{"id":32432,"date":"2016-02-18T03:20:13","date_gmt":"2016-02-18T08:20:13","guid":{"rendered":"http:\/\/prefblog.com\/?p=32432"},"modified":"2016-02-18T03:20:13","modified_gmt":"2016-02-18T08:20:13","slug":"february-17-2015-2","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=32432","title":{"rendered":"February 17, 2015"},"content":{"rendered":"

Equities popped today on the back of oil<\/a>:<\/p>\n

The Standard & Poor\u2019s 500 Index rose 1.7 percent to 1,926.82 at 4 p.m. in New York, capping its first three-day advance this year and closing at a two-week high. The Dow climbed 257.42 points, or 1.6 percent, to 16,453.83. The Nasdaq Composite Index gained 2.2 percent. About 9.2 billion shares traded hands on U.S. exchanges, 14 percent above the three-month average.
…<\/b>
Equity gains are coming virtually as fast as the losses that sent the S&P 500 to its worst start to any year, with almost half of 2016\u2019s decline made up in three days. The rally today occurred as oil climbed more than 5 percent, Federal Reserve officials expressed caution on the economy and data on manufacturing was better than forecast.<\/p><\/blockquote>\n

On the other hand, Japan auctioned 5-year bonds with a negative yield<\/a>:<\/p>\n

Japan\u2019s government got paid to borrow at a five-year note auction for the first time on Thursday after the central bank adopted a negative interest-rate policy on Jan. 29. The sale drew an average yield of minus 0.138 percent. Japan is following Germany, Switzerland and Denmark in being able to attract buyers even as yields fall below zero.<\/p><\/blockquote>\n

One of the many benefits of High Frequency Trading may be the arbitrage between the cash and futures markets<\/a>:<\/p>\n

The close relationship between market volatility and trading activity is a long-established fact in financial markets. In recent years, much of the trading in U.S. Treasury and equity markets has been associated with nearly simultaneous trading between the leading cash and futures platforms. The striking cross-activity patterns that arise in both high-frequency cross-market trading and related cross-market order book changes in U.S. Treasury markets are also witnessed in other asset classes and naturally lead to the question that we investigate in this post of how the cross-market component of overall trading activity is related to volatility.<\/p>\n

The chart below displays a measure of cross-market activity for the ten-year Treasury note cash and futures markets (left column) and the S&P 500 cash and futures markets (right column) across different millisecond offsets. Of note is the pronounced asymmetry of the spike in the measure at +5 milliseconds for the S&P 500 compared with the ten-year U.S. Treasury. The much higher spike for the positive 5 millisecond offset is consistent with the often-cited dominant role played by the S&P futures market in price discovery. Leaving this asymmetry aside, the spikes in cross-market activity on October 15 and 16, 2014, stand out as being well-aligned with the heightened volatility and trading observed on those days. Cross-market trading and quoting activity thus appears to be related to variations in market volatility, which can create (short-lived) dislocations in relative valuations as market participants respond to news about fundamentals or market activity itself.<\/p><\/blockquote>\n

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

It was a superb day for the Canadian preferred share market, with PerpetualDiscounts up 19bp, FixedResets winning 142bp and DeemedRetractibles gaining 12bp. Unsurprisingly, the Performance Highlights table is both enormous and dominated by FixedReset winners, with many issues gaining over 5%. Volume was very 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_160217\"<\/a>
Click for Big<\/i><\/div>\n

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.51 to be $1.16 rich, while TRP.PR.C, resetting 2021-1-30 at +154, is $0.97 cheap at its bid price of 10.36.<\/p>\n

\"impVol_MFC_160217\"<\/a>
Click for Big<\/i><\/div>\n

This analysis includes the new issue<\/a> with a deemed price of 25.00.<\/p>\n

Most expensive is the new issue, resetting at +497bp on 2021-6-19, deemed at 25.00 to be 1.32 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 16.99 to be 1.25 cheap.<\/p>\n

\"impVol_BAM_160217\"<\/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 13.00 to be $1.46 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 17.31 and appears to be $1.62 rich.<\/p>\n

\"impVol_FTS_160217\"<\/a>
Click for Big<\/i><\/div>\n

FTS.PR.K, with a spread of +205bp, and bid at 15.00, looks $0.81 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.00 and is $0.58 cheap.<\/p>\n

\"pairs_FR_160217\"<\/a>
Click for Big<\/i><\/div>\n

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.72%, with four outliers above 0.00%. There are two junk outliers above 0.00%.<\/p>\n

\"pairs_FF_160217\"<\/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>\n5.71 %<\/td>\n6.94 %<\/td>\n15,457<\/td>\n15.53<\/td>\n1<\/td>\n1.2810 %<\/td>\n1,366.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n7.88 %<\/td>\n6.89 %<\/td>\n24,873<\/td>\n15.30<\/td>\n1<\/td>\n1.7722 %<\/td>\n2,523.8<\/td>\n<\/tr>\n
Floater<\/td>\n5.20 %<\/td>\n5.41 %<\/td>\n81,003<\/td>\n14.76<\/td>\n4<\/td>\n3.2983 %<\/td>\n1,473.9<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3516 %<\/td>\n2,746.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.81 %<\/td>\n5.75 %<\/td>\n74,386<\/td>\n2.67<\/td>\n6<\/td>\n0.3516 %<\/td>\n3,213.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3516 %<\/td>\n2,507.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.85 %<\/td>\n5.82 %<\/td>\n83,019<\/td>\n13.87<\/td>\n6<\/td>\n0.1000 %<\/td>\n2,522.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.80 %<\/td>\n5.84 %<\/td>\n99,678<\/td>\n14.13<\/td>\n33<\/td>\n0.1897 %<\/td>\n2,493.1<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.74 %<\/td>\n5.11 %<\/td>\n211,852<\/td>\n14.43<\/td>\n84<\/td>\n1.4227 %<\/td>\n1,768.5<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.34 %<\/td>\n5.81 %<\/td>\n123,857<\/td>\n6.89<\/td>\n34<\/td>\n0.1153 %<\/td>\n2,529.7<\/td>\n<\/tr>\n
FloatingReset<\/td>\n3.11 %<\/td>\n5.02 %<\/td>\n49,790<\/td>\n5.51<\/td>\n16<\/td>\n0.4631 %<\/td>\n1,967.6<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BNS.PR.B<\/td>\nFloatingReset<\/td>\n-1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.08
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n
GWO.PR.O<\/td>\nFloatingReset<\/td>\n-1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 11.15
\nBid-YTW : 12.10 %<\/td>\n<\/tr>\n
BNS.PR.C<\/td>\nFloatingReset<\/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 : 21.50
\nBid-YTW : 5.02 %<\/td>\n<\/tr>\n
TD.PR.Y<\/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 : 23.32
\nBid-YTW : 4.22 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 11.04
\nEvaluated at bid price : 11.04
\nBid-YTW : 5.42 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 16.70
\nEvaluated at bid price : 16.70
\nBid-YTW : 4.58 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 21.47
\nEvaluated at bid price : 21.73
\nBid-YTW : 5.74 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 14.00
\nEvaluated at bid price : 14.00
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.99
\nBid-YTW : 9.04 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 17.40
\nEvaluated at bid price : 17.40
\nBid-YTW : 4.90 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 17.91
\nEvaluated at bid price : 17.91
\nBid-YTW : 4.84 %<\/td>\n<\/tr>\n
SLF.PR.I<\/td>\nFixedReset<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.50
\nBid-YTW : 9.20 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset<\/td>\n1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 18.30
\nEvaluated at bid price : 18.30
\nBid-YTW : 4.85 %<\/td>\n<\/tr>\n
BAM.PR.E<\/td>\nRatchet<\/td>\n1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 11.86
\nBid-YTW : 6.94 %<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.75
\nBid-YTW : 7.00 %<\/td>\n<\/tr>\n
BMO.PR.M<\/td>\nFixedReset<\/td>\n1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.31
\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetual-Discount<\/td>\n1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 22.88
\nEvaluated at bid price : 23.15
\nBid-YTW : 5.30 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 21.33
\nEvaluated at bid price : 21.60
\nBid-YTW : 5.85 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 17.07
\nEvaluated at bid price : 17.07
\nBid-YTW : 4.87 %<\/td>\n<\/tr>\n
W.PR.K<\/td>\nFixedReset<\/td>\n1.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 22.83
\nEvaluated at bid price : 24.10
\nBid-YTW : 5.48 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 13.53
\nEvaluated at bid price : 13.53
\nBid-YTW : 5.02 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset<\/td>\n1.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 16.00
\nEvaluated at bid price : 16.00
\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n
BNS.PR.D<\/td>\nFloatingReset<\/td>\n1.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.58
\nBid-YTW : 7.73 %<\/td>\n<\/tr>\n
PVS.PR.D<\/td>\nSplitShare<\/td>\n1.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2021-10-08
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.30
\nBid-YTW : 6.17 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 12.06
\nBid-YTW : 6.89 %<\/td>\n<\/tr>\n
TD.PF.F<\/td>\nPerpetual-Discount<\/td>\n1.81 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 22.12
\nEvaluated at bid price : 22.46
\nBid-YTW : 5.49 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset<\/td>\n1.98 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 16.52
\nEvaluated at bid price : 16.52
\nBid-YTW : 4.61 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n2.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 8.35
\nEvaluated at bid price : 8.35
\nBid-YTW : 7.09 %<\/td>\n<\/tr>\n
NA.PR.Q<\/td>\nFixedReset<\/td>\n2.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.63
\nBid-YTW : 5.16 %<\/td>\n<\/tr>\n
FTS.PR.I<\/td>\nFloatingReset<\/td>\n2.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 9.42
\nEvaluated at bid price : 9.42
\nBid-YTW : 5.02 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset<\/td>\n2.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 16.00
\nEvaluated at bid price : 16.00
\nBid-YTW : 5.16 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset<\/td>\n2.68 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 19.53
\nEvaluated at bid price : 19.53
\nBid-YTW : 4.06 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n2.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 13.37
\nEvaluated at bid price : 13.37
\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n2.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 11.45
\nBid-YTW : 11.92 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset<\/td>\n2.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 15.78
\nBid-YTW : 9.66 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset<\/td>\n2.81 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 15.00
\nEvaluated at bid price : 15.00
\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n
BAM.PF.G<\/td>\nFixedReset<\/td>\n2.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 5.37 %<\/td>\n<\/tr>\n
BAM.PF.F<\/td>\nFixedReset<\/td>\n3.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 17.51
\nEvaluated at bid price : 17.51
\nBid-YTW : 5.33 %<\/td>\n<\/tr>\n
HSE.PR.E<\/td>\nFixedReset<\/td>\n3.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 15.10
\nEvaluated at bid price : 15.10
\nBid-YTW : 7.18 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n3.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 13.00
\nEvaluated at bid price : 13.00
\nBid-YTW : 5.74 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset<\/td>\n3.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 16.06
\nEvaluated at bid price : 16.06
\nBid-YTW : 5.38 %<\/td>\n<\/tr>\n
BAM.PR.Z<\/td>\nFixedReset<\/td>\n3.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 16.99
\nEvaluated at bid price : 16.99
\nBid-YTW : 5.52 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset<\/td>\n4.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 16.65
\nEvaluated at bid price : 16.65
\nBid-YTW : 4.71 %<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset<\/td>\n4.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 5.28 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset<\/td>\n4.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.90
\nBid-YTW : 8.82 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n4.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 8.86
\nEvaluated at bid price : 8.86
\nBid-YTW : 5.41 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset<\/td>\n4.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.13
\nBid-YTW : 8.70 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n4.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 8.67
\nEvaluated at bid price : 8.67
\nBid-YTW : 5.53 %<\/td>\n<\/tr>\n
HSE.PR.G<\/td>\nFixedReset<\/td>\n4.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 15.26
\nEvaluated at bid price : 15.26
\nBid-YTW : 7.10 %<\/td>\n<\/tr>\n
BAM.PF.A<\/td>\nFixedReset<\/td>\n4.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 17.30
\nEvaluated at bid price : 17.30
\nBid-YTW : 5.35 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n4.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.60
\nBid-YTW : 10.14 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n5.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 12.75
\nBid-YTW : 10.83 %<\/td>\n<\/tr>\n
MFC.PR.K<\/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 : 9.77 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n5.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 12.31
\nBid-YTW : 11.39 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n5.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 8.80
\nEvaluated at bid price : 8.80
\nBid-YTW : 5.44 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n6.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 13.52
\nBid-YTW : 10.17 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n7.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 12.31
\nEvaluated at bid price : 12.31
\nBid-YTW : 5.30 %<\/td>\n<\/tr>\n
BAM.PF.E<\/td>\nFixedReset<\/td>\n7.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 17.31
\nEvaluated at bid price : 17.31
\nBid-YTW : 5.03 %<\/td>\n<\/tr>\n
PWF.PR.Q<\/td>\nFloatingReset<\/td>\n8.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 10.85
\nEvaluated at bid price : 10.85
\nBid-YTW : 4.74 %<\/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
FTS.PR.M<\/td>\nFixedReset<\/td>\n155,067<\/td>\nTD crossed 21,000 at 15.90, followed by blocks of 100,000 and 19,000, both at 16.00.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 16.00
\nEvaluated at bid price : 16.00
\nBid-YTW : 5.16 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n151,934<\/td>\nScotia crossed blocks of 52,800 and 95,400, both at 11.20.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 11.16
\nEvaluated at bid price : 11.16
\nBid-YTW : 4.83 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n114,575<\/td>\nTD crossed 100,000 at 8.70.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 8.86
\nEvaluated at bid price : 8.86
\nBid-YTW : 5.41 %<\/td>\n<\/tr>\n
TD.PF.G<\/td>\nFixedReset<\/td>\n95,049<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 23.25
\nEvaluated at bid price : 25.31
\nBid-YTW : 5.21 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset<\/td>\n90,020<\/td>\nScotia crossed blocks of 50,000 and 25,000, both at 18.25.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 18.23
\nEvaluated at bid price : 18.23
\nBid-YTW : 4.71 %<\/td>\n<\/tr>\n
RY.PR.Q<\/td>\nFixedReset<\/td>\n83,277<\/td>\nRBC crossed 10,000 at 25.40.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 23.28
\nEvaluated at bid price : 25.44
\nBid-YTW : 5.11 %<\/td>\n<\/tr>\n
There were 56 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
FTS.PR.H<\/td>\nFixedReset<\/td>\nQuote: 11.16 – 12.35
\nSpot Rate : 1.1900
\nAverage : 0.7183<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 11.16
\nEvaluated at bid price : 11.16
\nBid-YTW : 4.83 %<\/td>\n<\/tr>\n

MFC.PR.H<\/td>\nFixedReset<\/td>\nQuote: 18.12 – 19.12
\nSpot Rate : 1.0000
\nAverage : 0.6328<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.12
\nBid-YTW : 8.44 %<\/td>\n<\/tr>\n

CIU.PR.C<\/td>\nFixedReset<\/td>\nQuote: 9.82 – 10.57
\nSpot Rate : 0.7500
\nAverage : 0.4374<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 9.82
\nEvaluated at bid price : 9.82
\nBid-YTW : 5.00 %<\/td>\n<\/tr>\n

FTS.PR.G<\/td>\nFixedReset<\/td>\nQuote: 14.00 – 15.00
\nSpot Rate : 1.0000
\nAverage : 0.6993<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 14.00
\nEvaluated at bid price : 14.00
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n

TRP.PR.I<\/td>\nFloatingReset<\/td>\nQuote: 10.75 – 12.00
\nSpot Rate : 1.2500
\nAverage : 1.0157<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 10.75
\nEvaluated at bid price : 10.75
\nBid-YTW : 4.64 %<\/td>\n<\/tr>\n

TRP.PR.A<\/td>\nFixedReset<\/td>\nQuote: 13.53 – 14.19
\nSpot Rate : 0.6600
\nAverage : 0.4437<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-02-17
\nMaturity Price : 13.53
\nEvaluated at bid price : 13.53
\nBid-YTW : 5.02 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Equities popped today on the back of oil: The Standard & Poor\u2019s 500 Index rose 1.7 percent to 1,926.82 at 4 p.m. in New York, capping its first three-day advance this year and closing at …<\/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-32432","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/32432","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=32432"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/32432\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=32432"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=32432"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=32432"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}