{"id":30680,"date":"2015-09-26T00:48:54","date_gmt":"2015-09-26T05:48:54","guid":{"rendered":"http:\/\/prefblog.com\/?p=30680"},"modified":"2015-09-26T00:48:54","modified_gmt":"2015-09-26T05:48:54","slug":"september-25-2015","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=30680","title":{"rendered":"September 25, 2015"},"content":{"rendered":"

Swap spreads are below zero<\/a>:<\/p>\n

At the height of the financial crisis, the unprecedented decline in swap rates below Treasury yields was seen as an anomaly. The phenomenon is now widespread.<\/p>\n

Swap rates are what companies, investors and traders pay to exchange fixed interest payments for floating ones. That rate falling below Treasury yields — the spread between the two being negative — is illogical in the eyes of most market observers, because it theoretically signals that traders view the credit of banks as superior to that of the U.S. government.<\/p>\n

Back in 2009, it was only negative in the 30-year maturity, a temporary offshoot of deleveraging and market swings following the credit crisis. These days, swap spreads are near or below zero across maturities.
…<\/b>
If the flip to negative spreads persists, it would signal that its roots are in regulators\u2019 efforts to head off another financial crisis, according to Kohli.<\/p>\n

Regulatory moves such as higher capital requirements have led banks to curtail market-making, crimping liquidity and driving repurchase agreement rates above bank funding benchmarks. Repo rates factor into Treasuries pricing because they\u2019re considered the cost of financing positions in government debt.<\/p><\/blockquote>\n

There’s a very peculiar suggestion<\/a> regarding ETF trading:<\/p>\n

A group of high-frequency trading firms advised U.S. regulators on how to prevent a repeat of the wild Aug. 24 trading session that roiled hundreds of securities, leaving exchange-traded funds\u2019 prices out of sync with the values of their assets.<\/p>\n

In a Sept. 24 letter to the Securities and Exchange Commission, the industry group Modern Markets Initiative proposed three main solutions to prevent problems with prices of ETFs: clarifying rules for canceling trades, loosening short-selling restrictions so arbitragers can better hedge, and protecting small investors by preventing their ETF orders from executing when the price of those securities becomes detached from their underlying stocks.
…<\/b>
Finally, the Modern Markets Initiative letter proposed protecting retail investors during times when ETFs diverge from their underlying stocks. If, for example, the ETF\u2019s price is 5 percent or more away from the NAV, small investors\u2019 orders wouldn\u2019t be executed.<\/p><\/blockquote>\n

Huh? Restricting retail access to the marketplace? Well, just about anything’s possible these days…<\/p>\n

After yesterday<\/a>‘s massive losses, a lot of preferred share investors were hoping the market would come back. Be careful what you wish for …<\/p>\n

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

The Canadian preferred share market was crushed again today, with PerpetualDiscounts down 74bp, FixedResets losing 97bp and DeemedRetractibles off 34bp; numbers that look mild only in comparison with yesterday<\/a>. The Performance Highlights table is, of course, horrific and dominated by losing FixedResets, although a number of issues bounced back from yesterday’s quotes far enough to make it onto the good part of the table. Volume was very heavy and notable for blocks of NVCC non-compliant bank FloatingResets.<\/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_150925\"<\/a>
Click for Big<\/i><\/div>\n

Implied Volatility jumped today.<\/p>\n

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.56 to be $1.00 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $1.07 cheap at its bid price of 12.12.<\/p>\n

\"impVol_MFC_150925\"<\/a>
Click for Big<\/i><\/div>\n

Another good fit today for MFC, with Implied Volatility falling back a little after yesterday’s jump.<\/p>\n

Most expensive is MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 21.71 to be 0.38 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 22.24 to be 0.30 cheap.<\/p>\n

\"impVol_BAM_150925\"<\/a>
Click for Big<\/i><\/div>\n

The fit on the BAM issues continues to be horrible. Note that the pending new issue<\/a> has been added with a price of 25.00; the valuation effects of the rate floor have been ignored.<\/p>\n

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.70 to be $1.14 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 20.90 and appears to be $1.31 rich.<\/p>\n

\"impVol_FTS_150925\"<\/a>
Click for Big<\/i><\/div>\n

FTS.PR.M, with a spread of +248bp, and bid at 20.20, looks $0.70 expensive and resets 2019-12-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 16.50 and is $0.48 cheap.<\/p>\n

\"pairs_FR_150925\"<\/a>
Click for Big<\/i><\/div>\n

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.98%, with three outliers above 0.00%. The distribution\u2019s bimodality has returned, with bank NVCC non-compliant pairs averaging -1.45% and other issues averaging -0.32%. There are two junk outliers above 0.00%.<\/p>\n

\"pairs_FF_150925\"<\/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>\n0.8629 %<\/td>\n1,653.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.8629 %<\/td>\n2,891.7<\/td>\n<\/tr>\n
Floater<\/td>\n4.49 %<\/td>\n4.48 %<\/td>\n61,265<\/td>\n16.45<\/td>\n3<\/td>\n0.8629 %<\/td>\n1,758.2<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0737 %<\/td>\n2,766.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.49 %<\/td>\n4.90 %<\/td>\n65,029<\/td>\n3.04<\/td>\n4<\/td>\n-0.0737 %<\/td>\n3,242.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0737 %<\/td>\n2,530.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.75 %<\/td>\n4.24 %<\/td>\n59,600<\/td>\n0.08<\/td>\n8<\/td>\n0.2690 %<\/td>\n2,489.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.63 %<\/td>\n5.71 %<\/td>\n71,309<\/td>\n14.28<\/td>\n30<\/td>\n-0.7389 %<\/td>\n2,519.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.02 %<\/td>\n4.65 %<\/td>\n180,238<\/td>\n15.37<\/td>\n75<\/td>\n-0.9669 %<\/td>\n2,023.9<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.23 %<\/td>\n5.09 %<\/td>\n95,901<\/td>\n5.48<\/td>\n33<\/td>\n-0.3399 %<\/td>\n2,539.6<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.56 %<\/td>\n4.36 %<\/td>\n60,575<\/td>\n5.87<\/td>\n9<\/td>\n0.4915 %<\/td>\n2,092.6<\/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
NA.PR.S<\/td>\nFixedReset<\/td>\n-5.95 %<\/td>\nThis is real enough! The issue traded 7,935 shares today in a range of 19.60-21.00, with a series of seventeen trades totalling 4,500 shares starting at 3:20pm at 20.10 declining slowly but surely down to 19.60.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 19.60
\nEvaluated at bid price : 19.60
\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset<\/td>\n-4.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 20.05
\nEvaluated at bid price : 20.05
\nBid-YTW : 4.76 %<\/td>\n<\/tr>\n
IAG.PR.G<\/td>\nFixedReset<\/td>\n-4.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.25
\nBid-YTW : 5.92 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n-4.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 21.75
\nEvaluated at bid price : 21.99
\nBid-YTW : 5.89 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset<\/td>\n-4.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 19.10
\nEvaluated at bid price : 19.10
\nBid-YTW : 4.26 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset<\/td>\n-4.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 21.03
\nEvaluated at bid price : 21.03
\nBid-YTW : 4.28 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset<\/td>\n-4.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 18.66
\nEvaluated at bid price : 18.66
\nBid-YTW : 4.30 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset<\/td>\n-4.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 16.50
\nEvaluated at bid price : 16.50
\nBid-YTW : 4.70 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset<\/td>\n-3.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 18.56
\nEvaluated at bid price : 18.56
\nBid-YTW : 4.66 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset<\/td>\n-3.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 19.54
\nEvaluated at bid price : 19.54
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset<\/td>\n-3.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 20.85
\nEvaluated at bid price : 20.85
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset<\/td>\n-3.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 19.68
\nEvaluated at bid price : 19.68
\nBid-YTW : 4.24 %<\/td>\n<\/tr>\n
BNS.PR.D<\/td>\nFloatingReset<\/td>\n-3.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.25
\nBid-YTW : 5.75 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset<\/td>\n-3.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 18.05
\nEvaluated at bid price : 18.05
\nBid-YTW : 4.72 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset<\/td>\n-3.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 19.10
\nEvaluated at bid price : 19.10
\nBid-YTW : 4.23 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset<\/td>\n-2.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 19.43
\nEvaluated at bid price : 19.43
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
BMO.PR.Z<\/td>\nPerpetual-Discount<\/td>\n-2.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 22.94
\nEvaluated at bid price : 23.34
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n-2.68 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.95
\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset<\/td>\n-2.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 18.85
\nEvaluated at bid price : 18.85
\nBid-YTW : 4.33 %<\/td>\n<\/tr>\n
VNR.PR.A<\/td>\nFixedReset<\/td>\n-2.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 18.87
\nEvaluated at bid price : 18.87
\nBid-YTW : 5.01 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset<\/td>\n-2.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 19.40
\nEvaluated at bid price : 19.40
\nBid-YTW : 4.17 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n-2.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.70
\nBid-YTW : 9.04 %<\/td>\n<\/tr>\n
CU.PR.H<\/td>\nPerpetual-Discount<\/td>\n-2.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 22.87
\nEvaluated at bid price : 23.25
\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n-2.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 12.70
\nBid-YTW : 10.01 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n-2.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 20.05
\nEvaluated at bid price : 20.05
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset<\/td>\n-2.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 19.44
\nEvaluated at bid price : 19.44
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset<\/td>\n-2.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.08
\nBid-YTW : 6.41 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nDeemed-Retractible<\/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 : 20.00
\nBid-YTW : 7.50 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n-1.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 19.61
\nEvaluated at bid price : 19.61
\nBid-YTW : 4.22 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset<\/td>\n-1.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 20.20
\nEvaluated at bid price : 20.20
\nBid-YTW : 4.33 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n-1.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.06
\nBid-YTW : 7.45 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n-1.89 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 14.57
\nEvaluated at bid price : 14.57
\nBid-YTW : 4.83 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n-1.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 20.86
\nEvaluated at bid price : 20.86
\nBid-YTW : 5.76 %<\/td>\n<\/tr>\n
BAM.PF.D<\/td>\nPerpetual-Discount<\/td>\n-1.87 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n-1.87 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 14.72
\nEvaluated at bid price : 14.72
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset<\/td>\n-1.86 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 21.10
\nEvaluated at bid price : 21.10
\nBid-YTW : 5.25 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nDeemed-Retractible<\/td>\n-1.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.27
\nBid-YTW : 7.04 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n-1.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.23
\nBid-YTW : 6.09 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset<\/td>\n-1.81 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 4.33 %<\/td>\n<\/tr>\n
BAM.PF.E<\/td>\nFixedReset<\/td>\n-1.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 4.93 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset<\/td>\n-1.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 19.50
\nEvaluated at bid price : 19.50
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
BAM.PR.Z<\/td>\nFixedReset<\/td>\n-1.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 19.28
\nEvaluated at bid price : 19.28
\nBid-YTW : 5.10 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.90
\nBid-YTW : 6.69 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n-1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 15.09
\nEvaluated at bid price : 15.09
\nBid-YTW : 4.76 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\n-1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 17.05
\nEvaluated at bid price : 17.05
\nBid-YTW : 4.57 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset<\/td>\n-1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 21.55
\nEvaluated at bid price : 21.55
\nBid-YTW : 4.17 %<\/td>\n<\/tr>\n
BAM.PF.A<\/td>\nFixedReset<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 19.40
\nEvaluated at bid price : 19.40
\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 13.57
\nEvaluated at bid price : 13.57
\nBid-YTW : 4.22 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset<\/td>\n-1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.23
\nBid-YTW : 5.40 %<\/td>\n<\/tr>\n
TD.PF.F<\/td>\nPerpetual-Discount<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 23.13
\nEvaluated at bid price : 23.55
\nBid-YTW : 5.27 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/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 : 20.45
\nBid-YTW : 7.27 %<\/td>\n<\/tr>\n
POW.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 23.82
\nEvaluated at bid price : 24.30
\nBid-YTW : 5.75 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 12.12
\nEvaluated at bid price : 12.12
\nBid-YTW : 5.00 %<\/td>\n<\/tr>\n
PVS.PR.B<\/td>\nSplitShare<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.36
\nBid-YTW : 5.31 %<\/td>\n<\/tr>\n
BMO.PR.Q<\/td>\nFixedReset<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.65
\nBid-YTW : 5.62 %<\/td>\n<\/tr>\n
TD.PR.S<\/td>\nFixedReset<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.26
\nBid-YTW : 3.49 %<\/td>\n<\/tr>\n
GWO.PR.R<\/td>\nDeemed-Retractible<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.85
\nBid-YTW : 6.66 %<\/td>\n<\/tr>\n
BAM.PF.G<\/td>\nFixedReset<\/td>\n1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 20.90
\nEvaluated at bid price : 20.90
\nBid-YTW : 4.65 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 15.90
\nEvaluated at bid price : 15.90
\nBid-YTW : 5.14 %<\/td>\n<\/tr>\n
NA.PR.Q<\/td>\nFixedReset<\/td>\n1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.79
\nBid-YTW : 4.42 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 13.61
\nEvaluated at bid price : 13.61
\nBid-YTW : 4.30 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.80
\nBid-YTW : 7.44 %<\/td>\n<\/tr>\n
TD.PR.Z<\/td>\nFloatingReset<\/td>\n1.90 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.00
\nBid-YTW : 4.22 %<\/td>\n<\/tr>\n
TD.PR.T<\/td>\nFloatingReset<\/td>\n2.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.00
\nBid-YTW : 4.13 %<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetual-Premium<\/td>\n2.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 24.30
\nEvaluated at bid price : 24.61
\nBid-YTW : 5.69 %<\/td>\n<\/tr>\n
HSE.PR.E<\/td>\nFixedReset<\/td>\n3.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 21.44
\nEvaluated at bid price : 21.70
\nBid-YTW : 5.09 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset<\/td>\n3.49 %<\/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 : 6.96 %<\/td>\n<\/tr>\n
BMO.PR.R<\/td>\nFloatingReset<\/td>\n3.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.75
\nBid-YTW : 4.38 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset<\/td>\n6.49 %<\/td>\nSimply a reversal of the idiotic part of yesterday<\/a>‘s ridiculous move, which was due to a bad quote.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.70
\nBid-YTW : 6.59 %<\/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.R<\/td>\nFloatingReset<\/td>\n142,656<\/td>\nScotia crossed 100,000 at 21.90; TD crossed 40,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.75
\nBid-YTW : 4.38 %<\/td>\n<\/tr>\n
CU.PR.I<\/td>\nFixedReset<\/td>\n97,505<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 23.19
\nEvaluated at bid price : 25.12
\nBid-YTW : 4.38 %<\/td>\n<\/tr>\n
BNS.PR.B<\/td>\nFloatingReset<\/td>\n75,500<\/td>\nScotia crossed blocks of 50,000 and 25,000, both at 21.85.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.80
\nBid-YTW : 4.40 %<\/td>\n<\/tr>\n
TD.PR.Z<\/td>\nFloatingReset<\/td>\n52,340<\/td>\nTD crossed 49,400 at 22.00.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.00
\nBid-YTW : 4.22 %<\/td>\n<\/tr>\n
TD.PR.T<\/td>\nFloatingReset<\/td>\n50,000<\/td>\nTD crossed 49,300 at 22.10.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.00
\nBid-YTW : 4.13 %<\/td>\n<\/tr>\n
GWO.PR.Q<\/td>\nDeemed-Retractible<\/td>\n39,557<\/td>\nScotia crossed 25,000 at 22.90.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.52
\nBid-YTW : 6.62 %<\/td>\n<\/tr>\n
There were 52 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
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.99 – 23.15
\nSpot Rate : 1.1600
\nAverage : 0.6728<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 21.75
\nEvaluated at bid price : 21.99
\nBid-YTW : 5.89 %<\/td>\n<\/tr>\n

TRP.PR.G<\/td>\nFixedReset<\/td>\nQuote: 20.05 – 21.20
\nSpot Rate : 1.1500
\nAverage : 0.7773<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 20.05
\nEvaluated at bid price : 20.05
\nBid-YTW : 4.76 %<\/td>\n<\/tr>\n

BSC.PR.C<\/td>\nSplitShare<\/td>\nQuote: 19.71 – 20.43
\nSpot Rate : 0.7200
\nAverage : 0.3909<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2020-09-22
\nMaturity Price : 19.71
\nEvaluated at bid price : 19.71
\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n

BAM.PF.D<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.50 – 21.50
\nSpot Rate : 1.0000
\nAverage : 0.6848<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-25
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n

BNS.PR.D<\/td>\nFloatingReset<\/td>\nQuote: 19.25 – 19.85
\nSpot Rate : 0.6000
\nAverage : 0.3580<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.25
\nBid-YTW : 5.75 %<\/td>\n<\/tr>\n

BNS.PR.Y<\/td>\nFixedReset<\/td>\nQuote: 19.95 – 20.50
\nSpot Rate : 0.5500
\nAverage : 0.3348<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.95
\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Swap spreads are below zero: At the height of the financial crisis, the unprecedented decline in swap rates below Treasury yields was seen as an anomaly. The phenomenon is now widespread. Swap rates are what …<\/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-30680","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/30680","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=30680"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/30680\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=30680"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=30680"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=30680"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}