What a difference a week makes!
Investors and economists are recalibrating rate forecasts after the central bank’s surprise talk of tightening this week signaled a policy move could come sooner rather than later.
A Bloomberg survey of 17 economists found the majority now project a rate increase this year. Six predict higher rates in October and two suggest a September hike. That’s an about face from a week ago, when only two forecasters were projecting rates would rise in 2017.
Traders are also pricing in a full 25 basis point increase to the central bank’s 0.5 percent benchmark interest rate by the December meeting, according to Bloomberg calculations on overnight index swaps.
…
Swaps trading on Thursday showed a 46 percent chance of an increase in July, and a 75 percent chance of one by December. A week ago the odds were 5 percent and 27 percent.
The Canada five-year bounced upwards today, closing at 1.14%.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | -0.2321 % | 2,162.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2321 % | 3,967.1 |
| Floater | 3.66 % | 3.66 % | 78,835 | 18.17 | 3 | -0.2321 % | 2,286.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0157 % | 3,053.4 |
| SplitShare | 4.71 % | 4.34 % | 69,467 | 1.51 | 5 | -0.0157 % | 3,646.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0157 % | 2,845.1 |
| Perpetual-Premium | 5.28 % | 4.35 % | 72,474 | 3.41 | 25 | -0.0187 % | 2,795.0 |
| Perpetual-Discount | 5.10 % | 5.08 % | 92,557 | 15.27 | 12 | 0.0000 % | 3,005.5 |
| FixedReset | 4.42 % | 3.96 % | 201,657 | 6.56 | 96 | 0.5350 % | 2,350.2 |
| Deemed-Retractible | 4.98 % | 5.02 % | 119,678 | 6.24 | 30 | -0.0027 % | 2,902.7 |
| FloatingReset | 2.47 % | 2.92 % | 55,183 | 4.37 | 10 | 0.3747 % | 2,563.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.E | FixedReset | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-15 Maturity Price : 23.10 Evaluated at bid price : 24.21 Bid-YTW : 4.62 % |
| SLF.PR.G | FixedReset | 1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.47 Bid-YTW : 8.50 % |
| BNS.PR.Z | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.34 Bid-YTW : 4.78 % |
| SLF.PR.H | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.51 Bid-YTW : 6.68 % |
| TRP.PR.C | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-15 Maturity Price : 15.94 Evaluated at bid price : 15.94 Bid-YTW : 3.90 % |
| BAM.PF.A | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-15 Maturity Price : 22.51 Evaluated at bid price : 22.95 Bid-YTW : 4.23 % |
| IFC.PR.A | FixedReset | 1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.15 Bid-YTW : 7.63 % |
| BMO.PR.S | FixedReset | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-15 Maturity Price : 21.63 Evaluated at bid price : 22.05 Bid-YTW : 3.80 % |
| HSE.PR.A | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-15 Maturity Price : 15.89 Evaluated at bid price : 15.89 Bid-YTW : 4.15 % |
| SLF.PR.J | FloatingReset | 1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.80 Bid-YTW : 8.61 % |
| MFC.PR.J | FixedReset | 1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.84 Bid-YTW : 5.00 % |
| MFC.PR.L | FixedReset | 1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.61 Bid-YTW : 6.30 % |
| TRP.PR.G | FixedReset | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-15 Maturity Price : 22.81 Evaluated at bid price : 23.78 Bid-YTW : 4.06 % |
| PWF.PR.P | FixedReset | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-15 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 3.85 % |
| MFC.PR.G | FixedReset | 1.58 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.86 Bid-YTW : 4.61 % |
| TRP.PR.B | FixedReset | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-15 Maturity Price : 14.78 Evaluated at bid price : 14.78 Bid-YTW : 3.78 % |
| MFC.PR.N | FixedReset | 1.71 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.37 Bid-YTW : 5.88 % |
| MFC.PR.K | FixedReset | 1.76 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.84 Bid-YTW : 6.06 % |
| MFC.PR.M | FixedReset | 2.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.37 Bid-YTW : 5.94 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.R | FixedReset | 168,665 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.97 Bid-YTW : 3.57 % |
| RY.PR.Q | FixedReset | 123,008 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 26.97 Bid-YTW : 3.45 % |
| TD.PF.B | FixedReset | 110,550 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-15 Maturity Price : 21.26 Evaluated at bid price : 21.54 Bid-YTW : 3.85 % |
| CM.PR.Q | FixedReset | 109,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-15 Maturity Price : 22.70 Evaluated at bid price : 23.49 Bid-YTW : 3.95 % |
| CM.PR.O | FixedReset | 109,039 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-15 Maturity Price : 21.31 Evaluated at bid price : 21.61 Bid-YTW : 3.91 % |
| TD.PF.C | FixedReset | 98,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-15 Maturity Price : 21.43 Evaluated at bid price : 21.43 Bid-YTW : 3.88 % |
| There were 45 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.C | FixedReset | Quote: 21.43 – 21.85 Spot Rate : 0.4200 Average : 0.3351 YTW SCENARIO |
| BAM.PF.H | FixedReset | Quote: 26.13 – 26.40 Spot Rate : 0.2700 Average : 0.1904 YTW SCENARIO |
| RY.PR.M | FixedReset | Quote: 22.88 – 23.10 Spot Rate : 0.2200 Average : 0.1438 YTW SCENARIO |
| IAG.PR.G | FixedReset | Quote: 22.42 – 22.67 Spot Rate : 0.2500 Average : 0.1749 YTW SCENARIO |
| BMO.PR.Q | FixedReset | Quote: 21.37 – 21.67 Spot Rate : 0.3000 Average : 0.2285 YTW SCENARIO |
| NA.PR.A | FixedReset | Quote: 26.75 – 26.92 Spot Rate : 0.1700 Average : 0.1102 YTW SCENARIO |