The US Treasury is resurrecting Operation Twist:
The Treasury Department made a surprise move Wednesday after bond yields hit their highest levels in almost two decades, doubling its planned purchases of longer-term bonds and easing pressure on the market.
Bonds rallied, driving yields lower, after the announcement, providing some relief after a sell-off earlier this week sent yields around the globe to their highest levels in years.
…
The Treasury Department said it will at least double the size of buybacks from September to early November, focusing on longer-dated bonds from 10-year to 30-year Treasuries, according to a statement.The 30-year yield dropped nine basis points to 5.2% after the announcement, providing short-term reprieve. The drop comes one day after the 30-year yield rose above 5.3%, hitting its highest level since 2007.
Buybacks from the Treasury Department are a standard operation in bond markets, but the timing of the announcement after a major sell-off highlights the Trump administration’s sensitivity to the rise in yields.
| 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 | 0.5397 % | 2,650.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5397 % | 4,991.8 |
| Floater | 5.45 % | 5.61 % | 30,981 | 14.45 | 3 | 0.5397 % | 2,876.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0315 % | 3,654.3 |
| SplitShare | 4.77 % | 4.89 % | 59,666 | 2.58 | 5 | 0.0315 % | 4,364.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0315 % | 3,405.0 |
| Perpetual-Premium | 5.63 % | 5.53 % | 44,848 | 6.77 | 12 | 0.1389 % | 3,083.8 |
| Perpetual-Discount | 5.51 % | 5.60 % | 39,324 | 14.49 | 21 | -0.3888 % | 3,423.7 |
| FixedReset Disc | 5.51 % | 5.83 % | 93,496 | 14.03 | 17 | 0.2234 % | 3,411.4 |
| Insurance Straight | 5.35 % | 5.42 % | 42,409 | 14.65 | 20 | 0.0814 % | 3,360.6 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2234 % | 4,165.4 |
| FixedReset Prem | 5.91 % | 4.22 % | 80,983 | 2.11 | 31 | -0.0934 % | 2,667.3 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2234 % | 3,487.1 |
| FixedReset Ins Non | 5.18 % | 4.79 % | 51,188 | 1.93 | 14 | 0.3094 % | 3,297.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.R | Perpetual-Discount | -4.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 23.54 Evaluated at bid price : 23.81 Bid-YTW : 5.82 % |
| GWO.PR.I | Insurance Straight | -1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 5.37 % |
| BN.PF.M | FixedReset Prem | -1.53 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2031-01-01 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 5.10 % |
| BN.PF.F | FixedReset Prem | -1.48 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-10-01 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 5.78 % |
| NA.PR.K | FixedReset Prem | -1.21 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-05-01 Maturity Price : 25.00 Evaluated at bid price : 27.76 Bid-YTW : 3.51 % |
| PWF.PR.P | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 21.66 Evaluated at bid price : 22.00 Bid-YTW : 5.49 % |
| PWF.PR.L | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 22.67 Evaluated at bid price : 22.91 Bid-YTW : 5.61 % |
| ENB.PR.H | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 23.53 Evaluated at bid price : 23.85 Bid-YTW : 5.77 % |
| FTS.PR.H | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 5.67 % |
| BN.PR.R | FixedReset Disc | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 23.01 Evaluated at bid price : 24.55 Bid-YTW : 5.65 % |
| BN.PF.C | Perpetual-Discount | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 21.59 Evaluated at bid price : 21.85 Bid-YTW : 5.62 % |
| BN.PR.T | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 23.46 Evaluated at bid price : 24.15 Bid-YTW : 5.75 % |
| PWF.PR.A | Floater | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 5.26 % |
| ENB.PF.E | FixedReset Disc | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 22.97 Evaluated at bid price : 24.20 Bid-YTW : 5.97 % |
| GWO.PR.Y | Insurance Straight | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.31 % |
| ENB.PR.T | FixedReset Prem | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 23.42 Evaluated at bid price : 25.00 Bid-YTW : 5.82 % |
| POW.PR.A | Perpetual-Premium | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 24.68 Evaluated at bid price : 25.00 Bid-YTW : 5.66 % |
| MFC.PR.Q | FixedReset Ins Non | 2.47 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.76 Bid-YTW : 4.79 % |
| GWO.PR.H | Insurance Straight | 2.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 22.09 Evaluated at bid price : 22.37 Bid-YTW : 5.49 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PF.F | FixedReset Prem | 48,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-10-01 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 5.78 % |
| PWF.PR.K | Perpetual-Discount | 30,884 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 22.05 Evaluated at bid price : 22.28 Bid-YTW : 5.60 % |
| PWF.PR.L | Perpetual-Discount | 29,459 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 22.67 Evaluated at bid price : 22.91 Bid-YTW : 5.61 % |
| PWF.PR.S | Perpetual-Discount | 28,620 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-19 Maturity Price : 21.55 Evaluated at bid price : 21.81 Bid-YTW : 5.54 % |
| TD.PF.I | FixedReset Prem | 27,600 | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.95 Bid-YTW : 3.34 % |
| BMO.PR.E | FixedReset Prem | 27,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-11-25 Maturity Price : 25.00 Evaluated at bid price : 26.61 Bid-YTW : 3.80 % |
| 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 |
| POW.PR.D | Perpetual-Discount | Quote: 23.02 – 24.87 Spot Rate : 1.8500 Average : 1.3707 YTW SCENARIO |
| PWF.PR.R | Perpetual-Discount | Quote: 23.81 – 24.90 Spot Rate : 1.0900 Average : 0.6274 YTW SCENARIO |
| ENB.PR.A | Perpetual-Premium | Quote: 24.92 – 26.00 Spot Rate : 1.0800 Average : 0.6626 YTW SCENARIO |
| GWO.PR.G | Insurance Straight | Quote: 24.10 – 24.80 Spot Rate : 0.7000 Average : 0.4925 YTW SCENARIO |
| BN.PF.F | FixedReset Prem | Quote: 25.26 – 26.09 Spot Rate : 0.8300 Average : 0.6482 YTW SCENARIO |
| ENB.PF.C | FixedReset Disc | Quote: 23.65 – 24.64 Spot Rate : 0.9900 Average : 0.8254 YTW SCENARIO |