The U.S. Federal Reserve on Tuesday injected billions into the financial system in an effort to calm money markets that have been roiled since Monday, as lending dwindled partly due to huge payments for taxes and bond supply.
The chaos in money markets added to Fed policymakers’ list of concerns that is already heavy on risks from U.S.-China trade tensions, a weakening global economy and sluggish domestic inflation.
…
At one point on Tuesday, overnight borrowing costs in the $2.2 trillion repurchase agreement market spiked to as high as 10%.In the repo market, banks and Wall Street dealers use securities as collateral to obtain cash from money market funds and other cash investors.
Another alarming signal was a jump in the average federal funds rate, which the central bank aims to influence. It reached 2.25% on Monday, which matched the upper end of the Fed’s current target range and was a move not seen since the height of global credit crisis more than a decade ago.
| 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 | 0.4100 % | 1,920.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4100 % | 3,524.6 |
| Floater | 6.27 % | 6.43 % | 58,759 | 13.32 | 4 | 0.4100 % | 2,031.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0620 % | 3,383.3 |
| SplitShare | 4.66 % | 4.59 % | 58,924 | 4.02 | 7 | 0.0620 % | 4,040.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0620 % | 3,152.5 |
| Perpetual-Premium | 5.61 % | -16.26 % | 66,160 | 0.09 | 6 | -0.0065 % | 2,984.9 |
| Perpetual-Discount | 5.43 % | 5.57 % | 65,032 | 14.47 | 28 | 0.2405 % | 3,152.7 |
| FixedReset Disc | 5.53 % | 5.59 % | 174,233 | 14.30 | 73 | -0.4497 % | 2,073.8 |
| Deemed-Retractible | 5.25 % | 5.86 % | 73,403 | 7.90 | 27 | 0.1526 % | 3,135.9 |
| FloatingReset | 4.50 % | 6.70 % | 57,367 | 8.04 | 3 | -0.3318 % | 2,361.8 |
| FixedReset Prem | 5.25 % | 3.98 % | 131,687 | 1.60 | 14 | -0.0585 % | 2,584.0 |
| FixedReset Bank Non | 1.97 % | 4.29 % | 86,947 | 2.29 | 3 | 0.0554 % | 2,669.5 |
| FixedReset Ins Non | 5.44 % | 7.90 % | 108,753 | 7.89 | 21 | -0.3906 % | 2,123.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.P | FixedReset Disc | -3.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 12.76 Evaluated at bid price : 12.76 Bid-YTW : 6.04 % |
| NA.PR.S | FixedReset Disc | -2.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.86 % |
| RY.PR.J | FixedReset Disc | -2.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 5.67 % |
| MFC.PR.F | FixedReset Ins Non | -2.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.78 Bid-YTW : 10.69 % |
| BAM.PF.F | FixedReset Disc | -1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 17.22 Evaluated at bid price : 17.22 Bid-YTW : 6.36 % |
| RY.PR.H | FixedReset Disc | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 17.36 Evaluated at bid price : 17.36 Bid-YTW : 5.43 % |
| CU.PR.C | FixedReset Disc | -1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 5.72 % |
| TRP.PR.G | FixedReset Disc | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 17.59 Evaluated at bid price : 17.59 Bid-YTW : 6.34 % |
| SLF.PR.I | FixedReset Ins Non | -1.66 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.40 Bid-YTW : 7.90 % |
| PWF.PR.T | FixedReset Disc | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 5.87 % |
| MFC.PR.Q | FixedReset Ins Non | -1.55 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.46 Bid-YTW : 8.16 % |
| TRP.PR.C | FixedReset Disc | -1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 6.43 % |
| TD.PF.C | FixedReset Disc | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 17.08 Evaluated at bid price : 17.08 Bid-YTW : 5.58 % |
| CCS.PR.C | Deemed-Retractible | -1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 5.74 % |
| RY.PR.M | FixedReset Disc | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.58 % |
| RY.PR.S | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 5.19 % |
| HSE.PR.A | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 11.57 Evaluated at bid price : 11.57 Bid-YTW : 6.82 % |
| TD.PF.B | FixedReset Disc | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 5.48 % |
| BMO.PR.T | FixedReset Disc | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 5.59 % |
| MFC.PR.R | FixedReset Ins Non | -1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 5.80 % |
| TD.PF.E | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 19.74 Evaluated at bid price : 19.74 Bid-YTW : 5.56 % |
| TD.PF.K | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 5.44 % |
| BMO.PR.E | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 5.49 % |
| TRP.PR.B | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 6.30 % |
| MFC.PR.M | FixedReset Ins Non | -1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.05 Bid-YTW : 9.37 % |
| SLF.PR.J | FloatingReset | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.31 Bid-YTW : 10.57 % |
| BAM.PF.G | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 17.64 Evaluated at bid price : 17.64 Bid-YTW : 6.19 % |
| PWF.PR.S | Perpetual-Discount | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 21.76 Evaluated at bid price : 21.76 Bid-YTW : 5.60 % |
| GWO.PR.R | Deemed-Retractible | 2.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.58 Bid-YTW : 6.09 % |
| BAM.PR.K | Floater | 2.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 10.56 Evaluated at bid price : 10.56 Bid-YTW : 6.57 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PF.D | Perpetual-Discount | 102,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.89 % |
| PWF.PR.P | FixedReset Disc | 53,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 12.76 Evaluated at bid price : 12.76 Bid-YTW : 6.04 % |
| BMO.PR.D | FixedReset Disc | 52,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 5.50 % |
| MFC.PR.M | FixedReset Ins Non | 47,920 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.05 Bid-YTW : 9.37 % |
| BAM.PF.C | Perpetual-Discount | 42,235 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-17 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 5.90 % |
| RY.PR.Q | FixedReset Prem | 39,969 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.72 Bid-YTW : 3.95 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.E | FixedReset Disc | Quote: 15.70 – 16.30 Spot Rate : 0.6000 Average : 0.3716 YTW SCENARIO |
| IFC.PR.G | FixedReset Ins Non | Quote: 18.96 – 19.49 Spot Rate : 0.5300 Average : 0.3491 YTW SCENARIO |
| HSE.PR.E | FixedReset Disc | Quote: 18.10 – 18.65 Spot Rate : 0.5500 Average : 0.4031 YTW SCENARIO |
| BAM.PF.F | FixedReset Disc | Quote: 17.22 – 17.65 Spot Rate : 0.4300 Average : 0.2955 YTW SCENARIO |
| RY.PR.J | FixedReset Disc | Quote: 18.81 – 19.25 Spot Rate : 0.4400 Average : 0.3220 YTW SCENARIO |
| NA.PR.S | FixedReset Disc | Quote: 17.00 – 17.38 Spot Rate : 0.3800 Average : 0.2632 YTW SCENARIO |