There was good news for Poloz in today’s inflation numbers:
The Canadian dollar strengthened against its U.S. counterpart on Wednesday, recovering from a two-month low it hit the previous day after stronger-than-expected domestic inflation data, but earlier gains were capped as the greenback rallied broadly.
The U.S. dollar gained against a basket of currencies after minutes from the Federal Reserve’s July meeting showed that policy-makers were united in wanting to avoid the appearance of being on the path to further rate cuts.
Canada’s annual inflation rate held steady in July at 2 per cent as lower costs for services were offset by higher prices for durable goods. Analysts had expected the annual rate to fall to 1.7 per cent from 2 per cent in June.
…
Canada’s retail sales data is due on Friday, with a Reuters poll forecasting a 0.1 per cent decrease, which could help guide expectations about the Bank of Canada’s interest rate decision.Canadian government bond prices were lower across the yield curve, with the two-year down 10 cents to yield 1.395 per cent and the 10-year falling 53 cents to yield 1.213 per cent.
Each of the mainstream indicators made a new 52-week low today. This is getting monotonous.
TXPR closed at 575.08, down 0.41% on the day after touching a new 52-week low of 574.94. Volume was 2.44-million, above average but nothing special in the context of the past 30 days.
CPD closed at 11.50, a new 52-week low and down 0.26% on the day. Volume of 73,613 was above median and nothing special in the context of the past 30 days.
ZPR closed at 9.15, a new 52-week low and down 0.11% on the day. Volume of 163,912 was a little above average but nothing special in the context of the past 30 days.
Five-year Canada yields were up 8bp to 1.28% today.
PerpetualDiscounts now yield 5.58%, equivalent to 7.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to an eye-popping 410bp, a new post-Credit Crunch record (second only to the 445bp recorded November 26, 2008, a day on which
The TXPR index was down 5.94% on the BCE news.
) and a slight (and possibly spurious) widening from the 405bp the reported August 14.
| 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 | -1.2115 % | 1,761.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.2115 % | 3,231.5 |
| Floater | 6.78 % | 7.03 % | 41,782 | 12.42 | 4 | -1.2115 % | 1,862.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4000 % | 3,364.6 |
| SplitShare | 4.68 % | 4.58 % | 63,063 | 4.10 | 7 | 0.4000 % | 4,018.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4000 % | 3,135.0 |
| Perpetual-Premium | 5.64 % | -4.73 % | 64,392 | 0.09 | 9 | -0.1233 % | 2,969.9 |
| Perpetual-Discount | 5.51 % | 5.58 % | 54,682 | 14.50 | 25 | -0.4646 % | 3,092.5 |
| FixedReset Disc | 5.99 % | 5.61 % | 152,251 | 14.49 | 66 | -0.4109 % | 1,946.0 |
| Deemed-Retractible | 5.30 % | 6.14 % | 65,508 | 7.84 | 27 | -0.0384 % | 3,079.0 |
| FloatingReset | 4.76 % | 7.56 % | 61,878 | 7.85 | 3 | -0.0617 % | 2,232.3 |
| FixedReset Prem | 5.22 % | 4.95 % | 170,782 | 1.90 | 21 | -0.0910 % | 2,553.9 |
| FixedReset Bank Non | 2.00 % | 4.56 % | 89,175 | 2.37 | 3 | -0.1261 % | 2,635.9 |
| FixedReset Ins Non | 5.67 % | 8.23 % | 101,606 | 7.96 | 21 | -0.3749 % | 2,024.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.C | FixedReset Disc | -2.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 15.53 Evaluated at bid price : 15.53 Bid-YTW : 7.14 % |
| BMO.PR.S | FixedReset Disc | -2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 5.49 % |
| NA.PR.G | FixedReset Disc | -2.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.75 % |
| BMO.PR.Z | Perpetual-Discount | -2.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 23.51 Evaluated at bid price : 23.95 Bid-YTW : 5.22 % |
| EMA.PR.C | FixedReset Disc | -2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 6.14 % |
| IAF.PR.I | FixedReset Ins Non | -2.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.51 Bid-YTW : 8.23 % |
| MFC.PR.I | FixedReset Ins Non | -2.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.63 Bid-YTW : 8.48 % |
| BAM.PR.M | Perpetual-Discount | -2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 6.04 % |
| TRP.PR.G | FixedReset Disc | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 6.72 % |
| RY.PR.M | FixedReset Disc | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 17.02 Evaluated at bid price : 17.02 Bid-YTW : 5.64 % |
| SLF.PR.G | FixedReset Ins Non | -1.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.36 Bid-YTW : 10.90 % |
| BMO.PR.Y | FixedReset Disc | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 5.56 % |
| BMO.PR.T | FixedReset Disc | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 5.51 % |
| NA.PR.W | FixedReset Disc | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 5.95 % |
| MFC.PR.H | FixedReset Ins Non | -1.50 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.73 Bid-YTW : 7.23 % |
| RY.PR.Z | FixedReset Disc | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 5.31 % |
| MFC.PR.C | Deemed-Retractible | -1.42 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.20 Bid-YTW : 7.13 % |
| PWF.PR.A | Floater | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 10.76 Evaluated at bid price : 10.76 Bid-YTW : 6.48 % |
| EMA.PR.F | FixedReset Disc | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 6.34 % |
| BNS.PR.I | FixedReset Disc | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 5.28 % |
| NA.PR.S | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 5.95 % |
| BAM.PR.K | Floater | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 7.04 % |
| BAM.PR.B | Floater | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 7.04 % |
| PWF.PR.E | Perpetual-Discount | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 23.96 Evaluated at bid price : 24.21 Bid-YTW : 5.73 % |
| BAM.PR.N | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 6.01 % |
| CM.PR.P | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 15.03 Evaluated at bid price : 15.03 Bid-YTW : 5.82 % |
| PWF.PR.L | Perpetual-Discount | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 22.24 Evaluated at bid price : 22.51 Bid-YTW : 5.71 % |
| TD.PF.D | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 5.57 % |
| BAM.PR.C | Floater | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 10.01 Evaluated at bid price : 10.01 Bid-YTW : 7.03 % |
| TRP.PR.B | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 9.86 Evaluated at bid price : 9.86 Bid-YTW : 6.38 % |
| MFC.PR.K | FixedReset Ins Non | 1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.62 Bid-YTW : 8.89 % |
| TD.PF.J | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 19.07 Evaluated at bid price : 19.07 Bid-YTW : 5.40 % |
| HSE.PR.G | FixedReset Disc | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 7.17 % |
| CCS.PR.C | Deemed-Retractible | 2.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.96 Bid-YTW : 5.66 % |
| HSE.PR.A | FixedReset Disc | 4.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 6.53 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.W | FixedReset Disc | 95,713 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 5.60 % |
| TD.PF.K | FixedReset Disc | 92,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 18.96 Evaluated at bid price : 18.96 Bid-YTW : 5.37 % |
| TD.PF.A | FixedReset Disc | 63,745 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 15.87 Evaluated at bid price : 15.87 Bid-YTW : 5.49 % |
| EMA.PR.F | FixedReset Disc | 41,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 6.34 % |
| BMO.PR.D | FixedReset Disc | 38,649 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 5.44 % |
| BMO.PR.T | FixedReset Disc | 38,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-21 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 5.51 % |
| There were 39 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.M | Perpetual-Discount | Quote: 20.02 – 20.69 Spot Rate : 0.6700 Average : 0.4396 YTW SCENARIO |
| HSE.PR.C | FixedReset Disc | Quote: 15.53 – 16.01 Spot Rate : 0.4800 Average : 0.2868 YTW SCENARIO |
| MFC.PR.H | FixedReset Ins Non | Quote: 19.73 – 20.13 Spot Rate : 0.4000 Average : 0.2640 YTW SCENARIO |
| EMA.PR.F | FixedReset Disc | Quote: 15.30 – 15.80 Spot Rate : 0.5000 Average : 0.3742 YTW SCENARIO |
| BMO.PR.Z | Perpetual-Discount | Quote: 23.95 – 24.34 Spot Rate : 0.3900 Average : 0.2683 YTW SCENARIO |
| SLF.PR.G | FixedReset Ins Non | Quote: 12.36 – 12.86 Spot Rate : 0.5000 Average : 0.3795 YTW SCENARIO |