{"id":46576,"date":"2024-03-22T20:33:26","date_gmt":"2024-03-23T01:33:26","guid":{"rendered":"https:\/\/prefblog.com\/?p=46576"},"modified":"2024-03-22T20:33:26","modified_gmt":"2024-03-23T01:33:26","slug":"march-22-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=46576","title":{"rendered":"March 22, 2024"},"content":{"rendered":"

Some interesting remarks from BoC Deputy Governor Toni Gravelle<\/a>:<\/p>\n

Lately, though, we\u2019ve all seen a lot of speculation about whether QT may need to end before we get to those levels. What\u2019s driving that speculation is the upward pressure we saw in overnight repurchase agreement (repo) markets over an extended period, starting late in 2023 and continuing into the early part of this year. We don\u2019t think the decline in settlement balances linked to our normalization process has been much of a factor behind that tightness in overnight markets. Nor do we see any signs of stress in the financial system that can be tied to those pressures.<\/p>\n

Our assessment is that the surge in demand for repo funding in Canada came from growing market expectations that interest rates are going to fall.10 Late in 2023, market participants around the world became increasingly convinced that major central banks would pivot to aggressive policy rate cuts this year. Because of this conviction, many participants in Canada and elsewhere took leveraged long positions in government bonds to get ahead of the expected shift in policy.<\/p>\n

The more policy rates fall, the more those bonds will be worth. And the promise of big gains led many to borrow in repo markets to fund the trades. Starting in December 2023, high demand for repo funding caused a wider-than-usual spread between our target overnight rate and the benchmark overnight interest rate, which is calculated from transacted overnight repo rates (Chart 3).<\/p>\n

In addition to leveraged long positions, the \u201cbasis trade\u201d that is common in the US Treasury market has recently become more popular in Canada.<\/p>\n

This is an arbitrage strategy used to exploit gaps between prices for government bonds and the futures that are tied to them.11 The basis trade also boosted demand for repo funding, particularly from the growing presence of active hedge funds in Canadian fixed-income markets (Chart 4).<\/p>\n

When the pressures in repo markets became evident earlier this year, we used our routine policy implementation operations to reinforce our policy rate. This is something we\u2019ve done for decades, whenever it was needed.<\/p><\/blockquote>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0000 %<\/td>\n2,349.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0000 %<\/td>\n4,505.3<\/td>\n<\/tr>\n
Floater<\/td>\n10.24 %<\/td>\n10.33 %<\/td>\n42,352<\/td>\n9.32<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,596.5<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0777 %<\/td>\n3,435.8<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.90 %<\/td>\n7.02 %<\/td>\n38,507<\/td>\n1.82<\/td>\n7<\/td>\n0.0777 %<\/td>\n4,103.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0777 %<\/td>\n3,201.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3859 %<\/td>\n2,665.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.45 %<\/td>\n6.64 %<\/td>\n47,651<\/td>\n12.95<\/td>\n31<\/td>\n-0.3859 %<\/td>\n2,906.9<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.33 %<\/td>\n7.13 %<\/td>\n105,882<\/td>\n12.08<\/td>\n59<\/td>\n-0.0183 %<\/td>\n2,477.3<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.33 %<\/td>\n6.50 %<\/td>\n48,800<\/td>\n13.25<\/td>\n22<\/td>\n-0.1039 %<\/td>\n2,839.5<\/td>\n<\/tr>\n
FloatingReset<\/td>\n9.91 %<\/td>\n10.14 %<\/td>\n30,735<\/td>\n9.47<\/td>\n3<\/td>\n0.0752 %<\/td>\n2,608.7<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.91 %<\/td>\n6.80 %<\/td>\n161,046<\/td>\n3.18<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,525.3<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0183 %<\/td>\n2,532.3<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.43 %<\/td>\n7.28 %<\/td>\n74,009<\/td>\n12.48<\/td>\n14<\/td>\n-0.0664 %<\/td>\n2,615.7<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset Disc<\/td>\n-3.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 18.25
\nEvaluated at bid price : 18.25
\nBid-YTW : 9.59 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nPerpetual-Discount<\/td>\n-2.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 21.72
\nEvaluated at bid price : 22.00
\nBid-YTW : 5.62 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n-2.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 19.05
\nEvaluated at bid price : 19.05
\nBid-YTW : 6.71 %<\/td>\n<\/tr>\n
CU.PR.I<\/td>\nFixedReset Disc<\/td>\n-1.82 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 21.71
\nEvaluated at bid price : 22.17
\nBid-YTW : 8.02 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n-1.73 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 18.77
\nEvaluated at bid price : 18.77
\nBid-YTW : 8.71 %<\/td>\n<\/tr>\n
ELF.PR.H<\/td>\nPerpetual-Discount<\/td>\n-1.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 21.31
\nEvaluated at bid price : 21.58
\nBid-YTW : 6.50 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n-1.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 18.49
\nEvaluated at bid price : 18.49
\nBid-YTW : 7.17 %<\/td>\n<\/tr>\n
CU.PR.E<\/td>\nPerpetual-Discount<\/td>\n-1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 18.68
\nEvaluated at bid price : 18.68
\nBid-YTW : 6.64 %<\/td>\n<\/tr>\n
BIP.PR.F<\/td>\nFixedReset Disc<\/td>\n-1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 8.06 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n-1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 8.77 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nInsurance Straight<\/td>\n-1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 6.59 %<\/td>\n<\/tr>\n
IFC.PR.I<\/td>\nInsurance Straight<\/td>\n-1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 21.05
\nEvaluated at bid price : 21.05
\nBid-YTW : 6.45 %<\/td>\n<\/tr>\n
GWO.PR.M<\/td>\nInsurance Straight<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 22.22
\nEvaluated at bid price : 22.50
\nBid-YTW : 6.47 %<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 22.11
\nEvaluated at bid price : 22.33
\nBid-YTW : 6.72 %<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 19.97
\nEvaluated at bid price : 19.97
\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetual-Discount<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 20.91
\nEvaluated at bid price : 20.91
\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset Disc<\/td>\n1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 22.03
\nEvaluated at bid price : 22.60
\nBid-YTW : 6.82 %<\/td>\n<\/tr>\n
GWO.PR.Y<\/td>\nInsurance Straight<\/td>\n1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 17.56
\nEvaluated at bid price : 17.56
\nBid-YTW : 6.44 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 22.43
\nEvaluated at bid price : 22.85
\nBid-YTW : 6.80 %<\/td>\n<\/tr>\n
BN.PR.Z<\/td>\nFixedReset Disc<\/td>\n1.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 19.47
\nEvaluated at bid price : 19.47
\nBid-YTW : 8.41 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset Disc<\/td>\n1.90 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 22.29
\nEvaluated at bid price : 23.08
\nBid-YTW : 6.36 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset Disc<\/td>\n2.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 22.59
\nEvaluated at bid price : 23.01
\nBid-YTW : 6.69 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset Disc<\/td>\n152,100<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 14.82
\nEvaluated at bid price : 14.82
\nBid-YTW : 8.32 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n150,945<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 22.45
\nEvaluated at bid price : 22.83
\nBid-YTW : 6.89 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset Disc<\/td>\n115,911<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 22.59
\nEvaluated at bid price : 23.01
\nBid-YTW : 6.69 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset Disc<\/td>\n102,640<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 18.85
\nEvaluated at bid price : 18.85
\nBid-YTW : 8.17 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset Disc<\/td>\n95,654<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 22.03
\nEvaluated at bid price : 22.60
\nBid-YTW : 6.82 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\n53,277<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 18.55
\nEvaluated at bid price : 18.55
\nBid-YTW : 7.28 %<\/td>\n<\/tr>\n
There were 24 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\nQuote: 19.81 – 24.06
\nSpot Rate : 4.2500
\nAverage : 2.2967<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 19.81
\nEvaluated at bid price : 19.81
\nBid-YTW : 7.45 %<\/td>\n<\/tr>\n

CU.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 17.46 – 18.64
\nSpot Rate : 1.1800
\nAverage : 0.6885<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 17.46
\nEvaluated at bid price : 17.46
\nBid-YTW : 6.52 %<\/td>\n<\/tr>\n

IAF.PR.B<\/td>\nInsurance Straight<\/td>\nQuote: 20.01 – 22.50
\nSpot Rate : 2.4900
\nAverage : 2.0304<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 20.01
\nEvaluated at bid price : 20.01
\nBid-YTW : 5.78 %<\/td>\n<\/tr>\n

BN.PF.F<\/td>\nFixedReset Disc<\/td>\nQuote: 18.77 – 20.00
\nSpot Rate : 1.2300
\nAverage : 0.8175<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 18.77
\nEvaluated at bid price : 18.77
\nBid-YTW : 8.71 %<\/td>\n<\/tr>\n

BIP.PR.A<\/td>\nFixedReset Disc<\/td>\nQuote: 18.25 – 19.34
\nSpot Rate : 1.0900
\nAverage : 0.6875<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 18.25
\nEvaluated at bid price : 18.25
\nBid-YTW : 9.59 %<\/td>\n<\/tr>\n

BIP.PR.F<\/td>\nFixedReset Disc<\/td>\nQuote: 20.50 – 21.40
\nSpot Rate : 0.9000
\nAverage : 0.6454<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-22
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 8.06 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Some interesting remarks from BoC Deputy Governor Toni Gravelle: Lately, though, we\u2019ve all seen a lot of speculation about whether QT may need to end before we get to those levels. What\u2019s driving that speculation …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-46576","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46576","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=46576"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46576\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=46576"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=46576"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=46576"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}