{"id":32309,"date":"2016-01-29T03:14:04","date_gmt":"2016-01-29T08:14:04","guid":{"rendered":"http:\/\/prefblog.com\/?p=32181"},"modified":"2016-01-29T03:14:04","modified_gmt":"2016-01-29T08:14:04","slug":"january-28-2016","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=32309","title":{"rendered":"January 28, 2016"},"content":{"rendered":"

The regulatory push to move trading jobs offshore is showing signs of success<\/a>:<\/p>\n

The $13.2 trillion Treasuries market is getting pushed around more by global developments, the [JPMorgan] analysts wrote in a note titled \u201c24 hour party people redux: Global liquidity in U.S. Treasury futures.\u201d
…<\/b>
Sleep-deprived Wall Street traders aren\u2019t the only ones who should care. It underscores the changing structure of a market where plenty of strange distortions are happening, the analysts said.<\/p>\n

Bond dealers\u2019 trading books are smaller than before the financial crisis, and new regulations are making it more expensive to facilitate trades and provide some types of overnight financing. On top of that, reserve managers at global central banks sold more U.S. debt to raise cash last year, which put more pressure on the balance sheets of the dealers handling that business, the analysts said.<\/p>\n

As a result, more trading is happening in futures relative to cash Treasuries, according to the note, since futures transactions don\u2019t require banks to use their balance sheets. For one 10-year Treasury futures contract, about 5 percent of its volume comes around the open of trading in Tokyo and more than 25 percent is traded around the open in London, the analysts said.<\/p><\/blockquote>\n

To my dismay, the NYT has endorsed a Tobin Tax<\/a>:<\/p>\n

A well-designed financial transaction tax \u2014 one that applies a tiny tax rate to an array of transactions and is split between buyers and sellers \u2014 would be a progressive way to raise substantial revenue without damaging the markets. A new study by researchers at the nonpartisan Tax Policy Center has found that a 0.1 percent tax rate could bring in $66 billion a year, with 40 percent coming from the top 1 percent of income earners and 75 percent from the top 20 percent. As the rate rises, however, traders would most likely curtail their activity. The tax could bring in $76 billion a year if it was set at 0.3 percent, but above that rate, trading would probably decrease and the total revenue raised would start to fall.<\/p>\n

The burden of this tax would be concentrated at the top, because that\u2019s where the ownership of financial assets is concentrated.
…<\/b>
Critics also contend that a financial transaction tax would have damaging effects on trade volume, volatility and the ability of markets to determine asset prices. That is debatable, and setting the tax rate low at first, and raising it gradually, would help avoid potential damage. But the possibility of unintended consequences is not the real obstacle to a broad and prudent financial transaction tax. It is that a majority of lawmakers are not willing to challenge Wall Street\u2019s power. Imposing the tax will take leadership from the next president.<\/p><\/blockquote>\n

My opposition to a Tobin tax was last discussed on December 29, 2015<\/a>.<\/p>\n

A link in Ken Kivenko’s Fund Observer led me to an exhortation from the Consumers Council of Canada<\/a>, which led me to an OSC-commissioned report titled Current Practices for Risk Profiling in Canada And Review of Global Best Practices<\/a>, which led me to a Morningstar paper titled Variable Risk Preference Bias<\/a>:<\/p>\n

The average monthly risk aversion scores from our dataset are shown in Figure 1 along with the S&P 500 Index to illustrate the relation between stock returns and risk aversion over time.<\/p><\/blockquote>\n

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

The OSC report claims that:<\/p>\n

Guillemette and Finke (2014) find that the correlation between a popular risk tolerance assessment score and the S&P 500 was 0.90 (or nearly perfect) during the January 2007 through March 2009 bear market, but then only 0.01 between the remainder of 2009 and April 2012. A review of scores from a 3-question risk tolerance instrument given to employees participating in Morningstar\u2019s Managed Account program shows a similar correlation between S&P values and measured risk tolerance.<\/p><\/blockquote>\n

So that was kind of interesting. But what made me laugh was the paragraph in the Morningstar report that read:<\/p>\n

Differences in the method of compensation provided through share class structure may influence whether the advisor gains from de-biasing a client who is tempted to shift his or her portfolio to safety during an equity market decline. Class A shares compensate the advisor through the payment of an upfront load. Advisors may have an incentive to encourage a client to buy a safer fund (and pay a front-end load) when they feel more risk averse and then sell them another risky fund when their risk aversion declines after prices rise. This provides a disincentive to de-bias a client. Advisors who receive compensation through higher trail commissions (C shares) have no incentive to encourage a client to shift out of risky funds during a temporary increase in risk aversion. Higher trail compensation may provide a valuable de-biasing incentive since the advisor does not need to sell a new fund to receive compensation. We hypothesize that lower 12b-1 fees lead to an incentive for advisors not to de-bias clients since their compensation is increased by catering to investor variable risk preferences by selling them new funds. For example, if the stock market falls and the client becomes more risk averse, an advisor compensated through front-end commissions has a greater incentive to move that client into bonds than an advisor who receives more commissions on a trail basis.<\/p><\/blockquote>\n

Granted, this is in the context of a comparison between transaction-based and asset-based fees, but it still made me laugh. I don’t think that part will be cited in an OSC report any time soon! However, the Morningstar paper also led me to a paper published by the Chicago Fed titled From the Horse\u2019s Mouth: How do Investor Expectations of Risk and Return Vary with Economic Conditions?<\/a>:<\/p>\n

Data obtained from monthly Gallup\/UBS surveys from 1998-2007 and from a special supplement to the Michigan Surveys of Consumer Attitudes, run in 22 monthly surveys between 2000-2005, are used to analyze stock market beliefs and portfolio choices of household investors. We show that the key variables found to be positive predictors of actual stock returns in the asset-pricing literature are also highly correlated with investor\u2019s reported expected returns, but with the opposite sign. Moreover, analysis of the micro data indicates that expectations of both risk and returns on stocks are strongly influenced by perceptions of economic conditions. In particular, when investors believe macroeconomic conditions are more expansionary, they tend to expect both higher returns and lower volatility. This is difficult to reconcile with the canonical view that expected returns on stocks rise during recessions to compensate household investors for increased exposure or sensitivity to macroeconomic risks. Finally, the relevance of these investors\u2019 reported expectations is supported by the finding of a significant link between their expectations and portfolio choices. In particular, we show that portfolio equity positions tend to be higher for those respondents that anticipate higher expected returns or lower uncertainty.<\/p><\/blockquote>\n

So it’s all interesting and goes a long way towards providing comfort that the ‘people are selling because the market is down’ hypothesis has at least some basis in fact.<\/p>\n

Here’s a good illustration about how empty-headed regulatory do-goodism can reduce civil liberties while inflating university costs<\/a>:<\/p>\n

The online admissions application for Auburn University appears simple, until you get to this question on Page 7:<\/p>\n

\u201cHave you ever been charged with or convicted of or pled guilty or nolo contendere to a crime other than a minor traffic offense, or are there any criminal charges now pending against you?\u201d<\/p>\n

Those who check \u201cyes,\u201d even though they have never been convicted of any crime, face extra scrutiny \u2014 a follow-up call from the admissions office asking for additional information, the university says.
…<\/b>
\u201cLots of colleges and universities don\u2019t like the fact that they feel like they have to ask these questions,\u201d said Michael Reilly, the executive director of the American Association of Collegiate Registrars and Admissions Officers. \u201cBut they feel like they do, just because of how prominent some of these cases are of things like sexual assault on college campuses. And they feel like they need to do what they can to screen students.\u201d<\/p><\/blockquote>\n

It was a very good day for the Canadian preferred share market, with PerpetualDiscounts winning 80bp, FixedResets up 64bp and DeemedRetractibles gaining 36bp. There are lots of winners in the Performance Highlights table! Volume was 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_160128\"<\/a>
Click for Big<\/i><\/div>\n

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.25 to be $1.20 rich, while TRP.PR.C, resetting 2021-1-30 at +154, is $0.73 cheap at its bid price of 11.17.<\/p>\n

\"impVol_MFC_160128\"<\/a>
Click for Big<\/i><\/div>\n

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 17.25 to be 0.89 rich, while MFC.PR.F, resetting at +141bp on 2016-6-19, is bid at 11.74 to be 0.88 cheap.<\/p>\n

\"impVol_BAM_160128\"<\/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 13.55 to be $1.69 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 17.61 and appears to be $1.10 rich.<\/p>\n

\"impVol_FTS_160128\"<\/a>
Click for Big<\/i><\/div>\n

FTS.PR.K, with a spread of +205bp, and bid at 15.90, looks $0.38 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 15.50 and is $0.41 cheap.<\/p>\n

\"pairs_FR_160128A\"<\/a>
Click for Big<\/i><\/div>\n

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.81%, with two outliers below -1.50%. There are no junk outliers.<\/p>\n

\"pairs_FF_160128\"<\/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>\n5.30 %<\/td>\n6.43 %<\/td>\n19,181<\/td>\n16.17<\/td>\n1<\/td>\n-1.6154 %<\/td>\n1,473.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n7.66 %<\/td>\n6.69 %<\/td>\n28,181<\/td>\n15.59<\/td>\n1<\/td>\n0.6494 %<\/td>\n2,595.0<\/td>\n<\/tr>\n
Floater<\/td>\n4.65 %<\/td>\n4.79 %<\/td>\n72,305<\/td>\n15.86<\/td>\n4<\/td>\n2.5492 %<\/td>\n1,648.3<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3275 %<\/td>\n2,684.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.92 %<\/td>\n6.90 %<\/td>\n81,025<\/td>\n2.71<\/td>\n6<\/td>\n-0.3275 %<\/td>\n3,141.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3275 %<\/td>\n2,451.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.92 %<\/td>\n5.89 %<\/td>\n84,349<\/td>\n13.87<\/td>\n6<\/td>\n0.1146 %<\/td>\n2,494.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.86 %<\/td>\n5.91 %<\/td>\n101,914<\/td>\n14.00<\/td>\n33<\/td>\n0.7968 %<\/td>\n2,459.4<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.66 %<\/td>\n5.05 %<\/td>\n237,273<\/td>\n14.62<\/td>\n83<\/td>\n0.6386 %<\/td>\n1,823.6<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.29 %<\/td>\n5.78 %<\/td>\n134,694<\/td>\n6.95<\/td>\n34<\/td>\n0.3613 %<\/td>\n2,552.0<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.98 %<\/td>\n4.67 %<\/td>\n58,561<\/td>\n5.57<\/td>\n13<\/td>\n0.1107 %<\/td>\n2,016.2<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
TRP.PR.H<\/td>\nFloatingReset<\/td>\n-2.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 9.13
\nEvaluated at bid price : 9.13
\nBid-YTW : 4.81 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n-2.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 10.90
\nEvaluated at bid price : 10.90
\nBid-YTW : 4.33 %<\/td>\n<\/tr>\n
CCS.PR.C<\/td>\nDeemed-Retractible<\/td>\n-2.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.07
\nBid-YTW : 7.54 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n-2.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 11.90
\nBid-YTW : 11.77 %<\/td>\n<\/tr>\n
CIU.PR.C<\/td>\nFixedReset<\/td>\n-1.89 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 10.39
\nEvaluated at bid price : 10.39
\nBid-YTW : 5.14 %<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nDeemed-Retractible<\/td>\n-1.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.61
\nBid-YTW : 5.63 %<\/td>\n<\/tr>\n
BAM.PR.E<\/td>\nRatchet<\/td>\n-1.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 12.79
\nBid-YTW : 6.43 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset<\/td>\n-1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 17.44
\nEvaluated at bid price : 17.44
\nBid-YTW : 4.94 %<\/td>\n<\/tr>\n
PWF.PR.H<\/td>\nPerpetual-Premium<\/td>\n-1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 23.71
\nEvaluated at bid price : 24.02
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n
MFC.PR.H<\/td>\nFixedReset<\/td>\n-1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.22
\nBid-YTW : 7.66 %<\/td>\n<\/tr>\n
PVS.PR.C<\/td>\nSplitShare<\/td>\n-1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.31
\nBid-YTW : 6.89 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 18.85
\nEvaluated at bid price : 18.85
\nBid-YTW : 4.70 %<\/td>\n<\/tr>\n
TD.PR.T<\/td>\nFloatingReset<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.82
\nBid-YTW : 4.43 %<\/td>\n<\/tr>\n
BNS.PR.B<\/td>\nFloatingReset<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.01
\nBid-YTW : 5.22 %<\/td>\n<\/tr>\n
BNS.PR.D<\/td>\nFloatingReset<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.42
\nBid-YTW : 6.83 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.10
\nBid-YTW : 10.72 %<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nDeemed-Retractible<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.00
\nBid-YTW : 5.25 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.71
\nBid-YTW : 7.21 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 11.74
\nBid-YTW : 12.15 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.41
\nBid-YTW : 4.29 %<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 23.09
\nEvaluated at bid price : 23.35
\nBid-YTW : 5.91 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 16.51
\nEvaluated at bid price : 16.51
\nBid-YTW : 4.81 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 21.84
\nEvaluated at bid price : 22.18
\nBid-YTW : 5.51 %<\/td>\n<\/tr>\n
BAM.PF.H<\/td>\nFixedReset<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2020-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.30
\nBid-YTW : 4.84 %<\/td>\n<\/tr>\n
SLF.PR.C<\/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 : 20.74
\nBid-YTW : 7.14 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nDeemed-Retractible<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.82
\nBid-YTW : 6.60 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 17.25
\nEvaluated at bid price : 17.25
\nBid-YTW : 4.82 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 11.57
\nEvaluated at bid price : 11.57
\nBid-YTW : 5.20 %<\/td>\n<\/tr>\n
BMO.PR.M<\/td>\nFixedReset<\/td>\n1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.48
\nBid-YTW : 3.93 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 10.00
\nEvaluated at bid price : 10.00
\nBid-YTW : 5.13 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 14.19
\nEvaluated at bid price : 14.19
\nBid-YTW : 4.93 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 19.20
\nEvaluated at bid price : 19.20
\nBid-YTW : 5.97 %<\/td>\n<\/tr>\n
HSE.PR.E<\/td>\nFixedReset<\/td>\n1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 14.52
\nEvaluated at bid price : 14.52
\nBid-YTW : 7.60 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset<\/td>\n1.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 17.30
\nEvaluated at bid price : 17.30
\nBid-YTW : 6.35 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset<\/td>\n1.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.25
\nBid-YTW : 8.54 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset<\/td>\n1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 17.06
\nEvaluated at bid price : 17.06
\nBid-YTW : 4.83 %<\/td>\n<\/tr>\n
HSE.PR.C<\/td>\nFixedReset<\/td>\n1.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 13.76
\nEvaluated at bid price : 13.76
\nBid-YTW : 7.41 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n1.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.78
\nBid-YTW : 7.19 %<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 19.45
\nEvaluated at bid price : 19.45
\nBid-YTW : 5.89 %<\/td>\n<\/tr>\n
RY.PR.F<\/td>\nDeemed-Retractible<\/td>\n1.57 %<\/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 : 5.22 %<\/td>\n<\/tr>\n
CU.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 22.26
\nEvaluated at bid price : 22.55
\nBid-YTW : 5.91 %<\/td>\n<\/tr>\n
BMO.PR.Q<\/td>\nFixedReset<\/td>\n1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.56
\nBid-YTW : 7.39 %<\/td>\n<\/tr>\n
CU.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 21.03
\nEvaluated at bid price : 21.03
\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 19.03
\nEvaluated at bid price : 19.03
\nBid-YTW : 6.32 %<\/td>\n<\/tr>\n
BNS.PR.C<\/td>\nFloatingReset<\/td>\n1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.07
\nBid-YTW : 4.51 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n1.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 12.50
\nEvaluated at bid price : 12.50
\nBid-YTW : 4.55 %<\/td>\n<\/tr>\n
GWO.PR.Q<\/td>\nDeemed-Retractible<\/td>\n1.68 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.98
\nBid-YTW : 6.44 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset<\/td>\n1.70 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 17.35
\nEvaluated at bid price : 17.35
\nBid-YTW : 4.53 %<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 20.35
\nEvaluated at bid price : 20.35
\nBid-YTW : 5.89 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset<\/td>\n1.82 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.19
\nBid-YTW : 9.41 %<\/td>\n<\/tr>\n
BAM.PF.D<\/td>\nPerpetual-Discount<\/td>\n1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 19.51
\nEvaluated at bid price : 19.51
\nBid-YTW : 6.36 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset<\/td>\n1.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.25
\nBid-YTW : 9.13 %<\/td>\n<\/tr>\n
RY.PR.K<\/td>\nFloatingReset<\/td>\n2.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.83
\nBid-YTW : 4.76 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n2.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 20.97
\nEvaluated at bid price : 20.97
\nBid-YTW : 5.95 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset<\/td>\n2.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.55
\nBid-YTW : 8.99 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n2.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 19.05
\nEvaluated at bid price : 19.05
\nBid-YTW : 6.32 %<\/td>\n<\/tr>\n
BAM.PF.F<\/td>\nFixedReset<\/td>\n2.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 18.70
\nEvaluated at bid price : 18.70
\nBid-YTW : 5.09 %<\/td>\n<\/tr>\n
MFC.PR.J<\/td>\nFixedReset<\/td>\n2.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.19
\nBid-YTW : 8.70 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n2.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.44
\nBid-YTW : 4.19 %<\/td>\n<\/tr>\n
NA.PR.Q<\/td>\nFixedReset<\/td>\n2.93 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.85
\nBid-YTW : 5.01 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n3.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 8.50
\nEvaluated at bid price : 8.50
\nBid-YTW : 7.29 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n3.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 19.72
\nEvaluated at bid price : 19.72
\nBid-YTW : 5.94 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset<\/td>\n3.70 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.00
\nBid-YTW : 10.74 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n4.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 9.93
\nEvaluated at bid price : 9.93
\nBid-YTW : 4.80 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n4.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 9.85
\nEvaluated at bid price : 9.85
\nBid-YTW : 4.84 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n4.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.51
\nBid-YTW : 4.40 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n4.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 9.95
\nEvaluated at bid price : 9.95
\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n6.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 11.60
\nEvaluated at bid price : 11.60
\nBid-YTW : 5.02 %<\/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
BNS.PR.E<\/td>\nFixedReset<\/td>\n112,233<\/td>\nNesbitt crossed 75,000 at 25.45.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 23.28
\nEvaluated at bid price : 25.43
\nBid-YTW : 5.16 %<\/td>\n<\/tr>\n
TD.PF.G<\/td>\nFixedReset<\/td>\n86,650<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.45
\nBid-YTW : 5.18 %<\/td>\n<\/tr>\n
NA.PR.X<\/td>\nFixedReset<\/td>\n81,645<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 23.09
\nEvaluated at bid price : 24.86
\nBid-YTW : 5.59 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset<\/td>\n78,680<\/td>\nNesbitt crossed 74,500 at 18.27.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 18.03
\nEvaluated at bid price : 18.03
\nBid-YTW : 4.72 %<\/td>\n<\/tr>\n
BAM.PF.C<\/td>\nPerpetual-Discount<\/td>\n73,400<\/td>\nScotia crossed 70,000 at 19.32.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 19.32
\nEvaluated at bid price : 19.32
\nBid-YTW : 6.36 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset<\/td>\n69,756<\/td>\nNesbitt crossed 56,700 at 17.20.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 17.23
\nEvaluated at bid price : 17.23
\nBid-YTW : 4.66 %<\/td>\n<\/tr>\n
There were 30 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.E<\/td>\nFixedReset<\/td>\nQuote: 17.61 – 18.75
\nSpot Rate : 1.1400
\nAverage : 0.7170<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 17.61
\nEvaluated at bid price : 17.61
\nBid-YTW : 5.06 %<\/td>\n<\/tr>\n

MFC.PR.M<\/td>\nFixedReset<\/td>\nQuote: 17.32 – 18.37
\nSpot Rate : 1.0500
\nAverage : 0.6620<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.32
\nBid-YTW : 8.55 %<\/td>\n<\/tr>\n

TRP.PR.C<\/td>\nFixedReset<\/td>\nQuote: 11.17 – 12.10
\nSpot Rate : 0.9300
\nAverage : 0.5588<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 11.17
\nEvaluated at bid price : 11.17
\nBid-YTW : 5.08 %<\/td>\n<\/tr>\n

TRP.PR.B<\/td>\nFixedReset<\/td>\nQuote: 10.00 – 10.70
\nSpot Rate : 0.7000
\nAverage : 0.4075<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 10.00
\nEvaluated at bid price : 10.00
\nBid-YTW : 5.13 %<\/td>\n<\/tr>\n

TRP.PR.A<\/td>\nFixedReset<\/td>\nQuote: 14.19 – 14.90
\nSpot Rate : 0.7100
\nAverage : 0.4527<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-01-28
\nMaturity Price : 14.19
\nEvaluated at bid price : 14.19
\nBid-YTW : 4.93 %<\/td>\n<\/tr>\n

MFC.PR.N<\/td>\nFixedReset<\/td>\nQuote: 17.25 – 17.96
\nSpot Rate : 0.7100
\nAverage : 0.4724<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.25
\nBid-YTW : 8.54 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The regulatory push to move trading jobs offshore is showing signs of success: The $13.2 trillion Treasuries market is getting pushed around more by global developments, the [JPMorgan] analysts wrote in a note titled \u201c24 …<\/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-32309","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/32309","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=32309"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/32309\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=32309"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=32309"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=32309"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}