The hiccup in the US repo market, last discussed on September 20, is now being addressed by the Fed:
The Federal Reserve said Friday that it would buy more government-backed securities in a move meant to keep an obscure but critical corner of financial markets functioning smoothly.
The central bank said that it had decided to begin buying Treasury bills — expanding its balance sheet for the first time since 2014 — and would begin the purchases on Tuesday. The Fed will continue buying “at least into the second quarter of next year,” it said in a statement.
The Fed will also continue to intervene in the market for repurchase agreements, essentially short-term loans between banks and financial institutions. It started doing so last month for the first time since the financial crisis after rates on repos shot up briefly, spilling over to push the central bank’s benchmark interest rate higher. The Fed will conduct the operations “at least through January of next year,” according to the release, “to ensure that the supply of reserves remains ample even during periods of sharp increases in nonreserve liabilities.”
Unlike its previous bond buying campaign, which began during the Great Recession, the Fed stressed on Friday that its new effort is not meant to boost the economy.
Canada’s unemployment rate nudged down to a near four-decade low last month as the economy added more jobs than analysts expect – dropping an economic figure into a tight electoral race, and warnings from economists that things may not be as rosy as they seem.
Statistics Canada’s monthly labour force survey showed the country added about 54,000 net new jobs in September, driven largely by gains in full-time work, and dropping the jobless rate nationally by 0.2 points to 5.5 per cent.
…
The national statistics office said September’s jobs growth was largely concentrated in an expansion of public-sector staff and self-employed workers. The report also said 70,000 of the new jobs were full-time, as the number of part-time workers declined.
| 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 | 1.0223 % | 1,851.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.0223 % | 3,397.5 |
| Floater | 6.51 % | 6.68 % | 48,283 | 12.96 | 4 | 1.0223 % | 1,958.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1574 % | 3,396.7 |
| SplitShare | 4.64 % | 4.52 % | 54,786 | 3.96 | 7 | 0.1574 % | 4,056.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1574 % | 3,164.9 |
| Perpetual-Premium | 5.49 % | -22.27 % | 57,952 | 0.09 | 8 | 0.0832 % | 3,026.6 |
| Perpetual-Discount | 5.40 % | 5.45 % | 69,721 | 14.71 | 25 | 0.1451 % | 3,204.3 |
| FixedReset Disc | 5.68 % | 5.74 % | 170,272 | 14.36 | 66 | 0.5714 % | 2,069.1 |
| Deemed-Retractible | 5.22 % | 5.78 % | 66,331 | 7.86 | 27 | -0.1401 % | 3,157.6 |
| FloatingReset | 6.39 % | 6.90 % | 81,750 | 12.68 | 2 | 2.2817 % | 2,376.7 |
| FixedReset Prem | 5.15 % | 4.05 % | 163,110 | 1.70 | 20 | 0.1258 % | 2,598.0 |
| FixedReset Bank Non | 1.97 % | 4.21 % | 76,682 | 2.23 | 3 | 0.0693 % | 2,680.3 |
| FixedReset Ins Non | 5.49 % | 8.14 % | 103,202 | 7.79 | 21 | 0.9525 % | 2,104.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| NA.PR.E | FixedReset Disc | -2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 18.02 Evaluated at bid price : 18.02 Bid-YTW : 5.85 % |
| BMO.PR.E | FixedReset Disc | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.63 % |
| RY.PR.S | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 5.27 % |
| GWO.PR.T | Deemed-Retractible | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 5.81 % |
| CM.PR.P | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 15.91 Evaluated at bid price : 15.91 Bid-YTW : 5.94 % |
| TD.PF.J | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.56 % |
| TRP.PR.D | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 6.19 % |
| BAM.PF.F | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 6.19 % |
| TD.PF.C | FixedReset Disc | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 16.61 Evaluated at bid price : 16.61 Bid-YTW : 5.71 % |
| CM.PR.Q | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 18.12 Evaluated at bid price : 18.12 Bid-YTW : 5.93 % |
| TD.PF.B | FixedReset Disc | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 5.52 % |
| TD.PF.A | FixedReset Disc | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.56 % |
| PWF.PR.A | Floater | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 11.41 Evaluated at bid price : 11.41 Bid-YTW : 6.16 % |
| NA.PR.S | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 17.33 Evaluated at bid price : 17.33 Bid-YTW : 5.71 % |
| BAM.PR.T | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 6.42 % |
| MFC.PR.G | FixedReset Ins Non | 1.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.50 Bid-YTW : 8.14 % |
| BMO.PR.T | FixedReset Disc | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 5.55 % |
| TRP.PR.C | FixedReset Disc | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 11.58 Evaluated at bid price : 11.58 Bid-YTW : 6.52 % |
| BMO.PR.Y | FixedReset Disc | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 18.83 Evaluated at bid price : 18.83 Bid-YTW : 5.69 % |
| TRP.PR.F | FloatingReset | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 13.11 Evaluated at bid price : 13.11 Bid-YTW : 6.90 % |
| BMO.PR.W | FixedReset Disc | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 16.59 Evaluated at bid price : 16.59 Bid-YTW : 5.74 % |
| TRP.PR.A | FixedReset Disc | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 13.02 Evaluated at bid price : 13.02 Bid-YTW : 6.69 % |
| BAM.PR.B | Floater | 1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 10.45 Evaluated at bid price : 10.45 Bid-YTW : 6.68 % |
| MFC.PR.N | FixedReset Ins Non | 1.81 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.76 Bid-YTW : 9.65 % |
| CU.PR.C | FixedReset Disc | 1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 5.73 % |
| HSE.PR.A | FixedReset Disc | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 7.40 % |
| MFC.PR.F | FixedReset Ins Non | 1.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.56 Bid-YTW : 11.03 % |
| MFC.PR.M | FixedReset Ins Non | 2.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.10 Bid-YTW : 9.45 % |
| BAM.PF.G | FixedReset Disc | 2.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 6.37 % |
| SLF.PR.H | FixedReset Ins Non | 2.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.91 Bid-YTW : 9.04 % |
| BAM.PR.X | FixedReset Disc | 2.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 12.93 Evaluated at bid price : 12.93 Bid-YTW : 6.30 % |
| BAM.PR.R | FixedReset Disc | 2.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 14.78 Evaluated at bid price : 14.78 Bid-YTW : 6.40 % |
| GWO.PR.N | FixedReset Ins Non | 2.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.96 Bid-YTW : 9.60 % |
| IFC.PR.C | FixedReset Ins Non | 2.68 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.60 Bid-YTW : 8.39 % |
| HSE.PR.G | FixedReset Disc | 2.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 7.44 % |
| PWF.PR.P | FixedReset Disc | 2.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 12.61 Evaluated at bid price : 12.61 Bid-YTW : 6.11 % |
| SLF.PR.J | FloatingReset | 3.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.89 Bid-YTW : 11.13 % |
| SLF.PR.G | FixedReset Ins Non | 3.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.91 Bid-YTW : 10.84 % |
| TRP.PR.B | FixedReset Disc | 3.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 10.79 Evaluated at bid price : 10.79 Bid-YTW : 6.52 % |
| IFC.PR.A | FixedReset Ins Non | 3.91 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.07 Bid-YTW : 10.38 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.J | FixedReset Disc | 146,863 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.56 % |
| CM.PR.S | FixedReset Disc | 103,217 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 5.83 % |
| RY.PR.Z | FixedReset Disc | 69,098 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 17.18 Evaluated at bid price : 17.18 Bid-YTW : 5.51 % |
| SLF.PR.G | FixedReset Ins Non | 51,600 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.91 Bid-YTW : 10.84 % |
| CM.PR.T | FixedReset Disc | 51,550 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 22.62 Evaluated at bid price : 23.60 Bid-YTW : 5.19 % |
| BMO.PR.Y | FixedReset Disc | 46,120 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-11 Maturity Price : 18.83 Evaluated at bid price : 18.83 Bid-YTW : 5.69 % |
| There were 56 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| NA.PR.E | FixedReset Disc | Quote: 18.02 – 18.56 Spot Rate : 0.5400 Average : 0.3469 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 15.91 – 16.40 Spot Rate : 0.4900 Average : 0.3548 YTW SCENARIO |
| HSE.PR.E | FixedReset Disc | Quote: 17.07 – 17.43 Spot Rate : 0.3600 Average : 0.2299 YTW SCENARIO |
| MFC.PR.J | FixedReset Ins Non | Quote: 18.44 – 18.84 Spot Rate : 0.4000 Average : 0.2778 YTW SCENARIO |
| CM.PR.Q | FixedReset Disc | Quote: 18.12 – 18.45 Spot Rate : 0.3300 Average : 0.2081 YTW SCENARIO |
| GWO.PR.T | Deemed-Retractible | Quote: 23.85 – 24.15 Spot Rate : 0.3000 Average : 0.1929 YTW SCENARIO |