{"id":44690,"date":"2023-01-24T19:47:27","date_gmt":"2023-01-25T00:47:27","guid":{"rendered":"https:\/\/prefblog.com\/?p=44690"},"modified":"2023-01-24T19:47:27","modified_gmt":"2023-01-25T00:47:27","slug":"january-24-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=44690","title":{"rendered":"January 24, 2023"},"content":{"rendered":"<p>Here&#8217;s a few more interesting papers on the inflation risk premium, for those who have been clamouring for them. At some point I hope to highlight them properly, but for now I just want to store the links, because finding them was a pain.<\/p>\n<ul>\n<li><a href=\"https:\/\/www0.gsb.columbia.edu\/faculty\/gbekaert\/papers\/inflation_risk.pdf\">Inflation risk and the inflation risk premium<\/a>, Geert Bekaert and Xiaozheng Wang<\/li>\n<li><a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/joes.12265\">ESTIMATING INFLATION RISK PREMIA USING INFLATION-LINKED BONDS: A REVIEW<\/a>, Alexander Kupfer<\/li>\n<li><a href=\"https:\/\/www2.uibk.ac.at\/downloads\/c4041030\/wpaper\/2014-05.pdf\">The impact of liquidity on inflation-linked bonds: A hypothetical indexed bonds approach<\/a>, Julia Auckenthaler, Alexander Kupfer, Rupert Sendlhofer<\/li>\n<li><a href=\"https:\/\/www.frbsf.org\/wp-content\/uploads\/sites\/4\/wp2020-35.pdf\">Accounting for Low Long-Term Interest Rates: Evidence from Canada<\/a>, Jens H. E. Christensen, Glenn D. Rudebusch, Patrick J. Shultz<\/li>\n<\/ul>\n<p><b>Update, 2023-1-25<\/b>: I was interested in the claim by Kupfer in the second link that:<\/p>\n<blockquote><p>For the United Kingdom, a publication by the Debt Management Office reveals that ILBs \u2018have led to a significant reduction in the cost of funding\u2019 (UK Debt Management Office, 2001, p. 39)<\/p><\/blockquote>\n<p>&#8230; so I looked up <a href=\"https:\/\/www.dmo.gov.uk\/media\/vt5lji4t\/gar0001.pdf\">the reference<\/a>:<\/p>\n<blockquote><p>Index-linked gilts have proved a valuable addition to the Government\u2019s portfolio. In addition to increasing the diversity of the portfolio, index-linked gilts have led to a significant reduction in the cost of funding. This has partly been due to the reduction of inflation risk but more importantly because of the fact that market expectations of inflation have exceeded the inflation outturn for much of the last 20 years<\/p><\/blockquote>\n<table border=\"1\">\n<tbody>\n<tr>\n<td colspan=\"8\"><strong>HIMIPref\u2122 Preferred Indices<br \/>\nThese values reflect the December 2008 revision of the HIMIPref\u2122 Indices<\/strong><br \/>\nValues are provisional and are finalized monthly<\/td>\n<\/tr>\n<tr>\n<td>Index<\/td>\n<td>Mean<br \/>\nCurrent<br \/>\nYield<br \/>\n(at bid)<\/td>\n<td>Median<br \/>\nYTW<\/td>\n<td>Median<br \/>\nAverage<br \/>\nTrading<br \/>\nValue<\/td>\n<td>Median<br \/>\nMod Dur<br \/>\n(YTW)<\/td>\n<td>Issues<\/td>\n<td>Day&#8217;s Perf.<\/td>\n<td>Index Value<\/td>\n<\/tr>\n<tr>\n<td>Ratchet<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>1.1805 %<\/td>\n<td>2,553.5<\/td>\n<\/tr>\n<tr>\n<td>FixedFloater<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>1.1805 %<\/td>\n<td>4,897.6<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>8.50 %<\/td>\n<td>8.63 %<\/td>\n<td>67,342<\/td>\n<td>10.72<\/td>\n<td>2<\/td>\n<td>1.1805 %<\/td>\n<td>2,822.5<\/td>\n<\/tr>\n<tr>\n<td>OpRet<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>0.6812 %<\/td>\n<td>3,393.9<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>4.95 %<\/td>\n<td>6.59 %<\/td>\n<td>60,478<\/td>\n<td>2.82<\/td>\n<td>7<\/td>\n<td>0.6812 %<\/td>\n<td>4,053.1<\/td>\n<\/tr>\n<tr>\n<td>Interest-Bearing<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>0.6812 %<\/td>\n<td>3,162.4<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>0.1770 %<\/td>\n<td>2,884.1<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.91 %<\/td>\n<td>5.97 %<\/td>\n<td>92,840<\/td>\n<td>13.93<\/td>\n<td>35<\/td>\n<td>0.1770 %<\/td>\n<td>3,144.9<\/td>\n<\/tr>\n<tr>\n<td>FixedReset Disc<\/td>\n<td>5.34 %<\/td>\n<td>7.01 %<\/td>\n<td>97,357<\/td>\n<td>12.68<\/td>\n<td>62<\/td>\n<td>-0.7713 %<\/td>\n<td>2,269.4<\/td>\n<\/tr>\n<tr>\n<td>Insurance Straight<\/td>\n<td>5.81 %<\/td>\n<td>5.95 %<\/td>\n<td>97,474<\/td>\n<td>13.96<\/td>\n<td>20<\/td>\n<td>0.0494 %<\/td>\n<td>3,089.1<\/td>\n<\/tr>\n<tr>\n<td>FloatingReset<\/td>\n<td>9.65 %<\/td>\n<td>9.94 %<\/td>\n<td>40,791<\/td>\n<td>9.56<\/td>\n<td>2<\/td>\n<td>-0.4390 %<\/td>\n<td>2,577.0<\/td>\n<\/tr>\n<tr>\n<td>FixedReset Prem<\/td>\n<td>6.59 %<\/td>\n<td>6.28 %<\/td>\n<td>174,064<\/td>\n<td>4.09<\/td>\n<td>2<\/td>\n<td>-0.1579 %<\/td>\n<td>2,384.7<\/td>\n<\/tr>\n<tr>\n<td>FixedReset Bank Non<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>-0.7713 %<\/td>\n<td>2,319.8<\/td>\n<\/tr>\n<tr>\n<td>FixedReset Ins Non<\/td>\n<td>5.41 %<\/td>\n<td>6.82 %<\/td>\n<td>52,671<\/td>\n<td>12.83<\/td>\n<td>14<\/td>\n<td>-0.5055 %<\/td>\n<td>2,385.7<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<table border=\"1\">\n<tbody>\n<tr>\n<td colspan=\"4\"><strong>Performance Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Change<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>CM.PR.O<\/td>\n<td>FixedReset Disc<\/td>\n<td>-5.96 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 17.50<br \/>\nEvaluated at bid price : 17.50<br \/>\nBid-YTW : 7.37 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.M<\/td>\n<td>FixedReset Ins Non<\/td>\n<td>-4.49 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 17.00<br \/>\nEvaluated at bid price : 17.00<br \/>\nBid-YTW : 7.68 %<\/td>\n<\/tr>\n<tr>\n<td>NA.PR.G<\/td>\n<td>FixedReset Disc<\/td>\n<td>-3.50 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 21.50<br \/>\nEvaluated at bid price : 21.50<br \/>\nBid-YTW : 6.68 %<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.T<\/td>\n<td>FixedReset Disc<\/td>\n<td>-2.64 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 18.43<br \/>\nEvaluated at bid price : 18.43<br \/>\nBid-YTW : 7.22 %<\/td>\n<\/tr>\n<tr>\n<td>BMO.PR.T<\/td>\n<td>FixedReset Disc<\/td>\n<td>-2.58 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 17.75<br \/>\nEvaluated at bid price : 17.75<br \/>\nBid-YTW : 7.25 %<\/td>\n<\/tr>\n<tr>\n<td>NA.PR.W<\/td>\n<td>FixedReset Disc<\/td>\n<td>-2.58 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 17.39<br \/>\nEvaluated at bid price : 17.39<br \/>\nBid-YTW : 7.28 %<\/td>\n<\/tr>\n<tr>\n<td>IFC.PR.A<\/td>\n<td>FixedReset Ins Non<\/td>\n<td>-2.49 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 18.04<br \/>\nEvaluated at bid price : 18.04<br \/>\nBid-YTW : 6.66 %<\/td>\n<\/tr>\n<tr>\n<td>BMO.PR.F<\/td>\n<td>FixedReset Disc<\/td>\n<td>-2.42 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 23.77<br \/>\nEvaluated at bid price : 24.20<br \/>\nBid-YTW : 6.69 %<\/td>\n<\/tr>\n<tr>\n<td>CU.PR.D<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-2.33 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 21.00<br \/>\nEvaluated at bid price : 21.00<br \/>\nBid-YTW : 5.94 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.Z<\/td>\n<td>FixedReset Disc<\/td>\n<td>-2.18 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 18.41<br \/>\nEvaluated at bid price : 18.41<br \/>\nBid-YTW : 7.00 %<\/td>\n<\/tr>\n<tr>\n<td>BMO.PR.S<\/td>\n<td>FixedReset Disc<\/td>\n<td>-2.05 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 18.68<br \/>\nEvaluated at bid price : 18.68<br \/>\nBid-YTW : 7.07 %<\/td>\n<\/tr>\n<tr>\n<td>TRP.PR.B<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.86 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 11.58<br \/>\nEvaluated at bid price : 11.58<br \/>\nBid-YTW : 8.31 %<\/td>\n<\/tr>\n<tr>\n<td>NA.PR.S<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.79 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 18.10<br \/>\nEvaluated at bid price : 18.10<br \/>\nBid-YTW : 7.31 %<\/td>\n<\/tr>\n<tr>\n<td>BMO.PR.Y<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.53 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 19.30<br \/>\nEvaluated at bid price : 19.30<br \/>\nBid-YTW : 6.90 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.M<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.51 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 18.92<br \/>\nEvaluated at bid price : 18.92<br \/>\nBid-YTW : 6.87 %<\/td>\n<\/tr>\n<tr>\n<td>CM.PR.Y<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.47 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 23.81<br \/>\nEvaluated at bid price : 24.20<br \/>\nBid-YTW : 6.68 %<\/td>\n<\/tr>\n<tr>\n<td>BN.PF.H<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.44 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2025-12-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 23.95<br \/>\nBid-YTW : 6.77 %<\/td>\n<\/tr>\n<tr>\n<td>FTS.PR.H<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.41 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 13.31<br \/>\nEvaluated at bid price : 13.31<br \/>\nBid-YTW : 7.64 %<\/td>\n<\/tr>\n<tr>\n<td>TRP.PR.D<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.39 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 16.30<br \/>\nEvaluated at bid price : 16.30<br \/>\nBid-YTW : 8.10 %<\/td>\n<\/tr>\n<tr>\n<td>BN.PF.F<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.25 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 17.39<br \/>\nEvaluated at bid price : 17.39<br \/>\nBid-YTW : 8.20 %<\/td>\n<\/tr>\n<tr>\n<td>CM.PR.T<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.24 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 23.37<br \/>\nEvaluated at bid price : 23.85<br \/>\nBid-YTW : 6.51 %<\/td>\n<\/tr>\n<tr>\n<td>FTS.PR.M<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.22 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 17.82<br \/>\nEvaluated at bid price : 17.82<br \/>\nBid-YTW : 7.52 %<\/td>\n<\/tr>\n<tr>\n<td>CM.PR.P<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.21 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 18.00<br \/>\nEvaluated at bid price : 18.00<br \/>\nBid-YTW : 7.03 %<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.G<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.14 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 24.09<br \/>\nEvaluated at bid price : 24.35<br \/>\nBid-YTW : 6.08 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.K<\/td>\n<td>FixedReset Ins Non<\/td>\n<td>-1.13 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 18.30<br \/>\nEvaluated at bid price : 18.30<br \/>\nBid-YTW : 7.18 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.H<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.11 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 18.73<br \/>\nEvaluated at bid price : 18.73<br \/>\nBid-YTW : 6.90 %<\/td>\n<\/tr>\n<tr>\n<td>BN.PF.I<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.09 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 22.15<br \/>\nEvaluated at bid price : 22.71<br \/>\nBid-YTW : 7.15 %<\/td>\n<\/tr>\n<tr>\n<td>SLF.PR.G<\/td>\n<td>FixedReset Ins Non<\/td>\n<td>1.05 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 13.44<br \/>\nEvaluated at bid price : 13.44<br \/>\nBid-YTW : 7.46 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.N<\/td>\n<td>Perpetual-Discount<\/td>\n<td>1.08 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 23.09<br \/>\nEvaluated at bid price : 23.50<br \/>\nBid-YTW : 5.28 %<\/td>\n<\/tr>\n<tr>\n<td>IAF.PR.I<\/td>\n<td>FixedReset Ins Non<\/td>\n<td>1.29 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 22.15<br \/>\nEvaluated at bid price : 22.80<br \/>\nBid-YTW : 6.33 %<\/td>\n<\/tr>\n<tr>\n<td>IAF.PR.B<\/td>\n<td>Insurance Straight<\/td>\n<td>1.37 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 20.78<br \/>\nEvaluated at bid price : 20.78<br \/>\nBid-YTW : 5.60 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.O<\/td>\n<td>Perpetual-Discount<\/td>\n<td>1.55 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 23.18<br \/>\nEvaluated at bid price : 23.61<br \/>\nBid-YTW : 5.25 %<\/td>\n<\/tr>\n<tr>\n<td>BN.PR.K<\/td>\n<td>Floater<\/td>\n<td>2.00 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 13.27<br \/>\nEvaluated at bid price : 13.27<br \/>\nBid-YTW : 8.65 %<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.P<\/td>\n<td>FixedReset Disc<\/td>\n<td>3.21 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 13.52<br \/>\nEvaluated at bid price : 13.52<br \/>\nBid-YTW : 7.53 %<\/td>\n<\/tr>\n<tr>\n<td>CU.PR.H<\/td>\n<td>Perpetual-Discount<\/td>\n<td>8.61 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 22.43<br \/>\nEvaluated at bid price : 22.70<br \/>\nBid-YTW : 5.87 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<table border=\"1\">\n<tbody>\n<tr>\n<td colspan=\"4\"><strong>Volume Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Shares<br \/>\nTraded<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>TD.PF.I<\/td>\n<td>FixedReset Prem<\/td>\n<td>159,546<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 23.13<br \/>\nEvaluated at bid price : 24.85<br \/>\nBid-YTW : 6.07 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.J<\/td>\n<td>FixedReset Disc<\/td>\n<td>86,700<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 20.10<br \/>\nEvaluated at bid price : 20.10<br \/>\nBid-YTW : 6.75 %<\/td>\n<\/tr>\n<tr>\n<td>BMO.PR.E<\/td>\n<td>FixedReset Disc<\/td>\n<td>54,881<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 21.61<br \/>\nEvaluated at bid price : 22.00<br \/>\nBid-YTW : 6.49 %<\/td>\n<\/tr>\n<tr>\n<td>BN.PR.K<\/td>\n<td>Floater<\/td>\n<td>52,300<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 13.27<br \/>\nEvaluated at bid price : 13.27<br \/>\nBid-YTW : 8.65 %<\/td>\n<\/tr>\n<tr>\n<td>BMO.PR.Y<\/td>\n<td>FixedReset Disc<\/td>\n<td>47,153<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 19.30<br \/>\nEvaluated at bid price : 19.30<br \/>\nBid-YTW : 6.90 %<\/td>\n<\/tr>\n<tr>\n<td>BN.PF.H<\/td>\n<td>FixedReset Disc<\/td>\n<td>34,100<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2025-12-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 23.95<br \/>\nBid-YTW : 6.77 %<\/td>\n<\/tr>\n<tr>\n<td colspan=\"4\">There were 13 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<table border=\"1\">\n<tbody>\n<tr>\n<td colspan=\"3\"><strong>Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Quote Data and Yield Notes<\/td>\n<\/tr>\n<tr>\n<td>PVS.PR.J<\/td>\n<td>SplitShare<\/td>\n<td>Quote: 22.61 &#8211; 23.80<br \/>\nSpot Rate  :  1.1900<br \/>\nAverage  :  0.7415<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2028-02-29<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 22.61<br \/>\nBid-YTW : 6.83 %<\/td>\n<\/tr>\n<tr>\n<td>CM.PR.O<\/td>\n<td>FixedReset Disc<\/td>\n<td>Quote: 17.50 &#8211; 18.55<br \/>\nSpot Rate  :  1.0500<br \/>\nAverage  :  0.6329<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 17.50<br \/>\nEvaluated at bid price : 17.50<br \/>\nBid-YTW : 7.37 %<\/td>\n<\/tr>\n<tr>\n<td>BN.PR.N<\/td>\n<td>Perpetual-Discount<\/td>\n<td>Quote: 19.42 &#8211; 20.80<br \/>\nSpot Rate  :  1.3800<br \/>\nAverage  :  0.9879<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 19.42<br \/>\nEvaluated at bid price : 19.42<br \/>\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n<tr>\n<td>BN.PF.A<\/td>\n<td>FixedReset Disc<\/td>\n<td>Quote: 19.82 &#8211; 21.95<br \/>\nSpot Rate  :  2.1300<br \/>\nAverage  :  1.8212<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 19.82<br \/>\nEvaluated at bid price : 19.82<br \/>\nBid-YTW : 7.48 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.B<\/td>\n<td>Insurance Straight<\/td>\n<td>Quote: 20.67 &#8211; 21.48<br \/>\nSpot Rate  :  0.8100<br \/>\nAverage  :  0.5503<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 20.67<br \/>\nEvaluated at bid price : 20.67<br \/>\nBid-YTW : 5.70 %<\/td>\n<\/tr>\n<tr>\n<td>NA.PR.G<\/td>\n<td>FixedReset Disc<\/td>\n<td>Quote: 21.50 &#8211; 22.30<br \/>\nSpot Rate  :  0.8000<br \/>\nAverage  :  0.5434<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2053-01-24<br \/>\nMaturity Price  : 21.50<br \/>\nEvaluated at bid price : 21.50<br \/>\nBid-YTW : 6.68 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>Here&#8217;s a few more interesting papers on the inflation risk premium, for those who have been clamouring for them. At some point I hope to highlight them properly, but for now I just want to &hellip;<\/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-44690","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/44690","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=44690"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/44690\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=44690"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=44690"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=44690"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}