The New York Fed has released its update of the estimate for r-star, the real short-term interest rate expected to prevail when an economy is at full strength and inflation is stable. It’s still not very high!
| 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 | -0.1158 % | 2,195.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1158 % | 4,028.7 |
| Floater | 5.34 % | 5.55 % | 28,818 | 14.49 | 4 | -0.1158 % | 2,321.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1694 % | 3,269.6 |
| SplitShare | 4.89 % | 4.61 % | 60,166 | 3.94 | 8 | 0.1694 % | 3,904.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1694 % | 3,046.5 |
| Perpetual-Premium | 5.82 % | -4.46 % | 87,663 | 0.08 | 4 | -0.0592 % | 2,906.1 |
| Perpetual-Discount | 5.53 % | 5.61 % | 69,567 | 14.26 | 31 | 0.1546 % | 3,008.2 |
| FixedReset Disc | 5.11 % | 5.40 % | 210,786 | 14.72 | 65 | -0.1905 % | 2,223.3 |
| Deemed-Retractible | 5.34 % | 6.14 % | 98,589 | 8.20 | 27 | -0.1836 % | 3,001.2 |
| FloatingReset | 4.35 % | 5.63 % | 54,511 | 8.55 | 6 | -0.4473 % | 2,445.8 |
| FixedReset Prem | 5.11 % | 4.01 % | 298,292 | 2.23 | 18 | -0.0390 % | 2,548.1 |
| FixedReset Bank Non | 1.97 % | 3.97 % | 160,068 | 2.80 | 3 | -0.2905 % | 2,639.2 |
| FixedReset Ins Non | 4.97 % | 6.69 % | 121,279 | 8.36 | 22 | 0.0023 % | 2,264.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.A | FixedReset Disc | -2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 13.29 Evaluated at bid price : 13.29 Bid-YTW : 6.37 % |
| IFC.PR.E | Deemed-Retractible | -2.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.33 Bid-YTW : 6.21 % |
| MFC.PR.M | FixedReset Ins Non | -1.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.07 Bid-YTW : 7.34 % |
| IFC.PR.F | Deemed-Retractible | -1.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.68 Bid-YTW : 6.13 % |
| MFC.PR.J | FixedReset Ins Non | -1.78 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.92 Bid-YTW : 6.69 % |
| PWF.PR.A | Floater | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 4.91 % |
| TRP.PR.A | FixedReset Disc | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 15.45 Evaluated at bid price : 15.45 Bid-YTW : 5.99 % |
| TRP.PR.H | FloatingReset | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 12.95 Evaluated at bid price : 12.95 Bid-YTW : 5.69 % |
| BAM.PF.B | FixedReset Disc | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 5.96 % |
| TD.PF.E | FixedReset Disc | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 21.50 Evaluated at bid price : 21.86 Bid-YTW : 5.27 % |
| NA.PR.E | FixedReset Disc | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 5.44 % |
| BIP.PR.F | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 5.96 % |
| TRP.PR.F | FloatingReset | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 15.45 Evaluated at bid price : 15.45 Bid-YTW : 5.81 % |
| MFC.PR.Q | FixedReset Ins Non | -1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.02 Bid-YTW : 6.58 % |
| GWO.PR.N | FixedReset Ins Non | 1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 8.64 % |
| IFC.PR.A | FixedReset Ins Non | 1.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.80 Bid-YTW : 8.18 % |
| RY.PR.O | Perpetual-Discount | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 23.40 Evaluated at bid price : 23.80 Bid-YTW : 5.16 % |
| BIP.PR.D | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 22.11 Evaluated at bid price : 22.50 Bid-YTW : 6.06 % |
| HSE.PR.G | FixedReset Disc | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 19.91 Evaluated at bid price : 19.91 Bid-YTW : 6.62 % |
| CU.PR.H | Perpetual-Discount | 1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 23.63 Evaluated at bid price : 24.10 Bid-YTW : 5.46 % |
| MFC.PR.F | FixedReset Ins Non | 6.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.05 Bid-YTW : 8.65 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.R | FixedReset Disc | 179,119 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 22.52 Evaluated at bid price : 23.21 Bid-YTW : 5.42 % |
| BIK.PR.A | FixedReset Prem | 70,425 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 5.55 % |
| NA.PR.W | FixedReset Disc | 66,048 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 18.37 Evaluated at bid price : 18.37 Bid-YTW : 5.55 % |
| TD.PF.I | FixedReset Disc | 64,128 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 22.86 Evaluated at bid price : 23.93 Bid-YTW : 4.94 % |
| BAM.PF.B | FixedReset Disc | 61,758 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-04 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 5.96 % |
| GWO.PR.N | FixedReset Ins Non | 57,038 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 8.64 % |
| There were 14 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IAF.PR.G | FixedReset Ins Non | Quote: 20.15 – 21.75 Spot Rate : 1.6000 Average : 0.9659 YTW SCENARIO |
| ELF.PR.H | Perpetual-Discount | Quote: 24.51 – 24.97 Spot Rate : 0.4600 Average : 0.2799 YTW SCENARIO |
| HSE.PR.C | FixedReset Disc | Quote: 19.25 – 19.75 Spot Rate : 0.5000 Average : 0.3467 YTW SCENARIO |
| MFC.PR.J | FixedReset Ins Non | Quote: 20.92 – 21.59 Spot Rate : 0.6700 Average : 0.5185 YTW SCENARIO |
| MFC.PR.M | FixedReset Ins Non | Quote: 19.07 – 19.65 Spot Rate : 0.5800 Average : 0.4364 YTW SCENARIO |
| SLF.PR.J | FloatingReset | Quote: 14.95 – 15.43 Spot Rate : 0.4800 Average : 0.3407 YTW SCENARIO |