June 3, 2019

James Bullard of the St. Louis Fed gave an exciting presentation today:

KEY THEMES
  • • Global trade disputes may be more protracted and more difficult to resolve than previously envisioned.
  • • The U.S. economy is expected to grow more slowly in 2019.
  • • Inflation expectations appear to be too low to be consistent with the inflation target of the Federal Open Market Committee (FOMC).
  • • The Treasury yield curve has moved more decisively toward inversion.
  • • These considerations suggest a downward adjustment in the policy rate—the federal funds rate target range—may be warranted soon.

The New York Times reported:

The broader S&P 500 index was down slightly, but investors remained watchful of developments on the trade front, after stocks suffered their sharpest monthly decline this year in May with a 6.6 percent drop. That nervousness lingered in the bond market Monday, with the yield on 10-year Treasury bonds falling, suggesting that investors increasingly believe trade tensions could hinder world economic growth.

But stocks were bolstered in part by rising expectations that the Federal Reserve could start cutting interest rates in response to the rising trade tensions. In a prepared statement, St. Louis Federal Reserve President James Bullard on Monday said lower Fed rates “may be warranted soon.”

The five-year Canada yield dropped 7bp to 1.29%, which caused some late-afternoon weakness in the Canadian preferred share market.

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 -0.3724 % 1,970.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3724 % 3,615.6
Floater 5.96 % 6.39 % 53,982 13.24 3 -0.3724 % 2,083.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0171 % 3,300.9
SplitShare 4.72 % 4.75 % 76,871 4.26 7 -0.0171 % 3,941.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0171 % 3,075.6
Perpetual-Premium 5.64 % -4.83 % 79,619 0.08 7 -0.0620 % 2,929.7
Perpetual-Discount 5.50 % 5.60 % 71,495 14.42 26 -0.1955 % 3,061.2
FixedReset Disc 5.54 % 5.43 % 168,597 14.67 68 -0.3189 % 2,063.5
Deemed-Retractible 5.31 % 6.04 % 94,907 8.07 27 -0.0289 % 3,058.1
FloatingReset 4.09 % 5.01 % 46,727 2.55 4 0.0264 % 2,343.1
FixedReset Prem 5.17 % 4.47 % 225,537 1.88 16 -0.1883 % 2,552.7
FixedReset Bank Non 2.00 % 4.38 % 148,064 2.57 3 0.0000 % 2,619.6
FixedReset Ins Non 5.31 % 7.33 % 104,376 8.19 22 -0.6499 % 2,144.7
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -3.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.86
Bid-YTW : 9.20 %
CU.PR.C FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.43 %
MFC.PR.K FixedReset Ins Non -1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.36
Bid-YTW : 7.68 %
NA.PR.G FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 5.43 %
CM.PR.O FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 5.64 %
TRP.PR.B FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 5.87 %
TD.PF.B FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 5.39 %
MFC.PR.H FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.05
Bid-YTW : 7.12 %
PWF.PR.Z Perpetual-Discount -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 22.69
Evaluated at bid price : 22.97
Bid-YTW : 5.66 %
TD.PF.C FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 5.35 %
PWF.PR.E Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 24.18
Evaluated at bid price : 24.44
Bid-YTW : 5.69 %
EML.PR.A FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 5.10 %
TRP.PR.G FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.94 %
BAM.PR.B Floater -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 11.02
Evaluated at bid price : 11.02
Bid-YTW : 6.39 %
CU.PR.H Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 23.53
Evaluated at bid price : 24.00
Bid-YTW : 5.48 %
TRP.PR.D FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 16.32
Evaluated at bid price : 16.32
Bid-YTW : 5.87 %
PVS.PR.G SplitShare -1.00 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.10 %
TRP.PR.K FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.09 %
BMO.PR.S FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 5.25 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.S FixedReset Disc 141,469 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 5.25 %
HSE.PR.A FixedReset Disc 126,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 6.20 %
RY.PR.J FixedReset Disc 110,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.34 %
RY.PR.A Deemed-Retractible 100,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-07-03
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : -1.84 %
SLF.PR.E Deemed-Retractible 52,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.49
Bid-YTW : 6.91 %
PWF.PR.L Perpetual-Discount 51,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 22.44
Evaluated at bid price : 22.70
Bid-YTW : 5.68 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.G SplitShare Quote: 24.75 – 25.05
Spot Rate : 0.3000
Average : 0.1817

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.10 %

EML.PR.A FixedReset Ins Non Quote: 25.48 – 25.80
Spot Rate : 0.3200
Average : 0.2024

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 5.10 %

BAM.PF.I FixedReset Disc Quote: 23.66 – 23.94
Spot Rate : 0.2800
Average : 0.1734

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 22.83
Evaluated at bid price : 23.66
Bid-YTW : 5.47 %

MFC.PR.K FixedReset Ins Non Quote: 18.36 – 18.70
Spot Rate : 0.3400
Average : 0.2427

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.36
Bid-YTW : 7.68 %

MFC.PR.H FixedReset Ins Non Quote: 20.05 – 20.39
Spot Rate : 0.3400
Average : 0.2427

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.05
Bid-YTW : 7.12 %

GWO.PR.N FixedReset Ins Non Quote: 13.86 – 14.20
Spot Rate : 0.3400
Average : 0.2447

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.86
Bid-YTW : 9.20 %

One Response to “June 3, 2019”

  1. BarleyandHops says:

    Points of interest – for me anyway:

    Tight labour market usually means an increase of labour input costs, and:

    Trade restrictions (read import duties) lead to increased consumer prices.

    So, might we be faced with accelerated inflation w/ lower borrowing costs? Then what?

Leave a Reply

You must be logged in to post a comment.