| 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 | -0.0385 % | 2,496.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0385 % | 4,788.8 |
| Floater | 7.34 % | 7.37 % | 57,534 | 12.11 | 2 | -0.0385 % | 2,759.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3108 % | 3,441.1 |
| SplitShare | 4.95 % | 6.01 % | 30,160 | 3.14 | 7 | 0.3108 % | 4,109.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3108 % | 3,206.3 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1399 % | 2,778.3 |
| Perpetual-Discount | 6.13 % | 6.30 % | 65,677 | 13.43 | 33 | -0.1399 % | 3,029.6 |
| FixedReset Disc | 4.85 % | 6.66 % | 93,629 | 13.20 | 54 | 0.9256 % | 2,445.0 |
| Insurance Straight | 6.18 % | 6.19 % | 75,586 | 13.68 | 19 | -0.1778 % | 2,913.8 |
| FloatingReset | 8.17 % | 8.39 % | 37,722 | 11.00 | 2 | -0.3727 % | 2,603.8 |
| FixedReset Prem | 5.13 % | 5.43 % | 114,018 | 1.75 | 9 | 0.1247 % | 2,572.9 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.9256 % | 2,499.2 |
| FixedReset Ins Non | 5.12 % | 7.07 % | 64,543 | 13.00 | 13 | -0.2222 % | 2,515.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.G | FixedReset Ins Non | -2.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 7.12 % |
| TD.PF.D | FixedReset Disc | -2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 6.65 % |
| BAM.PR.T | FixedReset Disc | -2.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 7.90 % |
| GWO.PR.T | Insurance Straight | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 20.41 Evaluated at bid price : 20.41 Bid-YTW : 6.34 % |
| IFC.PR.I | Perpetual-Discount | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 21.61 Evaluated at bid price : 21.90 Bid-YTW : 6.18 % |
| MFC.PR.F | FixedReset Ins Non | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 7.43 % |
| PWF.PF.A | Perpetual-Discount | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 18.29 Evaluated at bid price : 18.29 Bid-YTW : 6.26 % |
| GWO.PR.Y | Insurance Straight | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 18.29 Evaluated at bid price : 18.29 Bid-YTW : 6.18 % |
| BIP.PR.E | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 21.85 Evaluated at bid price : 22.33 Bid-YTW : 7.10 % |
| MFC.PR.B | Insurance Straight | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 19.12 Evaluated at bid price : 19.12 Bid-YTW : 6.13 % |
| GWO.PR.H | Insurance Straight | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 6.27 % |
| TD.PF.B | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 6.66 % |
| CM.PR.P | FixedReset Disc | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 6.69 % |
| BAM.PR.R | FixedReset Disc | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 8.04 % |
| RS.PR.A | SplitShare | 1.90 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-12-31 Maturity Price : 10.00 Evaluated at bid price : 9.65 Bid-YTW : 6.83 % |
| NA.PR.G | FixedReset Disc | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 22.99 Evaluated at bid price : 23.50 Bid-YTW : 6.52 % |
| BAM.PF.I | FixedReset Prem | 2.58 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-03-31 Maturity Price : 25.00 Evaluated at bid price : 24.26 Bid-YTW : 6.15 % |
| RY.PR.J | FixedReset Disc | 2.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 21.34 Evaluated at bid price : 21.65 Bid-YTW : 6.55 % |
| TRP.PR.A | FixedReset Disc | 7.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 8.79 % |
| IFC.PR.C | FixedReset Disc | 81.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 7.37 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.C | Insurance Straight | 42,226 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 18.52 Evaluated at bid price : 18.52 Bid-YTW : 6.12 % |
| CU.PR.G | Perpetual-Discount | 41,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 18.61 Evaluated at bid price : 18.61 Bid-YTW : 6.11 % |
| CU.PR.F | Perpetual-Discount | 40,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 18.46 Evaluated at bid price : 18.46 Bid-YTW : 6.16 % |
| FTS.PR.J | Perpetual-Discount | 30,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 6.03 % |
| MFC.PR.B | Insurance Straight | 30,067 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 19.12 Evaluated at bid price : 19.12 Bid-YTW : 6.13 % |
| CM.PR.S | FixedReset Disc | 29,965 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-19 Maturity Price : 23.19 Evaluated at bid price : 24.05 Bid-YTW : 6.07 % |
| There were 4 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IAF.PR.I | FixedReset Ins Non | Quote: 23.00 – 24.05 Spot Rate : 1.0500 Average : 0.7878 YTW SCENARIO |
| TD.PF.D | FixedReset Disc | Quote: 21.45 – 22.29 Spot Rate : 0.8400 Average : 0.5786 YTW SCENARIO |
| NA.PR.S | FixedReset Disc | Quote: 21.17 – 22.20 Spot Rate : 1.0300 Average : 0.7816 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 17.25 – 18.00 Spot Rate : 0.7500 Average : 0.5286 YTW SCENARIO |
| BAM.PF.F | FixedReset Disc | Quote: 18.25 – 19.72 Spot Rate : 1.4700 Average : 1.2556 YTW SCENARIO |
| ELF.PR.H | Perpetual-Discount | Quote: 22.20 – 23.45 Spot Rate : 1.2500 Average : 1.0395 YTW SCENARIO |
Wondering if someone can help me understand the falling prices for certain Split Share Prefs…eg DFN.PR.A, dropping below $9.40. NAV of the pref+cap shares as of Sep 15 is $16.19, so still about 38% downside protection. Cap share divvys get halted in NAV drops to $15 or less. Termination date is Dec 1, 2024, where I can redeem my prefs for $10. My back of the envelope calculation shows about an 8.9% yield to redemption. Seems like the main risk here is a major collapse of the 15 of the biggest stocks in Canada. What am I missing?
I know that they just did an new issuance at $9.65 on Sept 12, but this seems way overdone on the downside…..
niagara , its a dropping bear market , so it may be nothing specific to dfn , maybe someone had a margin call and that got sold . maybe people are expecting rates to go higher so they sold now expecting this to drop .
It may be a function of the strength in the Capital Units.
NAVPU was 16.19 on September 15, but DFN Capital Units closed today at 7.39.
The fund has an ATM issuance programme and appears to be using it – DFN.PR.A has a market cap of 962-million in August vs.944-million in June, so they were busy little beavers during the summer when the rest of the market was sleeping.
That’s in addition to the new issuance on Sept. 12 already noted.
So, there may be fear of market collapse. There may be a feeling that two years and a bit is simply too short term. But I’ll bet a big part of the depressed market price is saturation of supply, plain and simple.
My back of the envelope calculation shows about an 8.9% yield to redemption.
Use a spreadsheet instead, explained here and linked here.
I think that in general retail investors are hesitant to invest more into the markets at this point. If you can afford to sit on your investment for a while, it is hard to resist the returns that we are seeing today. Unless inflation and higher rates are here to stay (in which case we have more worse problems) at some point prices will return to a more balanced state.