December 21, 2017

Hey, how ’bout that bond market, eh?:

Benchmark bond yields are headed for the biggest weekly advance since September as investors contemplate prospects for continued economic growth and reduced central bank stimulus.

The yield on 10-year Treasuries slid 2 basis points Thursday, to 2.48 percent. That’s up from 2.35 percent at the end of last week.

…and Bloomberg supplies a chart of the generic 10-year Treasury yield:

10yrtreasury_171221
Click for Big

In Canada, the five-year is at 1.86% and the 3-Month Bill has breeched the point at 1.03%.

… and the BoC supplies a chart of GOC-5:

goc5_171221
Click for Big
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 0.0000 % 2,506.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,600.1
Floater 3.67 % 3.80 % 32,548 17.86 4 0.0000 % 2,651.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1168 % 3,144.3
SplitShare 4.67 % 4.06 % 71,489 3.47 5 -0.1168 % 3,754.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1168 % 2,929.8
Perpetual-Premium 5.37 % 4.84 % 49,707 2.17 20 0.0386 % 2,842.0
Perpetual-Discount 5.24 % 5.28 % 68,451 14.93 14 -0.0146 % 3,006.3
FixedReset 4.24 % 4.23 % 148,898 4.14 98 0.4456 % 2,498.7
Deemed-Retractible 5.07 % 5.32 % 88,845 5.92 30 -0.1985 % 2,938.2
FloatingReset 2.78 % 2.77 % 44,595 3.88 8 0.1789 % 2,692.6
Performance Highlights
Issue Index Change Notes
IAG.PR.A Deemed-Retractible -1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.23
Bid-YTW : 6.59 %
BAM.PF.A FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-21
Maturity Price : 24.14
Evaluated at bid price : 24.65
Bid-YTW : 4.64 %
NA.PR.C FixedReset 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.76 %
TD.PF.D FixedReset 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 4.05 %
IFC.PR.C FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 5.04 %
BMO.PR.Y FixedReset 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.83
Bid-YTW : 4.20 %
TD.PF.A FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-21
Maturity Price : 23.17
Evaluated at bid price : 23.53
Bid-YTW : 4.20 %
MFC.PR.H FixedReset 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.53 %
MFC.PR.L FixedReset 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.53
Bid-YTW : 5.59 %
BMO.PR.T FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-21
Maturity Price : 22.71
Evaluated at bid price : 23.10
Bid-YTW : 4.26 %
MFC.PR.M FixedReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.21
Bid-YTW : 5.26 %
TRP.PR.C FixedReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-21
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.50 %
NA.PR.W FixedReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-21
Maturity Price : 22.69
Evaluated at bid price : 23.00
Bid-YTW : 4.30 %
IFC.PR.A FixedReset 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.06
Bid-YTW : 7.00 %
MFC.PR.N FixedReset 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.18
Bid-YTW : 5.19 %
SLF.PR.I FixedReset 1.74 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.A FixedReset 210,180 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.64 %
TRP.PR.J FixedReset 119,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.53
Bid-YTW : 3.71 %
CM.PR.R FixedReset 117,694 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.86 %
TD.PR.Z FloatingReset 100,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.81
Bid-YTW : 2.77 %
RY.PR.Q FixedReset 95,045 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.16 %
TD.PF.H FixedReset 92,772 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 3.69 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.G FixedReset Quote: 18.11 – 18.75
Spot Rate : 0.6400
Average : 0.3913

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.11
Bid-YTW : 7.94 %

IAG.PR.A Deemed-Retractible Quote: 22.23 – 22.75
Spot Rate : 0.5200
Average : 0.3363

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.23
Bid-YTW : 6.59 %

SLF.PR.H FixedReset Quote: 21.36 – 21.79
Spot Rate : 0.4300
Average : 0.2633

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.36
Bid-YTW : 5.83 %

BAM.PR.K Floater Quote: 14.56 – 15.00
Spot Rate : 0.4400
Average : 0.2952

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-21
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 3.84 %

CU.PR.I FixedReset Quote: 25.81 – 26.25
Spot Rate : 0.4400
Average : 0.3196

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 3.44 %

CM.PR.Q FixedReset Quote: 24.45 – 24.77
Spot Rate : 0.3200
Average : 0.2136

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-21
Maturity Price : 23.24
Evaluated at bid price : 24.45
Bid-YTW : 4.42 %

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