February 19, 2020

How about that Canadian inflation, eh?:

The annual pace of inflation jumped last month to 2.4 per cent, its fastest rate in almost two years, fuelled by higher costs at the gas pump, pricey tomatoes and a rare surge in clothing costs.

Much of the bump came as concerns about events in the Middle East helped pushed gas prices up 11.2 per cent compared with January, 2019, when a global supply glut lowered oil prices.

The average of Canada’s three measures for core inflation, which are considered better gauges of underlying price pressures and closely tracked by the Bank of Canada, was 2.033 per cent compared with 2.067 per cent for December.

Costs grew for fresh vegetables by 5 per cent, which the agency says is largely attributable to a 10.8-per-cent bump in the price of tomatoes stemming from inclement weather in growing regions of the United States and Mexico.

PerpetualDiscounts now yield 5.16%, equivalent to 6.71% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.10%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed dramatically to 360bp from the 380bp reported February 12.

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 0.1924 % 2,073.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1924 % 3,805.3
Floater 5.90 % 6.08 % 51,781 13.71 4 0.1924 % 2,193.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1677 % 3,489.7
SplitShare 4.72 % 4.06 % 40,338 4.09 6 0.1677 % 4,167.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1677 % 3,251.6
Perpetual-Premium 5.54 % 0.19 % 56,856 0.09 12 0.0295 % 3,074.5
Perpetual-Discount 5.16 % 5.16 % 65,605 15.02 24 0.0070 % 3,383.4
FixedReset Disc 5.49 % 5.42 % 173,941 14.78 64 0.1318 % 2,183.9
Deemed-Retractible 5.09 % 5.19 % 72,451 14.91 27 -0.0231 % 3,288.0
FloatingReset 5.99 % 6.10 % 57,314 13.75 3 0.2675 % 2,554.9
FixedReset Prem 5.07 % 3.39 % 136,601 1.43 22 0.0745 % 2,661.7
FixedReset Bank Non 1.93 % 3.26 % 72,036 1.89 3 -0.0136 % 2,755.0
FixedReset Ins Non 5.33 % 5.39 % 103,347 14.63 22 0.2784 % 2,202.0
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 5.77 %
BAM.PR.N Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 5.36 %
BAM.PF.F FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 5.92 %
MFC.PR.J FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.39 %
PWF.PR.P FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 5.53 %
TRP.PR.F FloatingReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 14.39
Evaluated at bid price : 14.39
Bid-YTW : 6.30 %
MFC.PR.H FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.44 %
MFC.PR.N FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.48 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.I Perpetual-Premium 145,998 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 5.34 %
MFC.PR.C Deemed-Retractible 100,855 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.19 %
TD.PF.A FixedReset Disc 46,317 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 5.26 %
CM.PR.P FixedReset Disc 36,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.51 %
RY.PR.S FixedReset Disc 36,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 5.00 %
TRP.PR.C FixedReset Disc 31,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 5.93 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Deemed-Retractible Quote: 24.97 – 25.75
Spot Rate : 0.7800
Average : 0.5555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 24.63
Evaluated at bid price : 24.97
Bid-YTW : 5.32 %

SLF.PR.H FixedReset Ins Non Quote: 16.41 – 16.75
Spot Rate : 0.3400
Average : 0.2307

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 5.39 %

HSE.PR.A FixedReset Disc Quote: 11.56 – 11.95
Spot Rate : 0.3900
Average : 0.2837

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 6.74 %

MFC.PR.Q FixedReset Ins Non Quote: 19.42 – 19.76
Spot Rate : 0.3400
Average : 0.2461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 5.35 %

IFC.PR.G FixedReset Ins Non Quote: 19.20 – 19.44
Spot Rate : 0.2400
Average : 0.1531

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.46 %

MFC.PR.M FixedReset Ins Non Quote: 17.78 – 18.09
Spot Rate : 0.3100
Average : 0.2247

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 5.38 %

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