TXPR closed at 557.30, up 0.72% on the day. Volume today was 2.01-million, third-highest of the past 21 trading days.
CPD closed at 11.15, up 1.09% on the day. Volume was 194,590, second-highest of the past 21 trading days.
ZPR closed at 9.30, up 1.31% on the day. Volume was 244,270, a little above the median of the past 21 trading days.
Five-year Canada yields were down to 3.18% today.
A “risk-on” day was attributed to remarks by Powell:
Jerome H. Powell, the Federal Reserve chair, signaled on Wednesday that the central bank could slow its rapid pace of interest rate increases at its December meeting while making clear that borrowing costs have farther to climb as policymakers remain concerned about a sustained bout of inflation.
Investors cheered his comments, with stocks surging at the mere hint that the Fed’s supersize rate increases could soon taper off even as Mr. Powell underlined that he and his colleagues were focused on raising rates high enough to tame inflation, rather than on how fast they got there.
The S&P 500 climbed more than 3 percent, the index’s best day in over two weeks. The Nasdaq composite index, which is particularly sensitive to changing views on interest rates, rose 4.4 percent.
…
“My colleagues and I do not want to over-tighten,” Mr. Powell said, referring to rate increases that tighten the flow of money too much. “Cutting rates is not something we want to do soon. So that’s why we’re slowing down, and going to try to find our way to what that right level is.”Still, Mr. Powell and his colleagues are trying to strike a balance. Even as they lay the groundwork to imminently slow down, they want to make it clear that they are not giving up on their campaign against rapid price increases.
…
“Consumer spending has remained resilient” and is “supported by labor income growth and still elevated savings,” Lisa D. Cook, a Fed governor, said during a speech in Michigan on Wednesday. “How far we go, and how long we keep rates restrictive, will depend on observed progress in bringing down inflation.”The road to slower inflation could be a long one. Mr. Powell pushed back on any notion that a recent moderation in price increases is a sure sign that price jumps will return to more acceptable levels soon.
“Down months in the data have often been followed by renewed increases,” he said. And while many economists expect inflation to moderate next year, “forecasts have been predicting just such a decline for more than a year, while inflation has moved stubbornly sideways.”
I was all set to report stunning success in my campaign for more precise yield-to-maturity reporting for ZLC, given a recent eMail received from BMO:
Further to your inquiry. I have been informed we are working on a fix for our site to have an as of date for Weighted average yield to maturity, added. Each ETF may differ, however I believe ZLC is weekly.
… but BMO has taken the wind out of my sails by implementing this within a few days of letting me know; readers can now expect weekly amusement from my adjustment of the reported yields. I will be continuing the use of ZLC as my benchmark for long corporate yields as:
- It has been hallowed by years of use
- It’s investible by retail
- It’s a good fund
PerpetualDiscounts now yield 6.52%, equivalent to 8.48% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.97% on 2022-11-25 and since then the closing price has changed from 15.24 to 15.12, a decline of 79bp in price, with a Duration of 12.31 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 6bp since 11/25 to 5.03%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly to 345bp from the 340bp reported November 23.
| 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 | 1.2679 % | 2,379.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.2679 % | 4,563.9 |
| Floater | 8.41 % | 8.61 % | 38,889 | 10.65 | 2 | 1.2679 % | 2,630.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1063 % | 3,283.0 |
| SplitShare | 5.18 % | 7.44 % | 48,628 | 2.78 | 8 | 0.1063 % | 3,920.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1063 % | 3,059.0 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6857 % | 2,668.7 |
| Perpetual-Discount | 6.38 % | 6.52 % | 88,434 | 13.14 | 34 | 0.6857 % | 2,910.0 |
| FixedReset Disc | 5.44 % | 7.49 % | 92,164 | 12.19 | 63 | 0.7201 % | 2,218.2 |
| Insurance Straight | 6.32 % | 6.46 % | 98,132 | 13.18 | 18 | 0.8138 % | 2,846.1 |
| FloatingReset | 9.31 % | 9.68 % | 45,189 | 9.89 | 2 | 0.5168 % | 2,525.9 |
| FixedReset Prem | 6.51 % | 6.18 % | 415,699 | 4.20 | 1 | -0.0392 % | 2,374.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7201 % | 2,267.4 |
| FixedReset Ins Non | 5.40 % | 7.52 % | 47,521 | 12.31 | 14 | 0.7092 % | 2,326.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.C | Perpetual-Discount | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 6.46 % |
| SLF.PR.D | Insurance Straight | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 18.18 Evaluated at bid price : 18.18 Bid-YTW : 6.13 % |
| BAM.PF.J | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 22.88 Evaluated at bid price : 24.25 Bid-YTW : 6.54 % |
| MFC.PR.K | FixedReset Ins Non | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 7.42 % |
| MIC.PR.A | Perpetual-Discount | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 7.37 % |
| RY.PR.J | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 7.42 % |
| CCS.PR.C | Insurance Straight | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.42 % |
| PWF.PR.G | Perpetual-Discount | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 6.49 % |
| GWO.PR.P | Insurance Straight | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 6.59 % |
| IFC.PR.E | Insurance Straight | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 6.46 % |
| IAF.PR.I | FixedReset Ins Non | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 21.52 Evaluated at bid price : 21.85 Bid-YTW : 6.82 % |
| PWF.PR.E | Perpetual-Discount | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.56 % |
| BAM.PF.B | FixedReset Disc | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 17.81 Evaluated at bid price : 17.81 Bid-YTW : 8.15 % |
| GWO.PR.T | Insurance Straight | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 6.52 % |
| TD.PF.I | FixedReset Disc | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 23.18 Evaluated at bid price : 25.05 Bid-YTW : 6.23 % |
| RY.PR.O | Perpetual-Discount | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.74 % |
| BAM.PR.K | Floater | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 12.40 Evaluated at bid price : 12.40 Bid-YTW : 8.61 % |
| PWF.PR.O | Perpetual-Discount | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 22.04 Evaluated at bid price : 22.27 Bid-YTW : 6.59 % |
| SLF.PR.J | FloatingReset | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 15.45 Evaluated at bid price : 15.45 Bid-YTW : 8.98 % |
| BAM.PR.B | Floater | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 12.36 Evaluated at bid price : 12.36 Bid-YTW : 8.64 % |
| SLF.PR.C | Insurance Straight | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 6.09 % |
| GWO.PR.G | Insurance Straight | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 6.54 % |
| TRP.PR.A | FixedReset Disc | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 14.38 Evaluated at bid price : 14.38 Bid-YTW : 8.52 % |
| FTS.PR.M | FixedReset Disc | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 8.00 % |
| BAM.PF.I | FixedReset Disc | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 21.90 Evaluated at bid price : 22.33 Bid-YTW : 7.46 % |
| GWO.PR.I | Insurance Straight | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 18.17 Evaluated at bid price : 18.17 Bid-YTW : 6.32 % |
| TD.PF.J | FixedReset Disc | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 21.52 Evaluated at bid price : 21.85 Bid-YTW : 6.82 % |
| TRP.PR.G | FixedReset Disc | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 16.71 Evaluated at bid price : 16.71 Bid-YTW : 8.32 % |
| SLF.PR.G | FixedReset Ins Non | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 13.21 Evaluated at bid price : 13.21 Bid-YTW : 7.82 % |
| MFC.PR.F | FixedReset Ins Non | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 13.20 Evaluated at bid price : 13.20 Bid-YTW : 7.74 % |
| BAM.PF.H | FixedReset Disc | 1.67 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 6.21 % |
| MFC.PR.L | FixedReset Ins Non | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 7.70 % |
| BAM.PR.Z | FixedReset Disc | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 21.48 Evaluated at bid price : 21.78 Bid-YTW : 7.19 % |
| TRP.PR.E | FixedReset Disc | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 8.69 % |
| BAM.PR.M | Perpetual-Discount | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 6.26 % |
| TRP.PR.D | FixedReset Disc | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 15.99 Evaluated at bid price : 15.99 Bid-YTW : 8.60 % |
| TRP.PR.B | FixedReset Disc | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 11.35 Evaluated at bid price : 11.35 Bid-YTW : 8.74 % |
| TRP.PR.C | FixedReset Disc | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 12.21 Evaluated at bid price : 12.21 Bid-YTW : 8.49 % |
| PWF.PR.F | Perpetual-Discount | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.52 % |
| PWF.PF.A | Perpetual-Discount | 2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 6.43 % |
| BAM.PR.X | FixedReset Disc | 2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 16.41 Evaluated at bid price : 16.41 Bid-YTW : 7.61 % |
| BAM.PR.T | FixedReset Disc | 2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 8.25 % |
| RY.PR.N | Perpetual-Discount | 2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 21.75 Evaluated at bid price : 21.75 Bid-YTW : 5.68 % |
| RY.PR.M | FixedReset Disc | 2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 7.20 % |
| GWO.PR.N | FixedReset Ins Non | 2.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 13.05 Evaluated at bid price : 13.05 Bid-YTW : 7.62 % |
| IFC.PR.K | Perpetual-Discount | 2.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 20.78 Evaluated at bid price : 20.78 Bid-YTW : 6.45 % |
| IFC.PR.C | FixedReset Disc | 2.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 7.41 % |
| CU.PR.I | FixedReset Disc | 2.94 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-01 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 5.25 % |
| GWO.PR.H | Insurance Straight | 3.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 6.33 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.B | Insurance Straight | 177,606 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 6.23 % |
| MFC.PR.C | Insurance Straight | 176,743 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 18.18 Evaluated at bid price : 18.18 Bid-YTW : 6.21 % |
| TRP.PR.D | FixedReset Disc | 139,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 15.99 Evaluated at bid price : 15.99 Bid-YTW : 8.60 % |
| TRP.PR.E | FixedReset Disc | 118,945 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 8.69 % |
| NA.PR.E | FixedReset Disc | 67,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 7.12 % |
| BAM.PF.D | Perpetual-Discount | 66,958 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-11-30 Maturity Price : 19.24 Evaluated at bid price : 19.24 Bid-YTW : 6.50 % |
| There were 18 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.N | FixedReset Ins Non | Quote: 13.05 – 15.51 Spot Rate : 2.4600 Average : 1.4152 YTW SCENARIO |
| TD.PF.K | FixedReset Disc | Quote: 20.35 – 21.25 Spot Rate : 0.9000 Average : 0.6094 YTW SCENARIO |
| BAM.PR.R | FixedReset Disc | Quote: 14.30 – 15.07 Spot Rate : 0.7700 Average : 0.5459 YTW SCENARIO |
| TRP.PR.C | FixedReset Disc | Quote: 12.21 – 13.70 Spot Rate : 1.4900 Average : 1.2774 YTW SCENARIO |
| TD.PF.I | FixedReset Disc | Quote: 25.05 – 25.69 Spot Rate : 0.6400 Average : 0.4434 YTW SCENARIO |
| BAM.PR.B | Floater | Quote: 12.36 – 12.90 Spot Rate : 0.5400 Average : 0.3531 YTW SCENARIO |
I find it rather amusing that the “market” interpreted Mr. Powell’s remarks in a such a bullish way. Paraphrasing, he said that “we are going to slow the magnitude or rate hikes, but will hike for longer and, by the way, don’t hold your breath for rate cuts for a long time”.
The 10yr Treasury is yielding 3.60%. Fed Funds rate will likely be at 4.5% after the Dec FOMC meeting, then probably not peaking until they reach 5-5.5%. I’d hate to be a bond trader and have such a negative carry by holding long Treasuries. That can be very expensive.