TXPR closed at 508.17, down 0.59% on the day. Volume today was 1.58-million, fifth-highest of the past 21 trading days.
CPD closed at 10.07, down 0.30% on the day. Volume was 37,680, below the median of the past 21 trading days.
ZPR closed at 8.45, down 0.35% on the day. Volume was 393,310, second-highest of the past 21 trading days.
Five-year Canada yields were down to 4.39%.
Overall, today’s action was based on yield projections:
Major U.S. stock indexes ended higher on Wednesday, a day after selling off, as the latest economic data showed U.S. private payrolls increased less than expected in September. Consumer discretionary rose 2%, leading S&P 500 sectors higher, followed by communication services and technology, as U.S. Treasury yields eased off of 16-year highs.
Canada’s main stock index ended nearly unchanged, as gains were capped by a sharp drop in oil prices that weighed on energy shares amid global growth concerns.
…
Early in the day, the yield on 10-year U.S. Treasury notes touched 4.884%, a fresh 16-year high, while 30-year Treasury yields rose above 5% for the first time since August 2007. But they later retreated, and by late afternoon, the 10-year yield was down about 6 basis points. Canadian bond yields eased by a similar degree.
…
Market expectations for a rate hike in November slid to a 23.7% chance from 28.2% on Tuesday, according to CME Group’s FedWatch Tool. Implied interest rate probabilities in swaps markets suggest whether the Bank of Canada hikes interest rates again through next spring is down to a coin flip.
Another worry is the southern crackhouse:
The markets had been wobbling well before the latest turmoil in the House. But the move on Tuesday to oust Kevin McCarthy, Republican of California, as speaker, raised the prospect of a prolonged leadership vacuum. That could doom negotiations to fund the government beyond Nov. 17, when a temporary deal agreed last week will expire, adding to investor anxieties. (More on what’s next for the House below.)
Economists at Goldman Sachs called a shutdown next month their base case, saying in a note on Tuesday that “a $120 billion difference between the parties on the preferred spending level for FY2024” is one of the big sticking points. A lengthy shutdown could dent growth, and put the country’s credit rating at risk.
Investors are spooked. Stocks and bonds in Asia and Europe fell this morning. Those slides came after the S&P 500 closed at a four-month low on Tuesday. The benchmark index is lurching toward correction territory, having dropped nearly 8 percent since a high in July.
PerpetualDiscounts now yield 7.16%, equivalent to 9.31% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.74% on 2023-9-30 (sic) and since then (by which I think they meant 2023-9-29) the closing price has changed from 13.93 to 13.65, a decrease of 201bp in price, with a Duration of 11.91 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 17bp since 9/29 [?] to 5.91%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 340bp from the 330bp reported September 27.
| 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 | -0.2236 % | 2,155.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2236 % | 4,134.7 |
| Floater | 11.30 % | 11.42 % | 57,686 | 8.55 | 2 | -0.2236 % | 2,382.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0683 % | 3,295.8 |
| SplitShare | 5.07 % | 8.36 % | 40,811 | 1.94 | 7 | 0.0683 % | 3,935.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0683 % | 3,070.9 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1813 % | 2,459.9 |
| Perpetual-Discount | 6.98 % | 7.16 % | 43,942 | 12.29 | 31 | -0.1813 % | 2,682.4 |
| FixedReset Disc | 6.08 % | 9.51 % | 101,526 | 10.42 | 56 | -0.2397 % | 2,102.2 |
| Insurance Straight | 6.90 % | 6.97 % | 56,680 | 12.60 | 16 | 0.2315 % | 2,606.7 |
| FloatingReset | 11.05 % | 11.22 % | 37,952 | 8.68 | 1 | 0.0000 % | 2,412.6 |
| FixedReset Prem | 4.72 % | 7.15 % | 337,112 | 12.19 | 1 | 0.0000 % | 2,320.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2397 % | 2,148.9 |
| FixedReset Ins Non | 6.37 % | 9.22 % | 58,552 | 10.80 | 13 | -0.0593 % | 2,272.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CU.PR.D | Perpetual-Discount | -5.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 16.69 Evaluated at bid price : 16.69 Bid-YTW : 7.46 % |
| PWF.PR.P | FixedReset Disc | -3.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 12.07 Evaluated at bid price : 12.07 Bid-YTW : 11.06 % |
| BIP.PR.F | FixedReset Disc | -2.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 9.89 % |
| BIP.PR.E | FixedReset Disc | -2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 9.51 % |
| BN.PF.B | FixedReset Disc | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 16.62 Evaluated at bid price : 16.62 Bid-YTW : 10.63 % |
| IFC.PR.C | FixedReset Disc | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 16.24 Evaluated at bid price : 16.24 Bid-YTW : 9.73 % |
| BN.PR.X | FixedReset Disc | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 11.39 % |
| RY.PR.S | FixedReset Disc | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 8.50 % |
| BN.PF.J | FixedReset Disc | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 10.04 % |
| BNS.PR.I | FixedReset Disc | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 21.60 Evaluated at bid price : 21.60 Bid-YTW : 8.03 % |
| FTS.PR.J | Perpetual-Discount | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 6.66 % |
| NA.PR.E | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 19.78 Evaluated at bid price : 19.78 Bid-YTW : 8.58 % |
| BMO.PR.S | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 18.19 Evaluated at bid price : 18.19 Bid-YTW : 9.37 % |
| SLF.PR.D | Insurance Straight | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 6.65 % |
| TD.PF.C | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 9.46 % |
| PVS.PR.H | SplitShare | 1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 22.40 Bid-YTW : 8.45 % |
| RY.PR.O | Perpetual-Discount | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 5.97 % |
| BN.PF.G | FixedReset Disc | 2.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 11.59 % |
| PWF.PR.S | Perpetual-Discount | 3.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 17.24 Evaluated at bid price : 17.24 Bid-YTW : 7.12 % |
| IFC.PR.E | Insurance Straight | 5.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.91 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.O | FixedReset Disc | 137,752 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 9.27 % |
| RY.PR.J | FixedReset Disc | 74,123 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 9.56 % |
| BMO.PR.S | FixedReset Disc | 67,073 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 18.19 Evaluated at bid price : 18.19 Bid-YTW : 9.37 % |
| BMO.PR.W | FixedReset Disc | 60,332 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 16.87 Evaluated at bid price : 16.87 Bid-YTW : 9.74 % |
| TD.PF.B | FixedReset Disc | 38,054 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 9.08 % |
| TD.PF.C | FixedReset Disc | 37,104 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-04 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 9.46 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BN.PF.A | FixedReset Disc | Quote: 18.19 – 20.05 Spot Rate : 1.8600 Average : 1.2059 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 16.69 – 17.75 Spot Rate : 1.0600 Average : 0.7233 YTW SCENARIO |
| TD.PF.E | FixedReset Disc | Quote: 17.78 – 18.90 Spot Rate : 1.1200 Average : 0.7851 YTW SCENARIO |
| RY.PR.S | FixedReset Disc | Quote: 20.45 – 21.07 Spot Rate : 0.6200 Average : 0.3948 YTW SCENARIO |
| PWF.PR.P | FixedReset Disc | Quote: 12.07 – 12.97 Spot Rate : 0.9000 Average : 0.7307 YTW SCENARIO |
| CM.PR.Q | FixedReset Disc | Quote: 17.10 – 17.65 Spot Rate : 0.5500 Average : 0.3832 YTW SCENARIO |
[…] PerpetualDiscounts now yield 7.14%, equivalent to 9.28% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.74% on 2023-9-30 (sic) and since then (by which I think they meant 2023-9-29) the closing price has changed from 13.93 to 14.01, an increase of 57bp in price, with a Duration of 11.91 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 5bp since 9/29 [?] to 5.69%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 360bp from the 340bp reported October 4. […]