| 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 | 0.4049 % | 2,368.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4049 % | 4,542.0 |
| Floater | 10.16 % | 10.50 % | 41,427 | 9.01 | 1 | 0.4049 % | 2,617.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0724 % | 3,406.3 |
| SplitShare | 4.94 % | 7.21 % | 43,915 | 1.85 | 7 | 0.0724 % | 4,067.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0724 % | 3,173.9 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2281 % | 2,650.6 |
| Perpetual-Discount | 6.48 % | 6.69 % | 49,595 | 12.88 | 31 | 0.2281 % | 2,890.4 |
| FixedReset Disc | 5.42 % | 7.07 % | 105,932 | 12.58 | 59 | 0.4465 % | 2,436.2 |
| Insurance Straight | 6.37 % | 6.52 % | 55,747 | 13.24 | 22 | -0.7154 % | 2,824.8 |
| FloatingReset | 9.92 % | 10.06 % | 30,864 | 9.37 | 3 | 0.1320 % | 2,601.9 |
| FixedReset Prem | 6.99 % | 6.90 % | 156,178 | 12.44 | 1 | 0.6000 % | 2,499.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4465 % | 2,490.3 |
| FixedReset Ins Non | 5.52 % | 7.20 % | 74,576 | 12.54 | 14 | -0.3475 % | 2,574.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.T | Insurance Straight | -14.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 7.59 % |
| SLF.PR.H | FixedReset Ins Non | -5.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 7.31 % |
| BN.PF.F | FixedReset Disc | -4.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 8.74 % |
| MFC.PR.Q | FixedReset Ins Non | -3.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 7.17 % |
| MFC.PR.C | Insurance Straight | -3.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 6.28 % |
| BMO.PR.S | FixedReset Disc | -3.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 22.27 Evaluated at bid price : 23.00 Bid-YTW : 6.31 % |
| BN.PF.B | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 7.97 % |
| IFC.PR.C | FixedReset Ins Non | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 7.34 % |
| MFC.PR.K | FixedReset Ins Non | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 21.76 Evaluated at bid price : 22.15 Bid-YTW : 6.64 % |
| RY.PR.M | FixedReset Disc | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.90 % |
| MFC.PR.F | FixedReset Ins Non | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 7.60 % |
| FTS.PR.G | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 21.39 Evaluated at bid price : 21.39 Bid-YTW : 6.77 % |
| PWF.PR.P | FixedReset Disc | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 8.16 % |
| IFC.PR.F | Insurance Straight | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 6.55 % |
| ELF.PR.H | Perpetual-Discount | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 21.33 Evaluated at bid price : 21.60 Bid-YTW : 6.47 % |
| PWF.PR.G | Perpetual-Discount | 1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 21.94 Evaluated at bid price : 22.17 Bid-YTW : 6.75 % |
| BIP.PR.A | FixedReset Disc | 1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 18.71 Evaluated at bid price : 18.71 Bid-YTW : 9.04 % |
| TD.PF.E | FixedReset Disc | 2.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 21.53 Evaluated at bid price : 21.53 Bid-YTW : 7.05 % |
| BMO.PR.Y | FixedReset Disc | 7.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 6.92 % |
| TD.PF.A | FixedReset Disc | 7.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 21.65 Evaluated at bid price : 22.05 Bid-YTW : 6.45 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.C | FixedReset Disc | 58,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 6.63 % |
| RY.PR.Z | FixedReset Disc | 56,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 21.49 Evaluated at bid price : 21.80 Bid-YTW : 6.55 % |
| NA.PR.G | FixedReset Disc | 55,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 23.13 Evaluated at bid price : 24.85 Bid-YTW : 6.53 % |
| BMO.PR.E | FixedReset Disc | 52,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 23.07 Evaluated at bid price : 24.67 Bid-YTW : 6.41 % |
| NA.PR.S | FixedReset Disc | 45,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 21.50 Evaluated at bid price : 21.82 Bid-YTW : 6.78 % |
| BMO.PR.T | FixedReset Disc | 38,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-11 Maturity Price : 21.83 Evaluated at bid price : 22.30 Bid-YTW : 6.38 % |
| There were 11 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.T | Insurance Straight | Quote: 17.05 – 19.91 Spot Rate : 2.8600 Average : 1.6358 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 19.22 – 21.00 Spot Rate : 1.7800 Average : 1.2380 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 17.75 – 18.95 Spot Rate : 1.2000 Average : 0.8918 YTW SCENARIO |
| MFC.PR.Q | FixedReset Ins Non | Quote: 21.00 – 21.84 Spot Rate : 0.8400 Average : 0.5599 YTW SCENARIO |
| SLF.PR.G | FixedReset Ins Non | Quote: 14.67 – 15.40 Spot Rate : 0.7300 Average : 0.4589 YTW SCENARIO |
| BMO.PR.S | FixedReset Disc | Quote: 23.00 – 23.77 Spot Rate : 0.7700 Average : 0.5087 YTW SCENARIO |
TD.PF.L called.
https://td.mediaroom.com/2024-03-12-TD-Bank-Group-Announces-Redemption-of-Non-Cumulative-5-Year-Rate-Reset-Class-A-First-Preferred-Shares,-Series-22-NVCC
No surprise, TD CET1 was 13.9%, so they don’t need this for capital purposes and it has a high reset.
TD.PF.M will likely get redeemed in 3 months, it has an even higher reset.
[…] Thanks to Assiduous Reader IrateAR for bringing this to my attention! […]