There ain’t too much commentary today, folks! No great loss, since nothing much happened, but there was one item of great pith and moment: Moody’s is considering a separate rating scale for structured products:
Moody’s Investors Service is considering a new ratings system based on numbers for structured- finance securities that would abandon the letter grades created by founder John Moody about a century ago.
Moody’s in a letter today asked investors for comments on five options it is reviewing to improve ratings including a numerical scale and a designation of “.sf” to differentiate a structured finance ranking from a corporate credit grade.
The use of a different scale has been proposed before – it was mentioned by the Bank of Canada and has been advocated elsewhere – like, f’rinstance, by Richard Portes on VoxEU as discussed on November 15. Frankly, I have difficulty understanding why it’s considered worthy of discussion.
And I would like to mention that Malachite Aggressive Preferred Fund has been priced for monthend … and achieved a return of 1.28% for the month, vs. an estimated ZERO for the index. I’ll try to post properly about this tomorrow … but those who speculate that I’m rather pleased about this (especially after the superb performance in December) may very well win a kewpie doll.
Another good strong day in the preferred share market – the perpetualDiscount index is now within a hair of the 945.3 January peak, which it hit on January 16, the day before the announcement of the BNS new issue knocked it for a loop. Volume wasn’t particularly exciting … on the low side of normal, but not by much.
I should hire Assiduous Reader madequota as colour commentator … his daily comments are much better than mine!
| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30 | |||||||
| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 5.53% | 5.56% | 52,857 | 14.61 | 2 | -0.5942% | 1,073.3 |
| Fixed-Floater | 5.16% | 5.64% | 87,818 | 14.70 | 7 | +0.0565% | 1,020.3 |
| Floater | 4.95% | 5.00% | 79,433 | 15.49 | 3 | -0.2585% | 853.3 |
| Op. Retract | 4.83% | 1.99% | 82,057 | 2.72 | 15 | +0.1190% | 1,045.1 |
| Split-Share | 5.30% | 5.48% | 99,705 | 4.11 | 15 | +0.0723% | 1,036.8 |
| Interest Bearing | 6.24% | 6.33% | 61,602 | 3.39 | 4 | +0.0304% | 1,080.2 |
| Perpetual-Premium | 5.75% | 5.51% | 399,131 | 6.06 | 16 | +0.1734% | 1,023.8 |
| Perpetual-Discount | 5.44% | 5.47% | 304,901 | 14.70 | 52 | +0.4470% | 943.7 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.B | Ratchet | -2.1053% | Closed at 23.25-24.25, 2×3. Fine market-making, marvellous! It reminds me of the good old days, when I could (on occasion) put in both a bid and an ask, fifty cents apart, and get filled on both sides thank you very much! Unfortunately, the fund is not long BCE.PR.B to try this play, but those who do have a position to which they’re indifferent can probably improve on this spread. |
| BSD.PR.A | InterestBearing | -1.2333% | Asset coverage of just under 1.6:1 as of February 1, according to Brookfield Funds. Now with a pre-tax bid-YTW of 6.90% (mostly as interest) based on a bid of 9.61 and a hardMaturity 2015-3-31 at 10.00. |
| BAM.PR.B | Floater | -1.1018% | |
| BCE.PR.S | FixFloat | +1.0593% | |
| CU.PR.A | PerpetualPremium | +1.0620% | Now with a pre-tax bid-YTW of 5.11% based on a bid of 25.57 and a call 2012-3-31 at 25.00. |
| RY.PR.F | PerpetualDiscount | +1.1933% | Now with a pre-tax bid-YTW of 5.27% based on a bid of 21.20 and a limitMaturity. |
| POW.PR.B | PerpetualDiscount | +1.2129% | Now with a pre-tax bid-YTW of 5.57% based on a bid of 24.20 and a limitMaturity. |
| POW.PR.D | PerpetualDiscount | +1.3519% | Now with a pre-tax bid-YTW of 5.42% based on a bid of 23.24 and a limitMaturity. |
| PWF.PR.F | PerpetualDiscount | +1.4774% | Now with a pre-tax bid-YTW of 5.48% based on a bid of 24.04 and a limitMaturity. |
| PWF.PR.L | PerpetualDiscount | +1.6796% | Now with a pre-tax bid-YTW of 5.43% based on a bid of 23.61 and a limitMaturity. |
| HSB.PR.C | PerpetualDiscount | +1.7279% | Now with a pre-tax bid-YTW of 5.48% based on a bid of 23.55 and a limitMaturity. |
| IAG.PR.A | PerpetualDiscount | +2.2336% | Now with a pre-tax bid-YTW of 5.30% based on a bid of 21.97 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BNS.PR.O | PerpetualPremium | 99,060 | New issue settled 1/31. Now with a pre-tax bid-YTW of 5.55% based on a bid of 25.18 and a call 2017-5-26 at 25.00. |
| TD.PR.Q | PerpetualPremium | 39,775 | New issue settled 1/31. Now with a pre-tax bid-YTW of 5.49% based on a bid of 25.28 and a call 2017-3-2 at 25.00. |
| CM.PR.I | PerpetualDiscount | 28,399 | Now with a pre-tax bid-YTW of 5.67% based on a bid of 20.90 and a limitMaturity. |
| GWO.PR.I | PerpetualDiscount | 26,430 | Now with a pre-tax bid-YTW of 5.36% based on a bid of 21.25 and a limitMaturity. |
| GWO.PR.G | PerpetualDiscount | 26,400 | Now with a pre-tax bid-YTW of 5.42% based on a bid of 24.26 and a limitMaturity. |
There were seventeen other index-included $25.00-equivalent issues trading over 10,000 shares today.
Good afternoon!
many thanks for the possitive remark about colour commentary! I’ve added an update to the CCS.PR.C situation there.
As for today’s update, RBC has expanded his “buy high, sell low” philosophy to ELF.PR.G . . . we have the long bond yield down a substantial 6 percentage points to 4.10, prefs up pretty much across the board as one would expect based on ISM, and RBC with an “iceberg” selling strategy for EL at $20.05, down .28 from yesterday’s close.
As well, he continues to attempt to dump DC.PR.A at $21, but nobody’s buying. Probably because they know it’s the RBC fund manager selling, and a drop from $21 to $20 is a definite possibility with this guy!
Can you offer RBC a complementary subscription to your newsletter or something? Investing for Dummies didn’t work out for him!
madequota
madequota – Complimentary subscription? Hell, no! I want all his clients – assuming, for the moment, that you are correct and this selling is coming out of a RBC managed fund – to come over to Malachite Aggressive Preferred Fund …. or, failing that, for the sponsor of his fund to hire me instead!
[…] Assiduous Readers Kaspu and madequota have been watching CCS.PR.C very carefully recently – see the comments to February 1, the comments to the January Index Rebalancing and the comments to February 4. […]