{"id":30957,"date":"2015-10-20T22:33:22","date_gmt":"2015-10-21T03:33:22","guid":{"rendered":"http:\/\/prefblog.com\/?p=30957"},"modified":"2015-10-20T22:33:22","modified_gmt":"2015-10-21T03:33:22","slug":"october-20-2015","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=30957","title":{"rendered":"October 20, 2015"},"content":{"rendered":"

Nothing happened today, other than Canadian preferred share investors checking out the current value of their portfolios:<\/p>\n

\"scrooge-mcduck-swimming-in-money\"<\/a>
Click for Big<\/i><\/div>\n

It was another superb day for the Canadian preferred share market (boy, when things snap back, they snap back in a hurry, don’t they?) with PerpetualDiscounts up 57bp, FixedResets winning a whopping 239bp and DeemedRetractibles gaining 38bp. It will be most interesting to see in the coming weeks whether these gains continue or vanish like fairy gold! The Performance Highlights table is, of course, enormous, with no less than eight issues (all FixedResets) up more than the 5% that usually indicates a ridiculous situation with bad quotes. Volume was, again, extremely 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_151020\"<\/a>
Click for Big<\/i><\/div>\n

Implied Volatility eased off again today but remains above what I consider reasonable.<\/p>\n

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.56 to be $0.85 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.73 cheap at its bid price of 12.60.<\/p>\n

\"impVol_MFC_151020\"<\/a>
Click for Big<\/i><\/div>\n

The MFC series has now renormalized and the fit has returned to its usual excellence.<\/p>\n

Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 14.75 to be 0.27 rich, while MFC.PR.J resetting at +261bp on 2018-3-19, is bid at 19.85 to be 0.31 cheap.<\/p>\n

\"impVol_BAM_151020\"<\/a>
Click for Big<\/i><\/div>\n

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

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.00 to be $0.90 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 20.75 and appears to be $0.81 rich.<\/p>\n

\"impVol_FTS_151020\"<\/a>
Click for Big<\/i><\/div>\n

Implied Volatility declined again today but remains high.<\/p>\n

FTS.PR.M, with a spread of +248bp, and bid at 19.90, looks $0.31 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.16 and is $0.67 cheap.<\/p>\n

\"pairs_FR_151020\"<\/a>
Click for Big<\/i><\/div>\n

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.87%, with no outliers (although I had to change the scale again!). The distribution is slightly bimodal, with bank NVCC non-compliant pairs averaging -1.08% and other issues averaging -0.56%. There is one junk outlier above 0.00% and one below -2.00%.<\/p>\n

\"pairs_FF_151020\"<\/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>\n2.5608 %<\/td>\n1,679.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n2.5608 %<\/td>\n2,935.7<\/td>\n<\/tr>\n
Floater<\/td>\n4.42 %<\/td>\n4.49 %<\/td>\n63,191<\/td>\n16.45<\/td>\n3<\/td>\n2.5608 %<\/td>\n1,784.9<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2185 %<\/td>\n2,757.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.35 %<\/td>\n5.37 %<\/td>\n77,837<\/td>\n2.97<\/td>\n5<\/td>\n-0.2185 %<\/td>\n3,231.4<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2185 %<\/td>\n2,521.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.90 %<\/td>\n5.86 %<\/td>\n68,582<\/td>\n14.01<\/td>\n5<\/td>\n0.4197 %<\/td>\n2,468.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.70 %<\/td>\n5.79 %<\/td>\n80,134<\/td>\n14.21<\/td>\n33<\/td>\n0.5740 %<\/td>\n2,499.0<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.10 %<\/td>\n4.59 %<\/td>\n202,460<\/td>\n15.59<\/td>\n76<\/td>\n2.3903 %<\/td>\n2,001.3<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.24 %<\/td>\n5.18 %<\/td>\n104,713<\/td>\n5.45<\/td>\n33<\/td>\n0.3775 %<\/td>\n2,541.8<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.55 %<\/td>\n4.21 %<\/td>\n69,231<\/td>\n5.82<\/td>\n9<\/td>\n1.8364 %<\/td>\n2,112.2<\/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\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
W.PR.H<\/td>\nPerpetual-Discount<\/td>\n-1.89 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 22.55
\nEvaluated at bid price : 22.81
\nBid-YTW : 6.07 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n-1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 21.36
\nEvaluated at bid price : 21.36
\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n
GWO.PR.S<\/td>\nDeemed-Retractible<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.50
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 15.05
\nEvaluated at bid price : 15.05
\nBid-YTW : 4.82 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nDeemed-Retractible<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.95
\nBid-YTW : 6.47 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n1.05 %<\/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 : 6.87 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 15.26
\nBid-YTW : 9.60 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.82
\nBid-YTW : 7.06 %<\/td>\n<\/tr>\n
RY.PR.O<\/td>\nPerpetual-Discount<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 22.25
\nEvaluated at bid price : 22.62
\nBid-YTW : 5.52 %<\/td>\n<\/tr>\n
IGM.PR.B<\/td>\nPerpetual-Premium<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.00
\nBid-YTW : 5.88 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nDeemed-Retractible<\/td>\n1.18 %<\/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 : 7.28 %<\/td>\n<\/tr>\n
RY.PR.L<\/td>\nFixedReset<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.70
\nBid-YTW : 4.28 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset<\/td>\n1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 19.51
\nEvaluated at bid price : 19.51
\nBid-YTW : 4.54 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nDeemed-Retractible<\/td>\n1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.55
\nBid-YTW : 6.86 %<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 24.05
\nEvaluated at bid price : 24.30
\nBid-YTW : 5.79 %<\/td>\n<\/tr>\n
BMO.PR.M<\/td>\nFixedReset<\/td>\n1.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.20
\nBid-YTW : 3.58 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset<\/td>\n1.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 20.70
\nEvaluated at bid price : 20.70
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n
FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 21.73
\nEvaluated at bid price : 21.98
\nBid-YTW : 5.65 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset<\/td>\n1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 20.55
\nEvaluated at bid price : 20.55
\nBid-YTW : 4.52 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.41
\nBid-YTW : 7.28 %<\/td>\n<\/tr>\n
GWO.PR.P<\/td>\nDeemed-Retractible<\/td>\n1.50 %<\/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 : 6.20 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset<\/td>\n1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.67
\nEvaluated at bid price : 18.67
\nBid-YTW : 4.45 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 10.61
\nEvaluated at bid price : 10.61
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n
BAM.PF.F<\/td>\nFixedReset<\/td>\n1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 20.40
\nEvaluated at bid price : 20.40
\nBid-YTW : 4.78 %<\/td>\n<\/tr>\n
BMO.PR.Z<\/td>\nPerpetual-Discount<\/td>\n1.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 22.65
\nEvaluated at bid price : 23.00
\nBid-YTW : 5.54 %<\/td>\n<\/tr>\n
CU.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 21.31
\nEvaluated at bid price : 21.59
\nBid-YTW : 5.75 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 14.25
\nEvaluated at bid price : 14.25
\nBid-YTW : 4.15 %<\/td>\n<\/tr>\n
MFC.PR.F<\/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 : 14.75
\nBid-YTW : 9.10 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\n1.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.11
\nBid-YTW : 7.06 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset<\/td>\n1.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 4.42 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset<\/td>\n1.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.25
\nEvaluated at bid price : 18.25
\nBid-YTW : 4.44 %<\/td>\n<\/tr>\n
BNS.PR.P<\/td>\nFixedReset<\/td>\n1.70 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.97
\nBid-YTW : 3.82 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset<\/td>\n1.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.31
\nEvaluated at bid price : 18.31
\nBid-YTW : 4.50 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset<\/td>\n1.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.01
\nEvaluated at bid price : 18.01
\nBid-YTW : 4.68 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset<\/td>\n1.79 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 19.90
\nEvaluated at bid price : 19.90
\nBid-YTW : 4.44 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 20.18
\nEvaluated at bid price : 20.18
\nBid-YTW : 5.67 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset<\/td>\n2.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 4.48 %<\/td>\n<\/tr>\n
BAM.PF.A<\/td>\nFixedReset<\/td>\n2.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 4.80 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset<\/td>\n2.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.43
\nEvaluated at bid price : 18.43
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n
BNS.PR.D<\/td>\nFloatingReset<\/td>\n2.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.40
\nBid-YTW : 6.51 %<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n2.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 20.21
\nEvaluated at bid price : 20.21
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset<\/td>\n2.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.19
\nBid-YTW : 6.11 %<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n2.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.40
\nBid-YTW : 6.18 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset<\/td>\n2.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.55
\nEvaluated at bid price : 18.55
\nBid-YTW : 4.58 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n2.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 14.37
\nEvaluated at bid price : 14.37
\nBid-YTW : 4.94 %<\/td>\n<\/tr>\n
TD.PR.T<\/td>\nFloatingReset<\/td>\n2.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.94
\nBid-YTW : 4.13 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset<\/td>\n2.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 17.54
\nEvaluated at bid price : 17.54
\nBid-YTW : 4.46 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n2.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.76
\nBid-YTW : 3.94 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n2.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.50
\nBid-YTW : 5.61 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset<\/td>\n2.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 21.04
\nEvaluated at bid price : 21.04
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset<\/td>\n2.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 4.40 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset<\/td>\n2.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.35
\nEvaluated at bid price : 18.35
\nBid-YTW : 4.45 %<\/td>\n<\/tr>\n
MFC.PR.J<\/td>\nFixedReset<\/td>\n2.53 %<\/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 : 6.70 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n2.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.38
\nBid-YTW : 5.95 %<\/td>\n<\/tr>\n
BNS.PR.B<\/td>\nFloatingReset<\/td>\n2.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.95
\nBid-YTW : 4.23 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n2.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 13.75
\nBid-YTW : 9.08 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n2.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 10.51
\nEvaluated at bid price : 10.51
\nBid-YTW : 4.53 %<\/td>\n<\/tr>\n
TD.PR.S<\/td>\nFixedReset<\/td>\n2.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.87
\nBid-YTW : 3.67 %<\/td>\n<\/tr>\n
VNR.PR.A<\/td>\nFixedReset<\/td>\n2.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 20.42
\nEvaluated at bid price : 20.42
\nBid-YTW : 4.57 %<\/td>\n<\/tr>\n
BAM.PF.G<\/td>\nFixedReset<\/td>\n2.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 20.75
\nEvaluated at bid price : 20.75
\nBid-YTW : 4.72 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\n2.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 17.16
\nEvaluated at bid price : 17.16
\nBid-YTW : 4.59 %<\/td>\n<\/tr>\n
BNS.PR.C<\/td>\nFloatingReset<\/td>\n2.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.60
\nBid-YTW : 3.91 %<\/td>\n<\/tr>\n
IAG.PR.G<\/td>\nFixedReset<\/td>\n2.82 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.77
\nBid-YTW : 6.30 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset<\/td>\n2.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.05
\nEvaluated at bid price : 18.05
\nBid-YTW : 4.52 %<\/td>\n<\/tr>\n
HSE.PR.G<\/td>\nFixedReset<\/td>\n2.86 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 22.51
\nEvaluated at bid price : 23.40
\nBid-YTW : 4.70 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n2.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.45
\nBid-YTW : 3.71 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n3.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 13.75
\nEvaluated at bid price : 13.75
\nBid-YTW : 4.19 %<\/td>\n<\/tr>\n
BAM.PR.Z<\/td>\nFixedReset<\/td>\n3.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 4.83 %<\/td>\n<\/tr>\n
BMO.PR.Q<\/td>\nFixedReset<\/td>\n3.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.05
\nBid-YTW : 6.23 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset<\/td>\n3.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.65
\nEvaluated at bid price : 18.65
\nBid-YTW : 4.39 %<\/td>\n<\/tr>\n
HSE.PR.C<\/td>\nFixedReset<\/td>\n3.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 21.82
\nEvaluated at bid price : 22.20
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset<\/td>\n3.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 20.45
\nEvaluated at bid price : 20.45
\nBid-YTW : 4.70 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset<\/td>\n3.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.56
\nEvaluated at bid price : 18.56
\nBid-YTW : 4.61 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset<\/td>\n3.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 19.15
\nEvaluated at bid price : 19.15
\nBid-YTW : 4.40 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset<\/td>\n3.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.45
\nEvaluated at bid price : 18.45
\nBid-YTW : 4.40 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n3.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 10.92
\nEvaluated at bid price : 10.92
\nBid-YTW : 4.36 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset<\/td>\n3.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 19.95
\nEvaluated at bid price : 19.95
\nBid-YTW : 4.55 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n3.93 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 17.17
\nEvaluated at bid price : 17.17
\nBid-YTW : 4.80 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset<\/td>\n4.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.73
\nEvaluated at bid price : 18.73
\nBid-YTW : 4.87 %<\/td>\n<\/tr>\n
BAM.PF.E<\/td>\nFixedReset<\/td>\n4.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.80
\nEvaluated at bid price : 18.80
\nBid-YTW : 4.89 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n4.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.12
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n4.70 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 20.05
\nEvaluated at bid price : 20.05
\nBid-YTW : 4.16 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset<\/td>\n4.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.85
\nBid-YTW : 7.26 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n4.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 16.00
\nEvaluated at bid price : 16.00
\nBid-YTW : 5.06 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset<\/td>\n5.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.50
\nBid-YTW : 6.87 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n5.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.74
\nBid-YTW : 7.57 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset<\/td>\n5.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.30
\nBid-YTW : 7.46 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n5.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 12.60
\nEvaluated at bid price : 12.60
\nBid-YTW : 4.73 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n5.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 15.50
\nBid-YTW : 8.24 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset<\/td>\n5.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.30
\nBid-YTW : 7.01 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset<\/td>\n5.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.04
\nBid-YTW : 7.75 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n6.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 12.20
\nEvaluated at bid price : 12.20
\nBid-YTW : 4.38 %<\/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
TRP.PR.A<\/td>\nFixedReset<\/td>\n83,070<\/td>\nScotia crossed 14,200 at 15.05 and bought blocks of 23,500 and 24,200 from RBC at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 15.05
\nEvaluated at bid price : 15.05
\nBid-YTW : 4.82 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n80,000<\/td>\nScotia crossed blocks of 33,900 and 39,500, both at 14.94.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 14.51
\nEvaluated at bid price : 14.51
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
GWO.PR.S<\/td>\nDeemed-Retractible<\/td>\n65,532<\/td>\nTD crossed 16,900 at 23.75. RBC sold blocks of 23,200 and 11,500 to anonymous, both at 23.50.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.50
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset<\/td>\n61,850<\/td>\nRBC crossed 12,800 at 18.05.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.04
\nEvaluated at bid price : 18.04
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset<\/td>\n60,119<\/td>\nRBC crossed 10,000 at 18.30, then bought 29,600 from GMP at 18.40.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.55
\nEvaluated at bid price : 18.55
\nBid-YTW : 4.58 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset<\/td>\n58,988<\/td>\nRBC crossed 10,000 at 18.55.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 18.67
\nEvaluated at bid price : 18.67
\nBid-YTW : 4.45 %<\/td>\n<\/tr>\n
There were 62 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
MFC.PR.J<\/td>\nFixedReset<\/td>\nQuote: 19.85 – 20.44
\nSpot Rate : 0.5900
\nAverage : 0.3395<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.85
\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n

W.PR.H<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.81 – 23.51
\nSpot Rate : 0.7000
\nAverage : 0.5091<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 22.55
\nEvaluated at bid price : 22.81
\nBid-YTW : 6.07 %<\/td>\n<\/tr>\n

FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.98 – 22.50
\nSpot Rate : 0.5200
\nAverage : 0.3400<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 21.73
\nEvaluated at bid price : 21.98
\nBid-YTW : 5.65 %<\/td>\n<\/tr>\n

BIP.PR.A<\/td>\nFixedReset<\/td>\nQuote: 20.70 – 21.15
\nSpot Rate : 0.4500
\nAverage : 0.3003<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 20.70
\nEvaluated at bid price : 20.70
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n

GWO.PR.L<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.45 – 24.90
\nSpot Rate : 0.4500
\nAverage : 0.3194<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.45
\nBid-YTW : 6.05 %<\/td>\n<\/tr>\n

TD.PF.E<\/td>\nFixedReset<\/td>\nQuote: 20.55 – 21.20
\nSpot Rate : 0.6500
\nAverage : 0.5248<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-10-20
\nMaturity Price : 20.55
\nEvaluated at bid price : 20.55
\nBid-YTW : 4.52 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today, other than Canadian preferred share investors checking out the current value of their portfolios: Click for Big It was another superb day for the Canadian preferred share market (boy, when things snap …<\/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-30957","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/30957","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=30957"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/30957\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=30957"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=30957"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=30957"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}