TXPR closed at 531.55, up 0.64% on the day. Volume today was 2.20-million, above the median of the past 21 trading days.
CPD closed at 10.65, up 0.85% on the day. Volume was 177,840, second-highest of the past 21 trading days.
ZPR closed at 9.06, up 1.00% on the day. Volume was 197,730, above the median of the past 21 trading days.
Five-year Canada yields were down to 3.36%.
Recent indicators suggest that growth of economic activity has slowed from its strong pace in the third quarter. Job gains have moderated since earlier in the year but remain strong, and the unemployment rate has remained low. Inflation has eased over the past year but remains elevated.
The U.S. banking system is sound and resilient. Tighter financial and credit conditions for households and businesses are likely to weigh on economic activity, hiring, and inflation. The extent of these effects remains uncertain. The Committee remains highly attentive to inflation risks.
The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. In support of these goals, the Committee decided to maintain the target range for the federal funds rate at 5-1/4 to 5-1/2 percent. The Committee will continue to assess additional information and its implications for monetary policy. In determining the extent of any additional policy firming that may be appropriate to return inflation to 2 percent over time, the Committee will take into account the cumulative tightening of monetary policy, the lags with which monetary policy affects economic activity and inflation, and economic and financial developments. In addition, the Committee will continue reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities, as described in its previously announced plans. The Committee is strongly committed to returning inflation to its 2 percent objective.
In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on labor market conditions, inflation pressures and inflation expectations, and financial and international developments.
Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michael S. Barr; Michelle W. Bowman; Lisa D. Cook; Austan D. Goolsbee; Patrick Harker; Philip N. Jefferson; Neel Kashkari; Adriana D. Kugler; Lorie K. Logan; and Christopher J. Waller.
U.S. and Canadian stocks surged to a sharply higher close on Wednesday and Treasury yields tumbled in both countries after the Federal Reserve signaled that its interest rate-hiking policy is at an end and that it sees lower borrowing costs in 2024.
The Dow Jones Industrial Average rose more than 500 points and notched a record closing high, confirming the blue-chip industrial average has been in a bull market since Sept. 30, 2022, by common definition.
Canada’s main stock index rose about 2% to a ten-month high in a broad-based rally. The U.S. 2-year Treasury yield, which is particularly sensitive to Fed policy moves, fell a hefty 30 basis points.
The Federal Open Markets Committee (FOMC) left its fed funds target rate unchanged at 5.25%-5.50%. In its accompanying statement, the Fed acknowledged that inflation has eased and implied that the rate tightening cycle might be over. Its dot plot, which forecasts the potential path forward for monetary policy, hinted that lower borrowing costs could be in the cards in 2024.
…
Economic data showed U.S. producer prices (PPI) were unchanged in November, further evidence that inflation continues to meander down toward the Fed’s average annual 2% target.
…
The small-cap Russell 2000 index shot up 3.5%.The Dow Jones Industrial Average rose 512.3 points, or 1.4%, to 37,090.24, the S&P 500 gained 63.39 points, or 1.37%, to 4,707.09 and the Nasdaq Composite added 200.57 points, or 1.38%, to 14,733.96.
The S&P 500 and Nasdaq hit fresh closing highs for the year. The S&P 500 is now up 22.6% for the year to date, while the Nasdaq is up 40.7% in that period and the Dow is up 11.9%.
PerpetualDiscounts now yield 7.10%, equivalent to 9.21% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.03% on 2023-12-8 and since then the closing price has changed from 15.18 to 15.43, an increase of 165bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.41 implying a decrease of 13bp in yield to 4.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 430bp from the 400bp reported December 6.
| 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 | 1.8468 % | 2,184.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.8468 % | 4,190.3 |
| Floater | 11.15 % | 11.50 % | 54,737 | 8.32 | 2 | 1.8468 % | 2,414.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3617 % | 3,372.6 |
| SplitShare | 4.98 % | 7.29 % | 56,285 | 1.78 | 8 | 0.3617 % | 4,027.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3617 % | 3,142.5 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8883 % | 2,497.1 |
| Perpetual-Discount | 6.88 % | 7.10 % | 58,569 | 12.36 | 33 | 0.8883 % | 2,723.0 |
| FixedReset Disc | 5.89 % | 8.05 % | 123,638 | 11.56 | 60 | 0.1693 % | 2,210.6 |
| Insurance Straight | 6.76 % | 6.97 % | 76,449 | 12.65 | 19 | 1.2569 % | 2,677.2 |
| FloatingReset | 10.61 % | 10.74 % | 36,776 | 8.87 | 3 | 0.0945 % | 2,492.5 |
| FixedReset Prem | 7.01 % | 6.99 % | 174,091 | 12.35 | 1 | -0.5556 % | 2,497.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1693 % | 2,259.7 |
| FixedReset Ins Non | 5.72 % | 7.55 % | 80,826 | 12.08 | 14 | 0.0934 % | 2,482.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PF.G | FixedReset Disc | -3.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 9.96 % |
| BN.PF.E | FixedReset Disc | -3.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 10.28 % |
| GWO.PR.I | Insurance Straight | -2.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 15.98 Evaluated at bid price : 15.98 Bid-YTW : 7.07 % |
| PWF.PR.P | FixedReset Disc | -2.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 9.18 % |
| PWF.PR.S | Perpetual-Discount | -2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 7.36 % |
| BN.PF.F | FixedReset Disc | -2.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 16.41 Evaluated at bid price : 16.41 Bid-YTW : 9.78 % |
| BIP.PR.A | FixedReset Disc | -2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 16.64 Evaluated at bid price : 16.64 Bid-YTW : 10.15 % |
| BIP.PR.B | FixedReset Disc | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 9.26 % |
| BMO.PR.W | FixedReset Disc | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 17.28 Evaluated at bid price : 17.28 Bid-YTW : 8.26 % |
| BMO.PR.T | FixedReset Disc | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 8.02 % |
| SLF.PR.G | FixedReset Ins Non | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 13.91 Evaluated at bid price : 13.91 Bid-YTW : 8.32 % |
| NA.PR.W | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 8.30 % |
| MFC.PR.L | FixedReset Ins Non | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 7.55 % |
| CM.PR.T | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 23.10 Evaluated at bid price : 23.95 Bid-YTW : 7.17 % |
| TD.PF.E | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 7.95 % |
| ELF.PR.H | Perpetual-Discount | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 7.02 % |
| GWO.PR.N | FixedReset Ins Non | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 13.15 Evaluated at bid price : 13.15 Bid-YTW : 8.37 % |
| GWO.PR.L | Insurance Straight | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 20.37 Evaluated at bid price : 20.37 Bid-YTW : 6.97 % |
| CU.PR.J | Perpetual-Discount | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 6.88 % |
| FTS.PR.F | Perpetual-Discount | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 18.17 Evaluated at bid price : 18.17 Bid-YTW : 6.82 % |
| FFH.PR.G | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 15.41 Evaluated at bid price : 15.41 Bid-YTW : 9.36 % |
| CIU.PR.A | Perpetual-Discount | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 16.76 Evaluated at bid price : 16.76 Bid-YTW : 6.94 % |
| GWO.PR.P | Insurance Straight | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 6.99 % |
| BN.PR.M | Perpetual-Discount | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 16.87 Evaluated at bid price : 16.87 Bid-YTW : 7.22 % |
| TD.PF.A | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 7.62 % |
| BN.PR.K | Floater | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 11.25 Evaluated at bid price : 11.25 Bid-YTW : 11.62 % |
| GWO.PR.M | Insurance Straight | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.94 % |
| PVS.PR.K | SplitShare | 1.85 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 7.20 % |
| MFC.PR.B | Insurance Straight | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 18.14 Evaluated at bid price : 18.14 Bid-YTW : 6.45 % |
| BN.PF.C | Perpetual-Discount | 1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 16.87 Evaluated at bid price : 16.87 Bid-YTW : 7.37 % |
| IFC.PR.K | Perpetual-Discount | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.72 % |
| FTS.PR.J | Perpetual-Discount | 2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 17.87 Evaluated at bid price : 17.87 Bid-YTW : 6.72 % |
| BN.PR.X | FixedReset Disc | 2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 14.56 Evaluated at bid price : 14.56 Bid-YTW : 9.06 % |
| BN.PR.B | Floater | 2.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 11.36 Evaluated at bid price : 11.36 Bid-YTW : 11.50 % |
| NA.PR.E | FixedReset Disc | 2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 7.35 % |
| SLF.PR.E | Insurance Straight | 2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 17.92 Evaluated at bid price : 17.92 Bid-YTW : 6.30 % |
| CU.PR.D | Perpetual-Discount | 6.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 6.94 % |
| GWO.PR.Y | Insurance Straight | 7.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 16.64 Evaluated at bid price : 16.64 Bid-YTW : 6.79 % |
| MFC.PR.C | Insurance Straight | 8.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 17.66 Evaluated at bid price : 17.66 Bid-YTW : 6.41 % |
| POW.PR.C | Perpetual-Discount | 12.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 21.38 Evaluated at bid price : 21.38 Bid-YTW : 6.93 % |
| PWF.PR.T | FixedReset Disc | 13.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 19.72 Evaluated at bid price : 19.72 Bid-YTW : 7.62 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.I | FixedReset Disc | 103,801 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 24.28 Evaluated at bid price : 25.12 Bid-YTW : 5.99 % |
| SLF.PR.H | FixedReset Ins Non | 71,067 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 7.48 % |
| CM.PR.T | FixedReset Disc | 69,810 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 23.10 Evaluated at bid price : 23.95 Bid-YTW : 7.17 % |
| BN.PF.G | FixedReset Disc | 54,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 9.96 % |
| NA.PR.S | FixedReset Disc | 50,016 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 7.98 % |
| TD.PF.L | FixedReset Disc | 49,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-13 Maturity Price : 23.43 Evaluated at bid price : 24.26 Bid-YTW : 7.06 % |
| There were 44 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BMO.PR.Y | FixedReset Disc | Quote: 18.25 – 19.50 Spot Rate : 1.2500 Average : 0.9359 YTW SCENARIO |
| MFC.PR.J | FixedReset Ins Non | Quote: 22.00 – 22.74 Spot Rate : 0.7400 Average : 0.4985 YTW SCENARIO |
| GWO.PR.I | Insurance Straight | Quote: 15.98 – 16.74 Spot Rate : 0.7600 Average : 0.5324 YTW SCENARIO |
| BN.PF.G | FixedReset Disc | Quote: 15.35 – 16.09 Spot Rate : 0.7400 Average : 0.5156 YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | Quote: 16.60 – 17.25 Spot Rate : 0.6500 Average : 0.4381 YTW SCENARIO |
| CU.PR.E | Perpetual-Discount | Quote: 17.95 – 18.52 Spot Rate : 0.5700 Average : 0.3581 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.97%, equivalent to 9.06% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.03% on 2023-12-8 and since then the closing price has changed from 15.18 to 15.86, an increase of 448bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.41 implying a decrease of 36bp in yield to 4.67%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 440bp from the 430bp reported December 13. […]