Bond market excitement continued:
US longer-dated Treasury yields rose on Friday, extending their recent sharp move higher after more upbeat economic data reinforced concerns about inflation.
The 30-year US bond yield hit a fresh 22-year high and the benchmark 10-year yield reached a fresh 19-year high.
Yields have jumped recently on persistent worries about higher inflation.
New orders for key US manufactured capital goods increased more than expected in August and the previous month’s figures were revised sharply higher, signaling another quarter of robust growth in business spending on equipment amid an AI buildout.
…
The bullish data has driven up expectations for another interest-rate increase by the Federal Reserve. Traders now see a more than 64% chance of another hike when the US central bank next meets in October, according to CME Group’s FedWatch Tool. That expectation was around 55% a week ago.
…
The yield on the 30-year bond was last up 2.4 basis points at 5.486%. It reached 5.5319%, the highest since 2004.The yield on the benchmark US 10-year Treasury note was last up 0.3 basis point at 5.165%. It earlier reached 5.2297%, the highest since 2007.
A closely watched part of the US Treasury yield curve measuring the gap between yields on two- and 10-year Treasury notes, seen as an indicator of economic expectations, was at 30.3 basis points.
The two-year US Treasury yield, which typically moves in step with interest rate expectations for the Fed, was down 3.5 basis points at 4.86%.
| 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 | -0.8657 % | 2,762.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.8657 % | 5,202.7 |
| Floater | 5.23 % | 5.31 % | 29,502 | 15.03 | 3 | -0.8657 % | 2,998.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2389 % | 3,620.5 |
| SplitShare | 4.67 % | 4.81 % | 50,052 | 2.51 | 4 | -0.2389 % | 4,323.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2389 % | 3,373.5 |
| Perpetual-Premium | 5.81 % | 5.85 % | 66,713 | 14.10 | 9 | -0.6553 % | 2,987.7 |
| Perpetual-Discount | 5.82 % | 5.90 % | 42,146 | 14.04 | 21 | -0.7478 % | 3,250.0 |
| FixedReset Disc | 5.67 % | 6.23 % | 79,504 | 13.52 | 21 | -0.5567 % | 3,361.7 |
| Insurance Straight | 5.70 % | 5.79 % | 57,609 | 14.22 | 19 | -0.2397 % | 3,159.2 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5567 % | 4,104.7 |
| FixedReset Prem | 5.98 % | 4.57 % | 77,177 | 2.10 | 27 | -0.2068 % | 2,640.5 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5567 % | 3,436.3 |
| FixedReset Ins Non | 5.23 % | 5.45 % | 48,922 | 1.86 | 14 | 0.0913 % | 3,263.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PR.T | FixedReset Disc | -3.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 22.31 Evaluated at bid price : 23.10 Bid-YTW : 6.27 % |
| MFC.PR.L | FixedReset Ins Non | -2.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 23.28 Evaluated at bid price : 24.60 Bid-YTW : 5.79 % |
| ENB.PR.D | FixedReset Disc | -2.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 22.59 Evaluated at bid price : 23.01 Bid-YTW : 6.44 % |
| BN.PF.A | FixedReset Prem | -2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 23.61 Evaluated at bid price : 25.07 Bid-YTW : 6.45 % |
| BN.PR.K | Floater | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 14.51 Evaluated at bid price : 14.51 Bid-YTW : 5.40 % |
| PWF.PR.Z | Perpetual-Discount | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 21.63 Evaluated at bid price : 21.88 Bid-YTW : 5.98 % |
| POW.PR.A | Perpetual-Discount | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 23.49 Evaluated at bid price : 23.76 Bid-YTW : 5.90 % |
| MFC.PR.C | Insurance Straight | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 5.56 % |
| MFC.PR.F | FixedReset Ins Non | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 21.41 Evaluated at bid price : 21.68 Bid-YTW : 5.64 % |
| CU.PR.J | Perpetual-Discount | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 5.84 % |
| BN.PF.G | FixedReset Prem | -1.42 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2030-07-01 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.67 % |
| POW.PR.G | Perpetual-Discount | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 23.48 Evaluated at bid price : 23.75 Bid-YTW : 5.90 % |
| BN.PR.X | FixedReset Disc | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 21.44 Evaluated at bid price : 21.75 Bid-YTW : 6.13 % |
| PWF.PR.P | FixedReset Disc | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 21.59 Evaluated at bid price : 21.90 Bid-YTW : 5.79 % |
| BN.PF.D | Perpetual-Discount | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 6.12 % |
| CU.PR.K | Perpetual-Premium | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 23.84 Evaluated at bid price : 24.20 Bid-YTW : 5.84 % |
| SLF.PR.D | Insurance Straight | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 5.50 % |
| POW.PR.B | Perpetual-Discount | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 22.71 Evaluated at bid price : 22.95 Bid-YTW : 5.83 % |
| PWF.PR.G | Perpetual-Premium | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 24.68 Evaluated at bid price : 25.00 Bid-YTW : 5.99 % |
| GWO.PR.M | Insurance Straight | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 24.43 Evaluated at bid price : 24.67 Bid-YTW : 5.90 % |
| POW.PR.H | Perpetual-Premium | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 24.05 Evaluated at bid price : 24.43 Bid-YTW : 5.88 % |
| PWF.PR.R | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 23.32 Evaluated at bid price : 23.60 Bid-YTW : 5.92 % |
| POW.PR.D | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 21.34 Evaluated at bid price : 21.61 Bid-YTW : 5.79 % |
| GWO.PR.Y | Insurance Straight | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 5.73 % |
| MFC.PR.B | Insurance Straight | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.58 % |
| SLF.PR.E | Insurance Straight | 1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.52 % |
| FTS.PR.J | Perpetual-Discount | 2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.65 % |
| IFC.PR.G | FixedReset Ins Non | 6.25 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 4.80 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PF.A | FixedReset Prem | 123,590 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 23.61 Evaluated at bid price : 25.07 Bid-YTW : 6.45 % |
| CU.PR.C | FixedReset Disc | 102,700 | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 5.04 % |
| MFC.PR.I | FixedReset Ins Non | 58,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.36 Bid-YTW : 4.60 % |
| IFC.PR.C | FixedReset Ins Non | 35,600 | YTW SCENARIO Maturity Type : Call Maturity Date : 2026-10-30 Maturity Price : 25.00 Evaluated at bid price : 24.99 Bid-YTW : 5.81 % |
| GWO.PR.L | Insurance Straight | 27,919 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 23.95 Evaluated at bid price : 24.20 Bid-YTW : 5.86 % |
| PWF.PR.L | Perpetual-Discount | 25,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-25 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.89 % |
| There were 7 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.B | Perpetual-Discount | Quote: 22.95 – 24.13 Spot Rate : 1.1800 Average : 0.7271 YTW SCENARIO |
| BN.PR.Z | FixedReset Disc | Quote: 23.50 – 25.38 Spot Rate : 1.8800 Average : 1.5019 YTW SCENARIO |
| BN.PR.T | FixedReset Disc | Quote: 23.10 – 24.19 Spot Rate : 1.0900 Average : 0.7433 YTW SCENARIO |
| MFC.PR.L | FixedReset Ins Non | Quote: 24.60 – 25.60 Spot Rate : 1.0000 Average : 0.6628 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 22.60 – 23.75 Spot Rate : 1.1500 Average : 0.8229 YTW SCENARIO |
| BN.PF.A | FixedReset Prem | Quote: 25.07 – 26.14 Spot Rate : 1.0700 Average : 0.7585 YTW SCENARIO |