| 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 | 3.19 % | 3.71 % | 29,202 | 19.70 | 1 | 0.3559 % | 2,812.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3077 % | 5,217.5 |
| Floater | 3.37 % | 3.36 % | 64,885 | 18.84 | 3 | -0.3077 % | 3,006.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1404 % | 3,630.0 |
| SplitShare | 4.72 % | 4.45 % | 30,575 | 3.39 | 7 | -0.1404 % | 4,335.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1404 % | 3,382.3 |
| Perpetual-Premium | 5.34 % | -4.52 % | 59,348 | 0.08 | 17 | -0.0279 % | 3,193.2 |
| Perpetual-Discount | 5.09 % | 5.14 % | 69,362 | 15.17 | 16 | -0.1063 % | 3,631.2 |
| FixedReset Disc | 4.17 % | 4.87 % | 119,440 | 15.58 | 46 | -0.6830 % | 2,717.7 |
| Insurance Straight | 5.11 % | 4.90 % | 92,167 | 15.24 | 18 | -0.3492 % | 3,511.6 |
| FloatingReset | 3.10 % | 3.45 % | 42,117 | 18.65 | 2 | -0.2537 % | 2,871.6 |
| FixedReset Prem | 4.76 % | 3.72 % | 144,406 | 1.98 | 23 | -0.1803 % | 2,701.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6830 % | 2,778.1 |
| FixedReset Ins Non | 4.17 % | 4.79 % | 79,607 | 15.92 | 15 | -0.6866 % | 2,879.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CM.PR.O | FixedReset Disc | -4.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 21.61 Evaluated at bid price : 22.02 Bid-YTW : 5.00 % |
| CM.PR.Q | FixedReset Disc | -2.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 22.61 Evaluated at bid price : 23.36 Bid-YTW : 4.92 % |
| GWO.PR.Y | Insurance Straight | -2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 21.96 Evaluated at bid price : 22.25 Bid-YTW : 5.06 % |
| BAM.PR.Z | FixedReset Disc | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 23.37 Evaluated at bid price : 24.00 Bid-YTW : 5.30 % |
| BAM.PF.A | FixedReset Disc | -1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 23.76 Evaluated at bid price : 24.15 Bid-YTW : 5.23 % |
| MFC.PR.L | FixedReset Ins Non | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 21.59 Evaluated at bid price : 22.00 Bid-YTW : 4.83 % |
| TD.PF.E | FixedReset Disc | -1.72 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 24.03 Bid-YTW : 4.58 % |
| TD.PF.D | FixedReset Disc | -1.69 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-07-31 Maturity Price : 25.00 Evaluated at bid price : 23.89 Bid-YTW : 4.82 % |
| IAF.PR.I | FixedReset Ins Non | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 24.06 Evaluated at bid price : 24.52 Bid-YTW : 4.99 % |
| TD.PF.A | FixedReset Disc | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 22.27 Evaluated at bid price : 22.67 Bid-YTW : 4.77 % |
| SLF.PR.G | FixedReset Ins Non | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 4.74 % |
| MFC.PR.C | Insurance Straight | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 23.17 Evaluated at bid price : 23.43 Bid-YTW : 4.82 % |
| BMO.PR.E | FixedReset Prem | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 23.60 Evaluated at bid price : 24.80 Bid-YTW : 4.85 % |
| MFC.PR.K | FixedReset Ins Non | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 22.88 Evaluated at bid price : 23.31 Bid-YTW : 4.69 % |
| MFC.PR.J | FixedReset Ins Non | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 24.34 Evaluated at bid price : 24.75 Bid-YTW : 4.81 % |
| TRP.PR.D | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 20.24 Evaluated at bid price : 20.24 Bid-YTW : 5.59 % |
| PWF.PR.T | FixedReset Disc | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 23.12 Evaluated at bid price : 23.48 Bid-YTW : 4.83 % |
| GWO.PR.I | Insurance Straight | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 22.12 Evaluated at bid price : 22.40 Bid-YTW : 5.03 % |
| TRP.PR.E | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 5.57 % |
| BMO.PR.T | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 22.02 Evaluated at bid price : 22.28 Bid-YTW : 4.85 % |
| PWF.PR.L | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 24.21 Evaluated at bid price : 24.50 Bid-YTW : 5.27 % |
| BIP.PR.B | FixedReset Prem | 1.58 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.36 Bid-YTW : 3.92 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.C | FixedReset Prem | 56,420 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.13 Bid-YTW : 3.40 % |
| NA.PR.S | FixedReset Disc | 52,582 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 23.18 Evaluated at bid price : 23.50 Bid-YTW : 4.81 % |
| RY.PR.M | FixedReset Disc | 47,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 22.31 Evaluated at bid price : 22.90 Bid-YTW : 4.83 % |
| SLF.PR.H | FixedReset Ins Non | 40,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 4.78 % |
| MFC.PR.N | FixedReset Ins Non | 37,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-24 Maturity Price : 22.18 Evaluated at bid price : 22.60 Bid-YTW : 4.79 % |
| TD.PF.L | FixedReset Prem | 36,675 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.12 Bid-YTW : 3.36 % |
| There were 17 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.G | FixedReset Disc | Quote: 12.29 – 23.35 Spot Rate : 11.0600 Average : 9.1154 YTW SCENARIO |
| BIP.PR.A | FixedReset Disc | Quote: 23.75 – 25.80 Spot Rate : 2.0500 Average : 1.2050 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 20.95 – 23.50 Spot Rate : 2.5500 Average : 2.1654 YTW SCENARIO |
| BAM.PF.A | FixedReset Disc | Quote: 24.15 – 25.05 Spot Rate : 0.9000 Average : 0.5563 YTW SCENARIO |
| CM.PR.Q | FixedReset Disc | Quote: 23.36 – 24.23 Spot Rate : 0.8700 Average : 0.5977 YTW SCENARIO |
| BAM.PF.G | FixedReset Disc | Quote: 22.05 – 23.50 Spot Rate : 1.4500 Average : 1.1845 YTW SCENARIO |
5y GOC rate are climbing but rate reset are plunging. I don’t understand why. Could it be they move too high too fast and are now returning to equilibirum ?
James:
A new issue of an INSTITUTIONAL rate reset NVCC preferred share with a par value of $1,000.
https://money.tmx.com/en/quote/TD/news/4579433339835196/TD_Bank_Group_Announces_Institutional_NVCC_Preferred_Share_Issue
Will this trade on the market with a ticker? Or only targeting pension funds and the like as a form of fixed income investment?
Cheers!
[…] Assiduous Reader Frank asked today: […]
Will this trade on the market with a ticker? Or only targeting pension funds and the like as a form of fixed income investment?
No, it will trade only OTC. I was sent an interesting article about OSFI’s attempts to develope an OTC preferred share market, which I have been meaning to highlight for some time. I think the initiative is a goddam disgrace, by the way; piling the restriction of retail investment by regulatory fiat onto the demonstration of intellectual bankruptcy shown by the popularity of LRCN with institutional charlatans.