May 21, 2019

Canadian bond yields rose dramatically today with the five-year Canada bond yield up 8bp to 1.65%. This may be related to a decrease in trade tensions:

The Canadian dollar strengthened to an 11-day high against the greenback on Tuesday as investors calculated that the threat of trade uncertainty would ease for Canada even as they ramped up on countries with close economic links to China.

Signs that Asia is already feeling the pinch from a trade conflict between the United States and China pushed the U.S. dollar to a four-week high against a basket of major currencies.

Investors have worried that U.S. restrictions on Chinese telecoms equipment maker Huawei Technologies Co Ltd could lead to an escalation in the trade tensions between Washington and Beijing.

Meanwhile, the United States has agreed to lift tariffs on steel and aluminum from Canada and Mexico. Canadian Foreign Minister Chrystia Freeland has since said that Canada will move quickly to ratify the new North American trade pact, called the United States-Mexico-Canada Agreement, or USMCA.

Or maybe not. Who knows?

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 0.1920 % 2,069.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1920 % 3,796.5
Floater 5.68 % 6.02 % 49,293 13.80 3 0.1920 % 2,187.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.4435 % 3,297.8
SplitShare 4.70 % 4.85 % 82,009 4.24 7 0.4435 % 3,938.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4435 % 3,072.8
Perpetual-Premium 5.53 % 2.96 % 85,816 0.09 12 -0.0362 % 2,952.9
Perpetual-Discount 5.43 % 5.45 % 71,934 14.75 20 -0.1232 % 3,108.6
FixedReset Disc 5.28 % 5.44 % 151,288 14.86 63 0.2205 % 2,176.2
Deemed-Retractible 5.22 % 5.81 % 95,400 8.04 27 0.1769 % 3,084.2
FloatingReset 3.96 % 4.30 % 44,569 2.58 4 0.0895 % 2,412.3
FixedReset Prem 5.11 % 3.84 % 242,759 2.10 21 0.0464 % 2,589.3
FixedReset Bank Non 1.98 % 4.01 % 153,976 2.60 3 0.0973 % 2,649.4
FixedReset Ins Non 5.08 % 6.75 % 93,907 8.23 22 0.4653 % 2,237.2
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-21
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 6.12 %
CU.PR.D Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-21
Maturity Price : 22.21
Evaluated at bid price : 22.53
Bid-YTW : 5.44 %
GWO.PR.N FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.82
Bid-YTW : 8.82 %
GWO.PR.Q Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 5.83 %
NA.PR.C FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-21
Maturity Price : 22.23
Evaluated at bid price : 22.74
Bid-YTW : 5.44 %
MFC.PR.N FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.91
Bid-YTW : 7.89 %
BAM.PR.X FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-21
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 6.04 %
PVS.PR.E SplitShare 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.50 %
TRP.PR.C FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-21
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 5.98 %
SLF.PR.I FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 6.53 %
MFC.PR.G FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 6.82 %
MFC.PR.M FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 7.57 %
MFC.PR.L FixedReset Ins Non 1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.45
Bid-YTW : 8.05 %
CU.PR.C FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-21
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 5.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.B FixedReset Prem 121,215 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 3.62 %
CM.PR.O FixedReset Disc 54,023 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-21
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 5.50 %
IAF.PR.I FixedReset Ins Non 29,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.06 %
RY.PR.J FixedReset Disc 26,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-21
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.26 %
BMO.PR.D FixedReset Disc 25,670 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-21
Maturity Price : 22.12
Evaluated at bid price : 22.54
Bid-YTW : 5.24 %
CM.PR.R FixedReset Disc 24,516 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-21
Maturity Price : 22.35
Evaluated at bid price : 22.89
Bid-YTW : 5.36 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Deemed-Retractible Quote: 23.07 – 23.79
Spot Rate : 0.7200
Average : 0.5114

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.07
Bid-YTW : 6.12 %

BAM.PF.B FixedReset Disc Quote: 18.01 – 18.46
Spot Rate : 0.4500
Average : 0.2778

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-21
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.10 %

CU.PR.E Perpetual-Discount Quote: 22.70 – 23.19
Spot Rate : 0.4900
Average : 0.3405

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-21
Maturity Price : 22.33
Evaluated at bid price : 22.70
Bid-YTW : 5.40 %

IFC.PR.C FixedReset Ins Non Quote: 18.05 – 18.55
Spot Rate : 0.5000
Average : 0.3611

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.05
Bid-YTW : 8.06 %

IAF.PR.G FixedReset Ins Non Quote: 21.34 – 21.90
Spot Rate : 0.5600
Average : 0.4282

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.34
Bid-YTW : 6.23 %

IFC.PR.A FixedReset Ins Non Quote: 14.88 – 15.30
Spot Rate : 0.4200
Average : 0.3292

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.88
Bid-YTW : 9.62 %

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