There were no surprises in today’s FOMC statement:
The Committee continues to see downside risks to the economic outlook. The Committee also anticipates that inflation over the medium term likely will run at or below its 2 percent objective.
…
To support continued progress toward maximum employment and price stability, the Committee expects that a highly accommodative stance of monetary policy will remain appropriate for a considerable time after the asset purchase program ends and the economic recovery strengthens. In particular, the Committee decided to keep the target range for the federal funds rate at 0 to 1/4 percent and currently anticipates that this exceptionally low range for the federal funds rate will be appropriate at least as long as the unemployment rate remains above 6-1/2 percent, inflation between one and two years ahead is projected to be no more than a half percentage point above the Committee’s 2 percent longer-run goal, and longer-term inflation expectations continue to be well anchored.
The feds are continuing their efforts to expand the secret police:
The finance committee recommended few major changes to existing practices, but endorsed the creation of a new whistleblower program, promised in the recent federal budget, that would allow the Canada Revenue Agency to pay rewards to people who provide tips about tax evasion.
It also proposed that financial entities covered by money-laundering laws be required to “take reasonable measures to ascertain” ownership information from customers that are corporations, trusts or other entities to make it easier to understand who is moving money offshore.
OSFI has published another laughable effort at self-justification by surveying 50 CEOs and CFOs of deposit taking institutions regulated by OSFI. So tell me, what does a sensible person say when asked how his regulator is doing – even when confidentiality is assured? “Oh, wonderful job, wonderful job.”
It was a modestly positive day for the Canadian preferred share market, with PerpetualPremiums and DeemedRetractibles both gaining 5bp and FixedResets up 6bp. Volatility was minimal. Volume was slightly below average.
PerpetualDiscounts now yield 4.87%, equivalent to 6.33% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05% (!) so the interest-equivalent pre-tax spread is now about 230bp, a marked rise from the 220bp reported April 24.
| 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 | -0.3927 % | 2,605.7 |
| FixedFloater | 3.93 % | 3.16 % | 33,785 | 18.79 | 1 | 1.9417 % | 4,176.6 |
| Floater | 2.67 % | 2.87 % | 85,255 | 20.05 | 4 | -0.3927 % | 2,813.4 |
| OpRet | 4.79 % | -1.24 % | 59,829 | 0.13 | 5 | -0.0925 % | 2,614.3 |
| SplitShare | 4.82 % | 4.15 % | 113,605 | 4.37 | 5 | -0.2321 % | 2,949.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0925 % | 2,390.5 |
| Perpetual-Premium | 5.20 % | 3.04 % | 88,695 | 0.45 | 31 | 0.0519 % | 2,380.6 |
| Perpetual-Discount | 4.85 % | 4.87 % | 184,474 | 15.67 | 4 | -0.1116 % | 2,683.7 |
| FixedReset | 4.88 % | 2.82 % | 246,750 | 3.74 | 81 | 0.0626 % | 2,511.3 |
| Deemed-Retractible | 4.87 % | 3.29 % | 132,292 | 0.81 | 44 | 0.0521 % | 2,457.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IAG.PR.C | FixedReset | -1.15 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.68 Bid-YTW : 2.88 % |
| BAM.PR.G | FixedFloater | 1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-05-01 Maturity Price : 23.02 Evaluated at bid price : 24.15 Bid-YTW : 3.16 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.Y | FixedReset | 62,822 | RBC crossed 50,000 at 24.95. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.93 Bid-YTW : 3.00 % |
| ENB.PR.H | FixedReset | 62,549 | Nesbitt crossed 58,400 at 25.82. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-05-01 Maturity Price : 23.36 Evaluated at bid price : 25.73 Bid-YTW : 3.19 % |
| RY.PR.F | Deemed-Retractible | 56,278 | RBC crossed 50,000 at 25.68. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-24 Maturity Price : 25.50 Evaluated at bid price : 25.69 Bid-YTW : 3.37 % |
| RY.PR.C | Deemed-Retractible | 56,017 | TD crossed 50,000 at 25.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-11-24 Maturity Price : 25.25 Evaluated at bid price : 25.56 Bid-YTW : 3.57 % |
| TRP.PR.D | FixedReset | 29,777 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.96 Bid-YTW : 3.31 % |
| GWO.PR.N | FixedReset | 25,122 | Nesbitt crossed 20,000 at 24.62. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.64 Bid-YTW : 2.93 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| ABK.PR.C | SplitShare | Quote: 31.81 – 32.40 Spot Rate : 0.5900 Average : 0.4358 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 25.03 – 25.43 Spot Rate : 0.4000 Average : 0.2666 YTW SCENARIO |
| IAG.PR.C | FixedReset | Quote: 25.68 – 25.94 Spot Rate : 0.2600 Average : 0.1825 YTW SCENARIO |
| NA.PR.O | FixedReset | Quote: 25.70 – 25.92 Spot Rate : 0.2200 Average : 0.1439 YTW SCENARIO |
| TCA.PR.Y | Perpetual-Premium | Quote: 51.05 – 51.35 Spot Rate : 0.3000 Average : 0.2267 YTW SCENARIO |
| ELF.PR.H | Perpetual-Premium | Quote: 26.20 – 26.46 Spot Rate : 0.2600 Average : 0.1992 YTW SCENARIO |