{"id":49737,"date":"2018-10-18T20:54:00","date_gmt":"2018-10-19T00:54:00","guid":{"rendered":"https:\/\/prefblog.com\/?p=49737"},"modified":"2025-08-25T20:55:10","modified_gmt":"2025-08-26T00:55:10","slug":"october-18-2018","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=49737","title":{"rendered":"October 18, 2018"},"content":{"rendered":"

An article by Andrew Allentuck in Investment Executive titled What is safety worth to fixed-income investors?<\/a> led me to a 2017 paper by Maxime Leboeuf and James Pinnington titled What Explains the Recent Increase in Canadian Corporate Bond Spreads<\/a>:<\/p>\n

\n

The spread between the yield of a corporate bond and the yield of a similar Government of Canada bond reflects compensation for possible default by the issuing firm and compensation for additional risks beyond default. Using the approach proposed by Gilchrist and Zakraj\u0161ek (2012), we find that roughly two-thirds of the total 1.2-percentage-point increase in corporate bond spreads from July 2014 to September 2016\u2014a period when oil prices were low\u2014is due to higher compensation for possible default. Default risk explains most of the increase of spreads for energy and high-yield firms but explains almost none of the increase for financial and investment-grade firms. This suggests that liquidity risk and other factors beyond possible default affected spreads of financial and other investment-grade firms.<\/p>\n<\/blockquote>\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>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2238 %<\/td>\n3,193.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2238 %<\/td>\n5,859.0<\/td>\n<\/tr>\n
Floater<\/td>\n3.40 %<\/td>\n3.59 %<\/td>\n39,663<\/td>\n18.33<\/td>\n4<\/td>\n0.2238 %<\/td>\n3,376.6<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1032 %<\/td>\n3,228.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.61 %<\/td>\n4.82 %<\/td>\n52,955<\/td>\n4.72<\/td>\n5<\/td>\n0.1032 %<\/td>\n3,855.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1032 %<\/td>\n3,007.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.64 %<\/td>\n0.04 %<\/td>\n61,206<\/td>\n0.20<\/td>\n12<\/td>\n-0.3658 %<\/td>\n2,901.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.55 %<\/td>\n5.71 %<\/td>\n74,763<\/td>\n14.35<\/td>\n21<\/td>\n-0.2965 %<\/td>\n2,952.2<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n4.20 %<\/td>\n5.04 %<\/td>\n139,106<\/td>\n15.34<\/td>\n45<\/td>\n-0.0849 %<\/td>\n2,588.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.30 %<\/td>\n6.63 %<\/td>\n65,444<\/td>\n5.26<\/td>\n27<\/td>\n-0.3079 %<\/td>\n2,917.6<\/td>\n<\/tr>\n
FloatingReset<\/td>\n3.60 %<\/td>\n3.80 %<\/td>\n42,821<\/td>\n5.55<\/td>\n4<\/td>\n-0.9558 %<\/td>\n2,846.2<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n4.88 %<\/td>\n4.29 %<\/td>\n231,901<\/td>\n3.07<\/td>\n34<\/td>\n-0.0875 %<\/td>\n2,565.1<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n3.12 %<\/td>\n3.54 %<\/td>\n69,816<\/td>\n0.35<\/td>\n8<\/td>\n0.0306 %<\/td>\n2,575.6<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n4.41 %<\/td>\n5.53 %<\/td>\n107,913<\/td>\n5.37<\/td>\n22<\/td>\n-0.2582 %<\/td>\n2,539.0<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
PWF.PR.Q<\/td>\nFloatingReset<\/td>\n-2.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 21.09
\nEvaluated at bid price : 21.09
\nBid-YTW : 3.80 %<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetual-Premium<\/td>\n-1.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 24.22
\nEvaluated at bid price : 24.51
\nBid-YTW : 5.74 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n-1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 19.25
\nEvaluated at bid price : 19.25
\nBid-YTW : 4.92 %<\/td>\n<\/tr>\n
HSE.PR.E<\/td>\nFixedReset Prem<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 24.03
\nEvaluated at bid price : 24.40
\nBid-YTW : 5.99 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset Disc<\/td>\n-1.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 5.15 %<\/td>\n<\/tr>\n
MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\n-1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.55
\nBid-YTW : 5.98 %<\/td>\n<\/tr>\n
SLF.PR.B<\/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 : 7.76 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 21.54
\nEvaluated at bid price : 21.80
\nBid-YTW : 5.76 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n-1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.28
\nBid-YTW : 7.47 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.25
\nBid-YTW : 6.73 %<\/td>\n<\/tr>\n
IAG.PR.I<\/td>\nFixedReset Ins Non<\/td>\n-1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.40
\nBid-YTW : 5.41 %<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetual-Premium<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 23.86
\nEvaluated at bid price : 24.11
\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.75
\nBid-YTW : 7.69 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.15
\nBid-YTW : 7.84 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nDeemed-Retractible<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.41
\nBid-YTW : 8.35 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.43
\nBid-YTW : 8.34 %<\/td>\n<\/tr>\n
HSE.PR.G<\/td>\nFixedReset Prem<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 24.17
\nEvaluated at bid price : 24.48
\nBid-YTW : 5.94 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nDeemed-Retractible<\/td>\n1.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.30
\nBid-YTW : 6.63 %<\/td>\n<\/tr>\n
IFC.PR.G<\/td>\nFixedReset Ins Non<\/td>\n2.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.40
\nBid-YTW : 5.45 %<\/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
BNS.PR.I<\/td>\nFixedReset Disc<\/td>\n57,155<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 23.14
\nEvaluated at bid price : 25.00
\nBid-YTW : 4.75 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset Disc<\/td>\n55,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 22.78
\nEvaluated at bid price : 23.48
\nBid-YTW : 4.90 %<\/td>\n<\/tr>\n
TD.PF.F<\/td>\nPerpetual-Discount<\/td>\n46,400<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 23.81
\nEvaluated at bid price : 24.26
\nBid-YTW : 5.04 %<\/td>\n<\/tr>\n
CM.PR.S<\/td>\nFixedReset Disc<\/td>\n33,790<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 22.80
\nEvaluated at bid price : 23.93
\nBid-YTW : 4.91 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset Ins Non<\/td>\n31,750<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.00
\nBid-YTW : 5.40 %<\/td>\n<\/tr>\n
IFC.PR.G<\/td>\nFixedReset Ins Non<\/td>\n31,646<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.40
\nBid-YTW : 5.45 %<\/td>\n<\/tr>\n
There were 27 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
POW.PR.A<\/td>\nPerpetual-Premium<\/td>\nQuote: 24.51 – 24.93
\nSpot Rate : 0.4200
\nAverage : 0.2610<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 24.22
\nEvaluated at bid price : 24.51
\nBid-YTW : 5.74 %<\/td>\n<\/tr>\n

BIP.PR.B<\/td>\nFixedReset Prem<\/td>\nQuote: 25.75 – 26.15
\nSpot Rate : 0.4000
\nAverage : 0.2468<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2020-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.75
\nBid-YTW : 4.22 %<\/td>\n<\/tr>\n

CM.PR.P<\/td>\nFixedReset Disc<\/td>\nQuote: 22.87 – 23.31
\nSpot Rate : 0.4400
\nAverage : 0.2871<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 22.43
\nEvaluated at bid price : 22.87
\nBid-YTW : 4.97 %<\/td>\n<\/tr>\n

MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\nQuote: 23.55 – 24.00
\nSpot Rate : 0.4500
\nAverage : 0.3306<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.55
\nBid-YTW : 5.98 %<\/td>\n<\/tr>\n

HSE.PR.E<\/td>\nFixedReset Prem<\/td>\nQuote: 24.40 – 24.84
\nSpot Rate : 0.4400
\nAverage : 0.3276<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 24.03
\nEvaluated at bid price : 24.40
\nBid-YTW : 5.99 %<\/td>\n<\/tr>\n

PWF.PR.Q<\/td>\nFloatingReset<\/td>\nQuote: 21.09 – 21.56
\nSpot Rate : 0.4700
\nAverage : 0.3929<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-10-18
\nMaturity Price : 21.09
\nEvaluated at bid price : 21.09
\nBid-YTW : 3.80 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

An article by Andrew Allentuck in Investment Executive titled What is safety worth to fixed-income investors? led me to a 2017 paper by Maxime Leboeuf and James Pinnington titled What Explains the Recent Increase in …<\/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-49737","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49737","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=49737"}],"version-history":[{"count":1,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49737\/revisions"}],"predecessor-version":[{"id":49738,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49737\/revisions\/49738"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=49737"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=49737"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=49737"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}