{"id":29984,"date":"2015-07-31T20:04:02","date_gmt":"2015-08-01T01:04:02","guid":{"rendered":"http:\/\/prefblog.com\/?p=29984"},"modified":"2015-07-31T20:04:02","modified_gmt":"2015-08-01T01:04:02","slug":"july-31-2015","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=29984","title":{"rendered":"July 31, 2015"},"content":{"rendered":"

Nothing happened today.<\/p>\n

The Canadian preferred share market took another whacking to close the month, with PerpetualDiscounts losing 58bp, FixedResets down 56bp and DeemedRetractibles off 23bp. The Performance Highlights table is suitably horrible. Volume was very low.<\/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_150731\"<\/a>
Click for Big<\/i><\/div>\n

TRP.PR.B, which resets 2020-6-30 at +128, is bid at 24.56 to be $0.76 rich, while TRP.PR.D, resetting 2019-4-30 at +238, is $0.84 cheap at its bid price of 20.00.<\/p>\n

\"impVol_MFC_150731\"<\/a>
Click for Big<\/i><\/div>\n

Another good fit today!<\/p>\n

Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 16.95 to be 0.62 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 20.80 to be $0.79 cheap.<\/p>\n

\"impVol_BAM_150731\"<\/a>
Click for Big<\/i><\/div>\n

The fit on the BAM issues was particularly horrible today.<\/p>\n

The cheapest issue relative to its peers is BAM.PR.Z, resetting at +296bp on 2017-12-31, bid at 21.37 to be $1.49 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 23.45 and appears to be $1.30 rich.<\/p>\n

\"impVol_FTS_150731\"<\/a>
Click for Big<\/i><\/div>\n

FTS.PR.K, with a spread of +205bp, and bid at 21.40, looks $0.81 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 20.25 and is $0.84 cheap.<\/p>\n

\"pairs_FR_150731A\"<\/a>
Click for Big<\/i><\/div>\n

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of +0.02%, with one outlier above 1.00%. There are no junk outliers.<\/p>\n

\"pairs_FF_150731\"<\/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-0.7937 %<\/td>\n2,005.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.7937 %<\/td>\n3,506.9<\/td>\n<\/tr>\n
Floater<\/td>\n3.66 %<\/td>\n3.69 %<\/td>\n56,377<\/td>\n18.08<\/td>\n3<\/td>\n-0.7937 %<\/td>\n2,132.2<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1603 %<\/td>\n2,776.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.58 %<\/td>\n4.95 %<\/td>\n62,897<\/td>\n3.16<\/td>\n3<\/td>\n-0.1603 %<\/td>\n3,254.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1603 %<\/td>\n2,539.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.57 %<\/td>\n5.17 %<\/td>\n71,550<\/td>\n14.44<\/td>\n13<\/td>\n0.5753 %<\/td>\n2,491.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.43 %<\/td>\n5.46 %<\/td>\n84,676<\/td>\n14.71<\/td>\n24<\/td>\n-0.5762 %<\/td>\n2,611.5<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.72 %<\/td>\n3.83 %<\/td>\n207,733<\/td>\n16.03<\/td>\n88<\/td>\n-0.5645 %<\/td>\n2,233.8<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.11 %<\/td>\n5.12 %<\/td>\n105,251<\/td>\n5.48<\/td>\n34<\/td>\n-0.2309 %<\/td>\n2,581.5<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.40 %<\/td>\n3.23 %<\/td>\n46,521<\/td>\n6.05<\/td>\n10<\/td>\n-0.1139 %<\/td>\n2,266.1<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n-7.29 %<\/td>\nNot even close to having any resemblance to reality. Perhaps the market maker was overwhelmed by the enormous volume of 1,450 shares, which traded in a range of 23.60-66. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting<\/a> or inadequate Toronto Stock Exchange supervision of market-makers<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 21.60
\nEvaluated at bid price : 21.88
\nBid-YTW : 5.51 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset<\/td>\n-4.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 4.01 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset<\/td>\n-3.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.65
\nBid-YTW : 5.78 %<\/td>\n<\/tr>\n
BAM.PR.Z<\/td>\nFixedReset<\/td>\n-3.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 21.37
\nEvaluated at bid price : 21.37
\nBid-YTW : 4.44 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset<\/td>\n-3.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.80
\nBid-YTW : 5.58 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset<\/td>\n-3.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 22.79
\nEvaluated at bid price : 23.75
\nBid-YTW : 3.29 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\n-3.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.72
\nBid-YTW : 6.57 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset<\/td>\n-2.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 21.03
\nEvaluated at bid price : 21.03
\nBid-YTW : 3.87 %<\/td>\n<\/tr>\n
ENB.PR.D<\/td>\nFixedReset<\/td>\n-2.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 16.15
\nEvaluated at bid price : 16.15
\nBid-YTW : 4.95 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n-2.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 17.08
\nEvaluated at bid price : 17.08
\nBid-YTW : 3.42 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset<\/td>\n-1.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.00
\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n-1.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 12.75
\nEvaluated at bid price : 12.75
\nBid-YTW : 3.73 %<\/td>\n<\/tr>\n
ENB.PR.T<\/td>\nFixedReset<\/td>\n-1.90 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 17.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 4.95 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n-1.87 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 13.09
\nEvaluated at bid price : 13.09
\nBid-YTW : 3.64 %<\/td>\n<\/tr>\n
ENB.PR.B<\/td>\nFixedReset<\/td>\n-1.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 16.00
\nEvaluated at bid price : 16.00
\nBid-YTW : 4.97 %<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 21.60
\nEvaluated at bid price : 21.85
\nBid-YTW : 5.47 %<\/td>\n<\/tr>\n
SLF.PR.I<\/td>\nFixedReset<\/td>\n-1.79 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.03
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n-1.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 18.17
\nEvaluated at bid price : 18.17
\nBid-YTW : 4.29 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 22.33
\nEvaluated at bid price : 22.60
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n
ENB.PR.N<\/td>\nFixedReset<\/td>\n-1.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 17.40
\nEvaluated at bid price : 17.40
\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n
ENB.PR.Y<\/td>\nFixedReset<\/td>\n-1.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 17.02
\nEvaluated at bid price : 17.02
\nBid-YTW : 4.82 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n-1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 23.44
\nEvaluated at bid price : 23.80
\nBid-YTW : 3.28 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset<\/td>\n-1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.01
\nBid-YTW : 5.13 %<\/td>\n<\/tr>\n
GWO.PR.L<\/td>\nDeemed-Retractible<\/td>\n-1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.98
\nBid-YTW : 5.77 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset<\/td>\n-1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 22.82
\nEvaluated at bid price : 24.10
\nBid-YTW : 3.52 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nDeemed-Retractible<\/td>\n-1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.40
\nBid-YTW : 6.60 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n-1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.01
\nBid-YTW : 6.06 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 22.20
\nEvaluated at bid price : 22.55
\nBid-YTW : 5.33 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.49
\nBid-YTW : 7.23 %<\/td>\n<\/tr>\n
FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 23.12
\nEvaluated at bid price : 23.40
\nBid-YTW : 5.31 %<\/td>\n<\/tr>\n
ENB.PR.P<\/td>\nFixedReset<\/td>\n-1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 17.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 4.94 %<\/td>\n<\/tr>\n
BAM.PF.A<\/td>\nFixedReset<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 21.70
\nEvaluated at bid price : 21.95
\nBid-YTW : 4.22 %<\/td>\n<\/tr>\n
ENB.PF.E<\/td>\nFixedReset<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 18.29
\nEvaluated at bid price : 18.29
\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n
ENB.PF.A<\/td>\nFixedReset<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 18.35
\nEvaluated at bid price : 18.35
\nBid-YTW : 4.92 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 21.77
\nEvaluated at bid price : 22.12
\nBid-YTW : 3.45 %<\/td>\n<\/tr>\n
ENB.PR.J<\/td>\nFixedReset<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 17.61
\nEvaluated at bid price : 17.61
\nBid-YTW : 4.96 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 22.15
\nEvaluated at bid price : 22.66
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.25
\nBid-YTW : 6.25 %<\/td>\n<\/tr>\n
BAM.PF.E<\/td>\nFixedReset<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 21.34
\nEvaluated at bid price : 21.63
\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nDeemed-Retractible<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.65
\nBid-YTW : 6.50 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.51
\nBid-YTW : 3.98 %<\/td>\n<\/tr>\n
TD.PR.S<\/td>\nFixedReset<\/td>\n1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.93
\nBid-YTW : 2.83 %<\/td>\n<\/tr>\n
CIU.PR.C<\/td>\nFixedReset<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 16.34
\nEvaluated at bid price : 16.34
\nBid-YTW : 3.18 %<\/td>\n<\/tr>\n
HSE.PR.G<\/td>\nFixedReset<\/td>\n1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 22.10
\nEvaluated at bid price : 22.70
\nBid-YTW : 4.72 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 12.91
\nEvaluated at bid price : 12.91
\nBid-YTW : 3.69 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 16.19
\nEvaluated at bid price : 16.19
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n
PWF.PR.O<\/td>\nPerpetual-Premium<\/td>\n7.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-10-31
\nMaturity Price : 25.75
\nEvaluated at bid price : 25.90
\nBid-YTW : 3.31 %<\/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
BMO.PR.Z<\/td>\nPerpetual-Discount<\/td>\n62,792<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 23.53
\nEvaluated at bid price : 23.85
\nBid-YTW : 5.26 %<\/td>\n<\/tr>\n
RY.PR.O<\/td>\nPerpetual-Discount<\/td>\n34,405<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 23.36
\nEvaluated at bid price : 23.66
\nBid-YTW : 5.20 %<\/td>\n<\/tr>\n
ENB.PR.B<\/td>\nFixedReset<\/td>\n33,687<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 16.00
\nEvaluated at bid price : 16.00
\nBid-YTW : 4.97 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n30,775<\/td>\nRBC crossed 24,800 at 24.00.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 23.44
\nEvaluated at bid price : 23.80
\nBid-YTW : 3.28 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n27,240<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.25
\nBid-YTW : 6.25 %<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nDeemed-Retractible<\/td>\n26,865<\/td>\nRBC bought 18,800 from anonymous at 25.00.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.98
\nBid-YTW : 5.12 %<\/td>\n<\/tr>\n
There were 18 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
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.88 – 23.42
\nSpot Rate : 1.5400
\nAverage : 0.9873<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 21.60
\nEvaluated at bid price : 21.88
\nBid-YTW : 5.51 %<\/td>\n<\/tr>\n

IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\nQuote: 21.72 – 22.70
\nSpot Rate : 0.9800
\nAverage : 0.7410<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.72
\nBid-YTW : 6.57 %<\/td>\n<\/tr>\n

TRP.PR.D<\/td>\nFixedReset<\/td>\nQuote: 20.00 – 20.64
\nSpot Rate : 0.6400
\nAverage : 0.4307<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 4.01 %<\/td>\n<\/tr>\n

BAM.PF.E<\/td>\nFixedReset<\/td>\nQuote: 21.63 – 22.20
\nSpot Rate : 0.5700
\nAverage : 0.3903<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 21.34
\nEvaluated at bid price : 21.63
\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n

RY.PR.J<\/td>\nFixedReset<\/td>\nQuote: 23.70 – 24.15
\nSpot Rate : 0.4500
\nAverage : 0.2830<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 22.65
\nEvaluated at bid price : 23.70
\nBid-YTW : 3.52 %<\/td>\n<\/tr>\n

TRP.PR.F<\/td>\nFloatingReset<\/td>\nQuote: 17.08 – 17.70
\nSpot Rate : 0.6200
\nAverage : 0.4645<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-07-31
\nMaturity Price : 17.08
\nEvaluated at bid price : 17.08
\nBid-YTW : 3.42 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. The Canadian preferred share market took another whacking to close the month, with PerpetualDiscounts losing 58bp, FixedResets down 56bp and DeemedRetractibles off 23bp. The Performance Highlights table is suitably horrible. Volume was …<\/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-29984","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/29984","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=29984"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/29984\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=29984"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=29984"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=29984"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}