TXPR closed at 549.90, up 0.54% on the day. Volume today was 926,050, below the median of the past 21 trading days.
CPD closed at 10.97, down 0.72% on the day. Volume was 49,780, third-lowest of the past 21 trading days.
ZPR closed at 9.06, down 0.22% on the day. Volume was 88,280, second-lowest of the past 21 trading days.
Five-year Canada yields plummetted back down to 2.92% today.
Equities were hit again; pundits blamed, basically, uncertainty:
Wall Street closed sharply lower on Friday, marking the end of a tumultuous week dominated by an unfolding crisis in the banking sector and the gathering storm clouds of possible recession.
All three indexes ended the session deep in negative territory, with financial stocks down the most among the major sectors of the S&P 500.
Canada’s main stock index also fell, dragged down by losses in financial and energy stocks as fears of a global banking meltdown continued to plague investors. But losses were a little more modest.
The S&P/TSX composite index was down 152.83, or 0.77%, at 19,387.72, its second straight week of losses. For the week, it was down 1.8%.
While the benchmark S&P 500 ended higher than last Friday’s close, the Nasdaq and the Dow posted weekly declines.
…
Over the last two weeks, the S&P Banking index and the KBW Regional Banking index plunged by 4.6% and 5.4%, respectively, their largest two-week drops since March 2020.First Republic Bank plunged 32.8% after the bank announced it was suspending its dividend, reversing Thursday’s surge which was sparked by an unprecedented $30 billion rescue package from large financial institutions
Among First Republic’s peers, PacWest Bancorp fell 19.0% while Western Alliance slid 15.1%.
U.S.-traded shares of Credit Suisse also closed sharply lower, down 6.9%.
…
At last glance, financial markets have priced in a 60.5% likelihood that the central bank will raise its key target rate by 25 basis points, and a 39.5% probability that it will let the current rate stand, according to CME’s FedWatch tool.Uncertainly over what the Fed will do at its policy meeting next week and beyond, and the overall volatile credit markets, also have investors betting interest cuts are in the cards at the Bank of Canada. As of late Friday, money markets were placing 45% odds the bank will cut its trend-setting overnight rate next month by a quarter of a percentage point. Markets are pricing in more than 50 basis points of easing by July.
Bond market volatility is high:
In 2008, and again in early 2020 during the shocking early days of COVID-19, bond yields collapsed as investors braced for tumbling interest rates.
This time, however, traders are torn between two scenarios. They can bet on rates continuing their historically fast upward march to combat inflation, as U.S. Federal Reserve chair Jerome Powell suggested last week was still necessary, and that the European Central Bank reinforced this week by hiking its own benchmark rate by half a percentage point.
Or fixed income investors can decide the contagion effects of regional bank failures in the United States and the near-collapse of Credit Suisse in Europe will spawn a broader economic crisis requiring interest rates to fall back toward zero.
…
The Merrill Lynch Option Volatility Estimate, or MOVE Index, which tracks the implied volatility of U.S. Treasury bonds, hit its highest level since 2009 this week.
The shares of many banks resumed their dizzying slide, erasing gains from Thursday that had provided a brief moment of calm during a tumultuous week. First Republic, the beleaguered regional lender, lost a third of its already beaten-down value on Friday alone. The S&P 500 stock index fell about 1.1 percent — the week’s worst day of trading.
President Biden asked Congress on Friday to grant financial regulators broad new powers to punish the executives of failed lenders. A day earlier, data showed that banks in the United States borrowed record amounts from the Federal Reserve this week to meet short-term needs, another sign of acute stresses in the financial system.
…
The KBW bank index, which tracks the performance of 24 US banks, skidded more than 5 percent and has lost over 20 percent of its value this year, versus a small gain in the broader market over that period.
…
Other signs of anxiety also persisted. Data from the Federal Reserve released on Thursday showed that banks borrowed record amounts of emergency funds from the central bank in recent days, tapping both existing facilities and a new program to shore up liquidity that was announced after the seizure of Silicon Valley Bank and Signature.
How much at the discount window?
Banks took an all-time high $152.9 billion from the Fed’s traditional lender-of-last resort facility known as the discount window as of Wednesday, while also taking $11.9 billion in loans from the Fed’s newly created Bank Term Lending Program. The discount window jump crashed through the prior record of $112 billion in the fall of 2008, during the most acute phase of the financial crisis.
…
Including more than $140 billion in other funding provided to the new bridge banks for Silicon Valley Bank and Signature Bank established by the Federal Deposit Insurance Corp, the central bank’s total balance sheet mushroomed by roughly $300 billion in the last week. That reverses a substantial portion of the balance sheet reduction accomplished since last summer.
To put that in perspective:
And what does Biden want additional rules for?
One plank of the proposal would broaden the F.D.I.C.’s ability to seek the return of compensation from executives of failed banks, in response to reports that the chief executive of Silicon Valley Bank sold $3 million in shares of the bank shortly before federal regulators took it over a week ago. Regulators’ current clawback powers are limited to the largest banks; Mr. Biden would expand them to cover banks the size of Signature and Silicon Valley Bank.
…
The president is also asking Congress to lower a legal bar that the F.D.I.C. must clear in order to bar an executive from a failed bank from working elsewhere in the financial industry. That ability currently applies only to executives who engage in “willful or continuing disregard for the safety and soundness” of their institutions. He is similarly seeking to broaden the agency’s ability to impose fines on executives whose actions contribute to the failure of their banks.
…
The chair of the Senate Banking Committee, Sherrod Brown of Ohio, said in a statement emailed to reporters that regulators needed “stronger rules to rein in risky behavior and catch incompetence.”He added that in addition to executives who had failed at their duties, there should be a way to hold accountable the “regulators tasked with overseeing them.”
The good old American puritanical streak. If anything goes wrong, it must be somebody’s fault and they must be punished!
There are more mechanical complications, which I fail to understand:
I am concerned by reports of retail investors being unable to exercise options they purchased on Silicon Valley Bank and Signature Bank stock.[1] I am hopeful that broker-dealers and clearing agencies will make efforts to assist retail investors in exercising their options if the investors wish to do so, including by exploring possible cash settlements. In addition, I hope that FINRA and my colleagues at the SEC will move forward with efforts to establish a comprehensive regulatory framework around complex products, including options, which are risky and can expose an investor to sudden and severe losses.[2]
Huh?:
Retail options traders who thought they hit the jackpot with their wagers against the stock of Silicon Valley Bank and Signature Bank are now finding themselves in a world of hurt. Despite the collapse of the banks, the traders are unable to cash in on their put options after brokers halted trading in the stocks, leaving them with worthless contracts set to expire Friday.
…
“On expiration day, Interactive Brokers will allow customers to manually exercise any of their expiring option positions in SIVBVB -2.3% and SBNY, as long as their account is sufficiently funded and has the permissions required to carry the stock position that will result from the exercise,” the broker’s statement read. “Per OCC, no options in those series will be automatically exercised.” The OCC would be the Options Clearing Corporation. They’re the biggest equity derivatives clearinghouse in the world, serving as the middleman between buyers and sellers tasked with making sure that everyone is playing by the rules and set to get paid what they’re entitled.
…
Of course, if the stock doesn’t start trading again by Friday, there won’t be much point in exercising the options. That’s because the stock prices they’re tied to won’t reflect the current reality — that they’re worthless — but rather the price before trading stopped.
And:
There are about 7,660 put options on SVB Financial worth a notional $114 million due to expire Friday and another 22,347 worth $178 million on Signature, according to Bloomberg calculations based on the last trading session for each stock. Assuming the banks’ shares are now worthless, they all represent winning bets.
The Options Clearing Corp., which provides clearing and settlement services for derivatives, announced Tuesday that its usual process of automatically exercising options would not happen for contracts tied to Signature and SVB. That’s because when shares aren’t trading, there’s technically no way to value them and determine which options are in-the-money.
…
Meanwhile, margin risk is adding a further complication, according to Steve Sosnick, chief strategist at Interactive Brokers. That’s because the amount of collateral a trader needs to deposit in an account is tied to the last closing price of the underlying stock.For SVB that was $106.04, and for Signature it was $70. In other words, even if a trader sold a $30 put on SVB, they’d still need to have sufficient funds in the account to cover the position as if it was valued at $106.04.
“You may find yourself in margin deficit as the short position is immediately marked to the last traded price,” Sosnick said. “And that position will persist until the Depository Trust Company or the Options Clearing Corp. make a determination of the final value. That could take some time.”
I can’t believe that there’s no established procedure for this. There’s a regulatory failure, if you’re looking for one!
The IMF has published several articles on monetary policy:
Soaring prices were a surprise from the perspective of precrisis policy frameworks, especially for advanced economies. Empirical evidence suggested that inflation rose by only a small amount when unemployment declined, consistent with a very flat Phillips curve. This evidence was reinforced by the pre-pandemic experience of inflation that remained tepid even as monetary stimulus pushed unemployment to very low levels.
However, these models embedding a low Phillips curve slope did a poor job of explaining the pandemic-related surge in prices. Most inflation forecasts based on these models, including ours at the IMF, significantly underpredicted inflation.
While high inflation partly reflects unusual developments, some forecast errors likely reflect our misunderstanding of the Phillips curve and the supply side of the economy.
While the standard Phillips curve links inflation to the unemployment gap, the rapid employment recovery may have played a significant role in driving inflation, implying that “speed effects” matter more than previously thought. There may also be important nonlinearities in the Phillips curve slope: price and wage pressures from falling unemployment become more acute when the economy is running hot than when it’s below full employment. Finally, surging goods inflation during the recovery—when constraints on supply and demand for services meant massive stimulus fell heavily on goods—suggests the importance of capacity constraints at the sectoral, as well as aggregate, level.
And HOOPP did very well:
The Healthcare of Ontario Pension Plan (HOOPP), long a top performer among Canada’s big pension plans, swung to a loss in 2022, its first in 14 years.
HOOPP said Friday it posted a loss of 8.60 per cent on its investment portfolio, cutting its assets to $103.7-billion at year end.
The plan, which serves 435,000 active and retired Ontario health care workers at more than 630 employers, dipped to its lowest level of funding since 2014 – but that funding ratio, which compares its assets with the future benefits it owes members, still stood at 117 per cent, down from 120 per cent at the end of 2021.
…
[Chief Investment Officer] Mr. Wissell said despite the overall loss, HOOPP beat its benchmark – what a similar portfolio should have been expected to return – by 4.61 percentage points. And each investment department outperformed its benchmark, “across the board,” he said.HOOPP’s 10-year annualized return as of the end of 2022 was 8.35 per cent.
“What we say here is, we’re in the pension delivery business. We’re not in the money-management business, so against that backdrop, we’re pleased that we remain fully funded,” Mr. Wissell said.
| 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 | 2.8455 % | 2,431.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 2.8455 % | 4,663.5 |
| Floater | 9.27 % | 9.22 % | 53,122 | 10.24 | 2 | 2.8455 % | 2,687.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0186 % | 3,304.5 |
| SplitShare | 5.09 % | 7.45 % | 51,673 | 2.71 | 7 | -0.0186 % | 3,946.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0186 % | 3,079.1 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1774 % | 2,730.4 |
| Perpetual-Discount | 6.25 % | 6.38 % | 60,231 | 13.31 | 35 | 0.1774 % | 2,977.3 |
| FixedReset Disc | 5.73 % | 7.48 % | 99,016 | 12.23 | 61 | 0.2048 % | 2,144.6 |
| Insurance Straight | 6.17 % | 6.24 % | 79,318 | 13.62 | 20 | 0.4184 % | 2,911.4 |
| FloatingReset | 10.27 % | 10.53 % | 34,527 | 9.19 | 2 | 0.6974 % | 2,460.9 |
| FixedReset Prem | 6.62 % | 6.48 % | 223,244 | 12.76 | 2 | -0.0794 % | 2,334.9 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2048 % | 2,192.2 |
| FixedReset Ins Non | 5.55 % | 7.10 % | 88,273 | 12.40 | 13 | 0.4067 % | 2,337.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PF.E | FixedReset Disc | -12.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 8.43 % |
| TD.PF.C | FixedReset Disc | -4.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 15.97 Evaluated at bid price : 15.97 Bid-YTW : 7.98 % |
| RY.PR.M | FixedReset Disc | -4.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 16.71 Evaluated at bid price : 16.71 Bid-YTW : 7.68 % |
| TD.PF.D | FixedReset Disc | -3.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 7.80 % |
| TRP.PR.D | FixedReset Disc | -3.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 15.21 Evaluated at bid price : 15.21 Bid-YTW : 8.71 % |
| CU.PR.H | Perpetual-Discount | -2.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.40 % |
| BN.PF.B | FixedReset Disc | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 8.44 % |
| ELF.PR.G | Perpetual-Discount | -2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 18.61 Evaluated at bid price : 18.61 Bid-YTW : 6.51 % |
| TRP.PR.C | FixedReset Disc | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 10.76 Evaluated at bid price : 10.76 Bid-YTW : 9.22 % |
| MIC.PR.A | Perpetual-Discount | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 6.68 % |
| ELF.PR.H | Perpetual-Discount | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 6.56 % |
| BIP.PR.E | FixedReset Disc | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 21.49 Evaluated at bid price : 21.80 Bid-YTW : 6.82 % |
| MFC.PR.M | FixedReset Ins Non | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 17.27 Evaluated at bid price : 17.27 Bid-YTW : 7.46 % |
| IAF.PR.B | Insurance Straight | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 6.00 % |
| SLF.PR.E | Insurance Straight | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 5.97 % |
| CM.PR.S | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 21.95 Evaluated at bid price : 21.95 Bid-YTW : 6.42 % |
| TRP.PR.A | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 13.63 Evaluated at bid price : 13.63 Bid-YTW : 8.63 % |
| NA.PR.G | FixedReset Disc | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 6.87 % |
| PVS.PR.H | SplitShare | 1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 22.51 Bid-YTW : 7.75 % |
| CM.PR.T | FixedReset Disc | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 23.01 Evaluated at bid price : 23.53 Bid-YTW : 6.62 % |
| BN.PF.I | FixedReset Disc | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 7.69 % |
| RY.PR.H | FixedReset Disc | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 7.30 % |
| PWF.PR.Z | Perpetual-Discount | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.31 % |
| GWO.PR.N | FixedReset Ins Non | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 12.35 Evaluated at bid price : 12.35 Bid-YTW : 7.64 % |
| TRP.PR.F | FloatingReset | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 10.53 % |
| BN.PF.F | FixedReset Disc | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 8.64 % |
| TRP.PR.E | FixedReset Disc | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 8.44 % |
| MFC.PR.I | FixedReset Ins Non | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 22.09 Evaluated at bid price : 22.64 Bid-YTW : 6.47 % |
| RY.PR.S | FixedReset Disc | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 20.17 Evaluated at bid price : 20.17 Bid-YTW : 6.63 % |
| BMO.PR.Y | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 7.43 % |
| TD.PF.J | FixedReset Disc | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 6.65 % |
| BMO.PR.S | FixedReset Disc | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 7.40 % |
| MFC.PR.Q | FixedReset Ins Non | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 7.15 % |
| IFC.PR.E | Insurance Straight | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 20.98 Evaluated at bid price : 20.98 Bid-YTW : 6.23 % |
| RY.PR.N | Perpetual-Discount | 1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.49 % |
| PWF.PF.A | Perpetual-Discount | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 18.48 Evaluated at bid price : 18.48 Bid-YTW : 6.19 % |
| NA.PR.E | FixedReset Disc | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 6.80 % |
| BIP.PR.B | FixedReset Disc | 1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 22.73 Evaluated at bid price : 23.45 Bid-YTW : 7.57 % |
| BMO.PR.E | FixedReset Disc | 1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.90 % |
| BMO.PR.W | FixedReset Disc | 2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 16.96 Evaluated at bid price : 16.96 Bid-YTW : 7.47 % |
| MFC.PR.K | FixedReset Ins Non | 2.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 6.72 % |
| BIP.PR.F | FixedReset Disc | 2.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 7.50 % |
| CU.PR.C | FixedReset Disc | 3.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.87 % |
| CU.PR.E | Perpetual-Discount | 3.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.25 % |
| BNS.PR.I | FixedReset Disc | 3.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 20.38 Evaluated at bid price : 20.38 Bid-YTW : 6.66 % |
| BN.PR.M | Perpetual-Discount | 5.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 6.54 % |
| BN.PR.K | Floater | 6.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 12.80 Evaluated at bid price : 12.80 Bid-YTW : 9.22 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PR.B | Floater | 45,375 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 12.50 Evaluated at bid price : 12.50 Bid-YTW : 9.44 % |
| FTS.PR.K | FixedReset Disc | 24,868 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 15.84 Evaluated at bid price : 15.84 Bid-YTW : 7.86 % |
| GWO.PR.Y | Insurance Straight | 23,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.11 % |
| BN.PF.A | FixedReset Disc | 19,916 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 7.78 % |
| BN.PF.D | Perpetual-Discount | 18,424 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 18.71 Evaluated at bid price : 18.71 Bid-YTW : 6.58 % |
| PWF.PR.H | Perpetual-Discount | 17,938 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-17 Maturity Price : 22.31 Evaluated at bid price : 22.58 Bid-YTW : 6.46 % |
| There were 10 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.E | Perpetual-Discount | Quote: 19.80 – 24.12 Spot Rate : 4.3200 Average : 2.5324 YTW SCENARIO |
| TD.PF.E | FixedReset Disc | Quote: 16.00 – 19.17 Spot Rate : 3.1700 Average : 1.9964 YTW SCENARIO |
| FTS.PR.K | FixedReset Disc | Quote: 15.84 – 17.97 Spot Rate : 2.1300 Average : 1.2579 YTW SCENARIO |
| BN.PF.J | FixedReset Disc | Quote: 22.10 – 23.99 Spot Rate : 1.8900 Average : 1.1376 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 16.73 – 18.46 Spot Rate : 1.7300 Average : 1.1752 YTW SCENARIO |
| PWF.PR.T | FixedReset Disc | Quote: 17.51 – 19.27 Spot Rate : 1.7600 Average : 1.2619 YTW SCENARIO |