{"id":48712,"date":"2017-09-19T21:59:00","date_gmt":"2017-09-20T01:59:00","guid":{"rendered":"https:\/\/prefblog.com\/?p=48712"},"modified":"2025-07-24T22:00:07","modified_gmt":"2025-07-25T02:00:07","slug":"september-19-2017","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=48712","title":{"rendered":"September 19, 2017"},"content":{"rendered":"

Bloomberg ran a piece by Maciej Onoszko regarding the Canadian term spread<\/a>:<\/p>\n

\n

The premium investors demand to hold 30-year bonds over two-year securities shrank to as little as 82 basis points this month, the least since 2008, as yields on shorter maturities shot up to a six-year high after the Bank of Canada tightened policy twice in a row. Yields on longer-maturity bonds remain depressed and are trading close to their six-year average.<\/p>\n<\/blockquote>\n

\"canada_230_spread_170919\"<\/a>
Click for Big<\/i><\/div>\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>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.0521 %<\/td>\n2,437.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.0521 %<\/td>\n4,472.9<\/td>\n<\/tr>\n
Floater<\/td>\n3.89 %<\/td>\n3.88 %<\/td>\n106,331<\/td>\n17.68<\/td>\n3<\/td>\n1.0521 %<\/td>\n2,577.8<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1191 %<\/td>\n3,065.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.76 %<\/td>\n4.82 %<\/td>\n86,793<\/td>\n4.44<\/td>\n6<\/td>\n0.1191 %<\/td>\n3,660.4<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1191 %<\/td>\n2,856.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.43 %<\/td>\n4.89 %<\/td>\n54,640<\/td>\n6.00<\/td>\n16<\/td>\n0.0569 %<\/td>\n2,772.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.38 %<\/td>\n5.43 %<\/td>\n64,170<\/td>\n14.63<\/td>\n19<\/td>\n0.0183 %<\/td>\n2,886.1<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.36 %<\/td>\n4.61 %<\/td>\n157,388<\/td>\n6.22<\/td>\n99<\/td>\n0.0711 %<\/td>\n2,404.5<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.14 %<\/td>\n5.65 %<\/td>\n101,530<\/td>\n6.07<\/td>\n31<\/td>\n0.1522 %<\/td>\n2,853.1<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.87 %<\/td>\n2.97 %<\/td>\n52,329<\/td>\n4.09<\/td>\n8<\/td>\n-0.0219 %<\/td>\n2,644.3<\/td>\n<\/tr>\n<\/table>\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
BMO.PR.Y<\/td>\nFixedReset<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2047-09-19
\nMaturity Price : 22.93
\nEvaluated at bid price : 23.88
\nBid-YTW : 4.60 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2047-09-19
\nMaturity Price : 14.42
\nEvaluated at bid price : 14.42
\nBid-YTW : 3.88 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2047-09-19
\nMaturity Price : 14.39
\nEvaluated at bid price : 14.39
\nBid-YTW : 3.89 %<\/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
BAM.PF.J<\/td>\nFixedReset<\/td>\n174,010<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : 4.71 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset<\/td>\n170,048<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.98
\nBid-YTW : 6.80 %<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nDeemed-Retractible<\/td>\n148,450<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-10-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.09
\nBid-YTW : 4.41 %<\/td>\n<\/tr>\n
BNS.PR.B<\/td>\nFloatingReset<\/td>\n130,369<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.73
\nBid-YTW : 2.91 %<\/td>\n<\/tr>\n
BNS.PR.A<\/td>\nFloatingReset<\/td>\n104,900<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-04-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.97
\nBid-YTW : 2.77 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset<\/td>\n103,400<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2047-09-19
\nMaturity Price : 21.39
\nEvaluated at bid price : 21.71
\nBid-YTW : 4.69 %<\/td>\n<\/tr>\n
There were 34 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
TRP.PR.E<\/td>\nFixedReset<\/td>\nQuote: 22.12 – 22.45
\nSpot Rate : 0.3300
\nAverage : 0.2156<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2047-09-19
\nMaturity Price : 21.68
\nEvaluated at bid price : 22.12
\nBid-YTW : 4.76 %<\/td>\n<\/tr>\n

VNR.PR.A<\/td>\nFixedReset<\/td>\nQuote: 22.44 – 22.75
\nSpot Rate : 0.3100
\nAverage : 0.2413<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2047-09-19
\nMaturity Price : 21.93
\nEvaluated at bid price : 22.44
\nBid-YTW : 5.22 %<\/td>\n<\/tr>\n

PWF.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.48 – 24.70
\nSpot Rate : 0.2200
\nAverage : 0.1628<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2047-09-19
\nMaturity Price : 24.22
\nEvaluated at bid price : 24.48
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n

BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.25 – 21.47
\nSpot Rate : 0.2200
\nAverage : 0.1688<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2047-09-19
\nMaturity Price : 21.25
\nEvaluated at bid price : 21.25
\nBid-YTW : 5.62 %<\/td>\n<\/tr>\n

MFC.PR.F<\/td>\nFixedReset<\/td>\nQuote: 17.02 – 17.20
\nSpot Rate : 0.1800
\nAverage : 0.1323<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.02
\nBid-YTW : 8.60 %<\/td>\n<\/tr>\n

HSE.PR.A<\/td>\nFixedReset<\/td>\nQuote: 16.49 – 16.89
\nSpot Rate : 0.4000
\nAverage : 0.3528<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2047-09-19
\nMaturity Price : 16.49
\nEvaluated at bid price : 16.49
\nBid-YTW : 5.04 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Bloomberg ran a piece by Maciej Onoszko regarding the Canadian term spread: The premium investors demand to hold 30-year bonds over two-year securities shrank to as little as 82 basis points this month, the least …<\/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-48712","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48712","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=48712"}],"version-history":[{"count":1,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48712\/revisions"}],"predecessor-version":[{"id":48713,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48712\/revisions\/48713"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=48712"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=48712"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=48712"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}