Nice article titled Inflation risk and the inflation risk premium by Geert Bekaert and Xiaozheng Wang
Another interesting paper was Residential Mortgage Securitization in Canada: A Review by Adi Mordel and Nigel Stephens, which showed that the outstanding amount of Canada Mortgage Bonds at the end of 2015 was about $200-billion, whereas slightly under 50-billion of RRBs were outstanding at that time (this consultation paper also had good charts regarding liquidity).
| 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 | 1.0000 % | 2,523.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.0000 % | 4,840.4 |
| Floater | 8.60 % | 8.66 % | 67,591 | 10.69 | 2 | 1.0000 % | 2,789.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2488 % | 3,371.0 |
| SplitShare | 4.99 % | 6.92 % | 57,558 | 2.82 | 7 | -0.2488 % | 4,025.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2488 % | 3,141.0 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0264 % | 2,879.0 |
| Perpetual-Discount | 5.92 % | 5.97 % | 93,546 | 13.95 | 35 | 0.0264 % | 3,139.4 |
| FixedReset Disc | 5.30 % | 6.93 % | 90,499 | 12.76 | 62 | -0.0526 % | 2,287.0 |
| Insurance Straight | 5.82 % | 5.93 % | 100,503 | 14.01 | 20 | 0.2193 % | 3,087.6 |
| FloatingReset | 9.60 % | 9.94 % | 40,687 | 9.57 | 2 | -0.1565 % | 2,588.4 |
| FixedReset Prem | 6.58 % | 6.34 % | 173,394 | 13.03 | 2 | 0.0988 % | 2,388.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0526 % | 2,337.8 |
| FixedReset Ins Non | 5.38 % | 6.80 % | 54,707 | 12.82 | 14 | 0.4164 % | 2,397.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CU.PR.H | Perpetual-Discount | -7.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 6.40 % |
| BNS.PR.I | FixedReset Disc | -2.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 6.73 % |
| PWF.PR.P | FixedReset Disc | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 13.10 Evaluated at bid price : 13.10 Bid-YTW : 7.76 % |
| MFC.PR.L | FixedReset Ins Non | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 17.42 Evaluated at bid price : 17.42 Bid-YTW : 7.31 % |
| PVS.PR.K | SplitShare | -1.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 7.02 % |
| IFC.PR.I | Perpetual-Discount | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 22.27 Evaluated at bid price : 22.66 Bid-YTW : 6.01 % |
| PVS.PR.J | SplitShare | -1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 22.40 Bid-YTW : 7.04 % |
| TD.PF.D | FixedReset Disc | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 19.84 Evaluated at bid price : 19.84 Bid-YTW : 6.79 % |
| CM.PR.P | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 6.95 % |
| IFC.PR.K | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 21.62 Evaluated at bid price : 21.95 Bid-YTW : 6.03 % |
| CU.PR.F | Perpetual-Discount | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 5.86 % |
| RY.PR.N | Perpetual-Discount | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 22.97 Evaluated at bid price : 23.25 Bid-YTW : 5.34 % |
| IAF.PR.I | FixedReset Ins Non | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 21.97 Evaluated at bid price : 22.51 Bid-YTW : 6.42 % |
| RY.PR.O | Perpetual-Discount | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 22.97 Evaluated at bid price : 23.25 Bid-YTW : 5.34 % |
| BN.PF.D | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.19 % |
| SLF.PR.C | Insurance Straight | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 19.91 Evaluated at bid price : 19.91 Bid-YTW : 5.65 % |
| PWF.PR.G | Perpetual-Discount | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 24.32 Evaluated at bid price : 24.63 Bid-YTW : 6.01 % |
| TRP.PR.C | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 12.26 Evaluated at bid price : 12.26 Bid-YTW : 8.14 % |
| IFC.PR.F | Insurance Straight | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 21.86 Evaluated at bid price : 22.22 Bid-YTW : 6.02 % |
| IFC.PR.A | FixedReset Ins Non | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.49 % |
| PWF.PR.H | Perpetual-Discount | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 23.99 Evaluated at bid price : 24.24 Bid-YTW : 5.95 % |
| FTS.PR.H | FixedReset Disc | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 7.53 % |
| PWF.PR.F | Perpetual-Discount | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 5.96 % |
| GWO.PR.Y | Insurance Straight | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 5.76 % |
| BN.PR.B | Floater | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 13.25 Evaluated at bid price : 13.25 Bid-YTW : 8.66 % |
| GWO.PR.N | FixedReset Ins Non | 2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 12.58 Evaluated at bid price : 12.58 Bid-YTW : 7.57 % |
| PWF.PR.T | FixedReset Disc | 2.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 18.93 Evaluated at bid price : 18.93 Bid-YTW : 7.03 % |
| CU.PR.E | Perpetual-Discount | 4.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 5.81 % |
| MFC.PR.M | FixedReset Ins Non | 4.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 7.33 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MIC.PR.A | Perpetual-Discount | 47,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 6.95 % |
| TD.PF.I | FixedReset Prem | 28,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 23.18 Evaluated at bid price : 25.00 Bid-YTW : 6.03 % |
| PWF.PR.L | Perpetual-Discount | 28,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 21.38 Evaluated at bid price : 21.65 Bid-YTW : 5.91 % |
| GWO.PR.T | Insurance Straight | 26,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 21.62 Evaluated at bid price : 21.62 Bid-YTW : 6.03 % |
| GWO.PR.Q | Insurance Straight | 26,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 21.39 Evaluated at bid price : 21.66 Bid-YTW : 6.00 % |
| GWO.PR.S | Insurance Straight | 21,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-23 Maturity Price : 21.69 Evaluated at bid price : 21.95 Bid-YTW : 6.04 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CM.PR.Q | FixedReset Disc | Quote: 19.53 – 25.08 Spot Rate : 5.5500 Average : 3.4249 YTW SCENARIO |
| CU.PR.J | Perpetual-Discount | Quote: 20.25 – 23.50 Spot Rate : 3.2500 Average : 1.8554 YTW SCENARIO |
| PWF.PR.E | Perpetual-Discount | Quote: 23.12 – 25.80 Spot Rate : 2.6800 Average : 1.4881 YTW SCENARIO |
| BN.PR.X | FixedReset Disc | Quote: 16.20 – 18.59 Spot Rate : 2.3900 Average : 1.3513 YTW SCENARIO |
| BN.PF.A | FixedReset Disc | Quote: 19.75 – 21.95 Spot Rate : 2.2000 Average : 1.4826 YTW SCENARIO |
| CU.PR.H | Perpetual-Discount | Quote: 20.90 – 22.95 Spot Rate : 2.0500 Average : 1.3848 YTW SCENARIO |