the depreciation.

The ruble has lost 46 percent of its value in the past 12 months, versus a 7.6 percent weakening for the tenge before today’s switch. As a result, Kazakhstan witnessed an influx of grain, metals, construction materials, oil products and coal from its northern neighbor, according to Kazakh business association Atameken.

Bloomberg has put together a list of other currencies that looks shaky. Who wants to play dominos?

There was no respite from yesterday’s moronization in the Canadian preferred share market today, with PerpetualDiscounts down 29bp, FixedResets losing 88bp and DeemedRetractibles off 25bp. Yet another extremely lengthy Performance Highlights table is yet again dominated by losing FixedResets. 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 +235, is bid at 19.08 to be $0.65 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.69 cheap at its bid price of 13.02.

Another good fit today!

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 24.54 to be 0.40 rich, while MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 22.24 to be 0.26 cheap.

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 17.00 to be $1.40 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.76 and appears to be $0.97 rich.

FTS.PR.M, with a spread of +248bp, and bid at 22.10, looks $0.47 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 19.25 and is $0.70 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.29%, with one outlier above +1.00%. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.40% and the unregulated issues averaging +0.21%. There are two junk outliers 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	-3.9634 %	1,793.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	-3.9634 %	3,135.8
Floater	4.09 %	4.15 %	54,336	17.06	3	-3.9634 %	1,906.6
OpRet	0.00 %	0.00 %	0	0.00	0	-0.3644 %	2,773.8
SplitShare	4.64 %	5.05 %	56,318	3.14	3	-0.3644 %	3,250.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.3644 %	2,536.3
Perpetual-Premium	5.71 %	5.21 %	60,072	2.05	9	-0.0044 %	2,488.7
Perpetual-Discount	5.44 %	5.48 %	79,029	14.65	29	-0.2887 %	2,599.7
FixedReset	4.87 %	4.06 %	196,661	15.78	87	-0.8789 %	2,168.7
Deemed-Retractible	5.12 %	5.19 %	97,471	5.42	34	-0.2494 %	2,579.8
FloatingReset	2.36 %	3.38 %	49,070	5.98	9	-0.3791 %	2,236.2

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.A	FixedReset	-6.14 %	Real enough, I guess! Volume was 4,300 shares, the low for the day was 16.06 and the closing quote was 16.04-07, 2×3. The VWAP, on the other hand, was 16.85 and only 550 shares actually changed hands at prices less than 16.50, so who knows? Maybe the market maker looked at the market, looked at his inventories, thought hard … and then remembered he had a doctor’s appointment in the afternoon. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 16.04 Evaluated at bid price : 16.04 Bid-YTW : 4.20 %
BAM.PR.B	Floater	-5.32 %	This one is quite real. Volume was 4,893 and the day’s range was 11.71-40 with a closing quote of 11.74-06, 1×3. The VWAP was 12.00 and the last 17 trades of the day were all below this figure. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 11.74 Evaluated at bid price : 11.74 Bid-YTW : 4.07 %
MFC.PR.I	FixedReset	-4.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.11 Bid-YTW : 4.62 %
BAM.PR.C	Floater	-4.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 11.40 Evaluated at bid price : 11.40 Bid-YTW : 4.19 %
VNR.PR.A	FixedReset	-4.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 19.88 Evaluated at bid price : 19.88 Bid-YTW : 4.42 %
ENB.PR.N	FixedReset	-3.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 5.17 %
ENB.PR.T	FixedReset	-3.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 5.18 %
HSE.PR.A	FixedReset	-3.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 13.65 Evaluated at bid price : 13.65 Bid-YTW : 4.42 %
TRP.PR.B	FixedReset	-2.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 12.30 Evaluated at bid price : 12.30 Bid-YTW : 3.93 %
ENB.PF.E	FixedReset	-2.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 5.10 %
MFC.PR.G	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.45 Bid-YTW : 4.37 %
PWF.PR.P	FixedReset	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 3.37 %
MFC.PR.J	FixedReset	-2.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.24 Bid-YTW : 4.86 %
ENB.PF.C	FixedReset	-2.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 5.07 %
ENB.PF.A	FixedReset	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.08 %
ENB.PR.P	FixedReset	-2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 15.77 Evaluated at bid price : 15.77 Bid-YTW : 5.16 %
BAM.PF.F	FixedReset	-2.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 22.02 Evaluated at bid price : 22.49 Bid-YTW : 4.07 %
ENB.PR.J	FixedReset	-2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 5.10 %
BAM.PR.R	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.43 %
TRP.PR.G	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 4.28 %
BAM.PR.K	Floater	-2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 11.51 Evaluated at bid price : 11.51 Bid-YTW : 4.15 %
TRP.PR.C	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 13.02 Evaluated at bid price : 13.02 Bid-YTW : 4.11 %
MFC.PR.C	Deemed-Retractible	-1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.14 Bid-YTW : 6.72 %
IAG.PR.G	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 4.06 %
FTS.PR.M	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 21.74 Evaluated at bid price : 22.10 Bid-YTW : 3.66 %
ENB.PF.G	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 5.06 %
BNS.PR.Y	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.90 Bid-YTW : 3.98 %
MFC.PR.M	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 5.29 %
ENB.PR.D	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 14.81 Evaluated at bid price : 14.81 Bid-YTW : 5.21 %
FTS.PR.G	FixedReset	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 3.72 %
MFC.PR.K	FixedReset	-1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.72 Bid-YTW : 5.47 %
MFC.PR.B	Deemed-Retractible	-1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.86 Bid-YTW : 6.43 %
BIP.PR.A	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 21.57 Evaluated at bid price : 21.90 Bid-YTW : 4.86 %
IFC.PR.A	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.50 Bid-YTW : 7.50 %
SLF.PR.A	Deemed-Retractible	-1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.21 Bid-YTW : 6.48 %
PWF.PR.T	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 22.48 Evaluated at bid price : 23.15 Bid-YTW : 3.35 %
NA.PR.Q	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 3.51 %
SLF.PR.C	Deemed-Retractible	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.20 Bid-YTW : 6.78 %
BMO.PR.Y	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 22.72 Evaluated at bid price : 23.87 Bid-YTW : 3.52 %
ELF.PR.F	Perpetual-Discount	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 22.74 Evaluated at bid price : 23.03 Bid-YTW : 5.82 %
SLF.PR.B	Deemed-Retractible	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.54 Bid-YTW : 6.33 %
MFC.PR.H	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.54 Bid-YTW : 4.05 %
PVS.PR.B	SplitShare	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.72 Bid-YTW : 4.67 %
CM.PR.O	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 21.97 Evaluated at bid price : 22.40 Bid-YTW : 3.42 %
TD.PF.D	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 22.60 Evaluated at bid price : 23.60 Bid-YTW : 3.55 %
CU.PR.C	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 21.54 Evaluated at bid price : 21.92 Bid-YTW : 3.44 %
NA.PR.S	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 21.72 Evaluated at bid price : 22.02 Bid-YTW : 3.57 %
SLF.PR.E	Deemed-Retractible	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.37 Bid-YTW : 6.73 %
BAM.PF.G	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 22.14 Evaluated at bid price : 22.76 Bid-YTW : 4.03 %
ELF.PR.G	Perpetual-Discount	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 21.65 Evaluated at bid price : 21.90 Bid-YTW : 5.48 %
TD.PF.A	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 21.31 Evaluated at bid price : 21.31 Bid-YTW : 3.56 %
TRP.PR.D	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 4.23 %
BAM.PR.X	FixedReset	1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 15.46 Evaluated at bid price : 15.46 Bid-YTW : 4.22 %
IAG.PR.A	Deemed-Retractible	1.94 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.65 Bid-YTW : 6.04 %
TD.PF.B	FixedReset	2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 3.53 %
BMO.PR.W	FixedReset	2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 3.56 %
CM.PR.Q	FixedReset	3.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 22.59 Evaluated at bid price : 23.59 Bid-YTW : 3.56 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.O	FixedReset	72,200	TD crossed 32,500 at 22.65, then sold 10,000 to RBC at 22.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 21.97 Evaluated at bid price : 22.40 Bid-YTW : 3.42 %
TD.PR.T	FloatingReset	61,568	Desjardins crossed 47,200 at 23.10; Nesbitt sold 10,000 to anonymous at 23.12. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.06 Bid-YTW : 3.28 %
CU.PR.H	Perpetual-Discount	44,370	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 23.47 Evaluated at bid price : 23.78 Bid-YTW : 5.55 %
ENB.PR.N	FixedReset	28,510	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 5.17 %
BAM.PR.T	FixedReset	27,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 4.23 %
TRP.PR.D	FixedReset	24,392	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 4.23 %
There were 36 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.T	FixedReset	Quote: 23.15 – 23.99 Spot Rate : 0.8400 Average : 0.5546 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 22.48 Evaluated at bid price : 23.15 Bid-YTW : 3.35 %
MFC.PR.G	FixedReset	Quote: 23.45 – 24.02 Spot Rate : 0.5700 Average : 0.3489 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.45 Bid-YTW : 4.37 %
VNR.PR.A	FixedReset	Quote: 19.88 – 20.68 Spot Rate : 0.8000 Average : 0.5947 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 19.88 Evaluated at bid price : 19.88 Bid-YTW : 4.42 %
BMO.PR.W	FixedReset	Quote: 21.00 – 21.35 Spot Rate : 0.3500 Average : 0.2129 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 3.56 %
BAM.PF.E	FixedReset	Quote: 20.82 – 21.75 Spot Rate : 0.9300 Average : 0.8003 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 20.82 Evaluated at bid price : 20.82 Bid-YTW : 4.17 %
RY.PR.Z	FixedReset	Quote: 21.45 – 21.90 Spot Rate : 0.4500 Average : 0.3203 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-20 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 3.49 %

The Fed is uncertain on inflation:

Federal Reserve officials signaled concern about stubbornly low inflation even as they indicated that an improving job market is bringing them closer to the first interest-rate increase in almost a decade.

Participants in the July 28-29 Federal Open Market Committee meeting said economic conditions “were approaching that point” where the economy could sustain a slight increase in borrowing costs, according to minutes of the meeting released in Washington on Wednesday.

Preserving their flexibility on the timing of rate liftoff, they also showed more concern about how soon they would hit their 2 percent inflation target, a goal they have missed for more than three years.

… so the cowboys are getting cold feet about the Fed liftoff:

Traders gearing up for the Federal Reserve to raise interest-rates next month reversed course Wednesday after minutes from the central bank’s July meeting showed policy makers were still waffling on whether the economy is strong enough to warrant higher borrowing costs.

That’s far short of the confidence they expected to see from a central bank supposedly just weeks away from what would be the first increase in almost a decade.

The probability that futures traders assign to a rate boost next month slid to 36 percent, the lowest since July, from about 50 percent earlier in the day. The levels assume that the Fed’s target will average 0.375 percent after the first move. The chance of an increase at or before the Fed’s December meeting dropped as well, to 65 percent from 73 percent Tuesday.

GWO, proud issuer of more preferred shares than you can shake a stick at, was confirmed at Pfd-1(high) by DBRS:

Combining somewhat higher leverage with stable profits, GWO has been able to produce an above-peer return on equity in the mid-teens for several years running. As the Company is the largest insurer in Canada, its top-line growth will be limited largely to total market growth. Growth by acquisition within Canada is also constrained, given the dominance of the big three insurers. Achieving a full turnaround with the Putnam investment subsidiary has proven elusive, but recently its funds have achieved high-ranking performance statistics, which should allow a shift toward better results.

Financial leverage at June 30, 2015, is 27.5%, which has shown considerable improvement over recent quarters.

The Canadian operations have a Minimum Continuing Capital and Surplus Requirements ratio of 229%, which is satisfactory. The Company’s U.S. subsidiaries follow and meet U.S. regulatory requirements.

The Company’s credit rating may be negatively affected by an extended decline in interest rates or equity market returns (though it is less sensitive to these declines than its peers), which would affect long-term product profitability; a sustained reduction in earnings; or by large debt-financed acquisitions. Conversely, GWO’s rating may benefit from further improvements in its leverage and coverage ratios.

Today’s market moronization means that none of the following numbers should be taken very seriously, but we’ll do what we can …

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 18bp, FixedResets getting whacked for 74bp and DeemedRetractibles gaining 10bp. The Performance Highlights table is:

• Lengthy
• Dominated by FixedReset losers, and
• Virtually meaningless

. Volume was 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.A, which resets 2019-12-31 at +192, is bid at 17.09 to be $0.69 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.82 cheap at its bid price of 13.29.

Another good fit today!

Most expensive is MFC.PR.I, resetting at +286bp on 2017-9-19, bid at 24.22 to be 0.34 rich, while MFC.PR.N, resetting at +230bp on 2020-3-19, is bid at 21.31 to be $0.29 cheap.

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 17.37 to be $1.16 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.99 and appears to be $1.07 rich.

FTS.PR.M, with a spread of +248bp, and bid at 22.51, looks $0.52 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 19.56 and is $0.60 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.29%, with no outliers. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.48% and the unregulated issues averaging +0.09%. There are three junk outliers 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	-3.5294 %	1,867.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	-3.5294 %	3,265.2
Floater	3.93 %	4.00 %	55,061	17.37	3	-3.5294 %	1,985.3
OpRet	0.00 %	0.00 %	0	0.00	0	0.0217 %	2,783.9
SplitShare	4.62 %	5.04 %	55,762	3.15	3	0.0217 %	3,262.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0217 %	2,545.6
Perpetual-Premium	5.71 %	5.39 %	60,202	2.05	9	0.1898 %	2,488.9
Perpetual-Discount	5.42 %	5.46 %	78,136	14.70	29	0.1849 %	2,607.2
FixedReset	4.82 %	3.96 %	190,573	15.83	87	-0.7423 %	2,187.9
Deemed-Retractible	5.11 %	5.26 %	96,347	5.43	34	0.1035 %	2,586.3
FloatingReset	2.35 %	3.37 %	49,190	5.98	9	-0.0548 %	2,244.7

Performance Highlights
Issue	Index	Change	Notes
BMO.PR.W	FixedReset	-5.50 %	See notes regarding Market Moronization. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 20.44 Evaluated at bid price : 20.44 Bid-YTW : 3.66 %
CM.PR.Q	FixedReset	-4.64 %	See notes regarding Market Moronization. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 22.18 Evaluated at bid price : 22.82 Bid-YTW : 3.71 %
BAM.PR.K	Floater	-4.39 %	See notes regarding Market Moronization. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 4.06 %
ENB.PR.H	FixedReset	-4.32 %	See notes regarding Market Moronization. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 14.18 Evaluated at bid price : 14.18 Bid-YTW : 5.13 %
BAM.PR.X	FixedReset	-4.16 %	See notes regarding Market Moronization. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 15.19 Evaluated at bid price : 15.19 Bid-YTW : 4.30 %
TD.PF.A	FixedReset	-3.89 %	See notes regarding Market Moronization. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 3.62 %
TD.PF.B	FixedReset	-3.71 %	See notes regarding Market Moronization. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 3.61 %
BAM.PF.E	FixedReset	-3.55 %	See notes regarding Market Moronization. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 4.21 %
TRP.PR.D	FixedReset	-3.31 %	See notes regarding Market Moronization. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 4.29 %
BAM.PR.B	Floater	-3.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 12.40 Evaluated at bid price : 12.40 Bid-YTW : 3.85 %
BAM.PR.C	Floater	-3.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 11.93 Evaluated at bid price : 11.93 Bid-YTW : 4.00 %
ENB.PR.D	FixedReset	-2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 5.12 %
ENB.PR.Y	FixedReset	-2.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 16.06 Evaluated at bid price : 16.06 Bid-YTW : 4.95 %
RY.PR.Z	FixedReset	-2.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 21.32 Evaluated at bid price : 21.62 Bid-YTW : 3.44 %
TRP.PR.G	FixedReset	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.18 %
CU.PR.C	FixedReset	-2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 21.70 Evaluated at bid price : 22.15 Bid-YTW : 3.39 %
NA.PR.S	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 21.88 Evaluated at bid price : 22.25 Bid-YTW : 3.53 %
NA.PR.W	FixedReset	-1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 21.22 Evaluated at bid price : 21.22 Bid-YTW : 3.59 %
TD.PF.C	FixedReset	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 3.55 %
MFC.PR.N	FixedReset	-1.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.31 Bid-YTW : 5.34 %
TRP.PR.B	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 12.67 Evaluated at bid price : 12.67 Bid-YTW : 3.81 %
HSE.PR.E	FixedReset	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 22.19 Evaluated at bid price : 22.81 Bid-YTW : 4.65 %
CM.PR.P	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 21.13 Evaluated at bid price : 21.13 Bid-YTW : 3.59 %
PWF.PR.K	Perpetual-Discount	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 22.56 Evaluated at bid price : 22.82 Bid-YTW : 5.46 %
PWF.PR.T	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 22.64 Evaluated at bid price : 23.44 Bid-YTW : 3.29 %
ENB.PR.B	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 14.55 Evaluated at bid price : 14.55 Bid-YTW : 5.27 %
PWF.PR.P	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 16.74 Evaluated at bid price : 16.74 Bid-YTW : 3.28 %
HSE.PR.C	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 21.77 Evaluated at bid price : 22.15 Bid-YTW : 4.41 %
BAM.PR.T	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.26 %
POW.PR.D	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 22.60 Evaluated at bid price : 22.85 Bid-YTW : 5.53 %
MFC.PR.J	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.83 Bid-YTW : 4.52 %
FTS.PR.G	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 19.56 Evaluated at bid price : 19.56 Bid-YTW : 3.66 %
ENB.PR.F	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 5.13 %
CU.PR.D	Perpetual-Discount	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 22.18 Evaluated at bid price : 22.53 Bid-YTW : 5.44 %
CU.PR.E	Perpetual-Discount	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 22.12 Evaluated at bid price : 22.44 Bid-YTW : 5.46 %
RY.PR.W	Perpetual-Discount	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 24.30 Evaluated at bid price : 24.61 Bid-YTW : 4.99 %
FTS.PR.J	Perpetual-Discount	1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 22.31 Evaluated at bid price : 22.70 Bid-YTW : 5.23 %
ELF.PR.H	Perpetual-Discount	2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 23.75 Evaluated at bid price : 24.21 Bid-YTW : 5.73 %
FTS.PR.K	FixedReset	2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 19.56 Evaluated at bid price : 19.56 Bid-YTW : 3.64 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.O	FixedReset	194,658	RBC bought blocks of 12,000 and 10,300 from anonymous, both at 22.70. TD crossed 100,000 at 22.72 and another 25,000 at 22.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 22.13 Evaluated at bid price : 22.65 Bid-YTW : 3.37 %
MFC.PR.G	FixedReset	54,307	Desjardins crossed 50,000 at 24.02. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 4.02 %
BMO.PR.T	FixedReset	48,858	RBC bought 10,000 from CIBC at 22.21. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 21.83 Evaluated at bid price : 22.20 Bid-YTW : 3.36 %
TD.PF.F	Perpetual-Discount	47,876	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 23.98 Evaluated at bid price : 24.33 Bid-YTW : 5.07 %
CM.PR.P	FixedReset	37,770	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 21.13 Evaluated at bid price : 21.13 Bid-YTW : 3.59 %
TRP.PR.C	FixedReset	37,149	RBC crossed 28,900 at 13.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 13.29 Evaluated at bid price : 13.29 Bid-YTW : 4.03 %
There were 45 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CM.PR.Q	FixedReset	Quote: 22.82 – 24.05 Spot Rate : 1.2300 Average : 0.7592 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 22.18 Evaluated at bid price : 22.82 Bid-YTW : 3.71 %
BAM.PF.E	FixedReset	Quote: 20.65 – 21.75 Spot Rate : 1.1000 Average : 0.6580 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 4.21 %
MFC.PR.L	FixedReset	Quote: 20.80 – 21.84 Spot Rate : 1.0400 Average : 0.6711 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.80 Bid-YTW : 5.53 %
FTS.PR.F	Perpetual-Discount	Quote: 22.75 – 23.60 Spot Rate : 0.8500 Average : 0.5699 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 22.49 Evaluated at bid price : 22.75 Bid-YTW : 5.39 %
MFC.PR.N	FixedReset	Quote: 21.31 – 22.10 Spot Rate : 0.7900 Average : 0.5173 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.31 Bid-YTW : 5.34 %
CU.PR.C	FixedReset	Quote: 22.15 – 22.99 Spot Rate : 0.8400 Average : 0.5855 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-08-19 Maturity Price : 21.70 Evaluated at bid price : 22.15 Bid-YTW : 3.39 %