| 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 | -0.9155 % | 3,070.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.9155 % | 5,635.0 |
| Floater | 3.52 % | 3.70 % | 42,308 | 18.01 | 4 | -0.9155 % | 3,247.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0238 % | 3,230.0 |
| SplitShare | 4.60 % | 4.47 % | 53,513 | 4.85 | 5 | 0.0238 % | 3,857.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0238 % | 3,009.6 |
| Perpetual-Premium | 5.60 % | -10.55 % | 51,791 | 0.09 | 10 | 0.0668 % | 2,921.2 |
| Perpetual-Discount | 5.38 % | 5.52 % | 56,667 | 14.57 | 25 | -0.0155 % | 3,006.6 |
| FixedReset | 4.30 % | 4.65 % | 128,349 | 3.77 | 106 | -0.0563 % | 2,590.9 |
| Deemed-Retractible | 5.15 % | 5.82 % | 64,004 | 5.42 | 26 | -0.0906 % | 2,996.5 |
| FloatingReset | 3.50 % | 3.64 % | 42,172 | 5.71 | 6 | 0.0542 % | 2,862.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.C | Floater | -3.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-31 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 3.85 % |
| BAM.PR.R | FixedReset | -2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-31 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.16 % |
| MFC.PR.L | FixedReset | -1.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 5.99 % |
| SLF.PR.I | FixedReset | -1.40 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.01 Bid-YTW : 5.00 % |
| SLF.PR.A | Deemed-Retractible | -1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.13 Bid-YTW : 6.96 % |
| TRP.PR.C | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-31 Maturity Price : 17.72 Evaluated at bid price : 17.72 Bid-YTW : 5.07 % |
| BAM.PF.E | FixedReset | 1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-31 Maturity Price : 23.55 Evaluated at bid price : 23.95 Bid-YTW : 5.00 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| POW.PR.G | Perpetual-Premium | 21,573 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-15 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 5.34 % |
| PWF.PR.R | Perpetual-Premium | 21,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 5.22 % |
| RY.PR.W | Perpetual-Discount | 19,515 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-31 Maturity Price : 24.60 Evaluated at bid price : 24.85 Bid-YTW : 4.95 % |
| NA.PR.X | FixedReset | 18,890 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-15 Maturity Price : 25.00 Evaluated at bid price : 26.20 Bid-YTW : 3.83 % |
| CM.PR.R | FixedReset | 13,809 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 3.97 % |
| IFC.PR.G | FixedReset | 12,770 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.03 Bid-YTW : 5.12 % |
| There were 1 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.J | FloatingReset | Quote: 20.04 – 21.04 Spot Rate : 1.0000 Average : 0.6069 YTW SCENARIO |
| BAM.PR.C | Floater | Quote: 17.00 – 17.80 Spot Rate : 0.8000 Average : 0.5274 YTW SCENARIO |
| BAM.PR.R | FixedReset | Quote: 21.03 – 21.68 Spot Rate : 0.6500 Average : 0.3913 YTW SCENARIO |
| GWO.PR.G | Deemed-Retractible | Quote: 23.91 – 24.50 Spot Rate : 0.5900 Average : 0.3830 YTW SCENARIO |
| EIT.PR.A | SplitShare | Quote: 25.18 – 25.59 Spot Rate : 0.4100 Average : 0.2672 YTW SCENARIO |
| MFC.PR.L | FixedReset | Quote: 22.80 – 23.20 Spot Rate : 0.4000 Average : 0.2592 YTW SCENARIO |
James,
Just wanted to point out a New Issue, but didn’t know where to post a comment…
Toronto-Dominion Bank 4.75% 5-Year Rate Reset Preferred Share
Offering of Non-Cumulative 5-Year Rate Reset Preferred Shares, Series 20
And the announcement on their website of 10M + 2M shares:
http://td.mediaroom.com/2018-09-04-TD-Bank-Group-to-Issue-NVCC-Preferred-Shares
And then the upgraded sizing to 16M shares:
http://td.mediaroom.com/2018-09-04-TD-Bank-Group-Announces-Increase-to-NVCC-Preferred-Share-Issue
Weird…
Got it!