TXPR closed at 553.64, up 0.92% on the day. Volume today was 1.27-million, near the median of the past 21 trading days.
CPD closed at 11.12, up 2.11% on the day. Volume was 181,620, fourth-highest of the past 21 trading days.
ZPR closed at 9.34, up 2.52% on the day. Volume was 214,210, near the median of the past 21 trading days.
Five-year Canada yields were down slightly to 3.64% today.
DBRS published a commentary on gilts:
Pressures have continued to mount in the UK government bond market. To a large extent this reflects concerns over the current incongruence between fiscal and monetary policies in the UK, with the market volatility exacerbated by liability-driven investment (LDI) funds. UK gilts have again come under pressure in less than a month, with another sell-off and yield spike, following the governor of the Bank of England’s (BoE) confirmation that the temporary emergency support adopted in September would end on 14th October as planned. The sell-off of gilts took place despite additional interventions by the BoE on 10th and 11th October. We see with some concern how the BoE interventions this week initially failed to contain market pressures.
We highlight the risk that volatility in the gilt market could turn more long lasting. Persistent pressures and dysfunction could pose risks to the UK’s financial stability. Financial instability would ultimately have adverse consequences for the financial flexibility of the UK government. We see both the health of the pension fund sector – as one of the main holders of government bonds – and the efficient functioning of the gilt market, as key for the financial flexibility of the UK government.
While we see with concern the ongoing pressures in the gilt market and the liquidity issues in the pension fund sector, we expect the BoE to continue to address potential risks to financial stability, preventing liquidity issues turning into solvency problems at a systemic level. That said, we continue to monitor market and policy developments. We would see with great concern a situation in which the BoE measures fail to prevent contagion from the stresses in pension funds to other financial market participants.
Key Highlights
• The inconsistency between fiscal and monetary policies remains a concern, posing risks for policy credibility.
• If pressures in the gilt market prove persistent, financial stability risks could emerge.
• Financial stability risks could have adverse consequences for the financial flexibility of the UK government. The efficient functioning of the gilt market remains crucial.
My understanding is that Truss’ leadership is now a laughingstock on deathwatch.
| 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 | 0.4969 % | 2,332.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4969 % | 4,473.6 |
| Floater | 7.86 % | 7.95 % | 53,228 | 11.43 | 2 | 0.4969 % | 2,578.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0849 % | 3,382.9 |
| SplitShare | 4.97 % | 6.54 % | 35,470 | 3.05 | 7 | 0.0849 % | 4,040.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0849 % | 3,152.1 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5625 % | 2,597.5 |
| Perpetual-Discount | 6.56 % | 6.67 % | 69,418 | 12.99 | 33 | 0.5625 % | 2,832.5 |
| FixedReset Disc | 5.37 % | 7.64 % | 90,680 | 12.06 | 63 | 1.3821 % | 2,226.3 |
| Insurance Straight | 6.52 % | 6.60 % | 81,258 | 13.07 | 19 | 1.1607 % | 2,760.5 |
| FloatingReset | 9.28 % | 9.59 % | 38,280 | 9.87 | 2 | -0.3635 % | 2,447.1 |
| FixedReset Prem | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.3821 % | 2,356.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.3821 % | 2,275.8 |
| FixedReset Ins Non | 5.54 % | 8.11 % | 43,320 | 11.60 | 14 | 0.2764 % | 2,267.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.E | FixedReset Disc | -7.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 14.10 Evaluated at bid price : 14.10 Bid-YTW : 10.13 % |
| PWF.PR.Z | Perpetual-Discount | -2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 6.72 % |
| SLF.PR.J | FloatingReset | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 9.26 % |
| BAM.PF.I | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 21.31 Evaluated at bid price : 21.31 Bid-YTW : 8.11 % |
| BNS.PR.I | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 21.23 Evaluated at bid price : 21.23 Bid-YTW : 7.12 % |
| RY.PR.M | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 7.40 % |
| CM.PR.Y | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 23.54 Evaluated at bid price : 23.90 Bid-YTW : 7.36 % |
| TD.PF.B | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 7.71 % |
| BMO.PR.Y | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 19.26 Evaluated at bid price : 19.26 Bid-YTW : 7.55 % |
| SLF.PR.E | Insurance Straight | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 6.45 % |
| MFC.PR.B | Insurance Straight | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 17.97 Evaluated at bid price : 17.97 Bid-YTW : 6.56 % |
| MFC.PR.Q | FixedReset Ins Non | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 7.75 % |
| TRP.PR.D | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 9.26 % |
| BAM.PR.T | FixedReset Disc | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 14.67 Evaluated at bid price : 14.67 Bid-YTW : 9.06 % |
| POW.PR.C | Perpetual-Discount | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 22.07 Evaluated at bid price : 22.30 Bid-YTW : 6.55 % |
| TRP.PR.A | FixedReset Disc | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 14.17 Evaluated at bid price : 14.17 Bid-YTW : 9.29 % |
| TD.PF.A | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 7.62 % |
| CM.PR.Q | FixedReset Disc | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 19.03 Evaluated at bid price : 19.03 Bid-YTW : 7.63 % |
| CU.PR.C | FixedReset Disc | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 19.37 Evaluated at bid price : 19.37 Bid-YTW : 7.63 % |
| BIP.PR.E | FixedReset Disc | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 7.79 % |
| BAM.PF.A | FixedReset Disc | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 19.79 Evaluated at bid price : 19.79 Bid-YTW : 8.31 % |
| BAM.PF.B | FixedReset Disc | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 9.13 % |
| BMO.PR.T | FixedReset Disc | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 7.85 % |
| BMO.PR.S | FixedReset Disc | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 19.17 Evaluated at bid price : 19.17 Bid-YTW : 7.66 % |
| FTS.PR.M | FixedReset Disc | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 16.66 Evaluated at bid price : 16.66 Bid-YTW : 8.86 % |
| BIP.PR.A | FixedReset Disc | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 16.77 Evaluated at bid price : 16.77 Bid-YTW : 9.86 % |
| CU.PR.J | Perpetual-Discount | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.53 % |
| IFC.PR.K | Perpetual-Discount | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 6.22 % |
| ELF.PR.H | Perpetual-Discount | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.52 % |
| CU.PR.I | FixedReset Disc | 1.69 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-01 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 6.16 % |
| CU.PR.H | Perpetual-Discount | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 6.53 % |
| CM.PR.S | FixedReset Disc | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 21.63 Evaluated at bid price : 22.00 Bid-YTW : 6.95 % |
| MFC.PR.C | Insurance Straight | 1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 6.50 % |
| IFC.PR.I | Perpetual-Discount | 1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 21.55 Evaluated at bid price : 21.83 Bid-YTW : 6.24 % |
| NA.PR.S | FixedReset Disc | 1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 7.70 % |
| NA.PR.E | FixedReset Disc | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 7.41 % |
| IFC.PR.F | Insurance Straight | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 6.29 % |
| NA.PR.C | FixedReset Disc | 1.93 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-12-15 Maturity Price : 25.00 Evaluated at bid price : 24.83 Bid-YTW : 6.59 % |
| BAM.PR.Z | FixedReset Disc | 1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 8.02 % |
| BAM.PR.X | FixedReset Disc | 2.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 15.76 Evaluated at bid price : 15.76 Bid-YTW : 8.35 % |
| BAM.PF.F | FixedReset Disc | 2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 9.08 % |
| BAM.PR.N | Perpetual-Discount | 2.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 18.44 Evaluated at bid price : 18.44 Bid-YTW : 6.51 % |
| FTS.PR.K | FixedReset Disc | 2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 8.89 % |
| BMO.PR.W | FixedReset Disc | 2.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 18.78 Evaluated at bid price : 18.78 Bid-YTW : 7.59 % |
| IFC.PR.C | FixedReset Disc | 3.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 8.23 % |
| TD.PF.K | FixedReset Disc | 3.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 7.26 % |
| POW.PR.D | Perpetual-Discount | 4.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 6.67 % |
| RY.PR.H | FixedReset Disc | 4.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 7.54 % |
| TD.PF.J | FixedReset Disc | 4.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 21.62 Evaluated at bid price : 22.00 Bid-YTW : 7.23 % |
| BIP.PR.B | FixedReset Disc | 5.63 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 6.47 % |
| TD.PF.E | FixedReset Disc | 7.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 7.40 % |
| IFC.PR.E | Insurance Straight | 9.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 20.72 Evaluated at bid price : 20.72 Bid-YTW : 6.35 % |
| TRP.PR.E | FixedReset Disc | 9.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 15.32 Evaluated at bid price : 15.32 Bid-YTW : 9.32 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.C | FixedReset Disc | 104,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-12-15 Maturity Price : 25.00 Evaluated at bid price : 24.83 Bid-YTW : 6.59 % |
| TRP.PR.B | FixedReset Disc | 33,605 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 10.87 Evaluated at bid price : 10.87 Bid-YTW : 9.87 % |
| TD.PF.I | FixedReset Disc | 26,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 22.80 Evaluated at bid price : 24.07 Bid-YTW : 6.93 % |
| PWF.PR.P | FixedReset Disc | 25,877 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 11.83 Evaluated at bid price : 11.83 Bid-YTW : 9.43 % |
| SLF.PR.D | Insurance Straight | 19,137 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 17.27 Evaluated at bid price : 17.27 Bid-YTW : 6.52 % |
| TD.PF.B | FixedReset Disc | 19,050 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-17 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 7.71 % |
| There were 15 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.N | FixedReset Ins Non | Quote: 16.27 – 22.30 Spot Rate : 6.0300 Average : 3.6728 YTW SCENARIO |
| MIC.PR.A | Perpetual-Discount | Quote: 18.70 – 28.99 Spot Rate : 10.2900 Average : 8.2789 YTW SCENARIO |
| BNS.PR.I | FixedReset Disc | Quote: 21.23 – 23.45 Spot Rate : 2.2200 Average : 1.3104 YTW SCENARIO |
| TRP.PR.D | FixedReset Disc | Quote: 15.80 – 17.60 Spot Rate : 1.8000 Average : 1.1018 YTW SCENARIO |
| BMO.PR.T | FixedReset Disc | Quote: 18.22 – 20.00 Spot Rate : 1.7800 Average : 1.0827 YTW SCENARIO |
| BAM.PF.E | FixedReset Disc | Quote: 14.10 – 15.88 Spot Rate : 1.7800 Average : 1.0856 YTW SCENARIO |