{"id":44684,"date":"2023-01-23T22:14:41","date_gmt":"2023-01-24T03:14:41","guid":{"rendered":"https:\/\/prefblog.com\/?p=44684"},"modified":"2023-01-23T22:14:41","modified_gmt":"2023-01-24T03:14:41","slug":"january-23-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=44684","title":{"rendered":"January 23, 2023"},"content":{"rendered":"

Nice article titled Inflation risk and the inflation risk premium<\/a> by Geert Bekaert and Xiaozheng Wang<\/p>\n

Another interesting paper was Residential Mortgage Securitization in Canada: A Review<\/a> by Adi Mordel and Nigel Stephens, which showed that the outstanding amount of Canada Mortgage Bonds at the end of 2015 was about $200-billion, whereas slightly under 50-billion of RRBs were outstanding at that time<\/a> (this consultation paper also had good charts regarding liquidity).<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref\u2122 Preferred Indices
\nThese values reflect the December 2008 revision of the HIMIPref\u2122 Indices<\/strong>
\nValues are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
\nCurrent
\nYield
\n(at bid)<\/td>\n		Median
\nYTW<\/td>\n		Median
\nAverage
\nTrading
\nValue<\/td>\n		Median
\nMod Dur
\n(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.0000 %<\/td>\n2,523.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.0000 %<\/td>\n4,840.4<\/td>\n<\/tr>\n
Floater<\/td>\n8.60 %<\/td>\n8.66 %<\/td>\n67,591<\/td>\n10.69<\/td>\n2<\/td>\n1.0000 %<\/td>\n2,789.6<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2488 %<\/td>\n3,371.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.99 %<\/td>\n6.92 %<\/td>\n57,558<\/td>\n2.82<\/td>\n7<\/td>\n-0.2488 %<\/td>\n4,025.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2488 %<\/td>\n3,141.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0264 %<\/td>\n2,879.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.92 %<\/td>\n5.97 %<\/td>\n93,546<\/td>\n13.95<\/td>\n35<\/td>\n0.0264 %<\/td>\n3,139.4<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.30 %<\/td>\n6.93 %<\/td>\n90,499<\/td>\n12.76<\/td>\n62<\/td>\n-0.0526 %<\/td>\n2,287.0<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.82 %<\/td>\n5.93 %<\/td>\n100,503<\/td>\n14.01<\/td>\n20<\/td>\n0.2193 %<\/td>\n3,087.6<\/td>\n<\/tr>\n
FloatingReset<\/td>\n9.60 %<\/td>\n9.94 %<\/td>\n40,687<\/td>\n9.57<\/td>\n2<\/td>\n-0.1565 %<\/td>\n2,588.4<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.58 %<\/td>\n6.34 %<\/td>\n173,394<\/td>\n13.03<\/td>\n2<\/td>\n0.0988 %<\/td>\n2,388.4<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0526 %<\/td>\n2,337.8<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.38 %<\/td>\n6.80 %<\/td>\n54,707<\/td>\n12.82<\/td>\n14<\/td>\n0.4164 %<\/td>\n2,397.8<\/td>\n<\/tr>\n<\/tbody>\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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
CU.PR.H<\/td>\nPerpetual-Discount<\/td>\n-7.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 20.90
\nEvaluated at bid price : 20.90
\nBid-YTW : 6.40 %<\/td>\n<\/tr>\n
BNS.PR.I<\/td>\nFixedReset Disc<\/td>\n-2.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 20.12
\nEvaluated at bid price : 20.12
\nBid-YTW : 6.73 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n-1.87 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 13.10
\nEvaluated at bid price : 13.10
\nBid-YTW : 7.76 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\n-1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 17.42
\nEvaluated at bid price : 17.42
\nBid-YTW : 7.31 %<\/td>\n<\/tr>\n
PVS.PR.K<\/td>\nSplitShare<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.95
\nBid-YTW : 7.02 %<\/td>\n<\/tr>\n
IFC.PR.I<\/td>\nPerpetual-Discount<\/td>\n-1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 22.27
\nEvaluated at bid price : 22.66
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.40
\nBid-YTW : 7.04 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset Disc<\/td>\n-1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 19.84
\nEvaluated at bid price : 19.84
\nBid-YTW : 6.79 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset Disc<\/td>\n-1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 18.22
\nEvaluated at bid price : 18.22
\nBid-YTW : 6.95 %<\/td>\n<\/tr>\n
IFC.PR.K<\/td>\nPerpetual-Discount<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 21.62
\nEvaluated at bid price : 21.95
\nBid-YTW : 6.03 %<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 19.53
\nEvaluated at bid price : 19.53
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nPerpetual-Discount<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 22.97
\nEvaluated at bid price : 23.25
\nBid-YTW : 5.34 %<\/td>\n<\/tr>\n
IAF.PR.I<\/td>\nFixedReset Ins Non<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 21.97
\nEvaluated at bid price : 22.51
\nBid-YTW : 6.42 %<\/td>\n<\/tr>\n
RY.PR.O<\/td>\nPerpetual-Discount<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 22.97
\nEvaluated at bid price : 23.25
\nBid-YTW : 5.34 %<\/td>\n<\/tr>\n
BN.PF.D<\/td>\nPerpetual-Discount<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 20.05
\nEvaluated at bid price : 20.05
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 19.91
\nEvaluated at bid price : 19.91
\nBid-YTW : 5.65 %<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 24.32
\nEvaluated at bid price : 24.63
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset Disc<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 12.26
\nEvaluated at bid price : 12.26
\nBid-YTW : 8.14 %<\/td>\n<\/tr>\n
IFC.PR.F<\/td>\nInsurance Straight<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 21.86
\nEvaluated at bid price : 22.22
\nBid-YTW : 6.02 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 6.49 %<\/td>\n<\/tr>\n
PWF.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 23.99
\nEvaluated at bid price : 24.24
\nBid-YTW : 5.95 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset Disc<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 13.50
\nEvaluated at bid price : 13.50
\nBid-YTW : 7.53 %<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 21.86
\nEvaluated at bid price : 22.10
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
GWO.PR.Y<\/td>\nInsurance Straight<\/td>\n1.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 19.75
\nEvaluated at bid price : 19.75
\nBid-YTW : 5.76 %<\/td>\n<\/tr>\n
BN.PR.B<\/td>\nFloater<\/td>\n1.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 13.25
\nEvaluated at bid price : 13.25
\nBid-YTW : 8.66 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n2.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 12.58
\nEvaluated at bid price : 12.58
\nBid-YTW : 7.57 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n2.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 18.93
\nEvaluated at bid price : 18.93
\nBid-YTW : 7.03 %<\/td>\n<\/tr>\n
CU.PR.E<\/td>\nPerpetual-Discount<\/td>\n4.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 21.45
\nEvaluated at bid price : 21.45
\nBid-YTW : 5.81 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\n4.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 17.80
\nEvaluated at bid price : 17.80
\nBid-YTW : 7.33 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
\nTraded<\/td>\n		Notes<\/td>\n<\/tr>\n
MIC.PR.A<\/td>\nPerpetual-Discount<\/td>\n47,100<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 19.70
\nEvaluated at bid price : 19.70
\nBid-YTW : 6.95 %<\/td>\n<\/tr>\n
TD.PF.I<\/td>\nFixedReset Prem<\/td>\n28,700<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 23.18
\nEvaluated at bid price : 25.00
\nBid-YTW : 6.03 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n28,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 21.38
\nEvaluated at bid price : 21.65
\nBid-YTW : 5.91 %<\/td>\n<\/tr>\n
GWO.PR.T<\/td>\nInsurance Straight<\/td>\n26,800<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 21.62
\nEvaluated at bid price : 21.62
\nBid-YTW : 6.03 %<\/td>\n<\/tr>\n
GWO.PR.Q<\/td>\nInsurance Straight<\/td>\n26,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 21.39
\nEvaluated at bid price : 21.66
\nBid-YTW : 6.00 %<\/td>\n<\/tr>\n
GWO.PR.S<\/td>\nInsurance Straight<\/td>\n21,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 21.69
\nEvaluated at bid price : 21.95
\nBid-YTW : 6.04 %<\/td>\n<\/tr>\n
There were 12 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\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
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\nQuote: 19.53 – 25.08
\nSpot Rate : 5.5500
\nAverage : 3.4249<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 19.53
\nEvaluated at bid price : 19.53
\nBid-YTW : 6.83 %<\/td>\n<\/tr>\n

CU.PR.J<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.25 – 23.50
\nSpot Rate : 3.2500
\nAverage : 1.8554<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 5.97 %<\/td>\n<\/tr>\n

PWF.PR.E<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.12 – 25.80
\nSpot Rate : 2.6800
\nAverage : 1.4881<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 22.84
\nEvaluated at bid price : 23.12
\nBid-YTW : 5.97 %<\/td>\n<\/tr>\n

BN.PR.X<\/td>\nFixedReset Disc<\/td>\nQuote: 16.20 – 18.59
\nSpot Rate : 2.3900
\nAverage : 1.3513<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 16.20
\nEvaluated at bid price : 16.20
\nBid-YTW : 7.40 %<\/td>\n<\/tr>\n

BN.PF.A<\/td>\nFixedReset Disc<\/td>\nQuote: 19.75 – 21.95
\nSpot Rate : 2.2000
\nAverage : 1.4826<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 19.75
\nEvaluated at bid price : 19.75
\nBid-YTW : 7.51 %<\/td>\n<\/tr>\n

CU.PR.H<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.90 – 22.95
\nSpot Rate : 2.0500
\nAverage : 1.3848<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-01-23
\nMaturity Price : 20.90
\nEvaluated at bid price : 20.90
\nBid-YTW : 6.40 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nice article titled Inflation risk and the inflation risk premium by Geert Bekaert and Xiaozheng Wang Another interesting paper was Residential Mortgage Securitization in Canada: A Review by Adi Mordel and Nigel Stephens, which showed …<\/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-44684","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/44684","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=44684"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/44684\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=44684"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=44684"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=44684"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}