Hey, how ’bout that bond market, eh?:
Benchmark bond yields are headed for the biggest weekly advance since September as investors contemplate prospects for continued economic growth and reduced central bank stimulus.
…
The yield on 10-year Treasuries slid 2 basis points Thursday, to 2.48 percent. That’s up from 2.35 percent at the end of last week.
…and Bloomberg supplies a chart of the generic 10-year Treasury yield:
Click for Big
In Canada, the five-year is at 1.86% and the 3-Month Bill has breeched the point at 1.03%.
… and the BoC supplies a chart of GOC-5:
Click for Big
| 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 | 0.0000 % | 2,506.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 4,600.1 |
| Floater | 3.67 % | 3.80 % | 32,548 | 17.86 | 4 | 0.0000 % | 2,651.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1168 % | 3,144.3 |
| SplitShare | 4.67 % | 4.06 % | 71,489 | 3.47 | 5 | -0.1168 % | 3,754.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1168 % | 2,929.8 |
| Perpetual-Premium | 5.37 % | 4.84 % | 49,707 | 2.17 | 20 | 0.0386 % | 2,842.0 |
| Perpetual-Discount | 5.24 % | 5.28 % | 68,451 | 14.93 | 14 | -0.0146 % | 3,006.3 |
| FixedReset | 4.24 % | 4.23 % | 148,898 | 4.14 | 98 | 0.4456 % | 2,498.7 |
| Deemed-Retractible | 5.07 % | 5.32 % | 88,845 | 5.92 | 30 | -0.1985 % | 2,938.2 |
| FloatingReset | 2.78 % | 2.77 % | 44,595 | 3.88 | 8 | 0.1789 % | 2,692.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IAG.PR.A | Deemed-Retractible | -1.85 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.23 Bid-YTW : 6.59 % |
| BAM.PF.A | FixedReset | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-21 Maturity Price : 24.14 Evaluated at bid price : 24.65 Bid-YTW : 4.64 % |
| NA.PR.C | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 3.76 % |
| TD.PF.D | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.86 Bid-YTW : 4.05 % |
| IFC.PR.C | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.16 Bid-YTW : 5.04 % |
| BMO.PR.Y | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-08-25 Maturity Price : 25.00 Evaluated at bid price : 24.83 Bid-YTW : 4.20 % |
| TD.PF.A | FixedReset | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-21 Maturity Price : 23.17 Evaluated at bid price : 23.53 Bid-YTW : 4.20 % |
| MFC.PR.H | FixedReset | 1.20 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.53 % |
| MFC.PR.L | FixedReset | 1.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.53 Bid-YTW : 5.59 % |
| BMO.PR.T | FixedReset | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-21 Maturity Price : 22.71 Evaluated at bid price : 23.10 Bid-YTW : 4.26 % |
| MFC.PR.M | FixedReset | 1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.21 Bid-YTW : 5.26 % |
| TRP.PR.C | FixedReset | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-21 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 4.50 % |
| NA.PR.W | FixedReset | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-21 Maturity Price : 22.69 Evaluated at bid price : 23.00 Bid-YTW : 4.30 % |
| IFC.PR.A | FixedReset | 1.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.06 Bid-YTW : 7.00 % |
| MFC.PR.N | FixedReset | 1.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.18 Bid-YTW : 5.19 % |
| SLF.PR.I | FixedReset | 1.74 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 4.34 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.A | FixedReset | 210,180 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 26.65 Bid-YTW : 3.64 % |
| TRP.PR.J | FixedReset | 119,680 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.53 Bid-YTW : 3.71 % |
| CM.PR.R | FixedReset | 117,694 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.86 % |
| TD.PR.Z | FloatingReset | 100,400 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.81 Bid-YTW : 2.77 % |
| RY.PR.Q | FixedReset | 95,045 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 27.00 Bid-YTW : 3.16 % |
| TD.PF.H | FixedReset | 92,772 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.22 Bid-YTW : 3.69 % |
| There were 41 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.G | FixedReset | Quote: 18.11 – 18.75 Spot Rate : 0.6400 Average : 0.3913 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 22.23 – 22.75 Spot Rate : 0.5200 Average : 0.3363 YTW SCENARIO |
| SLF.PR.H | FixedReset | Quote: 21.36 – 21.79 Spot Rate : 0.4300 Average : 0.2633 YTW SCENARIO |
| BAM.PR.K | Floater | Quote: 14.56 – 15.00 Spot Rate : 0.4400 Average : 0.2952 YTW SCENARIO |
| CU.PR.I | FixedReset | Quote: 25.81 – 26.25 Spot Rate : 0.4400 Average : 0.3196 YTW SCENARIO |
| CM.PR.Q | FixedReset | Quote: 24.45 – 24.77 Spot Rate : 0.3200 Average : 0.2136 YTW SCENARIO |