How about that Canadian inflation, eh?
The annual inflation rate rose to 2.9 per cent in May while key measures of core inflation edged up for the first time in five months, Statistics Canada reported Tuesday. It was a significant miss versus Street expectations for an inflation rate of 2.6 per cent – which would have represented a decline from April’s reading of 2.7 per cent.
Markets immediately responded by sending the Canadian dollar higher, while domestic bond yields spiked as traders scaled back bets on the odds of another interest rate cut in July.
According to LSEG data (formerly Eikon), swaps markets are putting 45 per cent odds now on a second rate cut by the Bank of Canada on July 24. They stood at 65 per cent prior to the 830 am ET inflation report. Swaps are pricing in about 72 per cent odds of a rate cut materializing at the September Bank of Canada meeting (there is no meeting in August).
Some 50 basis points of additional easing is now priced into the market by the end of this year, which is modestly less than before this morning’s inflation data.
Pre-Inflation Announcement
Post-Inflation Announcement
| 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 | 1.5441 % | 2,135.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.5441 % | 4,095.1 |
| Floater | 10.88 % | 11.01 % | 65,572 | 8.85 | 1 | 1.5441 % | 2,360.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0592 % | 3,462.4 |
| SplitShare | 4.86 % | 6.55 % | 29,194 | 1.59 | 7 | -0.0592 % | 4,134.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0592 % | 3,226.2 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0327 % | 2,632.5 |
| Perpetual-Discount | 6.54 % | 6.73 % | 53,452 | 12.91 | 28 | -0.0327 % | 2,870.7 |
| FixedReset Disc | 5.25 % | 7.36 % | 125,469 | 12.20 | 49 | 0.4303 % | 2,544.4 |
| Insurance Straight | 6.33 % | 6.50 % | 58,088 | 13.23 | 20 | 1.3461 % | 2,867.0 |
| FloatingReset | 9.58 % | 9.45 % | 36,906 | 10.04 | 3 | -0.3056 % | 2,644.3 |
| FixedReset Prem | 6.37 % | 6.38 % | 236,950 | 12.41 | 7 | 0.0965 % | 2,526.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4303 % | 2,600.9 |
| FixedReset Ins Non | 5.32 % | 6.93 % | 102,795 | 12.86 | 14 | 1.3737 % | 2,671.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.T | FixedReset Disc | -4.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 7.09 % |
| BN.PF.I | FixedReset Disc | -3.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 20.93 Evaluated at bid price : 20.93 Bid-YTW : 8.25 % |
| BN.PR.M | Perpetual-Discount | -2.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 7.00 % |
| BN.PR.T | FixedReset Disc | -2.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 8.87 % |
| POW.PR.C | Perpetual-Discount | -1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.77 % |
| GWO.PR.Q | Insurance Straight | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 19.37 Evaluated at bid price : 19.37 Bid-YTW : 6.69 % |
| NA.PR.E | FixedReset Disc | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 22.48 Evaluated at bid price : 23.22 Bid-YTW : 6.47 % |
| CCS.PR.C | Insurance Straight | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.63 % |
| PVS.PR.J | SplitShare | -1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 6.55 % |
| BIP.PR.F | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 7.99 % |
| RY.PR.S | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 23.04 Evaluated at bid price : 24.60 Bid-YTW : 5.91 % |
| FFH.PR.I | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 8.39 % |
| MIC.PR.A | Perpetual-Discount | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 7.16 % |
| GWO.PR.N | FixedReset Ins Non | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 7.76 % |
| PWF.PR.P | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 8.08 % |
| GWO.PR.I | Insurance Straight | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 6.36 % |
| CM.PR.P | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 23.04 Evaluated at bid price : 23.75 Bid-YTW : 5.93 % |
| FFH.PR.K | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 7.96 % |
| IFC.PR.F | Insurance Straight | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 21.32 Evaluated at bid price : 21.32 Bid-YTW : 6.26 % |
| CU.PR.G | Perpetual-Discount | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 17.62 Evaluated at bid price : 17.62 Bid-YTW : 6.47 % |
| SLF.PR.H | FixedReset Ins Non | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 6.98 % |
| BN.PF.F | FixedReset Disc | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 8.13 % |
| NA.PR.W | FixedReset Disc | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 6.63 % |
| FTS.PR.H | FixedReset Disc | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 14.52 Evaluated at bid price : 14.52 Bid-YTW : 8.06 % |
| TD.PF.A | FixedReset Disc | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 23.53 Evaluated at bid price : 24.37 Bid-YTW : 5.79 % |
| BN.PR.B | Floater | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 11.18 Evaluated at bid price : 11.18 Bid-YTW : 11.01 % |
| MFC.PR.Q | FixedReset Ins Non | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 22.03 Evaluated at bid price : 22.50 Bid-YTW : 6.66 % |
| FFH.PR.G | FixedReset Disc | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 16.97 Evaluated at bid price : 16.97 Bid-YTW : 8.40 % |
| MFC.PR.F | FixedReset Ins Non | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 16.07 Evaluated at bid price : 16.07 Bid-YTW : 7.00 % |
| BIP.PR.E | FixedReset Disc | 1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 7.72 % |
| FTS.PR.K | FixedReset Disc | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 7.39 % |
| SLF.PR.E | Insurance Straight | 1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 5.94 % |
| MFC.PR.C | Insurance Straight | 1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.97 % |
| BN.PF.E | FixedReset Disc | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 8.23 % |
| CU.PR.I | FixedReset Disc | 1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 22.54 Evaluated at bid price : 22.96 Bid-YTW : 7.49 % |
| PWF.PR.L | Perpetual-Discount | 2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 19.44 Evaluated at bid price : 19.44 Bid-YTW : 6.69 % |
| BN.PR.R | FixedReset Disc | 2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 8.51 % |
| TD.PF.D | FixedReset Disc | 2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 23.02 Evaluated at bid price : 23.55 Bid-YTW : 6.40 % |
| TD.PF.E | FixedReset Disc | 2.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 22.70 Evaluated at bid price : 23.15 Bid-YTW : 6.54 % |
| MFC.PR.I | FixedReset Ins Non | 4.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 22.61 Evaluated at bid price : 23.35 Bid-YTW : 6.67 % |
| IFC.PR.E | Insurance Straight | 4.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.16 % |
| MFC.PR.M | FixedReset Ins Non | 5.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.93 % |
| IFC.PR.I | Insurance Straight | 20.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 21.53 Evaluated at bid price : 21.53 Bid-YTW : 6.31 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| FTS.PR.G | FixedReset Disc | 86,514 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 7.10 % |
| SLF.PR.G | FixedReset Ins Non | 56,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 7.11 % |
| TD.PF.B | FixedReset Disc | 54,380 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 23.73 Evaluated at bid price : 24.85 Bid-YTW : 5.72 % |
| FTS.PR.H | FixedReset Disc | 50,417 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 14.52 Evaluated at bid price : 14.52 Bid-YTW : 8.06 % |
| FTS.PR.K | FixedReset Disc | 46,089 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 7.39 % |
| SLF.PR.H | FixedReset Ins Non | 29,820 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-25 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 6.98 % |
| There were 15 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.C | FixedReset Ins Non | Quote: 19.50 – 22.25 Spot Rate : 2.7500 Average : 1.8307 YTW SCENARIO |
| BN.PF.I | FixedReset Disc | Quote: 20.93 – 22.65 Spot Rate : 1.7200 Average : 1.2104 YTW SCENARIO |
| PWF.PR.T | FixedReset Disc | Quote: 20.60 – 22.15 Spot Rate : 1.5500 Average : 1.0841 YTW SCENARIO |
| GWO.PR.R | Insurance Straight | Quote: 18.55 – 19.44 Spot Rate : 0.8900 Average : 0.5386 YTW SCENARIO |
| BN.PR.M | Perpetual-Discount | Quote: 17.10 – 18.50 Spot Rate : 1.4000 Average : 1.0642 YTW SCENARIO |
| BN.PR.T | FixedReset Disc | Quote: 15.05 – 15.97 Spot Rate : 0.9200 Average : 0.6275 YTW SCENARIO |
one little data point and lower rates out the window, for now. nice rebound in prefs last few days though..