{"id":31859,"date":"2016-01-06T03:41:01","date_gmt":"2016-01-06T08:41:01","guid":{"rendered":"http:\/\/prefblog.com\/?p=31859"},"modified":"2016-01-06T03:41:01","modified_gmt":"2016-01-06T08:41:01","slug":"january-5-2015","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=31859","title":{"rendered":"January 5, 2016"},"content":{"rendered":"

Nothing happened today, although at time of writing Asian markets are getting hit again<\/a>:<\/p>\n

Asian stocks slumped along with U.S. index futures after China weakened the yuan, underscoring concern the world\u2019s second-largest economy is struggling. The won fell with shares in Seoul after North Korea conducted its fourth nuclear test.<\/p>\n

Japanese equities dropped and contracts on the Standard & Poor\u2019s 500 Indexslid 0.9 percent as of 2:22 p.m. in Tokyo. Kim Jong Un\u2019s regime detonated a hydrogen device at an underground test site in the far northeast, the official Korean Central News Agency said. The yen advanced to a more than two-month high amid demand for safer assets, as Australian government bonds extended their climb and Treasuries advanced for a fifth session. Gold held gains, while zinc led industrial metals lower in London and Shanghai on concerns demand is ebbing in China.
…<\/b>
The Bloomberg-JPMorgan Asia Dollar Index fell to the lowest level since April 2009 as China\u2019s central bank weakened the yuan\u2019s reference rate for the seventh day in a row, heightening the risk of a currency war. The gap between the yuan rate inside China and that for the currency traded offshore expanded, underscoring speculation the government faces pressure to devalue its currency to aid the economy. China\u2019s CSI 300 Index rose 0.4 percent, gaining for a second session after Monday\u2019s 7 percent rout.<\/p><\/blockquote>\n

The Globe’s Rob Carrick touts preferred shares<\/a>:<\/p>\n

Avoid preferred shares then? Not necessarily. In fact, now may be the time to start buying. In a recent note to clients, the independent analyst Harry Levant of IncomeResearch.ca argues that the preferred market may have bottomed late in 2015. His suggestion for locking in a solid yield and possibly profiting from a rebound in prices is to buy an exchange-traded fund called the iShares Preferred Share Index ETF (CPD-T).
…<\/b>
Mr. Levant notes that CPD wasn\u2019t a great choice last year because its portfolio weights rate resets more heavily than the fixed-rate preferred shares that held up comparatively well. With rate resets looking like they may have hit bottom, CPD becomes more attractive.<\/p>\n

The distribution yield for CPD in early January was 4.95 per cent. That\u2019s 4.5 per cent on an after-fee basis, which is roughly double the yield on a 30-year Government of Canada bond. Safe, preferred shares are most assuredly not. But they do have rebound potential now, and a pretty fine yield as well.<\/p><\/blockquote>\n

I’ll note that the distribution yield of 4.95% (or 4.5% after fees) quoted in the article will be as difficult to really understand as anything else with preferred shares these days. On a cash basis, it will overestimate sustainable yield, because there are still a LOT of dividend cuts yet to come although [given a constant GOC-5 yield] we have just about finished with the 40%+ cuts. On the other hand, the calculation of Distribution Yield will not take any account of the special case of insurance company NVCC non-compliant issues – that is, the probability assigned to an extension of the NVCC rules is zero. So prospective buyers should ensure they understand how the quoted yield may change in the future given various interest-rate and regulatory scenarios.<\/p>\n

It looked like it was going to be another horrific day for Canadian preferred shares, but a late afternoon rally upgraded the status to merely appalling.<\/p>\n

Here’s TXPR:<\/p>\n

\"TXPR_160105\"<\/a>
Click for Big<\/i><\/div>\n
\"TXPL_160105\"<\/a>
Click for Big<\/i><\/div>\n

So preferred share investors partied in the streets!<\/p>\n

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

It was an appalling day for the Canadian preferred share market, with PerpetualDiscounts gaining 7bp, FixedResets down 207bp and DeemedRetractibles off 10bp. As might be expected, the Performance Highlights table is an almost solid wall of FixedReset losers, but there were a few winners bouncing back from yesterday<\/a>. Volume picked up to just a little below average.<\/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_160105\"<\/a>
Click for Big<\/i><\/div>\n

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.65 to be $1.00 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.36 cheap at its bid price of 11.81.<\/p>\n

\"impVol_MFC_160105\"<\/a>
Click for Big<\/i><\/div>\n

A big jump in Implied Volatility today, as is usually the case when there is a dramatically poor day. Given this, and the high levels of Implied Volatility generally, I suspect that this means there is something else going on. Low-Spread FixedResets have a higher degree of leverage to future changes in the GOC-5 yield; I think that this is what is being paid for.<\/p>\n

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 18.70 to be 0.35 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 20.66 to be 0.58 cheap.<\/p>\n

\"impVol_BAM_160105\"<\/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 15.86 to be $1.40 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 19.50 and appears to be $0.85 rich.<\/p>\n

\"impVol_FTS_160105\"<\/a>
Click for Big<\/i><\/div>\n

FTS.PR.K, with a spread of +205bp, and bid at 18.24, looks $0.65 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.50 and is $0.51 cheap.<\/p>\n

\"pairs_FR_160105\"<\/a>
Click for Big<\/i><\/div>\n

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.06%, with one outlier above 0.00%, and two below -2.00%. There is one junk outlier below -2.00% and two above 0.00%.<\/p>\n

\"pairs_FF_160105\"<\/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>\n4.85 %<\/td>\n5.88 %<\/td>\n28,780<\/td>\n16.81<\/td>\n1<\/td>\n-1.5471 %<\/td>\n1,605.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n6.82 %<\/td>\n6.05 %<\/td>\n34,824<\/td>\n16.14<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,859.5<\/td>\n<\/tr>\n
Floater<\/td>\n4.21 %<\/td>\n4.35 %<\/td>\n79,991<\/td>\n16.74<\/td>\n4<\/td>\n-0.4439 %<\/td>\n1,813.8<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0795 %<\/td>\n2,744.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.81 %<\/td>\n5.75 %<\/td>\n78,083<\/td>\n1.82<\/td>\n6<\/td>\n-0.0795 %<\/td>\n3,211.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0795 %<\/td>\n2,505.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.79 %<\/td>\n-1.96 %<\/td>\n90,870<\/td>\n0.08<\/td>\n6<\/td>\n0.0659 %<\/td>\n2,525.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.62 %<\/td>\n5.67 %<\/td>\n98,669<\/td>\n14.37<\/td>\n34<\/td>\n0.0706 %<\/td>\n2,558.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.18 %<\/td>\n4.51 %<\/td>\n252,463<\/td>\n14.84<\/td>\n81<\/td>\n-2.0716 %<\/td>\n1,990.1<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.21 %<\/td>\n5.11 %<\/td>\n123,037<\/td>\n5.30<\/td>\n34<\/td>\n-0.0986 %<\/td>\n2,582.6<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.87 %<\/td>\n4.47 %<\/td>\n66,091<\/td>\n5.61<\/td>\n13<\/td>\n-1.4372 %<\/td>\n2,099.2<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset<\/td>\n-5.67 %<\/td>\nReasonably real, as the issue traded 5,022 shares in a range of 18.36-22 before closing at 18.29-82, 1×2. VWAP was 18.62; the last trade of the day was at 2:45pm. We’ll give the market maker a pass on this, even though the closing spread is ridiculous.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.29
\nBid-YTW : 7.40 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset<\/td>\n-4.93 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.70
\nBid-YTW : 7.21 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset<\/td>\n-4.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.05
\nBid-YTW : 7.07 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n-4.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.01
\nBid-YTW : 8.03 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset<\/td>\n-4.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.05
\nEvaluated at bid price : 18.05
\nBid-YTW : 4.34 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset<\/td>\n-4.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.55
\nEvaluated at bid price : 18.55
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset<\/td>\n-4.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 20.92
\nEvaluated at bid price : 20.92
\nBid-YTW : 4.38 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n-4.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 12.23
\nEvaluated at bid price : 12.23
\nBid-YTW : 5.02 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset<\/td>\n-4.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.09
\nBid-YTW : 7.05 %<\/td>\n<\/tr>\n
BAM.PF.F<\/td>\nFixedReset<\/td>\n-4.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 20.57
\nEvaluated at bid price : 20.57
\nBid-YTW : 4.59 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset<\/td>\n-3.99 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 19.51
\nEvaluated at bid price : 19.51
\nBid-YTW : 4.38 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset<\/td>\n-3.99 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.55
\nEvaluated at bid price : 18.55
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset<\/td>\n-3.86 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.41
\nEvaluated at bid price : 18.41
\nBid-YTW : 4.33 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n-3.82 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 13.85
\nEvaluated at bid price : 13.85
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n
MFC.PR.M<\/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 : 19.51
\nBid-YTW : 6.82 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset<\/td>\n-3.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 19.84
\nEvaluated at bid price : 19.84
\nBid-YTW : 4.51 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n-3.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 11.81
\nEvaluated at bid price : 11.81
\nBid-YTW : 4.78 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset<\/td>\n-3.45 %<\/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 : 5.95 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset<\/td>\n-3.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.35
\nEvaluated at bid price : 18.35
\nBid-YTW : 4.46 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset<\/td>\n-3.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.40
\nEvaluated at bid price : 18.40
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n
SLF.PR.I<\/td>\nFixedReset<\/td>\n-3.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.72
\nBid-YTW : 6.71 %<\/td>\n<\/tr>\n
MFC.PR.J<\/td>\nFixedReset<\/td>\n-3.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.10
\nBid-YTW : 6.45 %<\/td>\n<\/tr>\n
IAG.PR.G<\/td>\nFixedReset<\/td>\n-3.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.68
\nBid-YTW : 6.25 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset<\/td>\n-3.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.35
\nEvaluated at bid price : 18.35
\nBid-YTW : 4.29 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n-3.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 15.86
\nEvaluated at bid price : 15.86
\nBid-YTW : 4.84 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset<\/td>\n-3.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.35
\nEvaluated at bid price : 18.35
\nBid-YTW : 4.34 %<\/td>\n<\/tr>\n
BAM.PR.Z<\/td>\nFixedReset<\/td>\n-3.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 20.19
\nEvaluated at bid price : 20.19
\nBid-YTW : 4.72 %<\/td>\n<\/tr>\n
BNS.PR.D<\/td>\nFloatingReset<\/td>\n-3.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 6.21 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset<\/td>\n-3.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.86
\nEvaluated at bid price : 18.86
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-2.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 10.49
\nEvaluated at bid price : 10.49
\nBid-YTW : 4.53 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n-2.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.51
\nEvaluated at bid price : 18.51
\nBid-YTW : 4.34 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset<\/td>\n-2.89 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.45
\nEvaluated at bid price : 18.45
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset<\/td>\n-2.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 17.86
\nEvaluated at bid price : 17.86
\nBid-YTW : 4.41 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset<\/td>\n-2.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.41
\nEvaluated at bid price : 18.41
\nBid-YTW : 4.28 %<\/td>\n<\/tr>\n
MFC.PR.H<\/td>\nFixedReset<\/td>\n-2.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.95
\nBid-YTW : 5.75 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset<\/td>\n-2.82 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.24
\nEvaluated at bid price : 18.24
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n
BAM.PF.G<\/td>\nFixedReset<\/td>\n-2.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 20.80
\nEvaluated at bid price : 20.80
\nBid-YTW : 4.57 %<\/td>\n<\/tr>\n
BNS.PR.C<\/td>\nFloatingReset<\/td>\n-2.73 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.71
\nBid-YTW : 4.77 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n-2.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 17.01
\nEvaluated at bid price : 17.01
\nBid-YTW : 4.60 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset<\/td>\n-2.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 19.38
\nEvaluated at bid price : 19.38
\nBid-YTW : 4.53 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset<\/td>\n-2.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 19.84
\nEvaluated at bid price : 19.84
\nBid-YTW : 4.45 %<\/td>\n<\/tr>\n
BAM.PF.A<\/td>\nFixedReset<\/td>\n-2.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 20.56
\nEvaluated at bid price : 20.56
\nBid-YTW : 4.58 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset<\/td>\n-2.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 19.75
\nEvaluated at bid price : 19.75
\nBid-YTW : 4.36 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n-2.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.75
\nBid-YTW : 6.31 %<\/td>\n<\/tr>\n
BMO.PR.R<\/td>\nFloatingReset<\/td>\n-2.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.20
\nBid-YTW : 4.23 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset<\/td>\n-2.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 20.35
\nEvaluated at bid price : 20.35
\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n
TRP.PR.H<\/td>\nFloatingReset<\/td>\n-2.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 10.03
\nEvaluated at bid price : 10.03
\nBid-YTW : 4.39 %<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n-2.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.67
\nBid-YTW : 6.02 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n-2.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.66
\nBid-YTW : 6.30 %<\/td>\n<\/tr>\n
TD.PR.T<\/td>\nFloatingReset<\/td>\n-2.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.90
\nBid-YTW : 4.43 %<\/td>\n<\/tr>\n
TD.PR.Z<\/td>\nFloatingReset<\/td>\n-2.01 %<\/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 : 4.47 %<\/td>\n<\/tr>\n
NA.PR.Q<\/td>\nFixedReset<\/td>\n-2.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.50
\nBid-YTW : 3.66 %<\/td>\n<\/tr>\n
BNS.PR.B<\/td>\nFloatingReset<\/td>\n-1.99 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.62
\nBid-YTW : 4.66 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset<\/td>\n-1.90 %<\/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 : 9.21 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset<\/td>\n-1.73 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 19.85
\nEvaluated at bid price : 19.85
\nBid-YTW : 4.45 %<\/td>\n<\/tr>\n
BAM.PR.E<\/td>\nRatchet<\/td>\n-1.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.00
\nBid-YTW : 5.88 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n-1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 13.20
\nEvaluated at bid price : 13.20
\nBid-YTW : 4.55 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n-1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.05
\nBid-YTW : 3.80 %<\/td>\n<\/tr>\n
BAM.PF.E<\/td>\nFixedReset<\/td>\n-1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 19.50
\nEvaluated at bid price : 19.50
\nBid-YTW : 4.53 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n-1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 11.40
\nEvaluated at bid price : 11.40
\nBid-YTW : 4.48 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n-1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.72
\nBid-YTW : 4.16 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n-1.33 %<\/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 : 3.86 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.65
\nEvaluated at bid price : 18.65
\nBid-YTW : 4.42 %<\/td>\n<\/tr>\n
HSE.PR.E<\/td>\nFixedReset<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.20
\nEvaluated at bid price : 18.20
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 22.07
\nEvaluated at bid price : 22.36
\nBid-YTW : 5.36 %<\/td>\n<\/tr>\n
BNS.PR.E<\/td>\nFixedReset<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 23.29
\nEvaluated at bid price : 25.47
\nBid-YTW : 5.13 %<\/td>\n<\/tr>\n
BMO.PR.Z<\/td>\nPerpetual-Discount<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 23.29
\nEvaluated at bid price : 23.60
\nBid-YTW : 5.35 %<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset<\/td>\n-1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 19.76
\nEvaluated at bid price : 19.76
\nBid-YTW : 4.74 %<\/td>\n<\/tr>\n
RY.PR.L<\/td>\nFixedReset<\/td>\n-1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.83
\nBid-YTW : 4.09 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n
HSE.PR.G<\/td>\nFixedReset<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.30
\nEvaluated at bid price : 18.30
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
CU.PR.I<\/td>\nFixedReset<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2020-12-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.33
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n
BSC.PR.C<\/td>\nSplitShare<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-09-22
\nMaturity Price : 19.71
\nEvaluated at bid price : 19.74
\nBid-YTW : 4.01 %<\/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 : 24.59
\nBid-YTW : 5.53 %<\/td>\n<\/tr>\n
ENB.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 22.72
\nEvaluated at bid price : 23.01
\nBid-YTW : 6.05 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 20.53
\nEvaluated at bid price : 20.53
\nBid-YTW : 5.55 %<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 21.01
\nEvaluated at bid price : 21.01
\nBid-YTW : 5.68 %<\/td>\n<\/tr>\n
GWO.PR.O<\/td>\nFloatingReset<\/td>\n1.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 12.56
\nBid-YTW : 10.38 %<\/td>\n<\/tr>\n
HSE.PR.C<\/td>\nFixedReset<\/td>\n2.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 5.59 %<\/td>\n<\/tr>\n
VNR.PR.A<\/td>\nFixedReset<\/td>\n4.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 19.31
\nEvaluated at bid price : 19.31
\nBid-YTW : 4.77 %<\/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
RY.PR.Q<\/td>\nFixedReset<\/td>\n647,883<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-05-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.67
\nBid-YTW : 5.02 %<\/td>\n<\/tr>\n
BNS.PR.E<\/td>\nFixedReset<\/td>\n353,322<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 23.29
\nEvaluated at bid price : 25.47
\nBid-YTW : 5.13 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset<\/td>\n52,230<\/td>\nNesbitt crossed 50,000 at 19.75.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 19.51
\nEvaluated at bid price : 19.51
\nBid-YTW : 5.59 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset<\/td>\n26,660<\/td>\nDesjardins bought 14,000 from National at 18.20.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.35
\nEvaluated at bid price : 18.35
\nBid-YTW : 4.34 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset<\/td>\n25,416<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 18.41
\nEvaluated at bid price : 18.41
\nBid-YTW : 4.28 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n24,926<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.27
\nBid-YTW : 3.75 %<\/td>\n<\/tr>\n
There were 28 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
BNS.PR.Z<\/td>\nFixedReset<\/td>\nQuote: 19.75 – 20.39
\nSpot Rate : 0.6400
\nAverage : 0.3788<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.75
\nBid-YTW : 6.31 %<\/td>\n<\/tr>\n

BMO.PR.R<\/td>\nFloatingReset<\/td>\nQuote: 22.20 – 22.83
\nSpot Rate : 0.6300
\nAverage : 0.4149<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.20
\nBid-YTW : 4.23 %<\/td>\n<\/tr>\n

BAM.PR.Z<\/td>\nFixedReset<\/td>\nQuote: 20.19 – 20.83
\nSpot Rate : 0.6400
\nAverage : 0.4388<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 20.19
\nEvaluated at bid price : 20.19
\nBid-YTW : 4.72 %<\/td>\n<\/tr>\n

IFC.PR.C<\/td>\nFixedReset<\/td>\nQuote: 19.05 – 19.70
\nSpot Rate : 0.6500
\nAverage : 0.4595<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.05
\nBid-YTW : 7.07 %<\/td>\n<\/tr>\n

PWF.PR.T<\/td>\nFixedReset<\/td>\nQuote: 22.75 – 23.96
\nSpot Rate : 1.2100
\nAverage : 1.0259<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-05
\nMaturity Price : 22.27
\nEvaluated at bid price : 22.75
\nBid-YTW : 3.59 %<\/td>\n<\/tr>\n

SLF.PR.H<\/td>\nFixedReset<\/td>\nQuote: 17.01 – 17.85
\nSpot Rate : 0.8400
\nAverage : 0.6588<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.01
\nBid-YTW : 8.03 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today, although at time of writing Asian markets are getting hit again: Asian stocks slumped along with U.S. index futures after China weakened the yuan, underscoring concern the world\u2019s second-largest economy is struggling. …<\/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-31859","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/31859","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=31859"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/31859\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=31859"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=31859"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=31859"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}