{"id":30248,"date":"2015-08-22T00:43:21","date_gmt":"2015-08-22T05:43:21","guid":{"rendered":"http:\/\/prefblog.com\/?p=30248"},"modified":"2015-08-22T00:43:21","modified_gmt":"2015-08-22T05:43:21","slug":"august-21-2015","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=30248","title":{"rendered":"August 21, 2015"},"content":{"rendered":"

It was a kind of interesting day<\/a>:<\/p>\n

Volatility surged as Standard & Poor\u2019s 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.<\/p>\n

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.
…<\/b>
Hong Kong\u2019s 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\u2019s 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.
…<\/b>
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.
…<\/b>
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.<\/p>\n

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.<\/p><\/blockquote>\n

Bloomberg has an interesting story on US lawyers<\/a>, which also sheds some light on the source of student debt:<\/p>\n

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.<\/p>\n

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.<\/p><\/blockquote>\n

And as far as today’s preferred share market is concerned … <\/p>\n

\"explosions\"<\/a>
Click for Big<\/i><\/div>\n

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.<\/p>\n

For as long as the FixedReset market is so violently unsettled, I\u2019ll keep publishing updates of the more interesting and meaningful series of FixedResets\u2019 Implied Volatilities. This doesn\u2019t 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.<\/p>\n

Remember that all rich \/cheap assessments are:
\n\u00bb based on Implied Volatility Theory only
\n\u00bb are relative only to other FixedResets from the same issuer
\n\u00bb assume constant GOC-5 yield
\n\u00bb assume constant Implied Volatility
\n\u00bb assume constant spread<\/p>\n

Here\u2019s TRP:<\/p>\n

\"impVol_TRP_150821\"<\/a>
Click for Big<\/i><\/div>\n

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.<\/p>\n

\"impVol_MFC_150821\"<\/a>
Click for Big<\/i><\/div>\n

Another good fit today! There was a massive increase in Implied Volatility today.<\/p>\n

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.<\/p>\n

\"impVol_BAM_150821\"<\/a>
Click for Big<\/i><\/div>\n

The fit on the BAM issues continues to be horrible.<\/p>\n

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.<\/p>\n

\"impVol_FTS_150821\"<\/a>
Click for Big<\/i><\/div>\n

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.<\/p>\n

\"pairs_FR_150821A\"<\/a>
Click for Big<\/i><\/div>\n

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%.<\/p>\n

\"pairs_FF_150821\"<\/a>
Click for Big<\/i><\/div>\n

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-8.0519 %<\/td>\n1,649.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-8.0519 %<\/td>\n2,883.3<\/td>\n<\/tr>\n
Floater<\/td>\n4.45 %<\/td>\n4.49 %<\/td>\n55,686<\/td>\n16.38<\/td>\n3<\/td>\n-8.0519 %<\/td>\n1,753.1<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0948 %<\/td>\n2,771.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.64 %<\/td>\n5.05 %<\/td>\n56,539<\/td>\n3.14<\/td>\n3<\/td>\n-0.0948 %<\/td>\n3,247.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0948 %<\/td>\n2,533.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.72 %<\/td>\n5.53 %<\/td>\n60,155<\/td>\n2.04<\/td>\n9<\/td>\n-0.1542 %<\/td>\n2,484.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.47 %<\/td>\n5.52 %<\/td>\n79,062<\/td>\n14.60<\/td>\n29<\/td>\n-0.6060 %<\/td>\n2,583.9<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.92 %<\/td>\n4.11 %<\/td>\n196,895<\/td>\n15.58<\/td>\n87<\/td>\n-1.0399 %<\/td>\n2,146.1<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.16 %<\/td>\n5.29 %<\/td>\n97,328<\/td>\n5.55<\/td>\n34<\/td>\n-0.6964 %<\/td>\n2,561.9<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.39 %<\/td>\n3.55 %<\/td>\n49,349<\/td>\n5.97<\/td>\n9<\/td>\n-1.3120 %<\/td>\n2,206.8<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n-10.82 %<\/td>\nReasonably 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.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 10.47
\nEvaluated at bid price : 10.47
\nBid-YTW : 4.57 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-7.56 %<\/td>\nQuite 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.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 10.64
\nEvaluated at bid price : 10.64
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n-5.70 %<\/td>\nTotally real. Day’s range was 10.24-11.50 on 10,172 shares; VWAP 10.67; closing quote 10.75-89, 1×1.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 10.75
\nEvaluated at bid price : 10.75
\nBid-YTW : 4.45 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n-4.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 15.12
\nEvaluated at bid price : 15.12
\nBid-YTW : 3.84 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n-4.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 13.01
\nEvaluated at bid price : 13.01
\nBid-YTW : 4.65 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n-4.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 16.21
\nEvaluated at bid price : 16.21
\nBid-YTW : 4.65 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n-4.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.41
\nBid-YTW : 4.95 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n-4.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 20.96
\nEvaluated at bid price : 20.96
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n
ENB.PR.Y<\/td>\nFixedReset<\/td>\n-4.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 15.35
\nEvaluated at bid price : 15.35
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n
MFC.PR.J<\/td>\nFixedReset<\/td>\n-3.82 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.39
\nBid-YTW : 5.36 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n-3.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 15.46
\nEvaluated at bid price : 15.46
\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n
ENB.PR.N<\/td>\nFixedReset<\/td>\n-3.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 15.74
\nEvaluated at bid price : 15.74
\nBid-YTW : 5.35 %<\/td>\n<\/tr>\n
MFC.PR.H<\/td>\nFixedReset<\/td>\n-3.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.77
\nBid-YTW : 4.46 %<\/td>\n<\/tr>\n
HSE.PR.E<\/td>\nFixedReset<\/td>\n-3.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 21.65
\nEvaluated at bid price : 22.00
\nBid-YTW : 4.85 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n-2.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 15.54
\nEvaluated at bid price : 15.54
\nBid-YTW : 3.41 %<\/td>\n<\/tr>\n
ENB.PR.P<\/td>\nFixedReset<\/td>\n-2.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 15.32
\nEvaluated at bid price : 15.32
\nBid-YTW : 5.31 %<\/td>\n<\/tr>\n
HSE.PR.C<\/td>\nFixedReset<\/td>\n-2.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 21.28
\nEvaluated at bid price : 21.55
\nBid-YTW : 4.55 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset<\/td>\n-2.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.03
\nBid-YTW : 7.87 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset<\/td>\n-2.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 21.52
\nEvaluated at bid price : 21.52
\nBid-YTW : 3.79 %<\/td>\n<\/tr>\n
ENB.PR.H<\/td>\nFixedReset<\/td>\n-2.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 13.91
\nEvaluated at bid price : 13.91
\nBid-YTW : 5.23 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\n-2.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 18.80
\nEvaluated at bid price : 18.80
\nBid-YTW : 3.82 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\n-2.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.36
\nBid-YTW : 6.74 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset<\/td>\n-2.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.27
\nBid-YTW : 5.75 %<\/td>\n<\/tr>\n
RY.PR.O<\/td>\nPerpetual-Discount<\/td>\n-2.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 23.49
\nEvaluated at bid price : 23.80
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset<\/td>\n-2.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.64
\nBid-YTW : 4.88 %<\/td>\n<\/tr>\n
ENB.PR.D<\/td>\nFixedReset<\/td>\n-2.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 14.51
\nEvaluated at bid price : 14.51
\nBid-YTW : 5.32 %<\/td>\n<\/tr>\n
ENB.PF.E<\/td>\nFixedReset<\/td>\n-1.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 17.01
\nEvaluated at bid price : 17.01
\nBid-YTW : 5.21 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset<\/td>\n-1.93 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 20.30
\nEvaluated at bid price : 20.30
\nBid-YTW : 4.23 %<\/td>\n<\/tr>\n
ENB.PF.G<\/td>\nFixedReset<\/td>\n-1.93 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 17.27
\nEvaluated at bid price : 17.27
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n-1.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 12.77
\nEvaluated at bid price : 12.77
\nBid-YTW : 4.20 %<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset<\/td>\n-1.90 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 20.65
\nEvaluated at bid price : 20.65
\nBid-YTW : 4.36 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\n-1.90 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.22
\nBid-YTW : 6.31 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n-1.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.75
\nBid-YTW : 6.97 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset<\/td>\n-1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.50
\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n
ENB.PF.C<\/td>\nFixedReset<\/td>\n-1.73 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 17.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 5.16 %<\/td>\n<\/tr>\n
ENB.PR.T<\/td>\nFixedReset<\/td>\n-1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 15.48
\nEvaluated at bid price : 15.48
\nBid-YTW : 5.28 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset<\/td>\n-1.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 22.39
\nEvaluated at bid price : 23.20
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n-1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 21.95
\nEvaluated at bid price : 22.25
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\n-1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.67
\nBid-YTW : 6.54 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n-1.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 21.96
\nEvaluated at bid price : 22.25
\nBid-YTW : 5.34 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n-1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.84
\nBid-YTW : 4.41 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset<\/td>\n-1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.50
\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nDeemed-Retractible<\/td>\n-1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.67
\nBid-YTW : 4.71 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n-1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.85
\nBid-YTW : 5.83 %<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetual-Discount<\/td>\n-1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 24.09
\nEvaluated at bid price : 24.35
\nBid-YTW : 5.82 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nDeemed-Retractible<\/td>\n-1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.91
\nBid-YTW : 6.97 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n-1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 15.25
\nEvaluated at bid price : 15.25
\nBid-YTW : 4.28 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nDeemed-Retractible<\/td>\n-1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.08
\nBid-YTW : 6.92 %<\/td>\n<\/tr>\n
BNS.PR.C<\/td>\nFloatingReset<\/td>\n-1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.81
\nBid-YTW : 3.76 %<\/td>\n<\/tr>\n
CU.PR.E<\/td>\nPerpetual-Discount<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 21.77
\nEvaluated at bid price : 22.10
\nBid-YTW : 5.55 %<\/td>\n<\/tr>\n
BMO.PR.R<\/td>\nFloatingReset<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.76
\nBid-YTW : 3.55 %<\/td>\n<\/tr>\n
TD.PR.T<\/td>\nFloatingReset<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.77
\nBid-YTW : 3.49 %<\/td>\n<\/tr>\n
ENB.PF.A<\/td>\nFixedReset<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 17.04
\nEvaluated at bid price : 17.04
\nBid-YTW : 5.15 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 15.71
\nBid-YTW : 7.65 %<\/td>\n<\/tr>\n
HSE.PR.G<\/td>\nFixedReset<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 21.92
\nEvaluated at bid price : 22.40
\nBid-YTW : 4.75 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.93
\nBid-YTW : 6.96 %<\/td>\n<\/tr>\n
RY.PR.K<\/td>\nFloatingReset<\/td>\n-1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.03
\nBid-YTW : 3.64 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n-1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 12.16
\nEvaluated at bid price : 12.16
\nBid-YTW : 3.98 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nDeemed-Retractible<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.75
\nBid-YTW : 6.04 %<\/td>\n<\/tr>\n
ENB.PR.B<\/td>\nFixedReset<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 14.44
\nEvaluated at bid price : 14.44
\nBid-YTW : 5.31 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 21.81
\nEvaluated at bid price : 22.16
\nBid-YTW : 5.53 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nDeemed-Retractible<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.30
\nBid-YTW : 6.48 %<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetual-Discount<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 23.97
\nEvaluated at bid price : 24.22
\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.50
\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 17.91
\nEvaluated at bid price : 17.91
\nBid-YTW : 4.28 %<\/td>\n<\/tr>\n
PVS.PR.D<\/td>\nSplitShare<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2021-10-08
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.00
\nBid-YTW : 5.26 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 15.40
\nEvaluated at bid price : 15.40
\nBid-YTW : 5.23 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset<\/td>\n1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 22.85
\nEvaluated at bid price : 24.17
\nBid-YTW : 3.46 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.68
\nBid-YTW : 7.10 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
RY.PR.G<\/td>\nDeemed-Retractible<\/td>\n92,120<\/td>\nNesbitt crossed 75,000 at 25.10.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-05-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.02
\nBid-YTW : 4.34 %<\/td>\n<\/tr>\n
PWF.PR.R<\/td>\nPerpetual-Premium<\/td>\n45,559<\/td>\nNesbitt crossed 30,000 at 25.00.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 24.51
\nEvaluated at bid price : 25.00
\nBid-YTW : 5.53 %<\/td>\n<\/tr>\n
ENB.PR.B<\/td>\nFixedReset<\/td>\n34,765<\/td>\nRecent downgrade<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 14.44
\nEvaluated at bid price : 14.44
\nBid-YTW : 5.31 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset<\/td>\n33,325<\/td>\nRecent downgrade<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 15.40
\nEvaluated at bid price : 15.40
\nBid-YTW : 5.23 %<\/td>\n<\/tr>\n
ENB.PR.Y<\/td>\nFixedReset<\/td>\n29,218<\/td>\nRecent downgrade<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 15.35
\nEvaluated at bid price : 15.35
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset<\/td>\n28,813<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 22.57
\nEvaluated at bid price : 23.55
\nBid-YTW : 3.56 %<\/td>\n<\/tr>\n
There were 48 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\nQuote: 15.46 – 16.20
\nSpot Rate : 0.7400
\nAverage : 0.4023<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 15.46
\nEvaluated at bid price : 15.46
\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n

TRP.PR.G<\/td>\nFixedReset<\/td>\nQuote: 20.65 – 21.50
\nSpot Rate : 0.8500
\nAverage : 0.5972<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 20.65
\nEvaluated at bid price : 20.65
\nBid-YTW : 4.36 %<\/td>\n<\/tr>\n

IFC.PR.A<\/td>\nFixedReset<\/td>\nQuote: 17.03 – 17.71
\nSpot Rate : 0.6800
\nAverage : 0.4337<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.03
\nBid-YTW : 7.87 %<\/td>\n<\/tr>\n

RY.PR.O<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.80 – 24.47
\nSpot Rate : 0.6700
\nAverage : 0.4244<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 23.49
\nEvaluated at bid price : 23.80
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n

BAM.PR.B<\/td>\nFloater<\/td>\nQuote: 10.47 – 11.20
\nSpot Rate : 0.7300
\nAverage : 0.5087<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-08-21
\nMaturity Price : 10.47
\nEvaluated at bid price : 10.47
\nBid-YTW : 4.57 %<\/td>\n<\/tr>\n

TD.PR.T<\/td>\nFloatingReset<\/td>\nQuote: 22.77 – 23.22
\nSpot Rate : 0.4500
\nAverage : 0.2914<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.77
\nBid-YTW : 3.49 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

It was a kind of interesting day: Volatility surged as Standard & Poor\u2019s 500 Index capped the worst week in three years while Europe entered a correction and stocks from Hong Kong to Indonesia tumbled …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-30248","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/30248","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=30248"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/30248\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=30248"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=30248"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=30248"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}