October 19, 2016

Happy Anniversary, market crash of 1987!

The Bank of Canada gloomily maintained its policy yields today:

The Bank of Canada today announced that it is maintaining its target for the overnight rate at 1/2 per cent. The Bank Rate is correspondingly 3/4 per cent and the deposit rate is 1/4 per cent.

Looking through the choppiness of recent data, the profile for growth in Canada is now lower than projected in July’s Monetary Policy Report (MPR). This is due in large part to slower near-term housing resale activity and a lower trajectory for exports. The federal government’s new measures to promote stability in Canada’s housing market are likely to restrain residential investment while dampening household vulnerabilities. Recent export data are improving but are not strong enough to make up for ground lost during the first half of 2016, despite the effects of the Canadian dollar’s past depreciation. Growth in exports over 2017 and 2018 are projected to be slower than previously forecast, due to lower estimates of global demand, a composition of US growth that appears less favourable to Canadian exports, and ongoing competitiveness challenges for Canadian firms.

The Bank expects Canada’s real GDP to grow by 1.1 per cent in 2016 and about 2 per cent in both 2017 and 2018. This projection implies that the economy returns to full capacity around mid-2018, materially later than the Bank had anticipated in July.

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 0.9040 % 1,721.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9040 % 3,144.6
Floater 4.34 % 4.50 % 43,688 16.43 4 0.9040 % 1,812.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1522 % 2,901.9
SplitShare 4.82 % 4.52 % 42,056 2.10 6 0.1522 % 3,465.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1522 % 2,703.9
Perpetual-Premium 5.35 % 4.71 % 71,650 0.20 23 0.0086 % 2,692.8
Perpetual-Discount 5.12 % 5.07 % 98,605 15.32 15 0.0904 % 2,914.1
FixedReset 4.84 % 4.27 % 162,634 6.90 92 0.5493 % 2,099.0
Deemed-Retractible 5.02 % 4.06 % 112,730 0.27 32 0.1043 % 2,805.3
FloatingReset 2.97 % 4.03 % 40,333 4.95 12 -0.0173 % 2,260.2
Performance Highlights
Issue Index Change Notes
HSE.PR.E FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.13 %
RY.PR.J FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 4.22 %
MFC.PR.M FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.48 %
BAM.PF.G FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 4.49 %
RY.PR.M FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 4.18 %
TD.PF.D FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 4.29 %
BAM.PF.A FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.74 %
TRP.PR.E FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 4.35 %
GWO.PR.N FixedReset 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.94
Bid-YTW : 10.22 %
HSE.PR.A FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.13 %
BAM.PR.C Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 4.51 %
MFC.PR.J FixedReset 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.81
Bid-YTW : 6.90 %
CU.PR.C FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.13 %
VNR.PR.A FixedReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.63 %
BAM.PF.B FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 4.76 %
BAM.PR.Z FixedReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 4.79 %
FTS.PR.K FixedReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 4.11 %
BAM.PF.F FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.53 %
MFC.PR.I FixedReset 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.41 %
BAM.PR.R FixedReset 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 4.70 %
BAM.PR.X FixedReset 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 4.63 %
FTS.PR.G FixedReset 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.11 %
SLF.PR.G FixedReset 2.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 9.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.A FixedReset 120,529 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.45 %
TD.PF.H FixedReset 89,670 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.18 %
BNS.PR.H FixedReset 84,325 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 4.17 %
TD.PR.Y FixedReset 83,525 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.22
Bid-YTW : 3.53 %
NA.PR.X FixedReset 81,738 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 4.13 %
TD.PR.T FloatingReset 75,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.03
Bid-YTW : 3.70 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.D FloatingReset Quote: 18.55 – 23.00
Spot Rate : 4.4500
Average : 2.9888

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 7.47 %

GWO.PR.F Deemed-Retractible Quote: 25.71 – 26.23
Spot Rate : 0.5200
Average : 0.3343

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-11-18
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : -23.06 %

BIP.PR.A FixedReset Quote: 21.58 – 21.95
Spot Rate : 0.3700
Average : 0.2223

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 21.29
Evaluated at bid price : 21.58
Bid-YTW : 5.08 %

NA.PR.Q FixedReset Quote: 24.07 – 24.40
Spot Rate : 0.3300
Average : 0.2631

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.07
Bid-YTW : 4.06 %

MFC.PR.F FixedReset Quote: 13.94 – 14.17
Spot Rate : 0.2300
Average : 0.1665

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.94
Bid-YTW : 10.30 %

TD.PR.Y FixedReset Quote: 24.22 – 24.40
Spot Rate : 0.1800
Average : 0.1187

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.22
Bid-YTW : 3.53 %

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