A long comment by Assiduous Reader prefhound has been appended to the January 4 post.
The Federal Reserve Bank of Kansas City has released the TEN Magazine, Winter 2010 with feature articles:
- “How Will Unemployment Fare Following the Recession?”
- LIVESTOCK’S LONG ROAD: Recession, global pullback weigh on producers
- COMING HOME : Resurgence of working-age residents may boost rural economies
- RESIDENTIAL MORTGAGES AND COMMUNITY BANKS: Smaller insured financial institutions see less decline
Preferred shares continued their rally, with PerpetualDiscounts up 22bp and FixedResets gaining 6bp – which took the median weighted average yield for that index down to 3.49%. PerpetualDiscounts now yield 5.80%, equivalent to 8.12% interest at the standard equivalency factor of 1.4x. Long Corporates continue to yield 6.0%, so the pre-tax interest-equivalent spread is now 212bp, continuing to tighten from its December 31 figure of 220bp. Volume was good.
| 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 | 1.1974 % | 1,684.2 |
| FixedFloater | 5.80 % | 3.94 % | 36,475 | 18.83 | 1 | -2.2917 % | 2,687.7 |
| Floater | 2.33 % | 2.71 % | 111,341 | 20.51 | 3 | 1.1974 % | 2,104.0 |
| OpRet | 4.83 % | -10.06 % | 114,425 | 0.09 | 13 | 0.1291 % | 2,327.6 |
| SplitShare | 6.39 % | -4.67 % | 180,877 | 0.08 | 2 | 0.0220 % | 2,103.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1291 % | 2,128.4 |
| Perpetual-Premium | 5.77 % | 5.59 % | 148,142 | 5.88 | 12 | 0.1627 % | 1,899.2 |
| Perpetual-Discount | 5.77 % | 5.80 % | 185,184 | 14.25 | 63 | 0.2195 % | 1,820.9 |
| FixedReset | 5.40 % | 3.49 % | 330,555 | 3.87 | 41 | 0.0640 % | 2,181.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.G | FixedFloater | -2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-06 Maturity Price : 25.00 Evaluated at bid price : 18.76 Bid-YTW : 3.94 % |
| TCA.PR.X | Perpetual-Discount | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-06 Maturity Price : 46.42 Evaluated at bid price : 49.70 Bid-YTW : 5.56 % |
| BNS.PR.P | FixedReset | -1.25 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-25 Maturity Price : 25.00 Evaluated at bid price : 26.12 Bid-YTW : 3.49 % |
| NA.PR.N | FixedReset | -1.11 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-09-14 Maturity Price : 25.00 Evaluated at bid price : 26.66 Bid-YTW : 3.26 % |
| SLF.PR.F | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 27.46 Bid-YTW : 3.71 % |
| PWF.PR.K | Perpetual-Discount | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-06 Maturity Price : 21.60 Evaluated at bid price : 21.60 Bid-YTW : 5.74 % |
| SLF.PR.B | Perpetual-Discount | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-06 Maturity Price : 20.93 Evaluated at bid price : 20.93 Bid-YTW : 5.78 % |
| PWF.PR.H | Perpetual-Discount | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-06 Maturity Price : 24.07 Evaluated at bid price : 24.45 Bid-YTW : 5.88 % |
| PWF.PR.L | Perpetual-Discount | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-06 Maturity Price : 21.89 Evaluated at bid price : 22.00 Bid-YTW : 5.80 % |
| HSB.PR.D | Perpetual-Discount | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-06 Maturity Price : 22.26 Evaluated at bid price : 22.40 Bid-YTW : 5.62 % |
| GWO.PR.G | Perpetual-Discount | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-06 Maturity Price : 22.12 Evaluated at bid price : 22.27 Bid-YTW : 5.88 % |
| TRI.PR.B | Floater | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-06 Maturity Price : 21.37 Evaluated at bid price : 21.64 Bid-YTW : 1.79 % |
| BAM.PR.K | Floater | 2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-06 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 2.71 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.I | FixedReset | 171,770 | Dundee sold blocks of 24,000 shares, 21,000 and 14,000 to RBC at 27.75 and sold 20,000 to Desjardins at the same price. Desjardins crossed 20,000 at 27.75; RBC crossed 64,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.75 Bid-YTW : 3.61 % |
| BAM.PR.K | Floater | 79,300 | Nesbitt crossed 50,000 at 14.62 and bought 21,600 from TD at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-06 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 2.71 % |
| CM.PR.A | OpRet | 72,200 | RBC crossed 69,100 at 26.69. I suspect the buyer didn’t read last night’s post on this issue! YTW SCENARIO Maturity Type : Call Maturity Date : 2010-02-05 Maturity Price : 25.25 Evaluated at bid price : 26.60 Bid-YTW : -53.83 % |
| RY.PR.T | FixedReset | 69,673 | RBC crossed 14,300 at 28.15 and 40,000 at 28.18. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 28.12 Bid-YTW : 3.57 % |
| BNA.PR.C | SplitShare | 65,840 | RBC crossed blocks of 50,000 and 12,000 at 19.05. They also crossed 74,900 BNA.PR.B at 21.79, but this issue isn’t in the indices (volume concerns) and so doesn’t get reported in these tables. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 8.29 % |
| GWO.PR.L | Perpetual-Discount | 58,159 | Nesbitt crossed 35,000 at 23.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-06 Maturity Price : 23.29 Evaluated at bid price : 23.44 Bid-YTW : 6.07 % |
| There were 41 other index-included issues trading in excess of 10,000 shares. | |||
[…] crossed 92,100 at 26.60. There was also a sizeable cross yesterday. If these trades are being generated by my recent post on this issue, I want a commission! YTW […]
[…] called the Seniority Spread) is now about 205bp, a slow (albeit appreciated!) tightening from the January 6 level of […]