The Bay Street Boys have got all the mileage they could out of the ‘everything is rosy’ story, so now they’re shaking the other tree:
Mexico’s peso and Canada’s dollar dropped after reports the U.S. may pull out of the trillion-dollar trade pact that President Donald Trump has threatened to dump if it doesn’t favor his nation.
Both currencies pared losses after a White House official said there hasn’t been any change in Trump’s position on Nafta. The peso fell 0.5 percent to 19.3398 per dollar as of 3:33 p.m. in New York, after falling as much as 0.9 percent. The Canadian dollar slipped 0.6 percent to 1.2543 per dollar. Yields on Canadian government 2-year notes fell six basis points to 1.74 percent.
The Five-Year Canada yield declined to 1.95%.
PerpetualDiscounts now yield 5.25%, equivalent to 6.83% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 295bp, a slight (and perhaps spurious) narrowing from the 300bp reported January 3.
| 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 | 1.5479 % | 2,855.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.5479 % | 5,238.9 |
| Floater | 3.22 % | 3.36 % | 35,767 | 18.87 | 4 | 1.5479 % | 3,019.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0466 % | 3,158.3 |
| SplitShare | 4.65 % | 4.06 % | 58,758 | 3.42 | 5 | -0.0466 % | 3,771.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0466 % | 2,942.8 |
| Perpetual-Premium | 5.36 % | -0.57 % | 55,100 | 0.09 | 18 | -0.0218 % | 2,861.5 |
| Perpetual-Discount | 5.30 % | 5.25 % | 73,936 | 15.06 | 16 | -0.4881 % | 2,997.2 |
| FixedReset | 4.17 % | 4.15 % | 139,752 | 3.86 | 98 | -0.1486 % | 2,546.8 |
| Deemed-Retractible | 5.04 % | 5.38 % | 81,297 | 5.86 | 28 | -0.0545 % | 2,956.3 |
| FloatingReset | 2.97 % | 2.56 % | 37,946 | 1.03 | 10 | 0.1133 % | 2,760.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.D | Perpetual-Discount | -2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-10 Maturity Price : 21.65 Evaluated at bid price : 22.00 Bid-YTW : 5.60 % |
| BAM.PR.M | Perpetual-Discount | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-10 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.57 % |
| BAM.PR.N | Perpetual-Discount | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-10 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 5.59 % |
| CU.PR.G | Perpetual-Discount | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-10 Maturity Price : 21.67 Evaluated at bid price : 22.03 Bid-YTW : 5.15 % |
| CU.PR.I | FixedReset | -1.11 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 3.45 % |
| BIP.PR.D | FixedReset | -1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 4.81 % |
| NA.PR.C | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 4.14 % |
| BAM.PF.I | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 26.20 Bid-YTW : 3.62 % |
| NA.PR.W | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-10 Maturity Price : 23.33 Evaluated at bid price : 23.65 Bid-YTW : 4.41 % |
| SLF.PR.D | Deemed-Retractible | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 6.82 % |
| HSE.PR.A | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-10 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 4.85 % |
| TRP.PR.A | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-10 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 4.59 % |
| PWF.PR.F | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-10 Maturity Price : 24.34 Evaluated at bid price : 24.65 Bid-YTW : 5.32 % |
| SLF.PR.J | FloatingReset | 1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.45 Bid-YTW : 6.50 % |
| SLF.PR.H | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 5.43 % |
| BAM.PR.B | Floater | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-10 Maturity Price : 16.73 Evaluated at bid price : 16.73 Bid-YTW : 3.36 % |
| PWF.PR.T | FixedReset | 1.25 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : 3.56 % |
| IFC.PR.A | FixedReset | 1.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.76 Bid-YTW : 6.56 % |
| BAM.PR.C | Floater | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-10 Maturity Price : 16.71 Evaluated at bid price : 16.71 Bid-YTW : 3.37 % |
| CCS.PR.C | Deemed-Retractible | 1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.45 Bid-YTW : 5.44 % |
| BAM.PR.K | Floater | 3.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-10 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 3.36 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.R | FixedReset | 713,839 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.38 Bid-YTW : 4.00 % |
| TD.PR.S | FixedReset | 180,700 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 3.05 % |
| TD.PF.C | FixedReset | 87,835 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-10 Maturity Price : 23.41 Evaluated at bid price : 23.73 Bid-YTW : 4.39 % |
| BMO.PR.D | FixedReset | 71,035 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-08-25 Maturity Price : 25.00 Evaluated at bid price : 25.42 Bid-YTW : 4.16 % |
| BMO.PR.M | FixedReset | 40,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-08-25 Maturity Price : 25.00 Evaluated at bid price : 25.08 Bid-YTW : 3.60 % |
| MFC.PR.J | FixedReset | 40,860 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.74 Bid-YTW : 4.83 % |
| There were 36 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.M | Deemed-Retractible | Quote: 25.86 – 26.17 Spot Rate : 0.3100 Average : 0.1910 YTW SCENARIO |
| HSE.PR.A | FixedReset | Quote: 18.10 – 18.49 Spot Rate : 0.3900 Average : 0.2815 YTW SCENARIO |
| BAM.PF.D | Perpetual-Discount | Quote: 22.00 – 22.45 Spot Rate : 0.4500 Average : 0.3452 YTW SCENARIO |
| GWO.PR.N | FixedReset | Quote: 18.65 – 18.95 Spot Rate : 0.3000 Average : 0.2031 YTW SCENARIO |
| BAM.PR.N | Perpetual-Discount | Quote: 21.45 – 21.71 Spot Rate : 0.2600 Average : 0.1713 YTW SCENARIO |
| BAM.PF.B | FixedReset | Quote: 24.30 – 24.57 Spot Rate : 0.2700 Average : 0.1843 YTW SCENARIO |