{"id":32656,"date":"2016-03-09T02:39:28","date_gmt":"2016-03-09T07:39:28","guid":{"rendered":"http:\/\/prefblog.com\/?p=32656"},"modified":"2016-03-09T02:39:28","modified_gmt":"2016-03-09T07:39:28","slug":"march-8-2016","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=32656","title":{"rendered":"March 8, 2016"},"content":{"rendered":"

Assiduous Readers will remember covered bonds<\/a> – issues that are guaranteed both by the issuing bank and by a mortgage pool. This results in high ratings – for instance Royal Bank’s covered bonds are rated AAA by DBRS<\/a>. So … having sovereign-style credit ratings leads to sovereign-style prices<\/a>:<\/p>\n

The first non-government issuer just got paid to borrow in euros.<\/p>\n

Berlin Hyp AG sold 500 million euros ($550 million) of three-year covered bonds priced to yield minus 0.162 percent on Tuesday, according to data compiled by Bloomberg. The sale followed the euro area\u2019s first zero-coupon covered bond, sold last month by another German issuer, Landesbank Hessen-Thueringen Girozentrale.
…<\/b>
In the secondary market, almost 70 percent of German covered bonds have yields of less than zero, according to HSBC data tracking issues of at least 500 million euros. Issuers have extended maturities in the last month to avoid selling bonds with negative yields, said Matthias Melms, an analyst at NordLB.<\/p>\n

\u201cThere seems too little concern that the market has become more and more distorted or even impaired,\u201d said Bernd Volk, head of European covered and agency bond research at Deutsche Bank AG.<\/p>\n

Berlin Hyp is majority-owned by Germany\u2019s savings banks, which are supported by the nation\u2019s states and municipalities.<\/p><\/blockquote>\n

Assiduous Reader AP writes in with a link to a piece about robot (and drone!) law<\/a>:<\/p>\n

OK, let\u2019s say there\u2019s no hack, but a self-driving car still crashes. What\u2019s the driver\u2019s responsibility?<\/b><\/p>\n

On the self-driving cars that are being tested right now, the carmakers want the driver paying attention\u2014and right now, they\u2019re not doing it. They\u2019re playing cards. That\u2019s a little scary. And even if driver is well-intentioned, sitting there alert, it\u2019s hard to stay alert for a long drive if you have nothing to do. This is the problem of \u201cunintentional inattention,\u201d and it goes well beyond cars.<\/p>\n

Imagine you\u2019ve got robot mall cops. There\u2019s eight of them running around the mall and one guy in a room someplace looking at eight TV screens. He\u2019s bored out of his mind, falling asleep. Then something happens, and it\u2019s his fault because he\u2019s asleep at the switch. Sometimes this is called the \u201chuman in the loop\u201d problem. Autonomy seems dangerous, so you put a human in the loop. But that person\u2019s job is very passive. It\u2019s tough to do, and it may be a low-wage, low-status job. Then you blame the person who fails to monitor, even though the system sets them up for the fall. That\u2019s not a good design, but I don\u2019t know what the answer is.<\/p><\/blockquote>\n

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts off 25bp, FixedResets losing 101bp and DeemedRetractibles down 80b. The Performance Highlights table is predictably lengthy. Volume was well above 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_160308\"<\/a>
Click for Big<\/i><\/div>\n

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.00 to be $1.54 rich, while TRP.PR.C, resetting 2021-1-30 at +296, is $1.11 cheap at its bid price of 11.07.<\/p>\n

\"impVol_MFC_160308\"<\/a>
Click for Big<\/i><\/div>\n

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 17.50 to be 1.14 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.49 to be 1.33 cheap.<\/p>\n

\"impVol_BAM_160308\"<\/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 13.77 to be $1.29 cheap. BAM.PF.E, resetting at +255 on 2020-3-31 is bid at 17.75 and appears to be $1.41 rich.<\/p>\n

\"impVol_FTS_160308\"<\/a>
Click for Big<\/i><\/div>\n

FTS.PR.K, with a spread of +205bp, and bid at 15.32 looks $0.58 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 11.20 and is $0.31 cheap.<\/p>\n

\"pairs_FR_160308\"<\/a>
Click for Big<\/i><\/div>\n

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.02%, with one outlier below -2.00% and two above 0.00%. There are no junk outliers.<\/p>\n

\"pairs_FF_160308\"<\/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>\n5.11 %<\/td>\n6.21 %<\/td>\n12,617<\/td>\n16.42<\/td>\n1<\/td>\n2.9526 %<\/td>\n1,534.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n7.27 %<\/td>\n6.38 %<\/td>\n24,247<\/td>\n15.88<\/td>\n1<\/td>\n2.1094 %<\/td>\n2,735.2<\/td>\n<\/tr>\n
Floater<\/td>\n4.55 %<\/td>\n4.75 %<\/td>\n74,148<\/td>\n15.86<\/td>\n4<\/td>\n-1.2372 %<\/td>\n1,684.0<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0471 %<\/td>\n2,748.8<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.84 %<\/td>\n5.73 %<\/td>\n73,249<\/td>\n2.64<\/td>\n7<\/td>\n0.0471 %<\/td>\n3,216.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0471 %<\/td>\n2,509.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.82 %<\/td>\n0.80 %<\/td>\n75,293<\/td>\n0.08<\/td>\n6<\/td>\n-0.1521 %<\/td>\n2,535.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.71 %<\/td>\n5.78 %<\/td>\n100,198<\/td>\n14.13<\/td>\n33<\/td>\n-0.2542 %<\/td>\n2,532.8<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.56 %<\/td>\n5.10 %<\/td>\n208,689<\/td>\n14.46<\/td>\n86<\/td>\n-1.0052 %<\/td>\n1,828.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.30 %<\/td>\n5.60 %<\/td>\n115,808<\/td>\n5.13<\/td>\n34<\/td>\n-0.8018 %<\/td>\n2,565.1<\/td>\n<\/tr>\n
FloatingReset<\/td>\n3.11 %<\/td>\n4.89 %<\/td>\n40,945<\/td>\n5.46<\/td>\n16<\/td>\n-0.9745 %<\/td>\n1,969.8<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BAM.PR.Z<\/td>\nFixedReset<\/td>\n-5.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 17.41
\nEvaluated at bid price : 17.41
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\n-4.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 15.02
\nEvaluated at bid price : 15.02
\nBid-YTW : 5.00 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n-4.68 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 11.20
\nEvaluated at bid price : 11.20
\nBid-YTW : 5.04 %<\/td>\n<\/tr>\n
TRP.PR.I<\/td>\nFloatingReset<\/td>\n-4.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 10.51
\nEvaluated at bid price : 10.51
\nBid-YTW : 4.76 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n-4.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 13.77
\nEvaluated at bid price : 13.77
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n
TRP.PR.H<\/td>\nFloatingReset<\/td>\n-4.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 9.00
\nEvaluated at bid price : 9.00
\nBid-YTW : 4.77 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n-3.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 9.00
\nEvaluated at bid price : 9.00
\nBid-YTW : 6.95 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n-3.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 12.95
\nEvaluated at bid price : 12.95
\nBid-YTW : 5.27 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n-3.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 15.95
\nEvaluated at bid price : 15.95
\nBid-YTW : 5.00 %<\/td>\n<\/tr>\n
HSE.PR.E<\/td>\nFixedReset<\/td>\n-3.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 17.04
\nEvaluated at bid price : 17.04
\nBid-YTW : 6.51 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n-3.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 10.52
\nEvaluated at bid price : 10.52
\nBid-YTW : 4.83 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset<\/td>\n-2.89 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 16.80
\nEvaluated at bid price : 16.80
\nBid-YTW : 4.73 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset<\/td>\n-2.70 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 15.86
\nEvaluated at bid price : 15.86
\nBid-YTW : 5.04 %<\/td>\n<\/tr>\n
VNR.PR.A<\/td>\nFixedReset<\/td>\n-2.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 16.67
\nEvaluated at bid price : 16.67
\nBid-YTW : 5.49 %<\/td>\n<\/tr>\n
MFC.PR.J<\/td>\nFixedReset<\/td>\n-2.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 8.78 %<\/td>\n<\/tr>\n
HSE.PR.C<\/td>\nFixedReset<\/td>\n-2.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 15.35
\nEvaluated at bid price : 15.35
\nBid-YTW : 6.68 %<\/td>\n<\/tr>\n
BMO.PR.Q<\/td>\nFixedReset<\/td>\n-2.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 8.12 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset<\/td>\n-2.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 18.01
\nEvaluated at bid price : 18.01
\nBid-YTW : 4.88 %<\/td>\n<\/tr>\n
BNS.PR.B<\/td>\nFloatingReset<\/td>\n-2.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.50
\nBid-YTW : 5.76 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset<\/td>\n-2.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 15.32
\nEvaluated at bid price : 15.32
\nBid-YTW : 4.87 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n-2.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 11.07
\nEvaluated at bid price : 11.07
\nBid-YTW : 5.16 %<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset<\/td>\n-2.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 18.40
\nEvaluated at bid price : 18.40
\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n-2.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 11.40
\nEvaluated at bid price : 11.40
\nBid-YTW : 4.18 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset<\/td>\n-2.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 16.91
\nEvaluated at bid price : 16.91
\nBid-YTW : 4.66 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\n-1.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.56
\nBid-YTW : 7.43 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset<\/td>\n-1.89 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 17.11
\nEvaluated at bid price : 17.11
\nBid-YTW : 4.63 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nDeemed-Retractible<\/td>\n-1.89 %<\/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 : 7.03 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset<\/td>\n-1.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 17.70
\nEvaluated at bid price : 17.70
\nBid-YTW : 4.84 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset<\/td>\n-1.86 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 16.90
\nEvaluated at bid price : 16.90
\nBid-YTW : 4.91 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n-1.86 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.07
\nBid-YTW : 7.61 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset<\/td>\n-1.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 17.10
\nEvaluated at bid price : 17.10
\nBid-YTW : 4.81 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n-1.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 11.98
\nEvaluated at bid price : 11.98
\nBid-YTW : 4.88 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n-1.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.80
\nBid-YTW : 7.39 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset<\/td>\n-1.77 %<\/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 : 9.73 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nDeemed-Retractible<\/td>\n-1.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.07
\nBid-YTW : 7.53 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n-1.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 11.65
\nEvaluated at bid price : 11.65
\nBid-YTW : 5.06 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nDeemed-Retractible<\/td>\n-1.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.05
\nBid-YTW : 7.60 %<\/td>\n<\/tr>\n
BAM.PF.A<\/td>\nFixedReset<\/td>\n-1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 17.75
\nEvaluated at bid price : 17.75
\nBid-YTW : 5.38 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nDeemed-Retractible<\/td>\n-1.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.54
\nBid-YTW : 6.90 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.01
\nBid-YTW : 7.57 %<\/td>\n<\/tr>\n
BNS.PR.F<\/td>\nFloatingReset<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.17
\nBid-YTW : 7.68 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset<\/td>\n-1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.50
\nBid-YTW : 8.27 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset<\/td>\n-1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 17.09
\nEvaluated at bid price : 17.09
\nBid-YTW : 4.73 %<\/td>\n<\/tr>\n
HSE.PR.G<\/td>\nFixedReset<\/td>\n-1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 17.15
\nEvaluated at bid price : 17.15
\nBid-YTW : 6.46 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset<\/td>\n-1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 16.75
\nEvaluated at bid price : 16.75
\nBid-YTW : 5.08 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset<\/td>\n-1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 16.98
\nEvaluated at bid price : 16.98
\nBid-YTW : 4.78 %<\/td>\n<\/tr>\n
BNS.PR.C<\/td>\nFloatingReset<\/td>\n-1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.98
\nBid-YTW : 5.53 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n-1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 21.16
\nEvaluated at bid price : 21.16
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n
GWO.PR.R<\/td>\nDeemed-Retractible<\/td>\n-1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.32
\nBid-YTW : 7.05 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 16.60
\nEvaluated at bid price : 16.60
\nBid-YTW : 4.78 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n-1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 21.95
\nEvaluated at bid price : 22.19
\nBid-YTW : 5.81 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n-1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 11.50
\nBid-YTW : 11.81 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset<\/td>\n-1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.65
\nBid-YTW : 8.22 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 17.18
\nEvaluated at bid price : 17.18
\nBid-YTW : 4.55 %<\/td>\n<\/tr>\n
GWO.PR.O<\/td>\nFloatingReset<\/td>\n-1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 11.06
\nBid-YTW : 12.16 %<\/td>\n<\/tr>\n
GWO.PR.P<\/td>\nDeemed-Retractible<\/td>\n-1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.73
\nBid-YTW : 6.14 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset<\/td>\n-1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 18.22
\nEvaluated at bid price : 18.22
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetual-Discount<\/td>\n-1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 22.71
\nEvaluated at bid price : 23.00
\nBid-YTW : 5.36 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.20
\nBid-YTW : 9.55 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 4.63 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n-1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.49
\nBid-YTW : 6.99 %<\/td>\n<\/tr>\n
MFC.PR.H<\/td>\nFixedReset<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.15
\nBid-YTW : 7.62 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.49
\nBid-YTW : 8.60 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 10.01
\nEvaluated at bid price : 10.01
\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n
FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 21.65
\nEvaluated at bid price : 21.90
\nBid-YTW : 5.62 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 16.81
\nEvaluated at bid price : 16.81
\nBid-YTW : 4.65 %<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.81
\nBid-YTW : 7.05 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 14.75
\nEvaluated at bid price : 14.75
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n
BMO.PR.M<\/td>\nFixedReset<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.50
\nBid-YTW : 3.99 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 20.38
\nEvaluated at bid price : 20.38
\nBid-YTW : 5.69 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.80
\nBid-YTW : 3.94 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset<\/td>\n1.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 16.91
\nEvaluated at bid price : 16.91
\nBid-YTW : 4.68 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset<\/td>\n2.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 19.40
\nEvaluated at bid price : 19.40
\nBid-YTW : 4.71 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n2.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 25.00
\nEvaluated at bid price : 13.07
\nBid-YTW : 6.38 %<\/td>\n<\/tr>\n
BAM.PR.E<\/td>\nRatchet<\/td>\n2.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 25.00
\nEvaluated at bid price : 13.25
\nBid-YTW : 6.21 %<\/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.R<\/td>\nFixedReset<\/td>\n451,304<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-08-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.22
\nBid-YTW : 5.35 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset<\/td>\n131,588<\/td>\nRBC crossed 10,000 at 17.15. Desjardins crossed blocks of 16,800 and 100,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 16.80
\nEvaluated at bid price : 16.80
\nBid-YTW : 4.73 %<\/td>\n<\/tr>\n
RY.PR.Q<\/td>\nFixedReset<\/td>\n120,522<\/td>\nTD crossed two blocks of 39,000 each, both at 25.50.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 23.29
\nEvaluated at bid price : 25.45
\nBid-YTW : 5.21 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset<\/td>\n120,516<\/td>\nNesbitt crossed blocks of 50,000 and 61,600, both at 17.00.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 16.90
\nEvaluated at bid price : 16.90
\nBid-YTW : 4.91 %<\/td>\n<\/tr>\n
CU.PR.I<\/td>\nFixedReset<\/td>\n67,932<\/td>\nRBC crossed 50,000 at 25.20.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 23.23
\nEvaluated at bid price : 25.15
\nBid-YTW : 4.38 %<\/td>\n<\/tr>\n
TD.PF.G<\/td>\nFixedReset<\/td>\n64,167<\/td>\nTD crossed 39,000 at 25.50.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 23.30
\nEvaluated at bid price : 25.46
\nBid-YTW : 5.28 %<\/td>\n<\/tr>\n
There were 45 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
TD.PR.T<\/td>\nFloatingReset<\/td>\nQuote: 21.36 – 22.22
\nSpot Rate : 0.8600
\nAverage : 0.5746<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.36
\nBid-YTW : 4.89 %<\/td>\n<\/tr>\n

TRP.PR.H<\/td>\nFloatingReset<\/td>\nQuote: 9.00 – 9.74
\nSpot Rate : 0.7400
\nAverage : 0.4833<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 9.00
\nEvaluated at bid price : 9.00
\nBid-YTW : 4.77 %<\/td>\n<\/tr>\n

TD.PF.A<\/td>\nFixedReset<\/td>\nQuote: 16.80 – 17.39
\nSpot Rate : 0.5900
\nAverage : 0.3668<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 16.80
\nEvaluated at bid price : 16.80
\nBid-YTW : 4.73 %<\/td>\n<\/tr>\n

BAM.PR.Z<\/td>\nFixedReset<\/td>\nQuote: 17.41 – 17.99
\nSpot Rate : 0.5800
\nAverage : 0.3890<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 17.41
\nEvaluated at bid price : 17.41
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n

GWO.PR.O<\/td>\nFloatingReset<\/td>\nQuote: 11.06 – 12.00
\nSpot Rate : 0.9400
\nAverage : 0.7574<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 11.06
\nBid-YTW : 12.16 %<\/td>\n<\/tr>\n

FTS.PR.M<\/td>\nFixedReset<\/td>\nQuote: 16.75 – 17.30
\nSpot Rate : 0.5500
\nAverage : 0.3753<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-03-08
\nMaturity Price : 16.75
\nEvaluated at bid price : 16.75
\nBid-YTW : 5.08 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Assiduous Readers will remember covered bonds – issues that are guaranteed both by the issuing bank and by a mortgage pool. This results in high ratings – for instance Royal Bank’s covered bonds are rated …<\/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-32656","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/32656","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=32656"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/32656\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=32656"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=32656"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=32656"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}