{"id":31758,"date":"2015-12-24T22:13:23","date_gmt":"2015-12-25T03:13:23","guid":{"rendered":"http:\/\/prefblog.com\/?p=31758"},"modified":"2015-12-24T22:13:23","modified_gmt":"2015-12-25T03:13:23","slug":"december-24-2015","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=31758","title":{"rendered":"December 24, 2015"},"content":{"rendered":"

Nothing happened today.<\/p>\n

The last day of tax-loss selling season was mixed for the Canadian preferred share market, with PerpetualDiscounts off 5bp, FixedResets gaining 22bp and DeemedRetractibles down 11bp. A lot of churn is still revealed by the Performance Highlights table. Volume was, somewhat surprisingly, above average even though the trading day was foreshortened due to the desire of the most highly paid professionals on earth to get away early.<\/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_151224\"<\/a>
Click for Big<\/i><\/div>\n

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.50 to be $0.97 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.03 cheap at its bid price of 12.20.<\/p>\n

\"impVol_MFC_151224\"<\/a>
Click for Big<\/i><\/div>\n

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 19.50 to be 0.47 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 21.63 to be 0.52 cheap.<\/p>\n

\"impVol_BAM_151224\"<\/a>
Click for Big<\/i><\/div>\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 $1.54 cheap. BAM.PF.F, resetting at +286bp on 2019-9-30 is bid at 21.72 and appears to be $1.04 rich.<\/p>\n

\"impVol_FTS_151224\"<\/a>
Click for Big<\/i><\/div>\n

FTS.PR.K, with a spread of +205bp, and bid at 18.11, looks $0.50 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.20 and is $0.86 cheap.<\/p>\n

\"pairs_FR_151224\"<\/a>
Click for Big<\/i><\/div>\n

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.45%, with one outlier above -0.50%. There are two junk outliers above -0.50% and one below -2.50%.<\/p>\n

\"pairs_FF_151224\"<\/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>\n4.89 %<\/td>\n5.95 %<\/td>\n33,564<\/td>\n16.69<\/td>\n1<\/td>\n-0.7143 %<\/td>\n1,586.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n7.18 %<\/td>\n6.37 %<\/td>\n41,170<\/td>\n15.78<\/td>\n1<\/td>\n0.2273 %<\/td>\n2,717.8<\/td>\n<\/tr>\n
Floater<\/td>\n4.40 %<\/td>\n4.61 %<\/td>\n83,713<\/td>\n16.21<\/td>\n4<\/td>\n-0.8776 %<\/td>\n1,735.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.86 %<\/td>\n4.18 %<\/td>\n26,414<\/td>\n0.67<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,738.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.84 %<\/td>\n5.94 %<\/td>\n84,686<\/td>\n1.86<\/td>\n6<\/td>\n-0.2694 %<\/td>\n3,192.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2694 %<\/td>\n2,491.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.83 %<\/td>\n5.80 %<\/td>\n94,481<\/td>\n13.90<\/td>\n7<\/td>\n-0.1713 %<\/td>\n2,496.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.74 %<\/td>\n5.79 %<\/td>\n106,793<\/td>\n14.18<\/td>\n33<\/td>\n-0.0537 %<\/td>\n2,499.8<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.13 %<\/td>\n4.48 %<\/td>\n274,689<\/td>\n14.73<\/td>\n81<\/td>\n0.2177 %<\/td>\n2,016.3<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.21 %<\/td>\n4.81 %<\/td>\n135,489<\/td>\n5.29<\/td>\n33<\/td>\n-0.1081 %<\/td>\n2,572.2<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.81 %<\/td>\n4.18 %<\/td>\n69,695<\/td>\n5.65<\/td>\n11<\/td>\n-0.5551 %<\/td>\n2,111.2<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset<\/td>\n-3.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 17.60
\nEvaluated at bid price : 17.60
\nBid-YTW : 4.71 %<\/td>\n<\/tr>\n
BNS.PR.B<\/td>\nFloatingReset<\/td>\n-3.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.70
\nBid-YTW : 4.65 %<\/td>\n<\/tr>\n
HSE.PR.G<\/td>\nFixedReset<\/td>\n-2.93 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 18.25
\nEvaluated at bid price : 18.25
\nBid-YTW : 5.98 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset<\/td>\n-2.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 19.17
\nEvaluated at bid price : 19.17
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n-2.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 10.20
\nEvaluated at bid price : 10.20
\nBid-YTW : 4.64 %<\/td>\n<\/tr>\n
BNS.PR.D<\/td>\nFloatingReset<\/td>\n-2.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.57
\nBid-YTW : 6.65 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset<\/td>\n-2.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 21.97
\nEvaluated at bid price : 22.31
\nBid-YTW : 3.68 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n-2.06 %<\/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 : 3.62 %<\/td>\n<\/tr>\n
TD.PR.S<\/td>\nFixedReset<\/td>\n-1.98 %<\/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 : 3.48 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset<\/td>\n-1.97 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 18.40
\nEvaluated at bid price : 18.40
\nBid-YTW : 4.36 %<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset<\/td>\n-1.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 19.70
\nEvaluated at bid price : 19.70
\nBid-YTW : 4.76 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset<\/td>\n-1.79 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 20.30
\nEvaluated at bid price : 20.30
\nBid-YTW : 4.38 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\n-1.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 17.20
\nEvaluated at bid price : 17.20
\nBid-YTW : 4.40 %<\/td>\n<\/tr>\n
PVS.PR.D<\/td>\nSplitShare<\/td>\n-1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2021-10-08
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.45
\nBid-YTW : 6.74 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset<\/td>\n-1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 18.42
\nEvaluated at bid price : 18.42
\nBid-YTW : 4.53 %<\/td>\n<\/tr>\n
BAM.PF.A<\/td>\nFixedReset<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 20.52
\nEvaluated at bid price : 20.52
\nBid-YTW : 4.59 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset<\/td>\n-1.28 %<\/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 : 6.46 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 10.17
\nEvaluated at bid price : 10.17
\nBid-YTW : 4.65 %<\/td>\n<\/tr>\n
GWO.PR.M<\/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 : 25.15
\nBid-YTW : 5.74 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 4.55 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.62
\nBid-YTW : 6.65 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset<\/td>\n-1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 18.11
\nEvaluated at bid price : 18.11
\nBid-YTW : 4.14 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.47
\nBid-YTW : 7.28 %<\/td>\n<\/tr>\n
TD.PR.Z<\/td>\nFloatingReset<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.25
\nBid-YTW : 4.18 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.35
\nBid-YTW : 3.66 %<\/td>\n<\/tr>\n
BNS.PR.C<\/td>\nFloatingReset<\/td>\n-1.03 %<\/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 : 4.60 %<\/td>\n<\/tr>\n
BMO.PR.Z<\/td>\nPerpetual-Discount<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 22.74
\nEvaluated at bid price : 23.11
\nBid-YTW : 5.45 %<\/td>\n<\/tr>\n
GWO.PR.R<\/td>\nDeemed-Retractible<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.26
\nBid-YTW : 7.08 %<\/td>\n<\/tr>\n
TRP.PR.H<\/td>\nFloatingReset<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 9.90
\nEvaluated at bid price : 9.90
\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n
BNS.PR.A<\/td>\nFloatingReset<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.92
\nBid-YTW : 4.04 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 16.00
\nEvaluated at bid price : 16.00
\nBid-YTW : 4.81 %<\/td>\n<\/tr>\n
CU.PR.I<\/td>\nFixedReset<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2020-12-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.00
\nBid-YTW : 3.69 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.36
\nBid-YTW : 6.83 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset<\/td>\n1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 20.27
\nEvaluated at bid price : 20.27
\nBid-YTW : 4.42 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 13.02
\nBid-YTW : 10.01 %<\/td>\n<\/tr>\n
VNR.PR.A<\/td>\nFixedReset<\/td>\n1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 19.10
\nEvaluated at bid price : 19.10
\nBid-YTW : 4.82 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.80
\nBid-YTW : 8.89 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 19.90
\nEvaluated at bid price : 19.90
\nBid-YTW : 5.48 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n1.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 15.05
\nBid-YTW : 8.63 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset<\/td>\n1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 21.36
\nEvaluated at bid price : 21.65
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
MFC.PR.H<\/td>\nFixedReset<\/td>\n1.90 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.07
\nBid-YTW : 5.06 %<\/td>\n<\/tr>\n
BAM.PR.Z<\/td>\nFixedReset<\/td>\n1.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 20.99
\nEvaluated at bid price : 20.99
\nBid-YTW : 4.54 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset<\/td>\n1.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.36
\nBid-YTW : 6.61 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n2.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 19.50
\nEvaluated at bid price : 19.50
\nBid-YTW : 4.12 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n2.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.71
\nBid-YTW : 7.46 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset<\/td>\n2.47 %<\/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 : 6.61 %<\/td>\n<\/tr>\n
BAM.PF.F<\/td>\nFixedReset<\/td>\n3.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 21.40
\nEvaluated at bid price : 21.72
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n3.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.72
\nBid-YTW : 5.62 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n3.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 12.00
\nEvaluated at bid price : 12.00
\nBid-YTW : 5.14 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n3.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 13.80
\nBid-YTW : 9.51 %<\/td>\n<\/tr>\n
SLF.PR.I<\/td>\nFixedReset<\/td>\n5.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.85
\nBid-YTW : 5.94 %<\/td>\n<\/tr>\n
IAG.PR.G<\/td>\nFixedReset<\/td>\n5.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.15
\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n6.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 15.50
\nEvaluated at bid price : 15.50
\nBid-YTW : 4.34 %<\/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
MFC.PR.G<\/td>\nFixedReset<\/td>\n64,200<\/td>\nRBC crossed 50,000 at 21.75.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.63
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n34,558<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 12.20
\nEvaluated at bid price : 12.20
\nBid-YTW : 4.71 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset<\/td>\n29,210<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 17.60
\nEvaluated at bid price : 17.60
\nBid-YTW : 4.71 %<\/td>\n<\/tr>\n
RY.PR.Q<\/td>\nFixedReset<\/td>\n26,664<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-05-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.82
\nBid-YTW : 4.86 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset<\/td>\n25,565<\/td>\nScotia crossed 10,000 at 18.72.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 18.61
\nEvaluated at bid price : 18.61
\nBid-YTW : 4.29 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset<\/td>\n25,197<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 18.75
\nEvaluated at bid price : 18.75
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n
There were 37 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
BAM.PF.F<\/td>\nFixedReset<\/td>\nQuote: 21.72 – 23.00
\nSpot Rate : 1.2800
\nAverage : 0.7552<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 21.40
\nEvaluated at bid price : 21.72
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n

NA.PR.Q<\/td>\nFixedReset<\/td>\nQuote: 25.02 – 25.93
\nSpot Rate : 0.9100
\nAverage : 0.5755<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.02
\nBid-YTW : 3.43 %<\/td>\n<\/tr>\n

VNR.PR.A<\/td>\nFixedReset<\/td>\nQuote: 19.10 – 20.00
\nSpot Rate : 0.9000
\nAverage : 0.5849<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 19.10
\nEvaluated at bid price : 19.10
\nBid-YTW : 4.82 %<\/td>\n<\/tr>\n

BAM.PF.A<\/td>\nFixedReset<\/td>\nQuote: 20.52 – 21.23
\nSpot Rate : 0.7100
\nAverage : 0.4419<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 20.52
\nEvaluated at bid price : 20.52
\nBid-YTW : 4.59 %<\/td>\n<\/tr>\n

TD.PF.E<\/td>\nFixedReset<\/td>\nQuote: 21.65 – 22.40
\nSpot Rate : 0.7500
\nAverage : 0.4968<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 21.36
\nEvaluated at bid price : 21.65
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n

W.PR.K<\/td>\nFixedReset<\/td>\nQuote: 24.40 – 24.95
\nSpot Rate : 0.5500
\nAverage : 0.3051<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-12-24
\nMaturity Price : 22.94
\nEvaluated at bid price : 24.40
\nBid-YTW : 5.34 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. The last day of tax-loss selling season was mixed for the Canadian preferred share market, with PerpetualDiscounts off 5bp, FixedResets gaining 22bp and DeemedRetractibles down 11bp. A lot of churn is still …<\/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-31758","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/31758","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=31758"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/31758\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=31758"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=31758"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=31758"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}