December 23, 2022

Yields popped up again:

U.S. Treasury yields rose on Friday after data showed that personal income rose more than expected in November while inflation data for October was revised upward, supporting the view that the Federal Reserve will continue to hike rates as it battles stubbornly high price pressures.

Personal income rose by 0.4% in the month, beating economists’ expectations for a 0.3% gain.

The personal consumption expenditures (PCE) price index rose 0.1% last month and its October gain was revised upward to 0.4%, from 0.3%. In the 12 months through November, the PCE price index increased 5.5% after advancing 6.1% in October.

Consumer spending, which accounts for more than two-thirds of U.S. economic activity, also edged up 0.1% in November, while data for October was revised upward to show spending surging 0.9% instead of 0.8% as previously reported.

Other data on Friday showed that U.S. consumers expect price pressures to moderate notably in the next year, with a benchmark survey on Friday showing their one-year inflation outlook dropping to the lowest in 18 months in December.

Benchmark 10-year yields rose 9 basis points to 3.749%, and two-year yields gained 7 basis points to 4.330%.

Merry Christmas, everybody!

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 0.0000 % 2,402.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,608.2
Floater 9.03 % 9.10 % 51,459 10.32 2 0.0000 % 2,655.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1931 % 3,233.6
SplitShare 5.26 % 7.75 % 63,119 2.72 8 -0.1931 % 3,861.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1931 % 3,013.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1957 % 2,647.3
Perpetual-Discount 6.44 % 6.57 % 109,787 13.16 35 0.1957 % 2,886.8
FixedReset Disc 5.60 % 7.79 % 102,713 11.93 62 -0.2092 % 2,146.9
Insurance Straight 6.41 % 6.55 % 121,013 13.16 20 -0.7183 % 2,801.1
FloatingReset 10.00 % 9.56 % 37,038 9.92 2 0.4015 % 2,435.8
FixedReset Prem 6.62 % 6.66 % 191,667 12.61 2 -0.0199 % 2,373.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2092 % 2,194.5
FixedReset Ins Non 5.60 % 7.97 % 57,419 11.84 14 0.2157 % 2,244.2
Performance Highlights
Issue Index Change Notes
IFC.PR.F Insurance Straight -5.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 6.75 %
BN.PF.H FixedReset Disc -4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.91
Evaluated at bid price : 22.22
Bid-YTW : 7.84 %
BN.PR.X FixedReset Disc -3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 8.55 %
TRP.PR.E FixedReset Disc -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 9.17 %
IAF.PR.B Insurance Straight -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.19 %
TRP.PR.G FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 8.61 %
MFC.PR.B Insurance Straight -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.24 %
MFC.PR.C Insurance Straight -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.20 %
BN.PF.J FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.76
Evaluated at bid price : 22.17
Bid-YTW : 7.21 %
TRP.PR.D FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 9.07 %
BN.PF.B FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 8.92 %
CCS.PR.C Insurance Straight -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.55 %
TRP.PR.A FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 13.68
Evaluated at bid price : 13.68
Bid-YTW : 9.08 %
TRP.PR.C FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 11.44
Evaluated at bid price : 11.44
Bid-YTW : 9.15 %
PVS.PR.H SplitShare -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 8.77 %
FTS.PR.K FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 8.59 %
GWO.PR.Y Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.40 %
BN.PF.G FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 9.09 %
PVS.PR.J SplitShare 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 8.91 %
NA.PR.S FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 7.94 %
SLF.PR.J FloatingReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 15.16
Evaluated at bid price : 15.16
Bid-YTW : 9.56 %
POW.PR.G Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.58 %
BN.PR.R FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 8.97 %
MFC.PR.M FixedReset Ins Non 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.99 %
IFC.PR.K Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.27 %
PWF.PF.A Perpetual-Discount 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 6.42 %
BN.PR.Z FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 7.31 %
IFC.PR.C FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.05 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.L Insurance Straight 27,325 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.63 %
TRP.PR.E FixedReset Disc 18,952 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 9.17 %
GWO.PR.Y Insurance Straight 17,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.40 %
GWO.PR.R Insurance Straight 16,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 6.57 %
IFC.PR.A FixedReset Ins Non 16,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 7.50 %
CM.PR.Y FixedReset Disc 15,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 23.83
Evaluated at bid price : 24.20
Bid-YTW : 6.91 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 16.33 – 24.62
Spot Rate : 8.2900
Average : 4.4554

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 8.61 %

PWF.PR.G Perpetual-Discount Quote: 22.85 – 24.60
Spot Rate : 1.7500
Average : 1.0414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 6.57 %

BN.PF.H FixedReset Disc Quote: 22.22 – 23.75
Spot Rate : 1.5300
Average : 0.9089

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.91
Evaluated at bid price : 22.22
Bid-YTW : 7.84 %

IFC.PR.F Insurance Straight Quote: 19.77 – 21.20
Spot Rate : 1.4300
Average : 0.8689

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 6.75 %

BN.PF.G FixedReset Disc Quote: 15.40 – 16.60
Spot Rate : 1.2000
Average : 0.7136

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 9.09 %

BN.PF.J FixedReset Disc Quote: 22.17 – 23.10
Spot Rate : 0.9300
Average : 0.5697

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.76
Evaluated at bid price : 22.17
Bid-YTW : 7.21 %

Leave a Reply

You must be logged in to post a comment.