September 19, 2017

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 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.

canada_230_spread_170919
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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 1.0521 % 2,437.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0521 % 4,472.9
Floater 3.89 % 3.88 % 106,331 17.68 3 1.0521 % 2,577.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1191 % 3,065.1
SplitShare 4.76 % 4.82 % 86,793 4.44 6 0.1191 % 3,660.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1191 % 2,856.0
Perpetual-Premium 5.43 % 4.89 % 54,640 6.00 16 0.0569 % 2,772.0
Perpetual-Discount 5.38 % 5.43 % 64,170 14.63 19 0.0183 % 2,886.1
FixedReset 4.36 % 4.61 % 157,388 6.22 99 0.0711 % 2,404.5
Deemed-Retractible 5.14 % 5.65 % 101,530 6.07 31 0.1522 % 2,853.1
FloatingReset 2.87 % 2.97 % 52,329 4.09 8 -0.0219 % 2,644.3
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 22.93
Evaluated at bid price : 23.88
Bid-YTW : 4.60 %
BAM.PR.B Floater 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 3.88 %
BAM.PR.K Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 14.39
Evaluated at bid price : 14.39
Bid-YTW : 3.89 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.J FixedReset 174,010 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.71 %
MFC.PR.L FixedReset 170,048 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.98
Bid-YTW : 6.80 %
RY.PR.B Deemed-Retractible 148,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-19
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.41 %
BNS.PR.B FloatingReset 130,369 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.73
Bid-YTW : 2.91 %
BNS.PR.A FloatingReset 104,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-04-25
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 2.77 %
NA.PR.W FixedReset 103,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 4.69 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Quote: 22.12 – 22.45
Spot Rate : 0.3300
Average : 0.2156

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 21.68
Evaluated at bid price : 22.12
Bid-YTW : 4.76 %

VNR.PR.A FixedReset Quote: 22.44 – 22.75
Spot Rate : 0.3100
Average : 0.2413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 21.93
Evaluated at bid price : 22.44
Bid-YTW : 5.22 %

PWF.PR.F Perpetual-Discount Quote: 24.48 – 24.70
Spot Rate : 0.2200
Average : 0.1628

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 24.22
Evaluated at bid price : 24.48
Bid-YTW : 5.43 %

BAM.PR.N Perpetual-Discount Quote: 21.25 – 21.47
Spot Rate : 0.2200
Average : 0.1688

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.62 %

MFC.PR.F FixedReset Quote: 17.02 – 17.20
Spot Rate : 0.1800
Average : 0.1323

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.02
Bid-YTW : 8.60 %

HSE.PR.A FixedReset Quote: 16.49 – 16.89
Spot Rate : 0.4000
Average : 0.3528

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 16.49
Evaluated at bid price : 16.49
Bid-YTW : 5.04 %

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