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 …
Click for Big
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:
Click for Big
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.
Click for Big
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.
Click for Big
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.
Click for Big
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.
Click for Big
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%.
Click for Big
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 |
| TRP.PR.G | FixedReset | Quote: 20.65 – 21.50 Spot Rate : 0.8500 Average : 0.5972 YTW SCENARIO |
| IFC.PR.A | FixedReset | Quote: 17.03 – 17.71 Spot Rate : 0.6800 Average : 0.4337 YTW SCENARIO |
| RY.PR.O | Perpetual-Discount | Quote: 23.80 – 24.47 Spot Rate : 0.6700 Average : 0.4244 YTW SCENARIO |
| BAM.PR.B | Floater | Quote: 10.47 – 11.20 Spot Rate : 0.7300 Average : 0.5087 YTW SCENARIO |
| TD.PR.T | FloatingReset | Quote: 22.77 – 23.22 Spot Rate : 0.4500 Average : 0.2914 YTW SCENARIO |