PerpetualDiscounts now yield 5.07%, equivalent to 6.59% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.91%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 370bp from the 365bp reported October 14.
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 | -0.1616 % | 1,635.3 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1616 % | 3,000.7 |
Floater | 5.20 % | 5.25 % | 39,734 | 15.08 | 3 | -0.1616 % | 1,729.3 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2034 % | 3,535.1 |
SplitShare | 4.80 % | 4.70 % | 52,347 | 3.56 | 8 | 0.2034 % | 4,221.7 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2034 % | 3,293.9 |
Perpetual-Premium | 5.29 % | -1.66 % | 88,600 | 0.09 | 17 | 0.0367 % | 3,198.1 |
Perpetual-Discount | 5.12 % | 5.07 % | 80,283 | 15.07 | 17 | -0.4795 % | 3,591.3 |
FixedReset Disc | 5.42 % | 4.15 % | 127,947 | 16.65 | 65 | 0.0597 % | 2,132.1 |
Deemed-Retractible | 5.07 % | 4.84 % | 117,387 | 15.19 | 22 | 0.1683 % | 3,501.5 |
FloatingReset | 1.97 % | 2.79 % | 42,728 | 1.26 | 3 | 0.1010 % | 1,797.3 |
FixedReset Prem | 5.20 % | 3.33 % | 276,615 | 0.81 | 14 | 0.1211 % | 2,648.1 |
FixedReset Bank Non | 1.94 % | 2.23 % | 129,032 | 1.26 | 2 | 0.0402 % | 2,859.4 |
FixedReset Ins Non | 5.44 % | 4.16 % | 80,843 | 16.65 | 22 | 0.3292 % | 2,220.9 |
Performance Highlights | |||
Issue | Index | Change | Notes |
CU.PR.F | Perpetual-Discount | -8.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 21.65 Evaluated at bid price : 22.06 Bid-YTW : 5.15 % |
CM.PR.Q | FixedReset Disc | -2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 4.15 % |
MFC.PR.F | FixedReset Ins Non | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 10.72 Evaluated at bid price : 10.72 Bid-YTW : 4.18 % |
CU.PR.D | Perpetual-Discount | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 24.20 Evaluated at bid price : 24.45 Bid-YTW : 5.07 % |
TD.PF.E | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 4.03 % |
RY.PR.H | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 3.86 % |
PVS.PR.F | SplitShare | 1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2024-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 4.54 % |
TRP.PR.C | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 9.02 Evaluated at bid price : 9.02 Bid-YTW : 5.27 % |
TD.PF.I | FixedReset Disc | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 22.08 Evaluated at bid price : 22.30 Bid-YTW : 3.89 % |
TRP.PR.B | FixedReset Disc | 1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 8.45 Evaluated at bid price : 8.45 Bid-YTW : 4.92 % |
CU.PR.C | FixedReset Disc | 1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 4.27 % |
SLF.PR.G | FixedReset Ins Non | 2.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 10.89 Evaluated at bid price : 10.89 Bid-YTW : 4.11 % |
IAF.PR.I | FixedReset Ins Non | 3.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 4.21 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
BMO.PR.Z | Perpetual-Premium | 35,184 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-11-20 Maturity Price : 26.00 Evaluated at bid price : 26.25 Bid-YTW : 2.22 % |
TRP.PR.F | FloatingReset | 32,018 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 10.11 Evaluated at bid price : 10.11 Bid-YTW : 5.02 % |
TD.PF.K | FixedReset Disc | 27,889 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 4.07 % |
TRP.PR.B | FixedReset Disc | 26,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 8.45 Evaluated at bid price : 8.45 Bid-YTW : 4.92 % |
TD.PF.L | FixedReset Disc | 23,038 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 23.23 Evaluated at bid price : 24.78 Bid-YTW : 3.83 % |
BAM.PF.D | Perpetual-Discount | 22,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-21 Maturity Price : 23.06 Evaluated at bid price : 23.35 Bid-YTW : 5.28 % |
There were 12 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
CU.PR.F | Perpetual-Discount | Quote: 22.06 – 24.27 Spot Rate : 2.2100 Average : 1.2245 YTW SCENARIO |
CU.PR.D | Perpetual-Discount | Quote: 24.45 – 24.99 Spot Rate : 0.5400 Average : 0.3517 YTW SCENARIO |
IFC.PR.A | FixedReset Ins Non | Quote: 12.65 – 13.10 Spot Rate : 0.4500 Average : 0.2960 YTW SCENARIO |
TD.PF.D | FixedReset Disc | Quote: 19.41 – 20.00 Spot Rate : 0.5900 Average : 0.4406 YTW SCENARIO |
IFC.PR.E | Deemed-Retractible | Quote: 25.15 – 25.60 Spot Rate : 0.4500 Average : 0.3362 YTW SCENARIO |
PWF.PR.E | Perpetual-Premium | Quote: 25.10 – 25.43 Spot Rate : 0.3300 Average : 0.2290 YTW SCENARIO |
TD.PF.E : No Conversion To FloatingReset
October 19th, 2020The Toronto-Dominion Bank has announced:
TD.PF.E is a FixedReset, 3.70%+287, that commenced trading 2015-4-24 after being announced 2015-4-15. Notice of extension was provided on 2020-9-17. TD.PF.E will reset at 3.242% effective 2020-10-31. The issue is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.
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