November 4, 2008

Another good day for prefs, with the PerpetualDiscounts again up over a point for the third day in a row. Before anybody gets too excited though … we’ve not yet recovered to October 22 levels and the 6.77% yield is almost 50bp over the September 30 level of 6.29%.

The 6.77% yield is equivalent to 9.48% interest at the standard 1.4x factor, while long corporates are still chugging along in the 7.5% area … so we’re back to a spread of about 200bp. Long corporates are actually down fractionally on the month-to-day and recovery in this market should, logically, now become a major factor in preferred share performance.

On the other hand, the market hasn’t really behaved logically for over a year and a half, so who knows?

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.
The Fixed-Reset index was added effective 2008-9-5 at that day’s closing value of 1,119.4 for the Fixed-Floater index.
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet N/A N/A N/A N/A 0 N/A N/A
Fixed-Floater 5.32% 5.38% 70,523 15.12 6 +2.4301% 982.4
Floater 6.90% 7.01% 48,965 12.48 2 +1.8248% 505.2
Op. Retract 5.29% 6.10% 131,568 3.99 15 -0.1494% 998.4
Split-Share 6.24% 10.45% 58,457 3.97 12 +1.1492% 944.7
Interest Bearing 7.93% 13.29% 60,778 3.25 3 +2.4349% 893.0
Perpetual-Premium N/A N/A N/A N/A N/A N/A N/A
Perpetual-Discount 6.70% 6.77% 180,124 12.88 71 +1.0227% 813.3
Fixed-Reset 5.35% 5.10% 892,441 15.18 11 +0.5777% 1,083.8
Major Price Changes
Issue Index Change Notes
BAM.PR.B Floater -6.3551%  
POW.PR.B PerpetualDiscount -5.1307% Now with a pre-tax bid-YTW of 6.91% based on a bid of 19.60 and a limitMaturity. Closing quote 19.60-79, 2X3. Day’s range 19.23-20.40.
LFE.PR.A SplitShare -3.8043% Asset coverage of 1.6+:1 as of October 31, according to the company. Now with a pre-tax bid-YTW of 8.74% based on a bid of 8.85 and a hardMaturity 2012-12-1 at 10.00. Closing quote of 8.85-14, 5×5. Day’s range of 9.10-40.
W.PR.H PerpetualDiscount +3.0641% Now with a pre-tax bid-YTW of 7.54% based on a bid of 18.50 and a limitMaturity. Closing Quote 18.50-14, 5×5. Day’s range of 18.25-19.40.
MFC.PR.B PerpetualDiscount +3.1501% Now with a pre-tax bid-YTW of 6.57% based on a bid of 18.01 and a limitMaturity. Closing Quote 18.01-09, 11×1. Day’s range of 17.66-45.
BCE.PR.R FixFloat +3.2771%  
NA.PR.L PerpetualDiscount +3.3682% Now with a pre-tax bid-YTW of 6.85% based on a bid of 17.80 and a limitMaturity. Closing Quote 17.80-25, 13×5. Day’s range of 17.60-00.
CM.PR.P PerpetualDiscount +3.3916% Now with a pre-tax bid-YTW of 7.12% based on a bid of 19.51 and a limitMaturity. Closing Quote 19.51-57, 3×5. Day’s range of 18.87-47.
PWF.PR.E PerpetualDiscount +3.4269% Now with a pre-tax bid-YTW of 6.37% based on a bid of 21.73 and a limitMaturity. Closing Quote 21.73-74, 11×2. Day’s range of 21.28-73.
GWO.PR.G PerpetualDiscount +3.7190% Now with a pre-tax bid-YTW of 6.57% based on a bid of 20.08 and a limitMaturity. Closing Quote 20.08-30, 5×5. Day’s range of 19.60-50.
CM.PR.D PerpetualDiscount +3.7207% Now with a pre-tax bid-YTW of 7.14% based on a bid of 20.35 and a limitMaturity. Closing Quote 20.35-43, 5×3. Day’s range of 19.76-44.
STW.PR.A InterestBearing +4.0884% Asset coverage of 1.4+:1 as of October 30 according to Middlefield. Now with a pre-tax bid-YTW of 11.92% based on a bid of 9.42 and a hardMaturity 2009-12-31 at 10.00. Closing quote of 9.42-54, 4×2. Day’s range of 9.26-44.
BNA.PR.A SplitShare +4.3738% Asset coverage of just under 2.8:1 as of September 30 according to the company. Coverage now of 2.2-:1 based on BAM.A at 22.51 and 2.4 BAM.A held per preferred. Now with a pre-tax bid-YTW of 17.24% based on a bid of 21.00 and a hardMaturity 2010-9-30 at 25.00. Compare with BNA.PR.B (9.91% to 2016-3-25) and BNA.PR.C (13.39% to 2019-1-10). Closing quote 21.00-99, 16×7. Day’s range 20.12-65.
BCE.PR.G FixFloat +5.2138%  
MFC.PR.C PerpetualDiscount +5.9666% Now with a pre-tax bid-YTW of 6.45% based on a bid of 17.76 and a limitMaturity. Closing Quote 17.76-93, 1×1. Day’s range of 17.00-96.
Volume Highlights
Issue Index Volume Notes
CM.PR.A OpRet 89,327 Now with a pre-tax bid-YTW of 4.92% based on a bid of 25.29 and a softMaturity 2011-7-30 at 25.00.
RY.PR.L FixedReset 79,195 New issue, settled yesterday.
BMO.PR.I PerpetualDiscount 76,400 Called for redemption.
TD.PR.O PerpetualDiscount 75,850 Now with a pre-tax bid-YTW of 6.62% based on a bid of 18.49 and a limitMaturity.

There were thirty-eight other index-included $25-pv-equivalent issues trading over 10,000 shares today.

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