September 19, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
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
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 6.61 %

TD.PF.D FixedReset Disc Quote: 21.45 – 22.29
Spot Rate : 0.8400
Average : 0.5786

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 %

NA.PR.S FixedReset Disc Quote: 21.17 – 22.20
Spot Rate : 1.0300
Average : 0.7816

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 6.70 %

SLF.PR.H FixedReset Ins Non Quote: 17.25 – 18.00
Spot Rate : 0.7500
Average : 0.5286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.10 %

BAM.PF.F FixedReset Disc Quote: 18.25 – 19.72
Spot Rate : 1.4700
Average : 1.2556

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.17 %

ELF.PR.H Perpetual-Discount Quote: 22.20 – 23.45
Spot Rate : 1.2500
Average : 1.0395

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 6.31 %

4 Responses to “September 19, 2022”

  1. niagara says:

    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…..

  2. baffled says:

    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 .

  3. jiHymas says:

    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.

  4. paradon says:

    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.

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