December 12, 2013

Parakeet Poloz chirped a little today:

The Canadian economy faces the risk of deflation and won’t reach full capacity for two years, with imbalances in household debt and the housing market gradually diminishing in that time, Bank of Canada Governor Stephen Poloz said Thursday.

He still expects a soft landing in the housing market, which will be offset by a pickup in exports and business investments.

“Right now, it looks to us like it will take around two years to get inflation back up to 2 per cent,” he said in a speech, peppered with nautical references, to the Canadian Club of Montreal Thursday.

Canada’s annual inflation rate has slumped to 0.7 per cent, well below the lower end of the central bank’s 1-to-3 per cent target range. The central bank governor suggested he’s more concerned about inflation cooling further than a pickup.

Merry Christmas!

Unemployment benefits for 1.3 million people in the U.S. are poised to end Dec. 28 as Democrats failed in their last-ditch effort to extend the jobless assistance before the House adjourns tomorrow.

Republicans who control the House refused to keep the aid flowing to the long-term unemployed without agreement on budget cuts elsewhere. Extending the benefits would cost $26 billion over two years, according to the Congressional Budget Office.

The failure of Congress to agree could put a dent in the nation’s economy. The Congressional Budget Office estimates that extending the program would boost growth by 0.2 percent and add about 200,000 jobs.

Of course, that’s $130,000 per job.

One might think that all this cheery news would be good for fixed income, but one might think wrong! The Canadian preferred share market got whacked today, with PerpetualDiscounts losing 33bp, FixedResets off 14bp and DeemedRetractibles down 20bp. The Performance Highlights table is relatively modest, dominated by losing BAM FixedResets. Volume was extremely high.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0935 % 2,534.4
FixedFloater 4.40 % 3.67 % 40,188 17.95 1 -0.0463 % 3,814.6
Floater 2.95 % 2.95 % 62,375 19.87 3 -0.0935 % 2,736.4
OpRet 4.63 % 0.69 % 84,021 0.08 3 -0.2056 % 2,663.9
SplitShare 4.89 % 4.79 % 75,558 4.51 5 -0.1695 % 2,992.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2056 % 2,435.9
Perpetual-Premium 5.63 % 5.55 % 133,739 14.07 13 -0.1484 % 2,295.5
Perpetual-Discount 5.71 % 5.71 % 175,952 14.24 25 -0.3344 % 2,305.2
FixedReset 5.01 % 3.73 % 232,817 3.47 84 -0.1393 % 2,463.1
Deemed-Retractible 5.15 % 4.27 % 201,560 2.08 42 -0.1979 % 2,392.0
FloatingReset 2.63 % 2.34 % 315,425 4.41 5 -0.0790 % 2,463.6
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset -2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-12
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 4.60 %
GWO.PR.R Deemed-Retractible -2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.54
Bid-YTW : 6.58 %
CIU.PR.C FixedReset -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-12
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 4.00 %
BAM.PF.B FixedReset -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-12
Maturity Price : 22.78
Evaluated at bid price : 24.05
Bid-YTW : 4.47 %
FTS.PR.F Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-12
Maturity Price : 22.63
Evaluated at bid price : 22.92
Bid-YTW : 5.38 %
BAM.PR.T FixedReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-12
Maturity Price : 22.93
Evaluated at bid price : 24.00
Bid-YTW : 4.30 %
HSE.PR.A FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-12
Maturity Price : 22.69
Evaluated at bid price : 23.25
Bid-YTW : 3.88 %
MFC.PR.F FixedReset 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 4.90 %
Volume Highlights
Issue Index Shares
Traded
Notes
ENB.PR.J FixedReset 436,827 New issue settled today.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-12
Maturity Price : 23.08
Evaluated at bid price : 24.80
Bid-YTW : 4.33 %
HSB.PR.E FixedReset 185,716 RBC crossed blocks of 75,000 and 100,000, both at 25.49.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.03 %
GWO.PR.I Deemed-Retractible 129,346 Nesbitt crossed 50,000 at 21.40 and 25,000 at 21.25.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 6.44 %
PWF.PR.T FixedReset 121,380 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 3.99 %
CU.PR.F Perpetual-Discount 89,600 Scotia crossed 73,800 at 20.37.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-12
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.57 %
SLF.PR.G FixedReset 72,885 Desjardins bought 13,000 from Scotia at 22.29, then crossed 24,900 at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 4.66 %
There were 78 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PR.P Deemed-Retractible Quote: 26.05 – 26.36
Spot Rate : 0.3100
Average : 0.1812

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-11
Maturity Price : 25.75
Evaluated at bid price : 26.05
Bid-YTW : -1.92 %

ENB.PR.N FixedReset Quote: 24.11 – 24.45
Spot Rate : 0.3400
Average : 0.2501

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-12
Maturity Price : 22.83
Evaluated at bid price : 24.11
Bid-YTW : 4.45 %

PWF.PR.H Perpetual-Premium Quote: 24.92 – 25.22
Spot Rate : 0.3000
Average : 0.2123

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-12
Maturity Price : 24.66
Evaluated at bid price : 24.92
Bid-YTW : 5.84 %

RY.PR.B Deemed-Retractible Quote: 25.42 – 25.65
Spot Rate : 0.2300
Average : 0.1558

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 3.85 %

TRP.PR.B FixedReset Quote: 20.10 – 20.34
Spot Rate : 0.2400
Average : 0.1714

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-12
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 3.93 %

TD.PR.S FixedReset Quote: 24.92 – 25.09
Spot Rate : 0.1700
Average : 0.1092

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 3.50 %

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