Treasury yields jumped as a wave of bets that the Fed will keep rates on hold longer than expected — before possibly cutting them — was unleashed in derivatives markets. Chairman Jerome Powell’s comments on the “transient” nature of factors keeping inflation below the target prompted a reassessment, with wagers on when a rate cut might happen shifting from December 2019 into 2020. The next clue on the health of the economy will be Friday’s jobs report.
This had an effect on Canadian bond yields, with the 5-Year Canada yield up 7bp to 1.61%.
| 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 | 0.1368 % | 2,073.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1368 % | 3,803.8 |
| Floater | 5.67 % | 6.03 % | 49,585 | 13.82 | 3 | 0.1368 % | 2,192.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0227 % | 3,286.8 |
| SplitShare | 4.69 % | 4.85 % | 80,123 | 4.29 | 7 | -0.0227 % | 3,925.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0227 % | 3,062.5 |
| Perpetual-Premium | 5.51 % | -3.74 % | 91,925 | 0.09 | 12 | -0.0197 % | 2,959.0 |
| Perpetual-Discount | 5.43 % | 5.49 % | 78,147 | 14.65 | 20 | 0.1168 % | 3,099.6 |
| FixedReset Disc | 5.25 % | 5.29 % | 172,921 | 15.06 | 63 | 0.0032 % | 2,188.7 |
| Deemed-Retractible | 5.22 % | 5.82 % | 107,458 | 8.09 | 27 | -0.0174 % | 3,078.7 |
| FloatingReset | 3.98 % | 4.28 % | 52,479 | 2.64 | 4 | -0.1411 % | 2,400.3 |
| FixedReset Prem | 5.10 % | 3.77 % | 269,619 | 2.15 | 21 | 0.0389 % | 2,587.1 |
| FixedReset Bank Non | 1.98 % | 3.92 % | 158,774 | 2.65 | 3 | 0.0557 % | 2,645.7 |
| FixedReset Ins Non | 5.02 % | 6.76 % | 99,734 | 8.23 | 22 | -0.2400 % | 2,244.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.G | FixedReset Ins Non | -2.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.46 Bid-YTW : 9.18 % |
| HSE.PR.A | FixedReset Disc | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-02 Maturity Price : 12.51 Evaluated at bid price : 12.51 Bid-YTW : 6.43 % |
| MFC.PR.J | FixedReset Ins Non | -1.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.59 Bid-YTW : 6.86 % |
| SLF.PR.J | FloatingReset | -1.42 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.61 Bid-YTW : 9.37 % |
| MFC.PR.H | FixedReset Ins Non | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.34 Bid-YTW : 6.02 % |
| IFC.PR.C | FixedReset Ins Non | 1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.50 Bid-YTW : 7.63 % |
| CCS.PR.C | Deemed-Retractible | 1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.49 Bid-YTW : 5.85 % |
| BAM.PR.X | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-02 Maturity Price : 14.21 Evaluated at bid price : 14.21 Bid-YTW : 5.76 % |
| PWF.PR.A | Floater | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-02 Maturity Price : 13.49 Evaluated at bid price : 13.49 Bid-YTW : 5.13 % |
| TD.PF.C | FixedReset Disc | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-02 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 5.20 % |
| PWF.PR.P | FixedReset Disc | 2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-02 Maturity Price : 14.30 Evaluated at bid price : 14.30 Bid-YTW : 5.38 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.Q | FixedReset Disc | 212,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-02 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 5.36 % |
| BMO.PR.W | FixedReset Disc | 89,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-02 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 5.22 % |
| RY.PR.Z | FixedReset Disc | 70,540 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-02 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 5.16 % |
| CM.PR.R | FixedReset Disc | 63,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-02 Maturity Price : 22.35 Evaluated at bid price : 22.90 Bid-YTW : 5.27 % |
| BMO.PR.D | FixedReset Disc | 61,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-02 Maturity Price : 22.05 Evaluated at bid price : 22.45 Bid-YTW : 5.18 % |
| PWF.PR.Z | Perpetual-Discount | 54,050 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-02 Maturity Price : 23.07 Evaluated at bid price : 23.39 Bid-YTW : 5.53 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.T | FixedReset Disc | Quote: 15.90 – 16.53 Spot Rate : 0.6300 Average : 0.4547 YTW SCENARIO |
| SLF.PR.G | FixedReset Ins Non | Quote: 14.46 – 14.89 Spot Rate : 0.4300 Average : 0.2790 YTW SCENARIO |
| MFC.PR.L | FixedReset Ins Non | Quote: 17.55 – 17.97 Spot Rate : 0.4200 Average : 0.2725 YTW SCENARIO |
| BAM.PF.I | FixedReset Disc | Quote: 24.45 – 24.77 Spot Rate : 0.3200 Average : 0.1937 YTW SCENARIO |
| NA.PR.W | FixedReset Disc | Quote: 17.40 – 17.76 Spot Rate : 0.3600 Average : 0.2417 YTW SCENARIO |
| MFC.PR.H | FixedReset Ins Non | Quote: 22.34 – 22.72 Spot Rate : 0.3800 Average : 0.2725 YTW SCENARIO |