Inflation does not appear to be a problem:
Although two of the Bank of Canada’s measures of core inflation remained above 2 per cent, CPI common – which the central bank says is the best gauge of the economy’s underperformance – was unchanged at 1.8 per cent.
Energy prices fell 4.1 per cent year-over-year in June as Canadians paid less for gasoline and other fuels. Oil prices dipped amid rising U.S. fuel inventories and the elimination of carbon pricing in Alberta.
But consumers are paying more for other products – notably fresh vegetables, where prices jumped 17.3 per cent, the largest increase seen since January, 2016. The rise, which follows a similar gain in May, was owing in part to inclement weather in agricultural regions.
But bond prices were up:
At 3:16 p.m., the Canadian dollar was trading 0.3 per cent higher at 1.3045 to the greenback, or 76.66 U.S. cents. The currency, which last Friday notched a near nine-month high at 1.3018, traded in a range of 1.3035 and 1.3093.
The gain for the loonie came even as the price of oil, one of Canada’s major exports, fell for the third straight day after U.S. government data showed large builds in refined product stockpiles. U.S. crude futures settled 1.5 per cent lower at $56.78 a barrel.
Canadian government bond prices were higher across a flatter yield curve in sympathy with U.S. Treasuries after data showed weakness in the U.S. housing market and as concerns about the trade war between the United States and China boosted demand for safe-haven debt.
The two-year rose 6 cents to yield 1.527 per cent and the 10-year was up 48 cents to yield 1.535 per cent.
The 10-year yield touched its lowest intraday since July 5 at 1.532 per cent.
The Canada 5-Year yield was down 6bp to 1.45%.
PerpetualDiscounts now yield 5.57%, equivalent to 7.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.43%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 380bp, a slight (and perhaps spurious) widening from the 375bp reported July 10.
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 |
-0.1314 % |
1,964.0 |
FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1314 % |
3,603.9 |
Floater |
6.06 % |
6.24 % |
37,529 |
13.56 |
4 |
-0.1314 % |
2,076.9 |
OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1070 % |
3,350.6 |
SplitShare |
4.65 % |
4.63 % |
76,585 |
4.15 |
7 |
0.1070 % |
4,001.3 |
Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1070 % |
3,122.0 |
Perpetual-Premium |
5.62 % |
-15.84 % |
52,786 |
0.09 |
7 |
0.0169 % |
2,978.8 |
Perpetual-Discount |
5.45 % |
5.57 % |
59,129 |
14.57 |
25 |
0.0365 % |
3,118.0 |
FixedReset Disc |
5.40 % |
5.44 % |
157,898 |
14.68 |
69 |
0.1576 % |
2,128.7 |
Deemed-Retractible |
5.22 % |
5.78 % |
64,401 |
7.98 |
27 |
0.1106 % |
3,111.5 |
FloatingReset |
4.04 % |
4.37 % |
38,372 |
2.45 |
4 |
-0.2095 % |
2,366.4 |
FixedReset Prem |
5.14 % |
4.01 % |
169,773 |
1.92 |
17 |
0.0711 % |
2,593.1 |
FixedReset Bank Non |
1.98 % |
4.00 % |
95,059 |
2.46 |
3 |
0.4469 % |
2,655.7 |
FixedReset Ins Non |
5.24 % |
7.39 % |
88,547 |
8.01 |
22 |
0.3070 % |
2,178.7 |
Performance Highlights |
Issue |
Index |
Change |
Notes |
BAM.PF.F |
FixedReset Disc |
-1.61 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.31 % |
IFC.PR.A |
FixedReset Ins Non |
-1.02 % |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.45
Bid-YTW : 9.10 % |
CM.PR.O |
FixedReset Disc |
-1.02 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 5.59 % |
NA.PR.E |
FixedReset Disc |
-1.02 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.44 % |
CM.PR.S |
FixedReset Disc |
-1.01 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 5.52 % |
BAM.PF.G |
FixedReset Disc |
1.02 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.26 % |
MFC.PR.J |
FixedReset Ins Non |
1.04 % |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.43
Bid-YTW : 7.61 % |
MFC.PR.K |
FixedReset Ins Non |
1.10 % |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.41
Bid-YTW : 7.90 % |
IAF.PR.I |
FixedReset Ins Non |
1.16 % |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 6.80 % |
CM.PR.Q |
FixedReset Disc |
1.16 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.64 % |
TRP.PR.C |
FixedReset Disc |
1.30 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 12.47
Evaluated at bid price : 12.47
Bid-YTW : 6.09 % |
TRP.PR.D |
FixedReset Disc |
1.34 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 5.92 % |
CCS.PR.C |
Deemed-Retractible |
1.43 % |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 5.52 % |
BAM.PR.Z |
FixedReset Disc |
1.89 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.09 % |
Volume Highlights |
Issue |
Index |
Shares Traded |
Notes |
CM.PR.R |
FixedReset Disc |
279,524 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 21.51
Evaluated at bid price : 21.89
Bid-YTW : 5.53 % |
TD.PF.M |
FixedReset Disc |
106,066 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 23.14
Evaluated at bid price : 24.95
Bid-YTW : 5.09 % |
BMO.PR.D |
FixedReset Disc |
77,900 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 5.42 % |
CU.PR.C |
FixedReset Disc |
76,200 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.57 % |
TRP.PR.C |
FixedReset Disc |
51,200 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 12.47
Evaluated at bid price : 12.47
Bid-YTW : 6.09 % |
BAM.PF.F |
FixedReset Disc |
39,300 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.31 % |
There were 19 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights |
Issue |
Index |
Quote Data and Yield Notes |
BAM.PF.F |
FixedReset Disc |
Quote: 17.72 – 18.51
Spot Rate : 0.7900
Average : 0.5421
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.31 % |
IFC.PR.C |
FixedReset Ins Non |
Quote: 18.16 – 18.60
Spot Rate : 0.4400
Average : 0.3146
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.16
Bid-YTW : 7.93 % |
SLF.PR.G |
FixedReset Ins Non |
Quote: 13.81 – 14.19
Spot Rate : 0.3800
Average : 0.2617
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.81
Bid-YTW : 9.87 % |
PWF.PR.O |
Perpetual-Premium |
Quote: 25.51 – 25.81
Spot Rate : 0.3000
Average : 0.1903
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-08-16
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : -20.38 % |
MFC.PR.H |
FixedReset Ins Non |
Quote: 20.55 – 20.91
Spot Rate : 0.3600
Average : 0.2516
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 7.08 % |
BMO.PR.D |
FixedReset Disc |
Quote: 21.81 – 22.18
Spot Rate : 0.3700
Average : 0.2621
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 5.42 % |
SLF on Review-Positive by DBRS
July 22nd, 2019DBRS has announced that it:
Affected issues are SLF.PR.A, SLF.PR.B, SLF.PR.C, SLF.PR.D, SLF.PR.E, SLF.PR.G, SLF.PR.H, SLF.PR.I, SLF.PR.J and SLF.PR.K .
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