Another new high for the TXPR price index today (this is getting monotonous), as today’s high was 668.41, exceeding the old mark of 668.14 set 2025-7-14.
I found this interesting in view of the fact that bonds got clobbered today – the five year is at 3.14% and the long bond at 3.90%.
The dismal bond results may be due to today’s inflation release:
Canada’s annual inflation rate ticked up to 1.9 per cent in June and underlying price pressures remained sticky, reinforcing expectations that the Bank of Canada will hold off from cutting interest rates this month.
Statistics Canada reported Tuesday that the annual rate rose from 1.7 per cent in May, in line with analysts’ expectations.
The Bank of Canada’s preferred core measures of inflation, which strip out volatility in price changes, continued to hover around three per cent, suggesting that underlying price pressures in the economy remain strong.
The United States, meanwhile, reported that annual headline inflation accelerated to 2.7 per cent in June from 2.4 per cent the previous month. The Canadian and U.S. reports both showed signs that higher tariffs are being passed on to consumers in areas such as clothing and home furnishings.
… and in turn:
Market-based probabilities of a further Bank of Canada rate cut on July 30 have shrunk further in the wake of this morning’s inflation report, the last major economic indicator to be released before the bank’s decision.
Money markets now suggest only about a 6% chance of a quarter-point cut on that day after the bank’s next policy meeting, down from about 15% prior to the CPI report. Those probabilities for a rate cut had already been trending down since a surprisingly strong Canadian employment report for June was released earlier this month.
| 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 | 0.9528 % | 2,344.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.9528 % | 4,563.0 |
| Floater | 6.81 % | 6.88 % | 49,137 | 12.70 | 2 | 0.9528 % | 2,629.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0958 % | 3,663.3 |
| SplitShare | 4.78 % | 4.56 % | 57,145 | 2.45 | 7 | -0.0958 % | 4,374.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0958 % | 3,413.3 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0351 % | 2,980.3 |
| Perpetual-Discount | 5.77 % | 5.87 % | 47,184 | 14.09 | 32 | 0.0351 % | 3,249.9 |
| FixedReset Disc | 5.65 % | 6.23 % | 118,768 | 13.20 | 40 | 0.0855 % | 2,976.9 |
| Insurance Straight | 5.67 % | 5.79 % | 49,781 | 14.23 | 19 | 0.0096 % | 3,195.5 |
| FloatingReset | 5.52 % | 5.36 % | 40,252 | 14.87 | 2 | 4.0277 % | 3,688.4 |
| FixedReset Prem | 5.74 % | 4.94 % | 116,973 | 2.61 | 16 | 0.4386 % | 2,622.5 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0855 % | 3,043.0 |
| FixedReset Ins Non | 5.25 % | 5.62 % | 64,430 | 14.11 | 14 | -0.0691 % | 3,044.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.F | FixedReset Ins Non | -3.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-15 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 6.21 % |
| PWF.PR.K | Perpetual-Discount | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-15 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 5.93 % |
| PWF.PF.A | Perpetual-Discount | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-15 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 5.82 % |
| BN.PF.G | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-15 Maturity Price : 21.96 Evaluated at bid price : 22.48 Bid-YTW : 6.51 % |
| BN.PR.B | Floater | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-15 Maturity Price : 12.70 Evaluated at bid price : 12.70 Bid-YTW : 6.90 % |
| SLF.PR.H | FixedReset Ins Non | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-15 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.90 % |
| BN.PF.I | FixedReset Prem | 5.52 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-03-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 5.94 % |
| SLF.PR.J | FloatingReset | 10.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-15 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 5.84 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.Q | FixedReset Disc | 128,717 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-08-30 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 5.52 % |
| CU.PR.G | Perpetual-Discount | 37,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-15 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 5.74 % |
| GWO.PR.R | Insurance Straight | 31,395 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-15 Maturity Price : 20.91 Evaluated at bid price : 20.91 Bid-YTW : 5.80 % |
| BN.PF.B | FixedReset Disc | 30,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-15 Maturity Price : 22.42 Evaluated at bid price : 23.10 Bid-YTW : 6.30 % |
| TD.PF.D | FixedReset Prem | 30,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-08-30 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 4.80 % |
| FFH.PR.G | FixedReset Disc | 24,205 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-15 Maturity Price : 23.45 Evaluated at bid price : 24.45 Bid-YTW : 5.68 % |
| There were 8 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| See TMX DataLinx: ‘Last’ != ‘Close’ and the posts linked therein for an idea of why these quotes are so horrible. | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.E | Insurance Straight | Quote: 20.75 – 22.60 Spot Rate : 1.8500 Average : 1.0855 YTW SCENARIO |
| PVS.PR.L | SplitShare | Quote: 26.01 – 27.01 Spot Rate : 1.0000 Average : 0.7161 YTW SCENARIO |
| BN.PR.N | Perpetual-Discount | Quote: 18.48 – 20.13 Spot Rate : 1.6500 Average : 1.3893 YTW SCENARIO |
| BN.PR.T | FixedReset Disc | Quote: 19.65 – 21.00 Spot Rate : 1.3500 Average : 1.1287 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 17.55 – 18.50 Spot Rate : 0.9500 Average : 0.7359 YTW SCENARIO |
| PWF.PR.T | FixedReset Disc | Quote: 22.45 – 24.44 Spot Rate : 1.9900 Average : 1.8196 YTW SCENARIO |