{"id":5861,"date":"2009-03-12T20:08:15","date_gmt":"2009-03-13T00:08:15","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=5861"},"modified":"2009-03-12T20:08:15","modified_gmt":"2009-03-13T00:08:15","slug":"march-12-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=5861","title":{"rendered":"March 12, 2009"},"content":{"rendered":"

Jon Danielsson, Hyun Song Shin & Jean-Pierre Zigrand (there’s a multicultural author’s list for you!) write a piece in VoxEU, Modelling financial turmoil through endogenous risk<\/a>, based on their Risk Appetite and Endogenous Risk<\/a>, in which they show that regulating individual banks and trading institutions according to the same template leads to cliff risk:If the purpose of financial regulation is to shield the financial system from collapse, then basing regulation on individually optimal risk management may not be enough.<\/p><\/blockquote>\n

The bane of quants and the downfall of pseudo-quants is the fact that different things are important at different times; these effects are best minimized by ensuring that datasets are as homogeneous as meaningfully possible. But it’s particularly aggravating when the authorities change relationships on purpose<\/a>:<\/p>\n

Trichet is allowing the ECB\u2019s deposit rate, which lenders earn on overnight deposits with the central bank, to usurp the benchmark refinancing rate and become the main driver of short- term borrowing costs. At just 0.5 percent, the deposit rate matches the Bank of England\u2019s key setting and is only a step away from the zero-to-0.25-percent range the Federal Reserve uses.
…<\/b>
The deposit rate is \u201cvery, very low,\u201d Trichet said three times in an hour at a press conference on March 5.<\/p>\n

He \u201cis implicitly admitting that the deposit rate has now become the key barometer of the ECB\u2019s policy,\u201d said Nick Kounis, chief European economist at Fortis in Amsterdam. \u201cThe ECB has become more and more comfortable in pointing that out, not least because it\u2019s been accused of keeping interest rates too high.\u201d<\/p><\/blockquote>\n

There’s some excitement in ABCP-land! The Master Asset Vehicles (I & II) are the successors to Canadian Non-Bank ABCP … and now CIBC has delivered a collateral call<\/a>:<\/p>\n

DBRS has today commented on the recent series of trigger event notices delivered by Canadian Imperial Bank of Commerce (CIBC) to Master Asset Vehicle I (MAVI) and Master Asset Vehicle II (MAVII; collectively, the MAVs) requesting additional collateral.<\/p>\n

As described in the DBRS Canadian Structured Finance Newsletter dated February 19, 2009, CIBC is the swap counterparty for four leveraged credit default swaps (CDS) collateralized by the MAVs that are not subject to the 18-month moratorium period applicable to all other CDS transactions entered into by the MAVs. The collateralization triggers on these transactions were breached on March 3, 2009, prompting CIBC to deliver trigger event notices to the MAVs requesting additional collateral. On March 6, 2009, and March 9, 2009, CIBC delivered subsequent trigger event notices to the MAVs with respect to subsequent trigger breaches. The additional collateral demanded under the March 9, 2009, trigger event notice was withdrawn on March 11, 2009. The total amount of additional collateral demanded by CIBC now stands at $95.4 million for MAVI and $19.3 million for MAVII. CIBC has stated that the deadline for providing additional collateral is 5:00 p.m. on March 13, 2009.<\/p>\n

At the time of issuance of this press release, DBRS had not been informed of the posting of additional collateral. As noted in the March 3, 2009, Canadian Structured Finance Newsletter, the failure of the MAVs to post additional collateral will result in a partial or total unwind of the CIBC transactions with the MAVs. For MAVII, the resulting reduction in collateral supporting the notes is capped at $107,742,597 (or approximately 1.1% of the assets of MAVII). <\/p><\/blockquote>\n

Canadian equities had a great day<\/a>, led by financials:<\/p>\n

Canadian stocks notched their best three-day gain since November as financial and energy shares soared after better-than-estimated U.S. retail sales fanned speculation that the worst of the credit crisis may have passed.<\/p>\n

Royal Bank of Canada climbed 4.3 percent, sending financial shares to their steepest three-day gain in 21 years after Bank of America Corp. became the latest U.S. bank to say it made a profit in the past two months. Suncor Energy Inc. rallied to the highest price since October as crude oil rose more than $4 a barrel.<\/p>\n

The Standard & Poor\u2019s\/TSX Composite Index added 3.4 percent to 8,282.27 in Toronto, its highest close in three weeks, as six stocks rose for each that fell.
…<\/b>
Royal Bank, Canada\u2019s biggest lender, added C$1.43 to C$35. Bank of Montreal, the fourth-largest, rose 6.1 percent to C$31.93. Canadian Imperial Bank of Commerce, the fifth-biggest, advanced 4.9 percent to C$43.96. Manulife Financial Corp., the country\u2019s biggest insurance company, rose 13 percent to C$12.70. Sun Life Financial Inc. soared 11 percent to C$19.96.<\/p>\n

U.S. stocks rallied, led by financial companies, after General Electric Co. said that the loss today of its top credit rating from Standard & Poor\u2019s won\u2019t hurt its business or that of its finance arm.<\/p>\n

Financial shares in the S&P\/TSX added 5.6 percent, pacing gains in eight of the index\u2019s 10 industries. The gauge rose 20 percent in three days, the best such rally since at least 1987.<\/p><\/blockquote>\n

XFN, the capped financial index fund, is now back to where it was on February 13<\/a>, but PerpetualDiscounts are down 7.56% from that date. So go figure.<\/p>\n

Still, a few more days like this could be fun!<\/p>\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>\n2.8483 %<\/td>\n805.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n2.8483 %<\/td>\n1,302.6<\/td>\n<\/tr>\n
Floater<\/td>\n4.91 %<\/td>\n6.03 %<\/td>\n62,038<\/td>\n13.89<\/td>\n3<\/td>\n2.8483 %<\/td>\n1,006.2<\/td>\n<\/tr>\n
OpRet<\/td>\n5.31 %<\/td>\n4.94 %<\/td>\n136,206<\/td>\n3.91<\/td>\n15<\/td>\n0.4818 %<\/td>\n2,038.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n7.07 %<\/td>\n11.37 %<\/td>\n54,132<\/td>\n4.76<\/td>\n6<\/td>\n0.6903 %<\/td>\n1,571.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n6.19 %<\/td>\n11.33 %<\/td>\n36,840<\/td>\n0.76<\/td>\n1<\/td>\n1.4644 %<\/td>\n1,898.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.7155 %<\/td>\n1,444.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n7.48 %<\/td>\n7.58 %<\/td>\n161,973<\/td>\n11.90<\/td>\n71<\/td>\n0.7155 %<\/td>\n1,330.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n6.25 %<\/td>\n5.89 %<\/td>\n659,582<\/td>\n13.67<\/td>\n31<\/td>\n0.2839 %<\/td>\n1,769.3<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
PWF.PR.H<\/td>\nPerpetual-Discount<\/td>\n-5.12 %<\/td>\nNot as bad as it looks … it seems that a end-of-day sell order of 2000 shares (1400 filled) took out the bid; the issue traded 1,825 shares in a range of 18.00-40 before closing at 17.22-00, 16×6.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 17.22
\nEvaluated at bid price : 17.22
\nBid-YTW : 8.52 %<\/td>\n<\/tr>\n
DFN.PR.A<\/td>\nSplitShare<\/td>\n-3.95 %<\/td>\nAsset coverage of 1.5-:1 as of February 27 according to the company<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2014-12-01
\nMaturity Price : 10.00
\nEvaluated at bid price : 7.53
\nBid-YTW : 11.37 %<\/td>\n<\/tr>\n
TD.PR.S<\/td>\nFixedReset<\/td>\n-2.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 19.51
\nEvaluated at bid price : 19.51
\nBid-YTW : 4.80 %<\/td>\n<\/tr>\n
GWO.PR.F<\/td>\nPerpetual-Discount<\/td>\n-2.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 19.50
\nEvaluated at bid price : 19.50
\nBid-YTW : 7.60 %<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n-1.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.18
\nBid-YTW : 10.96 %<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 16.70
\nEvaluated at bid price : 16.70
\nBid-YTW : 7.67 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 14.55
\nEvaluated at bid price : 14.55
\nBid-YTW : 9.35 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 18.43
\nEvaluated at bid price : 18.43
\nBid-YTW : 8.06 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 16.01
\nEvaluated at bid price : 16.01
\nBid-YTW : 7.26 %<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetual-Discount<\/td>\n-1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 18.91
\nEvaluated at bid price : 18.91
\nBid-YTW : 7.57 %<\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nPerpetual-Discount<\/td>\n-1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 19.77
\nEvaluated at bid price : 19.77
\nBid-YTW : 7.21 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 7.26
\nEvaluated at bid price : 7.26
\nBid-YTW : 6.03 %<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 16.62
\nEvaluated at bid price : 16.62
\nBid-YTW : 7.56 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 14.35
\nEvaluated at bid price : 14.35
\nBid-YTW : 8.06 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 14.65
\nEvaluated at bid price : 14.65
\nBid-YTW : 8.00 %<\/td>\n<\/tr>\n
ENB.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 22.98
\nEvaluated at bid price : 23.25
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
RY.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 15.77
\nEvaluated at bid price : 15.77
\nBid-YTW : 7.15 %<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetual-Discount<\/td>\n1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 17.04
\nEvaluated at bid price : 17.04
\nBid-YTW : 8.04 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 13.56
\nEvaluated at bid price : 13.56
\nBid-YTW : 8.81 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 13.33
\nEvaluated at bid price : 13.33
\nBid-YTW : 8.49 %<\/td>\n<\/tr>\n
GWO.PR.J<\/td>\nFixedReset<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 22.96
\nEvaluated at bid price : 23.00
\nBid-YTW : 5.55 %<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 18.77
\nEvaluated at bid price : 18.77
\nBid-YTW : 7.12 %<\/td>\n<\/tr>\n
PWF.PR.J<\/td>\nOpRet<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2013-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.85
\nBid-YTW : 5.02 %<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nPerpetual-Discount<\/td>\n1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 19.60
\nEvaluated at bid price : 19.60
\nBid-YTW : 7.50 %<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 16.05
\nEvaluated at bid price : 16.05
\nBid-YTW : 7.10 %<\/td>\n<\/tr>\n
STW.PR.A<\/td>\nInterest-Bearing<\/td>\n1.46 %<\/td>\nAsset coverage of 1.4+:1 as of March 5, based on Capital Unit NAV of 2.02<\/a>. and 1.99 Capital Units per Preferred<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2009-12-31
\nMaturity Price : 10.00
\nEvaluated at bid price : 9.70
\nBid-YTW : 11.33 %<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetual-Discount<\/td>\n1.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 15.22
\nEvaluated at bid price : 15.22
\nBid-YTW : 7.88 %<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 13.50
\nEvaluated at bid price : 13.50
\nBid-YTW : 9.02 %<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n1.51 %<\/td>\nAsset coverage of 1.7-:1 as of February 28 according to the company<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 10.78
\nBid-YTW : 16.21 %<\/td>\n<\/tr>\n
RY.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 16.01
\nEvaluated at bid price : 16.01
\nBid-YTW : 7.12 %<\/td>\n<\/tr>\n
TD.PR.A<\/td>\nFixedReset<\/td>\n1.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 21.96
\nEvaluated at bid price : 22.00
\nBid-YTW : 4.60 %<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 8.13 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 22.07
\nEvaluated at bid price : 22.11
\nBid-YTW : 4.53 %<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 14.83
\nEvaluated at bid price : 14.83
\nBid-YTW : 7.74 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 15.59
\nEvaluated at bid price : 15.59
\nBid-YTW : 8.35 %<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 15.56
\nEvaluated at bid price : 15.56
\nBid-YTW : 7.87 %<\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.93 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 17.44
\nEvaluated at bid price : 17.44
\nBid-YTW : 7.90 %<\/td>\n<\/tr>\n
TD.PR.C<\/td>\nFixedReset<\/td>\n1.93 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 23.71
\nEvaluated at bid price : 23.75
\nBid-YTW : 5.06 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n1.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 4.82 %<\/td>\n<\/tr>\n
TD.PR.M<\/td>\nOpRet<\/td>\n1.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2013-10-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.50
\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nPerpetual-Discount<\/td>\n2.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 17.97
\nEvaluated at bid price : 17.97
\nBid-YTW : 7.81 %<\/td>\n<\/tr>\n
PWF.PR.I<\/td>\nPerpetual-Discount<\/td>\n2.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 19.40
\nEvaluated at bid price : 19.40
\nBid-YTW : 7.88 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n2.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 13.62
\nEvaluated at bid price : 13.62
\nBid-YTW : 8.33 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetual-Discount<\/td>\n2.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 14.96
\nEvaluated at bid price : 14.96
\nBid-YTW : 8.15 %<\/td>\n<\/tr>\n
IGM.PR.A<\/td>\nOpRet<\/td>\n2.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-07-30
\nMaturity Price : 25.67
\nEvaluated at bid price : 26.01
\nBid-YTW : 4.41 %<\/td>\n<\/tr>\n
CM.PR.D<\/td>\nPerpetual-Discount<\/td>\n2.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 18.91
\nEvaluated at bid price : 18.91
\nBid-YTW : 7.75 %<\/td>\n<\/tr>\n
BMO.PR.K<\/td>\nPerpetual-Discount<\/td>\n2.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 17.48
\nEvaluated at bid price : 17.48
\nBid-YTW : 7.61 %<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetual-Discount<\/td>\n2.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 18.19
\nEvaluated at bid price : 18.19
\nBid-YTW : 7.85 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n2.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 20.05
\nEvaluated at bid price : 20.05
\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetual-Discount<\/td>\n2.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 16.51
\nEvaluated at bid price : 16.51
\nBid-YTW : 8.11 %<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nPerpetual-Discount<\/td>\n2.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 17.70
\nEvaluated at bid price : 17.70
\nBid-YTW : 6.97 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetual-Discount<\/td>\n2.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 15.76
\nEvaluated at bid price : 15.76
\nBid-YTW : 7.23 %<\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nPerpetual-Discount<\/td>\n2.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 19.60
\nEvaluated at bid price : 19.60
\nBid-YTW : 6.84 %<\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\n3.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.60
\nBid-YTW : 10.13 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n3.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 16.12
\nEvaluated at bid price : 16.12
\nBid-YTW : 7.94 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetual-Discount<\/td>\n3.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 13.85
\nEvaluated at bid price : 13.85
\nBid-YTW : 8.71 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetual-Discount<\/td>\n3.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 13.45
\nEvaluated at bid price : 13.45
\nBid-YTW : 8.32 %<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetual-Discount<\/td>\n3.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 17.60
\nEvaluated at bid price : 17.60
\nBid-YTW : 7.97 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetual-Discount<\/td>\n5.14 %<\/td>\nNice to see some explanations required for extreme positive results for a change! Traded 7479 shares in a range of 13.00-71 before closing at 13.51-79, 4×5. Each of the last ten trades (including two odd-lots), totalling 3023 shares, were above the closing bid.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 13.51
\nEvaluated at bid price : 13.51
\nBid-YTW : 8.28 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nPerpetual-Discount<\/td>\n5.84 %<\/td>\nTraded 6874 shares in a range of 15.58-39 before closing at 16.30-48, 6×5. The last ten trades of the day, totalling 3674 shares, were all close to the closing bid.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 16.30
\nEvaluated at bid price : 16.30
\nBid-YTW : 8.02 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n7.42 %<\/td>\nTraded 1600 shares, all at 12.00 (looks like a single order), before closing at 12.30-13.74 (!), 4×2.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 12.30
\nEvaluated at bid price : 12.30
\nBid-YTW : 3.58 %<\/td>\n<\/tr>\n
LFE.PR.A<\/td>\nSplitShare<\/td>\n8.21 %<\/td>\nAsset coverage of 1.0+:1 as of February 27, according to the company<\/a>. Traded 7700 shares in a range of 6.23-94 before closing at 6.72-94, 2×10.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2012-12-01
\nMaturity Price : 10.00
\nEvaluated at bid price : 6.72
\nBid-YTW : 17.89 %<\/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
TD.PR.I<\/td>\nFixedReset<\/td>\n101,198<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 23.08
\nEvaluated at bid price : 24.85
\nBid-YTW : 5.97 %<\/td>\n<\/tr>\n
RY.PR.T<\/td>\nFixedReset<\/td>\n75,547<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 23.08
\nEvaluated at bid price : 24.85
\nBid-YTW : 5.89 %<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetual-Discount<\/td>\n39,425<\/td>\nNesbitt bought two blocks from TD, 15,000 shares and 10,400 shares, both at 16.10.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 16.05
\nEvaluated at bid price : 16.05
\nBid-YTW : 7.10 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n38,468<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 22.07
\nEvaluated at bid price : 22.11
\nBid-YTW : 4.53 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n36,505<\/td>\nRBC crossed 24,400 at 13.15.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-12
\nMaturity Price : 13.62
\nEvaluated at bid price : 13.62
\nBid-YTW : 8.33 %<\/td>\n<\/tr>\n
SBN.PR.A<\/td>\nSplitShare<\/td>\n36,150<\/td>\nRBC bought 13,300 from Scotia at 8.45.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2014-12-01
\nMaturity Price : 10.00
\nEvaluated at bid price : 8.38
\nBid-YTW : 8.96 %<\/td>\n<\/tr>\n
There were 30 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Jon Danielsson, Hyun Song Shin & Jean-Pierre Zigrand (there’s a multicultural author’s list for you!) write a piece in VoxEU, Modelling financial turmoil through endogenous risk, based on their Risk Appetite and Endogenous Risk, in …<\/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-5861","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/5861","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=5861"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/5861\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=5861"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=5861"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=5861"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}