Bloomberg ran a piece by Maciej Onoszko regarding the Canadian term spread:
The premium investors demand to hold 30-year bonds over two-year securities shrank to as little as 82 basis points this month, the least since 2008, as yields on shorter maturities shot up to a six-year high after the Bank of Canada tightened policy twice in a row. Yields on longer-maturity bonds remain depressed and are trading close to their six-year average.
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| 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 | 1.0521 % | 2,437.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.0521 % | 4,472.9 |
| Floater | 3.89 % | 3.88 % | 106,331 | 17.68 | 3 | 1.0521 % | 2,577.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1191 % | 3,065.1 |
| SplitShare | 4.76 % | 4.82 % | 86,793 | 4.44 | 6 | 0.1191 % | 3,660.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1191 % | 2,856.0 |
| Perpetual-Premium | 5.43 % | 4.89 % | 54,640 | 6.00 | 16 | 0.0569 % | 2,772.0 |
| Perpetual-Discount | 5.38 % | 5.43 % | 64,170 | 14.63 | 19 | 0.0183 % | 2,886.1 |
| FixedReset | 4.36 % | 4.61 % | 157,388 | 6.22 | 99 | 0.0711 % | 2,404.5 |
| Deemed-Retractible | 5.14 % | 5.65 % | 101,530 | 6.07 | 31 | 0.1522 % | 2,853.1 |
| FloatingReset | 2.87 % | 2.97 % | 52,329 | 4.09 | 8 | -0.0219 % | 2,644.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BMO.PR.Y | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-19 Maturity Price : 22.93 Evaluated at bid price : 23.88 Bid-YTW : 4.60 % |
| BAM.PR.B | Floater | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-19 Maturity Price : 14.42 Evaluated at bid price : 14.42 Bid-YTW : 3.88 % |
| BAM.PR.K | Floater | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-19 Maturity Price : 14.39 Evaluated at bid price : 14.39 Bid-YTW : 3.89 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PF.J | FixedReset | 174,010 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.71 % |
| MFC.PR.L | FixedReset | 170,048 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.98 Bid-YTW : 6.80 % |
| RY.PR.B | Deemed-Retractible | 148,450 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-10-19 Maturity Price : 25.00 Evaluated at bid price : 25.09 Bid-YTW : 4.41 % |
| BNS.PR.B | FloatingReset | 130,369 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.73 Bid-YTW : 2.91 % |
| BNS.PR.A | FloatingReset | 104,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-04-25 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 2.77 % |
| NA.PR.W | FixedReset | 103,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-19 Maturity Price : 21.39 Evaluated at bid price : 21.71 Bid-YTW : 4.69 % |
| There were 34 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.E | FixedReset | Quote: 22.12 – 22.45 Spot Rate : 0.3300 Average : 0.2156 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 22.44 – 22.75 Spot Rate : 0.3100 Average : 0.2413 YTW SCENARIO |
| PWF.PR.F | Perpetual-Discount | Quote: 24.48 – 24.70 Spot Rate : 0.2200 Average : 0.1628 YTW SCENARIO |
| BAM.PR.N | Perpetual-Discount | Quote: 21.25 – 21.47 Spot Rate : 0.2200 Average : 0.1688 YTW SCENARIO |
| MFC.PR.F | FixedReset | Quote: 17.02 – 17.20 Spot Rate : 0.1800 Average : 0.1323 YTW SCENARIO |
| HSE.PR.A | FixedReset | Quote: 16.49 – 16.89 Spot Rate : 0.4000 Average : 0.3528 YTW SCENARIO |