{"id":42833,"date":"2021-12-22T21:19:33","date_gmt":"2021-12-23T02:19:33","guid":{"rendered":"http:\/\/prefblog.com\/?p=42833"},"modified":"2021-12-22T21:19:33","modified_gmt":"2021-12-23T02:19:33","slug":"december-22-2021","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=42833","title":{"rendered":"December 22, 2021"},"content":{"rendered":"

A little bit of good news alongside the Christmas gloom … settlement times may decrease<\/a>:<\/p>\n

Industry measures mitigate these risks. Notably, the clearinghouse that guarantees trade completion collects collateral from the dealers that are party to the transaction. These collateral requirements reached unprecedented levels during the frenzied trading of 2020 when Canada\u2019s central securities depository, CDS Clearing and Depository Services Inc., cleared 637 million trades \u2014 31% more than in 2019.<\/p>\n

A simpler defence against settlement risk is to shorten the settlement cycle itself, thereby narrowing the window of opportunity for default. In doing so, the industry would benefit, including through lower collateral needs, while further protecting investors.
…<\/b>
When the U.S. House Committee on Financial Services examined events of last January that prompted some U.S. dealers to curtail trading in GameStop and other meme stocks, the clearing and settlement process was a key area of focus. Embroiled U.S. industry executives who testified before the committee described a flawed settlement system and pointed to the billions of dollars in additional collateral that their firms needed to sustain customers\u2019 trading. These witnesses suggested eliminating collateral requirements altogether by moving to real-time settlement.
…<\/b>
While real-time settlement was considered during the U.S.\u2019s recent deliberations, it would have introduced many complications to current market structure, potentially reducing some of the efficiencies dealers and investors benefit from today. Hence the decision to move to T+1 instead.<\/p>\n

The U.S. can autonomously amend its settlement cycle, having one of the world\u2019s deepest, most liquid and efficient financial markets. Canadian markets are so interconnected with those south of the border that failing to align our settlement practices risks severe disruption and inefficiencies to Canadian investors and capital markets. Therefore, as in 2017, Canada will need to mirror the U.S. approach.<\/p><\/blockquote>\n

PerpetualDiscounts now yield 4.81%, equivalent to 6.25% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield 3.40%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened a little to 285bp from the 275bp reported December 15<\/a>.<\/p>\n\n\n\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>\n3.11 %<\/td>\n3.63 %<\/td>\n39,738<\/td>\n19.90<\/td>\n1<\/td>\n0.9729 %<\/td>\n2,809.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-1.7493 %<\/td>\n5,078.8<\/td>\n<\/tr>\n
Floater<\/td>\n3.14 %<\/td>\n3.09 %<\/td>\n66,642<\/td>\n19.50<\/td>\n3<\/td>\n-1.7493 %<\/td>\n2,926.9<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0455 %<\/td>\n3,668.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.68 %<\/td>\n4.35 %<\/td>\n42,779<\/td>\n3.58<\/td>\n6<\/td>\n0.0455 %<\/td>\n4,380.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0455 %<\/td>\n3,418.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.16 %<\/td>\n-8.16 %<\/td>\n43,490<\/td>\n0.09<\/td>\n23<\/td>\n0.2705 %<\/td>\n3,255.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.77 %<\/td>\n4.81 %<\/td>\n56,572<\/td>\n15.83<\/td>\n11<\/td>\n0.1666 %<\/td>\n3,854.1<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n4.06 %<\/td>\n3.90 %<\/td>\n110,566<\/td>\n17.18<\/td>\n42<\/td>\n1.3281 %<\/td>\n2,774.4<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n4.97 %<\/td>\n4.53 %<\/td>\n85,390<\/td>\n15.70<\/td>\n19<\/td>\n0.0862 %<\/td>\n3,653.1<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.65 %<\/td>\n3.02 %<\/td>\n30,281<\/td>\n19.69<\/td>\n2<\/td>\n0.0000 %<\/td>\n2,621.7<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n4.75 %<\/td>\n3.53 %<\/td>\n117,850<\/td>\n2.27<\/td>\n28<\/td>\n-0.1277 %<\/td>\n2,709.0<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.3281 %<\/td>\n2,836.0<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n4.14 %<\/td>\n3.71 %<\/td>\n83,911<\/td>\n17.65<\/td>\n18<\/td>\n0.0754 %<\/td>\n2,921.7<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-4.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 13.26
\nEvaluated at bid price : 13.26
\nBid-YTW : 3.23 %<\/td>\n<\/tr>\n
BNS.PR.I<\/td>\nFixedReset Prem<\/td>\n-4.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 23.13
\nEvaluated at bid price : 24.00
\nBid-YTW : 3.88 %<\/td>\n<\/tr>\n
BAM.PF.G<\/td>\nFixedReset Disc<\/td>\n-3.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n
BAM.PF.E<\/td>\nFixedReset Disc<\/td>\n-2.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 4.64 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n-1.97 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 17.45
\nEvaluated at bid price : 17.45
\nBid-YTW : 3.64 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset Disc<\/td>\n-1.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 16.06
\nEvaluated at bid price : 16.06
\nBid-YTW : 3.90 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset Disc<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 23.01
\nEvaluated at bid price : 24.25
\nBid-YTW : 3.90 %<\/td>\n<\/tr>\n
CM.PR.Y<\/td>\nFixedReset Prem<\/td>\n-1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.21
\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n
CM.PR.T<\/td>\nFixedReset Prem<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.00
\nBid-YTW : 3.78 %<\/td>\n<\/tr>\n
IFC.PR.I<\/td>\nPerpetual-Premium<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2029-03-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.23
\nBid-YTW : 4.60 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset Disc<\/td>\n1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 22.78
\nEvaluated at bid price : 23.50
\nBid-YTW : 3.74 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset Disc<\/td>\n1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 22.15
\nEvaluated at bid price : 22.55
\nBid-YTW : 4.10 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset Disc<\/td>\n1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 19.58
\nEvaluated at bid price : 19.58
\nBid-YTW : 4.46 %<\/td>\n<\/tr>\n
BAM.PF.C<\/td>\nPerpetual-Premium<\/td>\n1.79 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-03-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.00
\nBid-YTW : 4.43 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\n3.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 21.83
\nEvaluated at bid price : 22.26
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n4.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 22.97
\nEvaluated at bid price : 23.95
\nBid-YTW : 3.56 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n4.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 3.77 %<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset Disc<\/td>\n90.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 22.43
\nEvaluated at bid price : 23.15
\nBid-YTW : 4.26 %<\/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
BMO.PR.B<\/td>\nFixedReset Prem<\/td>\n150,300<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.23
\nBid-YTW : 1.68 %<\/td>\n<\/tr>\n
BNS.PR.H<\/td>\nFixedReset Prem<\/td>\n130,400<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-01-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.27
\nBid-YTW : 1.33 %<\/td>\n<\/tr>\n
NA.PR.C<\/td>\nFixedReset Prem<\/td>\n52,650<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-11-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.46
\nBid-YTW : 2.90 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset Disc<\/td>\n46,800<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 20.45
\nEvaluated at bid price : 20.45
\nBid-YTW : 4.41 %<\/td>\n<\/tr>\n
CU.PR.J<\/td>\nPerpetual-Discount<\/td>\n37,570<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 24.60
\nEvaluated at bid price : 24.99
\nBid-YTW : 4.77 %<\/td>\n<\/tr>\n
PWF.PF.A<\/td>\nPerpetual-Discount<\/td>\n19,900<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 24.69
\nEvaluated at bid price : 25.10
\nBid-YTW : 4.53 %<\/td>\n<\/tr>\n
There were 6 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.I<\/td>\nFixedReset Prem<\/td>\nQuote: 24.00 – 25.60
\nSpot Rate : 1.6000
\nAverage : 1.1308<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 23.13
\nEvaluated at bid price : 24.00
\nBid-YTW : 3.88 %<\/td>\n<\/tr>\n

BAM.PR.K<\/td>\nFloater<\/td>\nQuote: 13.26 – 14.30
\nSpot Rate : 1.0400
\nAverage : 0.7988<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 13.26
\nEvaluated at bid price : 13.26
\nBid-YTW : 3.23 %<\/td>\n<\/tr>\n

TD.PF.D<\/td>\nFixedReset Disc<\/td>\nQuote: 24.25 – 24.90
\nSpot Rate : 0.6500
\nAverage : 0.4232<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 23.01
\nEvaluated at bid price : 24.25
\nBid-YTW : 3.90 %<\/td>\n<\/tr>\n

BAM.PF.G<\/td>\nFixedReset Disc<\/td>\nQuote: 21.00 – 21.90
\nSpot Rate : 0.9000
\nAverage : 0.6939<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n

TRP.PR.F<\/td>\nFloatingReset<\/td>\nQuote: 16.30 – 18.50
\nSpot Rate : 2.2000
\nAverage : 2.0093<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 16.30
\nEvaluated at bid price : 16.30
\nBid-YTW : 3.02 %<\/td>\n<\/tr>\n

MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\nQuote: 17.45 – 18.24
\nSpot Rate : 0.7900
\nAverage : 0.6266<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-12-22
\nMaturity Price : 17.45
\nEvaluated at bid price : 17.45
\nBid-YTW : 3.64 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

A little bit of good news alongside the Christmas gloom … settlement times may decrease: Industry measures mitigate these risks. Notably, the clearinghouse that guarantees trade completion collects collateral from the dealers that are party …<\/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-42833","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/42833","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=42833"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/42833\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=42833"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=42833"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=42833"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}