It didn’t take long for the Americans to start blaming the messenger:
On one hand, there is a case to be made that the madness of the right has made America a fundamentally unsound nation. And yes, it is the madness of the right: if not for the extremism of anti-tax Republicans, we would have no trouble reaching an agreement that would ensure long-run solvency.
On the other hand, it’s hard to think of anyone less qualified to pass judgment on America than the rating agencies. The people who rated subprime-backed securities are now declaring that they are the judges of fiscal policy? Really?
Just to make it perfect, it turns out that S&P got the math wrong by $2 trillion, and after much discussion conceded the point — then went ahead with the downgrade.
More than that, everything I’ve heard about S&P’s demands suggests that it’s talking nonsense about the US fiscal situation.
I have a question for Mr. Krugman: If S&P had taken this action 10 years ago, would you have gotten this angry? Or would you have laughed?
When you howl, you’re hit!
As always, I will emphasize that I have no faith in the infallibility of credit rating agencies. But I will also point out that they have a track record that is a damn sight better than their vociferous critics (those who have actually done credit analysis, those who have actually plunked money or reputation down on the table due to their own credit analysis, will often criticize – but not so vociferously. Why not? Because once you do the work and see how it turned out, you get a better understanding of how damn hard it is).
The greatest value of credit rating agencies is that they are highly visible and form a touchstone for investors and issuers alike. Lots of people have been decrying US fiscal policies for some time. It took a downgrade from S&P to attract a decent amount of interest.
I continue to believe that the US will not get serious about its fiscal problems until the day when the President gets a call from Treasury saying they’re not sure if they can sell the bonds. Hopefully, it will be a Democrat president who takes the call – he’ll have more political room to cut spending. That’s what it took in Canada … that’s what it took in Greece … that’s what it took in Ireland … Portugal … Italy …
Here’s a more sensible idea:
There is a lot of anger at the moment in the US over the embarrassment of the downgrade, as well as shock. I’m most amused by the shock, to tell the truth. S&P didn’t say anything yesterday that was not common knowledge and common sense.
…
But that fiscal structure far predates Barack Obama, both as President and as human being, and Congresses and White Houses of both parties have done little to address the real problems in Medicare, Medicaid, and Social Security.
Why? Because as soon as people try to do so, demagogues accuse them of wanting to push Grandma over a cliff. Voters respond by punishing the reformers and rewarding the demagogues. If we collectively want to blame someone, we collectively should be looking in a mirror.
But the politicians and their minions are, as I predicted on Friday, focussing on the arithmetical error as the basis for their arguments. Here’s what John Bellows, Acting Assistant Secretary for Economic Policy, wrote in a post titled Just the Facts: S&P’s $2 Trillion Mistake:
In a document provided to Treasury on Friday afternoon, Standard and Poor’s (S&P) presented a judgment about the credit rating of the U.S. that was based on a $2 trillion mistake. After Treasury pointed out this error – a basic math error of significant consequence – S&P still chose to proceed with their flawed judgment by simply changing their principal rationale for their credit rating decision from an economic one to a political one.
…
In fact, S&P’s $2 trillion mistake led to a very misleading picture of debt sustainability – the foundation for their initial judgment. This mistake undermined the economic justification for S&P’s credit rating decision. Yet after acknowledging their mistake, S&P simply removed a prominent discussion of the economic justification from their document.
…
S&P acknowledged this error – in private conversations with Treasury on Friday afternoon and then publicly early Saturday morning. In the interim, they chose to issue a downgrade of the US credit rating.Independent of this error, there is no justifiable rationale for downgrading the debt of the United States. There are millions of investors around the globe that trade Treasury securities. They assess our creditworthiness every minute of every day, and their collective judgment is that the U.S. has the means and political will to make good on its obligations. The magnitude of this mistake – and the haste with which S&P changed its principal rationale for action when presented with this error – raise fundamental questions about the credibility and integrity of S&P’s ratings action.
I remain true to my conviction that the most sensible words ever spoken by a Canadian politician – or any politician, anywhere, confronted with a debt crisis – were spoken by Jean Chretien. Someday I’ll find the reference and the exact phrase, but it was something like … “We aren’t doing this because this is what the bond market thinks we should do! We are doing it because we don’t want to care what the bond market thinks!”
Dealbreaker comments on one of the interesting knock-on effects of the downgrade:
In other words if you own Microsoft bonds (1) you don’t own Microsoft bonds, DTC does – you just have a certificate from DTC saying that they own those bonds on your behalf, and (2) Microsoft takes no responsibility for DTC paying you any of the interest or principal that it pays DTC. So if DTC decides not to pass the money along to you, you’re out of luck.
This is not a real problem of course as there are a whole lot of systemic/legal/etc. safeguards in place to make sure that DTC doesn’t take its $34 billion in assets to Vegas. But according to S&P, DTC is now more likely to default than Microsoft is – which means that your likelihood of getting paid back on a Microsoft bond is lower than the likelihood that Microsoft will pay you back. (I know!)
Ah, the joys of a world where AA+ is the new AAA …
I am often criticized for not doing on-line banking. But there’s a reason:
When she learned TD Bank was to hold a fraud-prevention seminar on May 13, 2010, in Burlington, Vermont, she hopped on a plane and slipped into the meeting. During the morning presentation, when an expert in wire transactions was talking about ways that small businesses could protect themselves from the dangers posed by cybercriminals, McCarthy raised her hand.
Why wasn’t TD Bank doing a better job protecting its small- business clients, she asked. How had TD Bank allowed $164,000 to be wired out of her account even though she hardly every made wire transfers? As the speaker tried to respond, McCarthy kept peppering him with questions about his bank’s responsibilities to its clients.
Two bank representatives, including TD Bank’s head of corporate security and investigations, walked over to McCarthy’s table and suggested they continue the subject outside. McCarthy told the head of security it was good to meet him finally, since she’d been calling him for weeks following the robbery and had never gotten through.
Jennifer Morneau, a spokeswoman for TD Bank, confirmed that there was such an incident involving a “woman from Long Island” at one of its anti-fraud seminars, and didn’t have any further information.
Looks like Europe will start buying Spanish and Italian bonds:
The European Central Bank said it will “actively implement” its bond-purchase program, signaling it is ready to start buying Italian and Spanish securities to counter the sovereign debt crisis.
In a statement issued in the name of President Jean-Claude Trichet after an emergency teleconference meeting of policy makers, the Frankfurt-based ECB welcomed Italy and Spain’s efforts to reduce their budget deficits. It also called on all euro-area governments to follow through on the measures agreed at a July 21 summit, including allowing the European Financial Stability Facility to purchase bonds on the secondary market.
“It is on the basis of the above assessments that the ECB will actively implement its Securities Markets Program,” the central bank said. “This program has been designed to help restoring a better transmission of our monetary policy decisions — taking account of dysfunctional market segments — and therefore to ensure price stability in the euro area.”
There, you see? The reason Spanish and Italian bond yields are so high isn’t because they’re risky credits – it’s because the markets are dysfunctional.
The European crisis is causing a certain amount of capital flight, with bank depositors looking for the security of US Banks. There’s only one problem – the banks don’t want it:
Cash held by U.S. banks surged 8.4 percent to a record $981 billion during the week ending July 27, the Federal Reserve said in an Aug. 5 report. That’s more than triple the amount firms had in July 2008, before the collapse of Lehman Brothers Holdings Inc. almost froze bank-to-bank lending.
Even more money may be deposited with U.S. lenders if investors pull away from European banks amid concern the Greek debt crisis may spread to Italy or beyond, said Brian Smedley, a strategist at Bank of America Merrill Lynch in New York. Those funds may not be so welcome: With few opportunities to lend them out profitably, U.S. firms may have to slap fees on depositors to keep returns from eroding.
…
Since late 2008, the Fed has been paying interest on deposits placed with the central bank, known as interest on excess reserves, or IOER. That rate is currently set at 25 basis points, or 0.25 percent.At that rate, banks may struggle to profit from even non- interest-paying deposits, because the companies must pay premiums to the Federal Deposit Insurance Corp. when they route the money to the Fed. On April 1, the FDIC changed its methodology for assessing premiums, resulting in an increased cost for most large banks. Because a deposit at the Fed is technically an asset, taking the money may stretch banks’ capital-to-asset ratios, which are watched by regulators, Joseph Abate, a money-market analyst at Barclays Capital in New York, wrote in an Aug. 5 report.
“The higher deposit cost, the potential need for additional capital and the flight-prone nature of these balances clearly outweigh the 25-basis-point return from IOER that they would earn depositing the money at the Fed,” Abate wrote. Any reduction in IOER — a move Fed Chairman Ben S. Bernanke told Congress in July might be possible — may create a “serial round of deposit fees” since banks would try to “push cash from their balance sheets” like a game of “hot potato.”
It was an interesting day today:
The S&P 500 retreated 6.7 percent to 1,119.51 at 4 p.m. in New York. The gauge slumped 11 percent in three days, the most since November 2008, and fell to the lowest since September 2010. The Dow Jones Industrial Average slid 634.76 points, or 5.6 percent, to 10,809.85. The Russell 2000 Index of small companies slumped 8.9 percent, entering a so-called bear market, down 25 percent from its April 29 high.
…
The downgrade extended a rout that had wiped out $1.94 trillion in market value from the country’s stocks amid concern the economic recovery is at risk. Global equities tumbled and European shares entered a bear market. The Stoxx Europe 600 Index has now fallen 21 percent from this year’s high on Feb. 17. The S&P 500 is down 18 percent since April 29.
…
The Chicago Board Options Exchange Volatility Index, which measures the cost of using options as insurance against declines in the S&P 500, soared 46 percent to 46.80, the highest since March 2009.
…
The KBW Bank Index of 24 stocks slumped 11 percent. Bank of America dropped 20 percent, the most in the S&P 500, to $6.53. American International Group Inc. (AIG), the bailed-out insurer, sued the largest U.S. lender by assets over $10 billion in losses on mortgage-bond investments.
…
Equity indexes extended losses after S&P changed the outlook for Warren Buffett’s Berkshire Hathaway Inc. (BRK/A) to “negative” from “stable.” Berkshire Hathaway Class B shares slumped 6.4 percent to $66.66.“Our view of these companies’ fundamental credit characteristics has not changed,” S&P said in a statement today as it cut the outlook on Omaha, Nebraska-based Berkshire. “Rather, the rating actions reflect the application of criteria and our view that the link between the ratings on these entities and the sovereign credit ratings on the U.S. could lead to a decline in the insurers’ financial strength.”
Not surprisingly, it was clobberin’ time for the Canadian preferred share market, with PerpetualDiscounts losing 1.94%, FixedResets off 1.30% and DeemedRetractibles down 1.74%. There was not a single winner in the lengthy volatility list – and when each of the three major indices is down more than the threshold for inclusion in the volatility list, you get a very extensive volatility list indeed! Volume was quite high, but block traders were, if anything, less active than usual.
| 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 | -2.8785 % | 2,289.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -2.8785 % | 3,442.9 |
| Floater | 2.65 % | 2.32 % | 33,294 | 21.45 | 4 | -2.8785 % | 2,471.7 |
| OpRet | 4.90 % | 4.06 % | 55,289 | 1.73 | 9 | -1.0886 % | 2,427.7 |
| SplitShare | 5.39 % | 5.80 % | 63,480 | 2.58 | 4 | -1.7301 % | 2,453.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.0886 % | 2,219.9 |
| Perpetual-Premium | 5.74 % | 5.78 % | 139,767 | 13.98 | 14 | -1.0934 % | 2,073.3 |
| Perpetual-Discount | 5.49 % | 5.58 % | 117,607 | 14.51 | 16 | -1.9372 % | 2,172.1 |
| FixedReset | 5.22 % | 3.41 % | 212,269 | 2.79 | 58 | -1.3010 % | 2,295.0 |
| Deemed-Retractible | 5.16 % | 5.12 % | 276,359 | 8.02 | 46 | -1.7392 % | 2,138.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.B | Floater | -6.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 3.14 % |
| IAG.PR.C | FixedReset | -6.19 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.50 Bid-YTW : 3.87 % |
| BAM.PR.K | Floater | -5.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 3.09 % |
| ELF.PR.G | Perpetual-Discount | -4.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 6.03 % |
| RY.PR.A | Deemed-Retractible | -4.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.54 Bid-YTW : 5.18 % |
| MFC.PR.F | FixedReset | -4.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.91 Bid-YTW : 4.13 % |
| BAM.PR.N | Perpetual-Discount | -4.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.68 % |
| BNA.PR.C | SplitShare | -4.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 7.35 % |
| SLF.PR.E | Deemed-Retractible | -3.97 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.27 Bid-YTW : 6.59 % |
| BAM.PR.P | FixedReset | -3.72 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.14 Bid-YTW : 5.71 % |
| SLF.PR.B | Deemed-Retractible | -3.68 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.79 Bid-YTW : 6.05 % |
| SLF.PR.C | Deemed-Retractible | -3.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 6.49 % |
| BAM.PR.T | FixedReset | -3.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 22.79 Evaluated at bid price : 24.10 Bid-YTW : 4.07 % |
| BMO.PR.K | Deemed-Retractible | -3.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.04 Bid-YTW : 5.23 % |
| SLF.PR.D | Deemed-Retractible | -3.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.28 Bid-YTW : 6.53 % |
| BAM.PR.R | FixedReset | -3.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 23.17 Evaluated at bid price : 25.01 Bid-YTW : 4.07 % |
| HSB.PR.D | Deemed-Retractible | -3.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 5.48 % |
| RY.PR.G | Deemed-Retractible | -2.98 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.77 Bid-YTW : 5.12 % |
| TD.PR.K | FixedReset | -2.93 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.50 Bid-YTW : 4.17 % |
| IAG.PR.A | Deemed-Retractible | -2.85 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 6.37 % |
| BAM.PR.X | FixedReset | -2.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 22.73 Evaluated at bid price : 24.00 Bid-YTW : 3.72 % |
| TD.PR.O | Deemed-Retractible | -2.82 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 5.14 % |
| RY.PR.E | Deemed-Retractible | -2.73 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.83 Bid-YTW : 5.08 % |
| BAM.PR.I | OpRet | -2.72 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2013-12-30 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.80 % |
| HSB.PR.C | Deemed-Retractible | -2.69 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.26 Bid-YTW : 5.58 % |
| RY.PR.W | Perpetual-Discount | -2.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 23.73 Evaluated at bid price : 24.05 Bid-YTW : 5.09 % |
| BNS.PR.M | Deemed-Retractible | -2.62 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.19 Bid-YTW : 4.94 % |
| RY.PR.C | Deemed-Retractible | -2.58 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.21 Bid-YTW : 4.99 % |
| BAM.PR.M | Perpetual-Discount | -2.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.60 % |
| TD.PR.S | FixedReset | -2.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : 3.33 % |
| IGM.PR.B | Perpetual-Premium | -2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 24.58 Evaluated at bid price : 25.00 Bid-YTW : 5.93 % |
| BNS.PR.L | Deemed-Retractible | -2.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.24 Bid-YTW : 4.92 % |
| TD.PR.E | FixedReset | -2.36 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.51 Bid-YTW : 3.96 % |
| RY.PR.D | Deemed-Retractible | -2.35 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 4.95 % |
| BAM.PR.J | OpRet | -2.35 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 26.61 Bid-YTW : 4.40 % |
| PWF.PR.L | Perpetual-Discount | -2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 22.84 Evaluated at bid price : 23.25 Bid-YTW : 5.50 % |
| BNA.PR.D | SplitShare | -2.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-07-09 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 6.78 % |
| CM.PR.K | FixedReset | -2.20 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.26 Bid-YTW : 3.61 % |
| MFC.PR.D | FixedReset | -2.12 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.83 Bid-YTW : 4.23 % |
| ELF.PR.F | Perpetual-Discount | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 22.23 Evaluated at bid price : 22.23 Bid-YTW : 6.03 % |
| RY.PR.F | Deemed-Retractible | -2.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 4.95 % |
| PWF.PR.O | Perpetual-Premium | -2.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 5.69 % |
| MFC.PR.B | Deemed-Retractible | -2.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.04 Bid-YTW : 6.33 % |
| GWO.PR.H | Deemed-Retractible | -2.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.02 Bid-YTW : 5.98 % |
| BAM.PR.O | OpRet | -1.98 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.66 % |
| FTS.PR.F | Perpetual-Discount | -1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 24.11 Evaluated at bid price : 24.40 Bid-YTW : 5.10 % |
| PWF.PR.E | Perpetual-Discount | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 24.25 Evaluated at bid price : 24.55 Bid-YTW : 5.63 % |
| SLF.PR.A | Deemed-Retractible | -1.88 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 5.88 % |
| MFC.PR.C | Deemed-Retractible | -1.86 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 6.42 % |
| PWF.PR.K | Perpetual-Discount | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 23.03 Evaluated at bid price : 23.29 Bid-YTW : 5.34 % |
| TD.PR.I | FixedReset | -1.83 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.85 Bid-YTW : 3.68 % |
| W.PR.J | Perpetual-Discount | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 24.09 Evaluated at bid price : 24.35 Bid-YTW : 5.80 % |
| RY.PR.B | Deemed-Retractible | -1.77 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.46 Bid-YTW : 4.97 % |
| BMO.PR.N | FixedReset | -1.76 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.76 Bid-YTW : 3.49 % |
| PWF.PR.I | Perpetual-Premium | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 24.61 Evaluated at bid price : 24.86 Bid-YTW : 6.08 % |
| TD.PR.A | FixedReset | -1.73 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.61 Bid-YTW : 3.57 % |
| NA.PR.M | Deemed-Retractible | -1.63 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2015-05-15 Maturity Price : 25.50 Evaluated at bid price : 25.92 Bid-YTW : 5.39 % |
| BNS.PR.J | Deemed-Retractible | -1.61 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-29 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 5.16 % |
| MFC.PR.E | FixedReset | -1.61 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-19 Maturity Price : 25.00 Evaluated at bid price : 26.33 Bid-YTW : 4.06 % |
| CM.PR.M | FixedReset | -1.59 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 27.21 Bid-YTW : 3.43 % |
| GWO.PR.G | Deemed-Retractible | -1.58 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 5.38 % |
| BNS.PR.N | Deemed-Retractible | -1.52 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-01-27 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 5.05 % |
| W.PR.H | Perpetual-Discount | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 24.05 Evaluated at bid price : 24.33 Bid-YTW : 5.70 % |
| IFC.PR.A | FixedReset | -1.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.69 Bid-YTW : 4.05 % |
| HSB.PR.E | FixedReset | -1.46 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-30 Maturity Price : 25.00 Evaluated at bid price : 27.00 Bid-YTW : 3.94 % |
| PWF.PR.H | Perpetual-Premium | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 24.46 Evaluated at bid price : 24.70 Bid-YTW : 5.86 % |
| PWF.PR.F | Perpetual-Discount | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 23.74 Evaluated at bid price : 24.05 Bid-YTW : 5.48 % |
| BNS.PR.T | FixedReset | -1.40 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-25 Maturity Price : 25.00 Evaluated at bid price : 26.81 Bid-YTW : 3.52 % |
| TD.PR.C | FixedReset | -1.32 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-31 Maturity Price : 25.00 Evaluated at bid price : 26.10 Bid-YTW : 3.79 % |
| TRP.PR.C | FixedReset | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 23.35 Evaluated at bid price : 25.46 Bid-YTW : 3.05 % |
| CM.PR.L | FixedReset | -1.31 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 27.14 Bid-YTW : 3.27 % |
| CM.PR.J | Deemed-Retractible | -1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 4.77 % |
| RY.PR.I | FixedReset | -1.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.72 Bid-YTW : 3.46 % |
| SLF.PR.G | FixedReset | -1.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 3.49 % |
| NA.PR.K | Deemed-Retractible | -1.26 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-05-15 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 4.85 % |
| GWO.PR.I | Deemed-Retractible | -1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 6.03 % |
| POW.PR.B | Perpetual-Discount | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 23.95 Evaluated at bid price : 24.20 Bid-YTW : 5.58 % |
| ENB.PR.A | Perpetual-Premium | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 24.82 Evaluated at bid price : 25.04 Bid-YTW : 5.59 % |
| MFC.PR.A | OpRet | -1.22 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 4.06 % |
| RY.PR.X | FixedReset | -1.21 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.87 Bid-YTW : 3.57 % |
| IAG.PR.E | Deemed-Retractible | -1.21 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.41 Bid-YTW : 5.87 % |
| PWF.PR.G | Perpetual-Premium | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 24.50 Evaluated at bid price : 24.75 Bid-YTW : 6.00 % |
| CM.PR.D | Perpetual-Premium | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 24.75 Evaluated at bid price : 25.02 Bid-YTW : 5.78 % |
| NA.PR.P | FixedReset | -1.16 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-15 Maturity Price : 25.00 Evaluated at bid price : 26.51 Bid-YTW : 4.03 % |
| NA.PR.L | Deemed-Retractible | -1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.82 Bid-YTW : 4.96 % |
| GWO.PR.L | Deemed-Retractible | -1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 5.82 % |
| TRP.PR.B | FixedReset | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 23.28 Evaluated at bid price : 25.07 Bid-YTW : 2.81 % |
| RY.PR.L | FixedReset | -1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 26.15 Bid-YTW : 3.61 % |
| POW.PR.C | Perpetual-Premium | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-08 Maturity Price : 24.57 Evaluated at bid price : 24.83 Bid-YTW : 5.90 % |
| TD.PR.Q | Deemed-Retractible | -1.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-31 Maturity Price : 25.50 Evaluated at bid price : 26.15 Bid-YTW : 4.75 % |
| NA.PR.O | FixedReset | -1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-15 Maturity Price : 25.00 Evaluated at bid price : 27.23 Bid-YTW : 2.87 % |
| GWO.PR.J | FixedReset | -1.00 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.65 Bid-YTW : 3.41 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.P | FixedReset | 87,432 | RBC bought 19,000 from anonymous at 25.87, then bought 30,000 from Nesbit at 25.85. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.28 % |
| BAM.PR.P | FixedReset | 55,736 | RBC crossed 41,400 at 27.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.14 Bid-YTW : 5.71 % |
| CM.PR.J | Deemed-Retractible | 48,220 | Desjardins crossed 24,700 at 24.52. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 4.77 % |
| MFC.PR.A | OpRet | 40,221 | RBC crossed 29,300 at 25.25. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 4.06 % |
| BNS.PR.M | Deemed-Retractible | 40,004 | Desjardins crossed 19,500 at 24.77. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.19 Bid-YTW : 4.94 % |
| BNS.PR.K | Deemed-Retractible | 38,602 | Nesbitt crossed 25,000 at 25.15. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 4.77 % |
| There were 60 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PR.K | FixedReset | Quote: 26.50 – 27.29 Spot Rate : 0.7900 Average : 0.4371 YTW SCENARIO |
| BNA.PR.C | SplitShare | Quote: 21.00 – 21.80 Spot Rate : 0.8000 Average : 0.4518 YTW SCENARIO |
| BMO.PR.K | Deemed-Retractible | Quote: 25.04 – 25.77 Spot Rate : 0.7300 Average : 0.4097 YTW SCENARIO |
| ELF.PR.G | Perpetual-Discount | Quote: 19.92 – 20.68 Spot Rate : 0.7600 Average : 0.4484 YTW SCENARIO |
| RY.PR.A | Deemed-Retractible | Quote: 23.54 – 24.25 Spot Rate : 0.7100 Average : 0.4035 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 25.10 – 26.60 Spot Rate : 1.5000 Average : 1.1954 YTW SCENARIO |