June 30, 2009

Sorry, folks! The June 30 closing price data is not yet available from the TSX, so I can’t close off the day.

When I have the data, you’ll get the data!

Update: Continued heavy trading and positive performance closed the month. Preliminary index figures indicate a gain for PerpetualDiscounts of 1.66% on the month, while FixedResets returned +2.70%.

PerpetualDiscounts closed the month yielding 6.36%, equivalent to 8.90% at the standard 1.4x equivalency factor. This compares to Long Corporates at about 6.4%, so the pre-tax interest-equivalent spread is near-as-dammit to 250bp, as declines in PerpetualDiscount yields did not keep pace with the extraordinary strength of the long corporate bonds … they returned +6.14% for the month and are now +17.55% YTD, which ain’t bad!

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 -0.1628 % 1,186.7
FixedFloater 7.08 % 5.49 % 35,110 16.33 1 0.1305 % 2,129.4
Floater 3.21 % 3.63 % 83,213 18.22 3 -0.1628 % 1,482.6
OpRet 4.95 % 3.53 % 120,027 0.89 14 -0.0758 % 2,208.6
SplitShare 5.74 % 6.24 % 69,944 4.20 3 0.0151 % 1,900.9
Interest-Bearing 5.98 % -0.66 % 23,573 0.08 1 0.0998 % 2,023.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2313 % 1,748.9
Perpetual-Discount 6.31 % 6.36 % 161,926 13.44 71 0.2313 % 1,610.8
FixedReset 5.62 % 4.61 % 484,161 4.35 40 0.1825 % 2,032.8
Performance Highlights
Issue Index Change Notes
TD.PR.Q Perpetual-Discount -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-06-30
Maturity Price : 22.96
Evaluated at bid price : 23.11
Bid-YTW : 6.17 %
W.PR.J Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-06-30
Maturity Price : 21.52
Evaluated at bid price : 21.78
Bid-YTW : 6.45 %
CU.PR.A Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-06-30
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 6.11 %
IAG.PR.C FixedReset 1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 26.51
Bid-YTW : 4.75 %
BMO.PR.H Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-06-30
Maturity Price : 21.74
Evaluated at bid price : 22.05
Bid-YTW : 6.08 %
HSB.PR.D Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-06-30
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.36 %
TD.PR.P Perpetual-Discount 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-06-30
Maturity Price : 22.02
Evaluated at bid price : 22.12
Bid-YTW : 6.04 %
BAM.PR.M Perpetual-Discount 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-06-30
Maturity Price : 15.86
Evaluated at bid price : 15.86
Bid-YTW : 7.56 %
RY.PR.H Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-06-30
Maturity Price : 23.91
Evaluated at bid price : 24.11
Bid-YTW : 5.94 %
GWO.PR.I Perpetual-Discount 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-06-30
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 6.30 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.O Perpetual-Discount 191,794 TD bought 25,000 from anonymous at 20.09; then National Bank crossed 122,700 at 20.10.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-06-30
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.14 %
GWO.PR.X OpRet 118,532 Nesbitt crossed 10,000 at 26.00; RBC crossed 100,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2010-10-30
Maturity Price : 25.67
Evaluated at bid price : 26.00
Bid-YTW : 3.70 %
TD.PR.M OpRet 102,170 RBC crossed 100,000 at 26.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2010-05-30
Maturity Price : 25.75
Evaluated at bid price : 26.17
Bid-YTW : 3.60 %
MFC.PR.E FixedReset 85,935 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-19
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 5.29 %
TD.PR.S FixedReset 65,322 RBC bought 10,000 from anonymous at 25.00; then another 14,000 at the same price; then bought 10,200 from National at the same price again.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-06-30
Maturity Price : 24.90
Evaluated at bid price : 24.95
Bid-YTW : 4.35 %
BMO.PR.P FixedReset 65,257 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-06-30
Maturity Price : 23.22
Evaluated at bid price : 25.30
Bid-YTW : 4.90 %
There were 58 other index-included issues trading in excess of 10,000 shares.

2 Responses to “June 30, 2009”

  1. […] shown in the June 30 Portfolio Composition analysis (which is in excess of the 6.36% index yield on June 30). Given such reinvestment, the sustainable yield would be 10.9846 * 0.0658 = $0.7228, an increase […]

  2. […] shown in the July 31 Portfolio Composition analysis (which is in excess of the 6.36% index yield on June 30). Given such reinvestment, the sustainable yield would be 11.8181 * 0.0614 = $0.7256, an increase […]

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