Some action with bonds today:
The Dow and S&P 500 edged lower on Monday, dragged down by investor worries over the timing of interest rate cuts by the Federal Reserve after stronger-than-expected manufacturing data pushed Treasury yields higher. The TSX was able to finish slightly in the green, thanks to a rally in the energy and materials sectors, and set a fresh record closing high.
The Institute for Supply Management (ISM) said its manufacturing PMI increased to 50.3 last month, the highest and first reading above 50 since September 2022, from 47.8 in February. It suggested the U.S. manufacturing sector, which has been battered by higher interest rates, was recovering.
…
Benchmark 10-year and two-year U.S. Treasury yields jumped to two-week peaks following the manufacturing data, and that pushed Canadian bond yields higher as well. By late afternoon, Canada’s two-year and five-year bond yields were both up about 13 basis points to their highest levels since mid-March.
…
The U.S. rate futures market was pricing in a 58% chance of a rate cut in June, down from about 64% a week ago, according to the CME’s FedWatch tool.Money markets are putting equal odds on whether the Bank of Canada will start cutting interest rates in June. They are pricing in about 70 per cent odds of a cut by July. A total of 50 basis points of cuts are priced in by October.
| 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 | -1.4516 % | 2,333.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.4516 % | 4,476.0 |
| Floater | 10.31 % | 10.43 % | 43,478 | 9.22 | 1 | -1.4516 % | 2,579.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0716 % | 3,443.4 |
| SplitShare | 4.89 % | 7.11 % | 34,946 | 1.80 | 7 | 0.0716 % | 4,112.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0716 % | 3,208.5 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2612 % | 2,673.1 |
| Perpetual-Discount | 6.43 % | 6.59 % | 45,746 | 13.04 | 29 | -0.2612 % | 2,914.9 |
| FixedReset Disc | 5.35 % | 7.12 % | 106,372 | 12.04 | 57 | 0.0412 % | 2,491.3 |
| Insurance Straight | 6.35 % | 6.49 % | 49,433 | 13.24 | 21 | -0.0363 % | 2,857.2 |
| FloatingReset | 9.93 % | 9.83 % | 36,868 | 9.68 | 2 | -0.2685 % | 2,612.5 |
| FixedReset Prem | 6.32 % | 6.61 % | 230,513 | 4.20 | 3 | 0.3421 % | 2,544.9 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0412 % | 2,546.6 |
| FixedReset Ins Non | 5.46 % | 7.41 % | 71,594 | 12.34 | 14 | -1.1154 % | 2,601.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.A | FixedReset Ins Non | -5.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 17.59 Evaluated at bid price : 17.59 Bid-YTW : 7.54 % |
| MFC.PR.Q | FixedReset Ins Non | -3.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 7.41 % |
| RY.PR.M | FixedReset Disc | -3.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 7.12 % |
| SLF.PR.H | FixedReset Ins Non | -3.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 7.60 % |
| GWO.PR.Y | Insurance Straight | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 6.44 % |
| MFC.PR.N | FixedReset Ins Non | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 7.50 % |
| BN.PR.B | Floater | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 12.22 Evaluated at bid price : 12.22 Bid-YTW : 10.43 % |
| MFC.PR.C | Insurance Straight | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 6.13 % |
| MFC.PR.M | FixedReset Ins Non | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 7.49 % |
| GWO.PR.H | Insurance Straight | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 18.77 Evaluated at bid price : 18.77 Bid-YTW : 6.51 % |
| BMO.PR.T | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 22.80 Evaluated at bid price : 23.61 Bid-YTW : 6.28 % |
| RY.PR.N | Perpetual-Discount | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 21.97 Evaluated at bid price : 22.25 Bid-YTW : 5.57 % |
| PWF.PR.L | Perpetual-Discount | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 19.59 Evaluated at bid price : 19.59 Bid-YTW : 6.65 % |
| BN.PR.N | Perpetual-Discount | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 17.77 Evaluated at bid price : 17.77 Bid-YTW : 6.74 % |
| CU.PR.E | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 6.52 % |
| MFC.PR.L | FixedReset Ins Non | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 7.31 % |
| NA.PR.E | FixedReset Disc | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 22.27 Evaluated at bid price : 22.90 Bid-YTW : 6.80 % |
| PVS.PR.K | SplitShare | 1.34 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 6.69 % |
| BIP.PR.B | FixedReset Disc | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 23.28 Evaluated at bid price : 23.66 Bid-YTW : 8.38 % |
| BN.PF.H | FixedReset Disc | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 21.73 Evaluated at bid price : 22.20 Bid-YTW : 8.50 % |
| SLF.PR.C | Insurance Straight | 6.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 5.93 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.T | FixedReset Disc | 33,201 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 22.80 Evaluated at bid price : 23.61 Bid-YTW : 6.28 % |
| BMO.PR.S | FixedReset Disc | 30,251 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 23.18 Evaluated at bid price : 24.30 Bid-YTW : 6.22 % |
| MFC.PR.B | Insurance Straight | 21,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 6.18 % |
| RY.PR.H | FixedReset Disc | 16,250 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 21.84 Evaluated at bid price : 22.32 Bid-YTW : 6.69 % |
| TD.PF.I | FixedReset Disc | 15,820 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-01 Maturity Price : 23.27 Evaluated at bid price : 24.92 Bid-YTW : 6.69 % |
| CM.PR.Y | FixedReset Disc | 15,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 6.52 % |
| There were 4 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.M | FixedReset Ins Non | Quote: 20.09 – 21.20 Spot Rate : 1.1100 Average : 0.6686 YTW SCENARIO |
| IFC.PR.A | FixedReset Ins Non | Quote: 17.59 – 18.75 Spot Rate : 1.1600 Average : 0.7194 YTW SCENARIO |
| RY.PR.M | FixedReset Disc | Quote: 21.15 – 22.40 Spot Rate : 1.2500 Average : 0.8292 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 17.75 – 18.90 Spot Rate : 1.1500 Average : 0.8387 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 19.70 – 20.85 Spot Rate : 1.1500 Average : 0.9452 YTW SCENARIO |
| PWF.PR.P | FixedReset Disc | Quote: 14.65 – 15.25 Spot Rate : 0.6000 Average : 0.4588 YTW SCENARIO |