Good column by Jane Bryant Quinn on Bloomberg, Money Funds Are Ripe for ‘Radical Surgery.
Quadravest has announced semi-annual results for most of its funds (DF, DFN, FTN, FFN …), but neither the announcements nor the semi-annual statements are yet available. I’ll post links when this situation changes.
I’ve been very pleased with the response to yesterday‘s plea for reviews of my essay on Preferred Shares and GICs. There is definitely more work to be done on the essay … more comments will be appreciated, and those who would like to review the first draft may still eMail me to receive it.
Another very good day for the Canadian preferred share market, with PerpetualDiscounts posting a gain of 0.45%, bringing their median YTW to 6.10%. This is equivalent to 8.54% interest at the standard equivalency factor of 1.4x, while long corporates remain at about 6.4%, having returned +1.36% month-to-date and +19.15% year-to-date. The pre-tax interest-equivalent spread is thus about 215bp, tightening in about 15bp in the week since July 22, but still above the Credit Crunch norm of about 200bp and, of course, well above the pre-Credit Crunch range of 100-150bp.
| 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 | 0.1349 % | 1,197.0 |
| FixedFloater | 7.25 % | 5.42 % | 36,209 | 16.74 | 1 | 1.2146 % | 2,118.3 |
| Floater | 3.18 % | 3.78 % | 72,718 | 17.89 | 3 | 0.1349 % | 1,495.4 |
| OpRet | 4.92 % | -0.92 % | 141,549 | 0.09 | 15 | 0.2955 % | 2,242.4 |
| SplitShare | 5.89 % | 6.75 % | 98,111 | 4.13 | 3 | 0.5096 % | 1,969.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2955 % | 2,050.5 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4504 % | 1,833.3 |
| Perpetual-Discount | 6.06 % | 6.10 % | 163,397 | 13.75 | 71 | 0.4504 % | 1,688.4 |
| FixedReset | 5.50 % | 4.10 % | 565,938 | 4.19 | 40 | 0.0731 % | 2,095.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.P | FixedReset | -1.15 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-30 Maturity Price : 25.00 Evaluated at bid price : 26.75 Bid-YTW : 5.73 % |
| BMO.PR.L | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-07-29 Maturity Price : 24.68 Evaluated at bid price : 24.90 Bid-YTW : 5.93 % |
| GWO.PR.F | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-07-29 Maturity Price : 23.72 Evaluated at bid price : 24.00 Bid-YTW : 6.21 % |
| NA.PR.L | Perpetual-Discount | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-07-29 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.94 % |
| TD.PR.O | Perpetual-Discount | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-07-29 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 5.77 % |
| CM.PR.J | Perpetual-Discount | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-07-29 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 6.07 % |
| RY.PR.W | Perpetual-Discount | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-07-29 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 5.82 % |
| BAM.PR.G | FixedFloater | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-07-29 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 5.42 % |
| PWF.PR.E | Perpetual-Discount | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-07-29 Maturity Price : 21.82 Evaluated at bid price : 22.15 Bid-YTW : 6.23 % |
| BAM.PR.J | OpRet | 1.45 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 23.08 Bid-YTW : 6.69 % |
| GWO.PR.H | Perpetual-Discount | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-07-29 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 6.27 % |
| MFC.PR.C | Perpetual-Discount | 2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-07-29 Maturity Price : 18.58 Evaluated at bid price : 18.58 Bid-YTW : 6.15 % |
| IGM.PR.A | OpRet | 2.42 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2009-08-28 Maturity Price : 26.00 Evaluated at bid price : 27.51 Bid-YTW : -50.28 % |
| POW.PR.D | Perpetual-Discount | 2.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-07-29 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 6.13 % |
| BNA.PR.C | SplitShare | 2.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 17.56 Bid-YTW : 9.30 % |
| BMO.PR.H | Perpetual-Discount | 2.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-07-29 Maturity Price : 22.49 Evaluated at bid price : 23.20 Bid-YTW : 5.78 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.E | FixedReset | 96,748 | RBC crossed blocks of 30,000 and 25,000 shares at 27.62 and bought two blocks (10,000 and 12,000 shares) from National at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.63 Bid-YTW : 3.90 % |
| TD.PR.K | FixedReset | 48,602 | Desjardins crossed 11,300 at 27.54 and bought 11,100 from National at 27.58. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.59 Bid-YTW : 4.03 % |
| BMO.PR.L | Perpetual-Discount | 45,530 | Scotia crossed 24,200 shares at 24.95. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-07-29 Maturity Price : 24.68 Evaluated at bid price : 24.90 Bid-YTW : 5.93 % |
| BMO.PR.P | FixedReset | 42,385 | Scotia crossed 23,700 at 26.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-03-27 Maturity Price : 25.00 Evaluated at bid price : 26.60 Bid-YTW : 4.25 % |
| RY.PR.G | Perpetual-Discount | 39,815 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-07-29 Maturity Price : 19.27 Evaluated at bid price : 19.27 Bid-YTW : 5.85 % |
| RY.PR.Y | FixedReset | 37,420 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-24 Maturity Price : 25.00 Evaluated at bid price : 27.40 Bid-YTW : 4.07 % |
| There were 41 other index-included issues trading in excess of 10,000 shares. | |||
[…] Volume continued high to close the month, with FixedResets again being mostly elbowed out of the Volume Highlights table by PerpetualDiscounts. PerpetualDiscounts had a gain of almost 15bp on the day to close with a yield of 6.06%, equivalent to 8.48% interest at the standard equivalency factor of 1.4x. Long Corporates now yield about 6.3%, so the pre-tax interest-equivalent spread ends the month at about 218bp; basically unchanged from the 215bp spread reported on July 29. […]