TXPR closed at 544.96, up 0.64% on the day. Volume today was 1.26-million, third-lowest of the past 21 trading days.
CPD closed at 10.84, up 0.84% on the day. Volume was 119,330, slightly below the median of the past 21 trading days.
ZPR closed at 9.17, up 0.66% on the day. Volume was 54,700, lowest of the past 21 trading days.
Five-year Canada yields were up to 3.28%.
The pundits have a pat answer for today’s action in major markets:
U.S. and Canadian stock indexes ended the second session of the year down again in extended profit-taking on Wednesday after a strong finish to 2023, with minutes from the Federal Reserve’s December meeting failing to shake off the funk hanging over markets.
It was the first time the benchmark S&P 500 index has started the year with two straight declines since it kicked off 2015 with a three-session skid. It is also its worst two-day performance, on a percentage basis, since late-October.
The decline contrasts with the blistering run for all three major Wall Street benchmarks in the final two months of the year. The S&P 500 came within striking distance of its all-time closing high last week as signs of cooling inflation spurred investors to bet on an aggressive rate-cutting schedule.
…
As of Wednesday, implied probabilities in interest rate swaps markets suggest the Bank of Canada will start cutting interest rates in April, with 125 basis points of cuts priced in by the end of this year.
Definitely, “profit taking” is my favourite rationale for market movement!
PerpetualDiscounts now yield 6.72%, equivalent to 8.74% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.72% on 2023-12-15 and since then the closing price has changed from 15.88 to 15.33, a decline of 346bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.60 implying an increase of 27bp in yield to 4.99%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 374bp from the 430bp reported December 27.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 0.4989 % | 2,141.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4989 % | 4,106.9 |
| Floater | 11.37 % | 11.51 % | 53,146 | 8.49 | 2 | 0.4989 % | 2,366.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1153 % | 3,377.9 |
| SplitShare | 4.98 % | 7.80 % | 51,172 | 2.01 | 7 | -0.1153 % | 4,034.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1153 % | 3,147.5 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8972 % | 2,609.3 |
| Perpetual-Discount | 6.58 % | 6.72 % | 57,673 | 12.90 | 34 | 0.8972 % | 2,845.3 |
| FixedReset Disc | 5.82 % | 7.73 % | 115,882 | 12.00 | 59 | 0.3818 % | 2,255.4 |
| Insurance Straight | 6.46 % | 6.63 % | 76,163 | 13.05 | 20 | 0.6630 % | 2,802.8 |
| FloatingReset | 10.65 % | 10.87 % | 37,177 | 8.92 | 5 | 0.3299 % | 2,522.4 |
| FixedReset Prem | 5.90 % | 6.72 % | 158,677 | 12.55 | 2 | -0.6711 % | 2,525.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3818 % | 2,305.5 |
| FixedReset Ins Non | 5.63 % | 7.17 % | 80,448 | 12.54 | 14 | 0.5612 % | 2,525.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CU.PR.C | FixedReset Disc | -2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 18.09 Evaluated at bid price : 18.09 Bid-YTW : 7.82 % |
| IFC.PR.I | Insurance Straight | -2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 6.73 % |
| PVS.PR.J | SplitShare | -1.99 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 7.80 % |
| BN.PF.G | FixedReset Disc | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 16.37 Evaluated at bid price : 16.37 Bid-YTW : 8.96 % |
| RY.PR.N | Perpetual-Discount | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.81 % |
| BN.PF.B | FixedReset Disc | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 17.33 Evaluated at bid price : 17.33 Bid-YTW : 8.62 % |
| CM.PR.P | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 17.44 Evaluated at bid price : 17.44 Bid-YTW : 7.75 % |
| NA.PR.C | FixedReset Prem | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 23.40 Evaluated at bid price : 25.41 Bid-YTW : 6.72 % |
| BN.PR.Z | FixedReset Disc | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 18.28 Evaluated at bid price : 18.28 Bid-YTW : 8.57 % |
| BN.PR.B | Floater | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 11.11 Evaluated at bid price : 11.11 Bid-YTW : 11.51 % |
| BN.PR.N | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 17.07 Evaluated at bid price : 17.07 Bid-YTW : 7.02 % |
| SLF.PR.E | Insurance Straight | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 18.54 Evaluated at bid price : 18.54 Bid-YTW : 6.12 % |
| GWO.PR.H | Insurance Straight | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 18.46 Evaluated at bid price : 18.46 Bid-YTW : 6.63 % |
| FFH.PR.M | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 21.56 Evaluated at bid price : 21.93 Bid-YTW : 8.13 % |
| BN.PR.R | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 9.13 % |
| POW.PR.G | Perpetual-Discount | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 20.82 Evaluated at bid price : 20.82 Bid-YTW : 6.76 % |
| FFH.PR.G | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 15.77 Evaluated at bid price : 15.77 Bid-YTW : 8.76 % |
| PWF.PR.S | Perpetual-Discount | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 6.74 % |
| FFH.PR.F | FloatingReset | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 10.91 % |
| CM.PR.O | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 18.57 Evaluated at bid price : 18.57 Bid-YTW : 7.46 % |
| CU.PR.G | Perpetual-Discount | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 6.53 % |
| PWF.PR.E | Perpetual-Discount | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 6.79 % |
| GWO.PR.L | Insurance Straight | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.63 % |
| SLF.PR.D | Insurance Straight | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.10 % |
| POW.PR.A | Perpetual-Discount | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 6.74 % |
| FTS.PR.I | FloatingReset | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 11.19 % |
| SLF.PR.H | FixedReset Ins Non | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 18.08 Evaluated at bid price : 18.08 Bid-YTW : 6.98 % |
| PVS.PR.K | SplitShare | 1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 22.01 Bid-YTW : 7.28 % |
| POW.PR.D | Perpetual-Discount | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 18.77 Evaluated at bid price : 18.77 Bid-YTW : 6.70 % |
| PWF.PR.F | Perpetual-Discount | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 6.77 % |
| MFC.PR.L | FixedReset Ins Non | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 18.79 Evaluated at bid price : 18.79 Bid-YTW : 7.28 % |
| BN.PR.X | FixedReset Disc | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 8.53 % |
| PWF.PR.L | Perpetual-Discount | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.75 % |
| BN.PF.F | FixedReset Disc | 1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 8.69 % |
| PWF.PF.A | Perpetual-Discount | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 6.68 % |
| BN.PF.C | Perpetual-Discount | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 7.07 % |
| POW.PR.C | Perpetual-Discount | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 22.33 Evaluated at bid price : 22.60 Bid-YTW : 6.44 % |
| IFC.PR.F | Insurance Straight | 1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 6.74 % |
| BN.PF.D | Perpetual-Discount | 1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 7.11 % |
| MFC.PR.F | FixedReset Ins Non | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 14.26 Evaluated at bid price : 14.26 Bid-YTW : 7.61 % |
| FFH.PR.K | FixedReset Disc | 2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 19.09 Evaluated at bid price : 19.09 Bid-YTW : 8.44 % |
| CU.PR.I | FixedReset Disc | 2.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 21.47 Evaluated at bid price : 21.47 Bid-YTW : 7.85 % |
| BN.PR.M | Perpetual-Discount | 2.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 6.95 % |
| PWF.PR.Z | Perpetual-Discount | 2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 6.73 % |
| PWF.PR.P | FixedReset Disc | 2.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 13.39 Evaluated at bid price : 13.39 Bid-YTW : 8.43 % |
| BN.PF.I | FixedReset Disc | 2.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 8.69 % |
| CU.PR.H | Perpetual-Discount | 2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.60 % |
| GWO.PR.M | Insurance Straight | 3.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 22.17 Evaluated at bid price : 22.45 Bid-YTW : 6.50 % |
| CCS.PR.C | Insurance Straight | 3.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 18.53 Evaluated at bid price : 18.53 Bid-YTW : 6.81 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.I | FixedReset Prem | 56,809 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-02-26 Maturity Price : 25.00 Evaluated at bid price : 24.91 Bid-YTW : 5.19 % |
| RY.PR.Z | FixedReset Disc | 41,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 7.21 % |
| BN.PF.G | FixedReset Disc | 34,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 16.37 Evaluated at bid price : 16.37 Bid-YTW : 8.96 % |
| MFC.PR.K | FixedReset Ins Non | 25,635 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 21.92 Evaluated at bid price : 22.40 Bid-YTW : 6.46 % |
| GWO.PR.N | FixedReset Ins Non | 21,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 13.21 Evaluated at bid price : 13.21 Bid-YTW : 7.99 % |
| SLF.PR.H | FixedReset Ins Non | 20,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-03 Maturity Price : 18.08 Evaluated at bid price : 18.08 Bid-YTW : 6.98 % |
| There were 9 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.F | Perpetual-Discount | Quote: 17.27 – 20.00 Spot Rate : 2.7300 Average : 1.7201 YTW SCENARIO |
| BN.PR.Z | FixedReset Disc | Quote: 18.28 – 19.55 Spot Rate : 1.2700 Average : 0.7859 YTW SCENARIO |
| POW.PR.B | Perpetual-Discount | Quote: 20.02 – 21.02 Spot Rate : 1.0000 Average : 0.5841 YTW SCENARIO |
| BIK.PR.A | FixedReset Disc | Quote: 21.62 – 22.50 Spot Rate : 0.8800 Average : 0.5334 YTW SCENARIO |
| GWO.PR.I | Insurance Straight | Quote: 17.45 – 18.25 Spot Rate : 0.8000 Average : 0.4810 YTW SCENARIO |
| BN.PF.F | FixedReset Disc | Quote: 17.60 – 19.00 Spot Rate : 1.4000 Average : 1.1232 YTW SCENARIO |
highest ZPR close since Sept 2022, (15 months) on a total return basis.
that’s a pretty big turnaround in the last 2 months.