Good news! Europe’s not considered to be in as much trouble as was previously feared! Let’s celebrate!
Equities tumbled around the world and government bonds sank, while the euro rallied the most in six years after the scale of additional stimulus from the European Central Bank disappointed investors just as the Federal Reserve signaled interest-rate increases are imminent.
The Standard & Poor’s 500 Index fell the most in two months and European equities had their worst day since the height of the summer selloff. The euro climbed against all its major peers, stinging traders who had piled on wagers against the currency amid expectations of aggressive easing from the ECB. Yields on 10-year German notes jumped 20 basis points, while rates on similar-maturity Treasuries posted their biggest advance since February. Brent crude rallied from a six-year low before Friday’s OPEC meeting.
…
Yields on two-year notes from Germany to Spain had touched record lows before the ECB’s decision. They had been tumbling since Draghi stoked expectations of further easing at his Oct. 22 press conference, pledging that policy makers would re-examine the scope of the central bank’s existing quantitative-easing plan this month.Treasuries suffered their biggest rout since February, with 10-year yields climbing 14 basis points, or 0.14 percentage point, to 2.32 percent.
And junk bond illiquidity is attracting notice:
Sinkholes are popping up in the credit market.
Specific junk bonds are simply plummeting in value on little trading. For example, nothing all that obvious triggered a plunge in Syniverse Holdings, whose bonds fell to 39 cents on the dollar Monday, from 84.25 cents less than a month earlier. Debt of Intelsat, United States Steel, SandRidge Energy and Ultra Petroleum all lost about 30 percent last month.
Yet looking broadly, there isn’t a financial crisis in developed markets. U.S. stocks are still eking out gains. Companies are still issuing bonds.
So why the precipitous drops without warning?
The explanation is that asset managers are being forced to exit their riskiest positions, either because of withdrawals or to placate increasingly nervous investors, and they’re finding no buyers on the other side. When these fund managers finally get an offer to shed their unwanted holdings, they’re just taking it, even if it means taking a huge loss.
Greater love hath no man than this, that a man lay down his friends for cash.:
Three years ago, the National Whistleblowers Center in Washington dismissed Ms. Williams and Mr. Renner, who are both lawyers, citing mandatory layoffs that stemmed from funding woes and a staff reorganization.
…
Now, previously unreleased documents show that the layoffs coincided with an effort by Ms. Williams and Mr. Renner to unionize the whistle-blower center’s small work force. That effort, Ms. Williams and Mr. Renner contend, touched a nerve with the center’s leadership, including Stephen M. Kohn, a prominent lawyer who was a co-founder of the center and has become a national expert on whistle-blower cases.After their dismissals, Ms. Williams and Mr. Renner took their concerns to the National Labor Relations Board, the documents show. After initially balking at the case, the agency ultimately filed a complaint of unfair labor practices against the whistle-blower center, blaming it for “interfering with, restraining and coercing employees” not to assemble a union.
In effect, Ms. Williams and Mr. Renner became whistle-blowers on their own boss.
Canadian preferred share investors today expressed their appreciation for European monetary policy:
Click for Big
It was a horrible day for the Canadian preferred share market, with PerpetualDiscounts off 76bp, FixedResets losing 192bp and DeemedRetractibles down 102bp. The Performance Highlights table is extraordinarily lengthy, dominated by FixedResets and devoid of even a single winner. Volume was extremely heavy.
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 18.51 to be $1.12 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.12 cheap at its bid price of 12.12.
Click for Big
Most expensive is MFC.PR.M, resetting at +236bp on 2019-12-19, bid at 19.65 to be 0.33 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 18.10 to be 0.64 cheap.
Click for Big
As discussed in the Performance Highlights table, the official bid for BAM.PF.G is ridiculous, so for the purposes of this calculation I have adjusted the bid to 19.50, about 1% below the last price.
The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.16 to be $1.19 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 18.40 and appears to be $0.80 rich.
Click for Big
FTS.PR.K, with a spread of +205bp, and bid at 17.79, looks $0.82 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 16.50 and is $0.87 cheap.
Click for Big
Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.56%, with no outliers. There is one junk outlier below -1.50% and one above +0.50%.
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 | 4.88 % | 5.92 % | 34,940 | 16.76 | 1 | -8.5902 % | 1,591.1 |
| FixedFloater | 6.55 % | 5.78 % | 29,545 | 16.54 | 1 | -2.8131 % | 2,980.7 |
| Floater | 4.44 % | 4.50 % | 84,051 | 16.33 | 3 | -2.5351 % | 1,777.7 |
| OpRet | 4.86 % | 3.96 % | 30,750 | 0.73 | 1 | -0.1586 % | 2,736.5 |
| SplitShare | 4.76 % | 5.54 % | 127,978 | 4.31 | 5 | -0.0821 % | 3,215.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0821 % | 2,508.8 |
| Perpetual-Premium | 5.78 % | 2.11 % | 90,391 | 0.08 | 6 | -0.3343 % | 2,514.5 |
| Perpetual-Discount | 5.63 % | 5.68 % | 92,392 | 14.28 | 33 | -0.7615 % | 2,543.4 |
| FixedReset | 5.19 % | 4.84 % | 225,372 | 14.76 | 76 | -1.9241 % | 1,979.4 |
| Deemed-Retractible | 5.22 % | 5.30 % | 126,490 | 5.35 | 33 | -1.0284 % | 2,568.0 |
| FloatingReset | 2.66 % | 3.81 % | 63,333 | 5.72 | 10 | -0.1030 % | 2,168.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.G | FixedReset | -27.91 % | A nonsensical result, as the issue traded 17,784 shares in a range of 19.70-20.73 before closing at 14.85-20.19. It looks like there were nine timed or algorithmic sales of 100 shares each at 3:59 out of an anonymous broker [and three more out of Laurentian], which took the price down from 20.21 as of the prior trade at 3:50 to 19.70, at which point they stopped – whether due to algorithmic interruption of the programme or whether the sales were exhausted cannot be determined from the data. Anyway, it looks like these sales eroded the 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 : 2045-12-03 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 6.86 % |
| BAM.PR.E | Ratchet | -8.59 % | More nonsense from Nonsense Central, as the issue traded 1700 shares in a range of 15.00-35 before closing at 13.94-15.23, 4×4. The last trade of the day was 700 shares changing hands at the low, timestamped 3:41pm. 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 : 2045-12-03 Maturity Price : 25.00 Evaluated at bid price : 13.94 Bid-YTW : 5.92 % |
| BAM.PR.B | Floater | -4.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 10.63 Evaluated at bid price : 10.63 Bid-YTW : 4.50 % |
| BAM.PF.A | FixedReset | -4.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.27 % |
| MFC.PR.J | FixedReset | -4.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.85 Bid-YTW : 6.72 % |
| CU.PR.C | FixedReset | -3.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.57 % |
| MFC.PR.H | FixedReset | -3.85 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 5.54 % |
| BAM.PR.C | Floater | -3.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 10.56 Evaluated at bid price : 10.56 Bid-YTW : 4.54 % |
| IAG.PR.G | FixedReset | -3.66 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.05 Bid-YTW : 6.13 % |
| FTS.PR.G | FixedReset | -3.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.84 % |
| BAM.PR.Z | FixedReset | -3.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 5.26 % |
| MFC.PR.G | FixedReset | -3.47 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 6.11 % |
| BAM.PF.F | FixedReset | -3.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 5.06 % |
| SLF.PR.I | FixedReset | -3.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.53 Bid-YTW : 6.30 % |
| MFC.PR.I | FixedReset | -3.35 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.32 Bid-YTW : 6.03 % |
| MFC.PR.N | FixedReset | -3.35 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.31 Bid-YTW : 6.93 % |
| FTS.PR.M | FixedReset | -3.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.96 Evaluated at bid price : 18.96 Bid-YTW : 4.71 % |
| GWO.PR.H | Deemed-Retractible | -3.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.30 Bid-YTW : 7.06 % |
| ELF.PR.G | Perpetual-Discount | -3.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 20.64 Evaluated at bid price : 20.64 Bid-YTW : 5.85 % |
| SLF.PR.C | Deemed-Retractible | -2.98 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.89 Bid-YTW : 7.57 % |
| IFC.PR.C | FixedReset | -2.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.40 Bid-YTW : 7.89 % |
| MFC.PR.K | FixedReset | -2.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.10 Bid-YTW : 7.62 % |
| SLF.PR.A | Deemed-Retractible | -2.93 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.23 Bid-YTW : 6.99 % |
| GWO.PR.G | Deemed-Retractible | -2.91 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 6.53 % |
| MFC.PR.C | Deemed-Retractible | -2.87 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.34 Bid-YTW : 7.34 % |
| BAM.PR.G | FixedFloater | -2.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 25.00 Evaluated at bid price : 14.51 Bid-YTW : 5.78 % |
| SLF.PR.B | Deemed-Retractible | -2.73 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 6.94 % |
| SLF.PR.H | FixedReset | -2.71 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.60 Bid-YTW : 7.72 % |
| BMO.PR.Y | FixedReset | -2.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 20.29 Evaluated at bid price : 20.29 Bid-YTW : 4.56 % |
| PWF.PR.P | FixedReset | -2.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 4.59 % |
| RY.PR.M | FixedReset | -2.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 4.61 % |
| FTS.PR.K | FixedReset | -2.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 4.44 % |
| TRP.PR.H | FloatingReset | -2.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 10.37 Evaluated at bid price : 10.37 Bid-YTW : 4.16 % |
| BAM.PR.X | FixedReset | -2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 5.09 % |
| TRP.PR.G | FixedReset | -2.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.95 % |
| HSE.PR.C | FixedReset | -2.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.33 Evaluated at bid price : 19.33 Bid-YTW : 5.38 % |
| PWF.PR.S | Perpetual-Discount | -2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 21.19 Evaluated at bid price : 21.19 Bid-YTW : 5.74 % |
| GWO.PR.I | Deemed-Retractible | -2.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.79 Bid-YTW : 7.01 % |
| BAM.PF.B | FixedReset | -2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 5.18 % |
| PWF.PR.R | Perpetual-Discount | -2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 23.63 Evaluated at bid price : 24.10 Bid-YTW : 5.76 % |
| NA.PR.S | FixedReset | -2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.93 Evaluated at bid price : 17.93 Bid-YTW : 4.88 % |
| RY.PR.W | Perpetual-Discount | -2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 22.12 Evaluated at bid price : 22.40 Bid-YTW : 5.50 % |
| IFC.PR.A | FixedReset | -1.98 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.88 Bid-YTW : 9.28 % |
| BAM.PR.T | FixedReset | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 5.50 % |
| SLF.PR.E | Deemed-Retractible | -1.89 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.24 Bid-YTW : 7.38 % |
| GWO.PR.R | Deemed-Retractible | -1.88 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.44 Bid-YTW : 6.91 % |
| MFC.PR.B | Deemed-Retractible | -1.87 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 7.05 % |
| BAM.PF.E | FixedReset | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 5.14 % |
| BMO.PR.T | FixedReset | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.64 % |
| SLF.PR.D | Deemed-Retractible | -1.86 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.09 Bid-YTW : 7.43 % |
| TRP.PR.E | FixedReset | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 4.75 % |
| FTS.PR.H | FixedReset | -1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 13.95 Evaluated at bid price : 13.95 Bid-YTW : 4.33 % |
| TD.PF.D | FixedReset | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 4.65 % |
| TD.PF.E | FixedReset | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 4.48 % |
| TD.PF.A | FixedReset | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 4.65 % |
| POW.PR.A | Perpetual-Discount | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 24.16 Evaluated at bid price : 24.42 Bid-YTW : 5.81 % |
| TRP.PR.D | FixedReset | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.89 % |
| ELF.PR.F | Perpetual-Discount | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 22.74 Evaluated at bid price : 23.03 Bid-YTW : 5.83 % |
| BAM.PR.R | FixedReset | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 15.16 Evaluated at bid price : 15.16 Bid-YTW : 5.54 % |
| IAG.PR.A | Deemed-Retractible | -1.53 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.27 Bid-YTW : 6.80 % |
| MFC.PR.M | FixedReset | -1.50 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.65 Bid-YTW : 6.77 % |
| POW.PR.D | Perpetual-Discount | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 22.24 Evaluated at bid price : 22.51 Bid-YTW : 5.63 % |
| PWF.PR.K | Perpetual-Discount | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 21.81 Evaluated at bid price : 22.05 Bid-YTW : 5.67 % |
| MFC.PR.L | FixedReset | -1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.23 % |
| TD.PF.B | FixedReset | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.18 Evaluated at bid price : 18.18 Bid-YTW : 4.60 % |
| BIP.PR.A | FixedReset | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 5.59 % |
| GWO.PR.P | Deemed-Retractible | -1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.03 Bid-YTW : 5.93 % |
| BMO.PR.S | FixedReset | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.52 % |
| ELF.PR.H | Perpetual-Discount | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 23.58 Evaluated at bid price : 24.05 Bid-YTW : 5.78 % |
| PWF.PR.E | Perpetual-Discount | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 23.82 Evaluated at bid price : 24.07 Bid-YTW : 5.78 % |
| TRP.PR.B | FixedReset | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 11.65 Evaluated at bid price : 11.65 Bid-YTW : 4.70 % |
| GWO.PR.Q | Deemed-Retractible | -1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 6.36 % |
| BNS.PR.D | FloatingReset | -1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.41 Bid-YTW : 5.80 % |
| PWF.PR.F | Perpetual-Discount | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 22.68 Evaluated at bid price : 22.97 Bid-YTW : 5.77 % |
| BMO.PR.W | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 4.63 % |
| CM.PR.O | FixedReset | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.34 Evaluated at bid price : 18.34 Bid-YTW : 4.66 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PF.A | FixedReset | 184,945 | Desjardins crossed 160,000 at 19.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.27 % |
| TRP.PR.D | FixedReset | 129,312 | Desjardins crossed 78,600 at 18.00. Nesbitt crossed 25,200 at 17.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.89 % |
| TRP.PR.E | FixedReset | 60,635 | Scotia crossed blocks of 15,300 and 13,400, both at 18.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 4.75 % |
| TRP.PR.C | FixedReset | 55,210 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 12.12 Evaluated at bid price : 12.12 Bid-YTW : 5.14 % |
| RY.PR.Z | FixedReset | 46,071 | Nesbitt crossed 21,000 at 18.28. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 4.57 % |
| GWO.PR.N | FixedReset | 45,868 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.26 Bid-YTW : 10.25 % |
| There were 78 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.G | FixedReset | Quote: 14.85 – 20.19 Spot Rate : 5.3400 Average : 2.8755 YTW SCENARIO |
| BAM.PR.E | Ratchet | Quote: 13.94 – 15.23 Spot Rate : 1.2900 Average : 0.8012 YTW SCENARIO |
| IFC.PR.C | FixedReset | Quote: 18.40 – 19.18 Spot Rate : 0.7800 Average : 0.4553 YTW SCENARIO |
| PWF.PR.R | Perpetual-Discount | Quote: 24.10 – 24.65 Spot Rate : 0.5500 Average : 0.3240 YTW SCENARIO |
| NA.PR.S | FixedReset | Quote: 17.93 – 18.60 Spot Rate : 0.6700 Average : 0.4512 YTW SCENARIO |
| GWO.PR.G | Deemed-Retractible | Quote: 22.70 – 23.30 Spot Rate : 0.6000 Average : 0.3815 YTW SCENARIO |