Market Action

January 2, 2009

Great news! I’ve made the switchover to the “December Revision” of the HIMIPref™ Preferred Indices for daily reporting purposes. While this may not mean a lot to you, it is very important to me, since the tables are prepared programmatically.

There’s some problems: inclusion of dividend effects is haphazard at best and for some reason the tables on daily performance and volume are getting the index assignments wrong, but I’ll figure out how to address these quirks shortly. The main thing is: I can now push a button and get my damn reports output by HIMIPref™ as nice clean HTML code … or at least, it will be clean once I get some other quirks ironed out.

This will save me considerable time!

And – oh, yeah – the market was up again today. But then, the market always goes up, doesn’t it?

These values reflect the December 2008 Revision of the HIMIPref™ Indices
Effects of dividends are not incorporated into the daily updates at this time.
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 7.16 % 7.65 % 31,187 13.36 2 8.3712 % 862.3
FixedFloater 7.81% 7.68 % 153,247 13.13 8 4.5619% 1,309.2
Floater 5.94 % 5.61 % 34,403 14.53 4 4.1898% 1,028.0
OpRet 5.42 % 4.80 % 127,701 4.05 15 0.3454% 1,974.7
SplitShare 6.31 % 10.23 % 75,880 4.18 15 0.2140 % 1,762.7
Interest-Bearing 7.55 % 15.94 % 48,596 0.94 2 2.0126 % 1,873.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 2.5183 % 1,504.4
Perpetual-Discount 7.09 % 7.20 % 245,625 12.35 71 2.5183 % 1,385.5
FixedReset 5.90 % 4.79 % 789,307 15.32 18 0.4754% 1,801.9
Issue Index Change Notes
IAG.PR.A PerpetualPremium -3.24 % Now with a pre-tax bid-YTW of 7.62% based on a bid of 15.25 and a limitMaturity. Closing quote of 15.25-17.49 (!) 2×2. No trades.
WFS.PR.A SplitShare -2.00 % Asset coverage of 1.2-:1 as of Dec. 22 according to Mulvihill. Now with a pre-tax bid-YTW of 10.93% based on a bid of 8.81 and a hardMaturity 2011-6-30 at 10.00. Closing quote of 8.81-17, 3×1. No Trades.
CM.PR.R OpRet -1.52 % Now with a pre-tax bid-YTW of 4.80% based on a bid of 25.21 and a softMaturity 2013-4-29 at 25.00. Closing quote of 25.21-99, 8×5. No trades.
IAG.PR.C FixedReset -1.50 %  
SBN.PR.A SplitShare -1.08 % Asset coverage of 1.6-:1 as of December 22 according to Mulvihill. Now with a pre-tax bid-YTW of 7.11% based on a bid of 9.15 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 9.15-48, 18×3. No trades.
CM.PR.H PerpetualDiscount 1.09 % Now with a pre-tax bid-YTW of 7.23% based on a bid of 16.66 and a limitMaturity. Closing quote of 16.66-81, 1×1. Day’s range of 16.50-96.
BNS.PR.R FixedReset 1.14 %  
CM.PR.K FixedReset 1.16 %  
BNA.PR.B SplitShare 1.20 % Asset coverage of 1.8+:1 based on BAM.A at 18.81 and 2.4 BAM.A per preferred. Now with a pre-tax bid-YTW of 8.67% based on a bid of 20.25 and a hardMaturity 2016-3-25 at 25.00. Closing quote of 20.25-74, 5×1. No trades.
LBS.PR.A SplitShare 1.26 % Asset coverage of 1.4-:1 as of December 31 according to Brompton Group. Now with a pre-tax bid-YTW of 10.46% based on a bid of 8.05 and a hardMaturity 2013-11-29 at 10.00. Closing quote of 8.05-46, 199×1. No trades.
RY.PR.D PerpetualDiscount 1.27 % Now with a pre-tax bid-YTW of 6.53% based on a bid of 17.52 and a limitMaturity. Closing quote of 17.52-01, 1×2. Day’s range of 17.55-75.
ALB.PR.A SplitShare 1.32 % Asset coverage of 1.1+:1 as of December 23 according to Scotia. Now with a pre-tax bid-YTW of 16.09% based on a bid of 19.91 and a hardMaturity 2011-2-28 at 25.00. Closing quote of 19.91-89, 40×1. No trades.
CU.PR.A PerpetualDiscount 1.33 % Now with a pre-tax bid-YTW of 6.91% based on a bid of 21.30 and a limitMaturity. Closing quote of 21.30-75, 5×2. Day’s range of 21.25-72.
CM.PR.D PerpetualDiscount 1.40 % Now with a pre-tax bid-YTW of 7.39% based on a bid of 19.53 and a limitMaturity. Closing quote of 19.53-75, 2×3. Day’s range of 19.10-75.
BNS.PR.M PerpetualDiscount 1.47% Now with a pre-tax bid-YTW of 6.63% based on a bid of 17.02 and a limitMaturity. Closing quote of 17.02-42, 3×3. Day’s range of 16.57-42.
RY.PR.C PerpetualDiscount 1.54 % Now with a pre-tax bid-YTW of 6.58% based on a bid of 17.78 and a limitMaturity. Closing quote of 17.02-42, 3×3. Day’s range of 16.57-42.
W.PR.J PerpetualDiscount 1.57 % Now with a pre-tax bid-YTW of 8.38% based on a bid of 16.83 and a limitMaturity. Closing quote of 16.83-55, 4×1. No trades.
RY.PR.B PerpetualDiscount 1.90% Now with a pre-tax bid-YTW of 6.54% based on a bid of 18.26 and a limitMaturity. Closing quote of 18.26-45, 9×8. Day’s range of 18.00-45.
BNS.PR.J PerpetualDiscount 1.93% Now with a pre-tax bid-YTW of 6.70% based on a bid of 19.65 and a limitMaturity. Closing quote of 19.65-80, 20×3. Day’s range of 19.43-80.
RY.PR.W PerpetualDiscount 2.01 % Now with a pre-tax bid-YTW of 6.45% based on a bid of 19.30 and a limitMaturity. Closing quote of 19.30-49, 10×9. Day’s range of 19.25-35.
TCA.PR.Y PerpetualDiscount 2.01% Now with a pre-tax bid-YTW of 6.67% based on a bid of 42.10 and a limitMaturity. Closing quote of 42.10-62, 7×6. Day’s range of 41.42-42.63.
NA.PR.N FixedReset 2.08 %  
CM.PR.E PerpetualDiscount 2.11 % Now with a pre-tax bid-YTW of 7.26% based on a bid of 19.35 and a limitMaturity. Closing quote of 19.35-39, 1×2. Day’s range of 19.35-49.
HSB.PR.D PerpetualDiscount 2.23% Now with a pre-tax bid-YTW of 7.46% based on a bid of 16.93 and a limitMaturity. Closing quote of 16.93-25, 13×1. Day’s range of 16.85-39
CM.PR.G PerpetualDiscount 2.23 % Now with a pre-tax bid-YTW of 7.22% based on a bid of 18.76 and a limitMaturity. Closing quote of 18.76-80, 1×5. Day’s range of 18.39-00.
ELF.PR.G PerpetualDiscount 2.34 % Now with a pre-tax bid-YTW of 8.54% based on a bid of 14.00 and a limitMaturity. Closing quote of 14.00-71, 6×8. Day’s range of 14.00-75.
CL.PR.B PerpetualDiscount 2.41 % Now with a pre-tax bid-YTW of 7.43% based on a bid of 21.25 and a limitMaturity. Closing quote of 21.25-49, 2×2. Day’s range of 21.24-48.
BNS.PR.N PerpetualDiscount 2.43% Now with a pre-tax bid-YTW of 6.65% based on a bid of 19.80 and a limitMaturity. Closing quote of 19.80-00, 5×8. Day’s range of 19.80-00.
BAM.PR.K Floater 2.54 %  
BNS.PR.Q FixedReset 2.62%  
BMO.PR.H PerpetualDiscount 2.65 % Now with a pre-tax bid-YT
W of 7.09% based on
a bid of 19.01 and a limitMaturity. Closing quote of 19.01-40, 7×3. Day’s range of 18.65-40.
BMO.PR.K PerpetualDiscount 2.65 % Now with a pre-tax bid-YTW of 7.02% based on a bid of 19.00 and a limitMaturity. Closing quote of 19.00-35, 1×5. Day’s range of 18.75-00.
ELF.PR.F PerpetualDiscount 2.65 % Now with a pre-tax bid-YTW of 8.61% based on a bid of 15.50 and a limitMaturity. Closing quote of 15.50-00, 1×10. Day’s range of 15.50-86.
RY.PR.I FixedReset 2.67 %  
RY.PR.F PerpetualDiscount 2.69 % Now with a pre-tax bid-YTW of 6.58% based on a bid of 17.20 and a limitMaturity. Closing quote of 17.20-42, 3×5. Day’s range of 17.00-40.
TD.PR.R PerpetualDiscount 2.69 % Now with a pre-tax bid-YTW of 6.83% based on a bid of 20.96 and a limitMaturity. Closing quote of 20.96-34, 2×2. Day’s range of 20.60-21.64.
GWO.PR.F PerpetualDiscount 2.72% Now with a pre-tax bid-YTW of 7.43% based on a bid of 20.05 and a limitMaturity. Closing quote of 20.05-50, 2×10. Day’s range of 20.00-20.00.
POW.PR.A PerpetualDiscount 2.79% Now with a pre-tax bid-YTW of 7.49% based on a bid of 18.81 and a limitMaturity. Closing quote of 18.80-19.90 (!), 5×1. Day’s range of 18.72-19.85.
POW.PR.C PerpetualDiscount 2.85% Now with a pre-tax bid-YTW of 7.22% based on a bid of 20.21 and a limitMaturity. Closing quote of 20.21-74, 3×2. Day’s range of 20.14-70.
CM.PR.P PerpetualDiscount 2.93 % Now with a pre-tax bid-YTW of 7.28% based on a bid of 18.95 and a limitMaturity. Closing quote of 18.95-00, 21×25. Day’s range of 18.50-24.
TD.PR.A FixedReset 2.94 %  
PWF.PR.I PerpetualDiscount 2.96 % Now with a pre-tax bid-YTW of 7.75% based on a bid of 19.82 and a limitMaturity. Closing quote of 19.82-21.40 (!), 3×2. Day’s range of 19.24-21.40 (!).
PWF.PR.F PerpetualDiscount 2.97 % Now with a pre-tax bid-YTW of 7.59% based on a bid of 17.71 and a limitMaturity. Closing quote of 17.71-19.99 (!!) 1×3. Day’s range of 17.70-20.00 (!).
BNA.PR.C SplitShare 2.97 % Asset coverage of 1.8+:1 based on BAM.A at 18.81 and 2.4 BAM.A per preferred. Now with a pre-tax bid-YTW of 19.06% based on a bid of 9.01 and a hardMaturity 2019-1-10. Closing quote of 9.01-94, 18×8. Day’s range of 9.00-20.
PWF.PR.A Floater 3.12 %  
RY.PR.A PerpetualDiscount 3.26 % Now with a pre-tax bid-YTW of 6.36% based on a bid of 17.76 and a limitMaturity. Closing quote of 17.76-00, 2×7. Day’s range of 17.39-00.
TRI.PR.B Floater 3.29 %  
BMO.PR.J PerpetualDiscount 3.30 % Now with a pre-tax bid-YTW of 6.89% based on a bid of 16.60 and a limitMaturity. Closing quote of 16.60-63, 2×5. Day’s range of 16.25-60.
TD.PR.Q PerpetualDiscount 3.40 % Now with a pre-tax bid-YTW of 6.71% based on a bid of 21.30 and a limitMaturity. Closing quote of 21.30-92, 2×9. Day’s range of 21.50-70.
RY.PR.E PerpetualDiscount 3.46 % Now with a pre-tax bid-YTW of 6.59% based on a bid of 17.36 and a limitMaturity. Closing quote of 17.36-54, 10.8. Day’s range of 16.99-46.
CIU.PR.A PerpetualDiscount 3.52% Now with a pre-tax bid-YTW of 7.81% based on a bid of 14.99 and a limitMaturity. Closing quote of 14.99-25, 3×1. Day’s range of 14.98-99.
BAM.PR.N PerpetualDiscount 3.65% Now with a pre-tax bid-YTW of 11.17% based on a bid of 10.79 and a limitMaturity. Closing quote of 10.79-15, 5×2. Day’s range of 10.49-15.
GWO.PR.G PerpetualDiscount 3.70% Now with a pre-tax bid-YTW of 6.98% based on a bid of 18.79 and a limitMaturity. Closing quote of 18.79-90, 1×6. Day’s range of 18.55-29.
POW.PR.D PerpetualDiscount 3.70% Now with a pre-tax bid-YTW of 7.36% based on a bid of 17.09 and a limitMaturity. Closing quote of 17.09-49, 4×18. Day’s range of 16.50-18.01.
BCE.PR.A FixedFloater 3.87 %  
BNS.PR.L PerpetualDiscount 4.04% Now with a pre-tax bid-YTW of 6.54% based on a bid of 17.26 and a limitMaturity. Closing quote of 17.26-64, 5×13. Day’s range of 17.24-25.
PWF.PR.L PerpetualDiscount 4.05% Now with a pre-tax bid-YTW of 7.59% based on a bid of 17.21 and a limitMaturity. Closing quote of 17.21-00, 5×10. Day’s range of 17.10-25.
RY.PR.G PerpetualDiscount 4.15 % Now with a pre-tax bid-YTW of 6.51% based on a bid of 17.56 and a limitMaturity. Closing quote of 17.56-70, 1×5. Day’s range of 16.90-70.
BNS.PR.K PerpetualDiscount 4.24% Now with a pre-tax bid-YTW of 6.63% based on a bid of 18.15 and a limitMaturity. Closing quote of 18.15-24, 5×9. Day’s range of 17.53-15.
FBS.PR.B SplitShare 4.25 % Asset coverage of 1.1+:1 as of December 31, according to TD Securities. Now with a pre-tax bid-YTW of 12.87% based on a bid of 8.10 and a hardMaturity 2011-12-15 at 10.00. Closing quote of 8.10-49, 50×20. Day’s range of 7.61-10.
NA.PR.K PerpetualDiscount 4.29 % Now with a pre-tax bid-YTW of 7.59% based on a bid of 19.67 and a limitMaturity. Closing quote of 19.67-39, 2×2. Day’s range of 19.95-39.
PWF.PR.K PerpetualDiscount 4.36% Now with a pre-tax bid-YTW of 7.45% based on a bid of 17.01 and a limitMaturity. Closing quote of 17.01-25, 5×9. Day’s range of 16.83-50.
BAM.PR.M PerpetualDiscount 4.41% Now with a pre-tax bid-YTW of 11.32% based on a bid of 10.65 and a limitMaturity. Closing quote of 10.65-98, 1×3. Day’s range of 10.40-98.
BCE.PR.Z FixedFloater 4.45 %  
TD.PR.O PerpetualDiscount 4.45% Now with a pre-tax bid-YTW of 6.60% based on a bid of 18.76 and a limitMaturity. Closing quote of 18.76-10, 3×7. Day’s range of 17.85-19.14.
BMO.PR.L PerpetualDiscount 4.49% Now with a pre-tax bid-YTW of 7.20% based on a bid of 20.50 and a limitMaturity. Closing quote of 20.50-00, 5×20. Day’s range of 20.75-19.
PWF.PR.G PerpetualDiscount 4.79% Now with a pre-tax bid-YTW of 7.58% based on a bid of 19.91 and a limitMaturity. Closing quote of 19.91-21.99 (!!) 1×5. Day’s range of 19.40-00.
SLF.PR.B PerpetualDiscount 4.87 % Now with a pre-tax bid-YTW of 7.21% based on a bid of 16.81 and a limitMaturity. Closing quote of 16.81-19, 3×10. Day’s range of 16.45-20.
SLF.PR.E PerpetualDiscount 4.87 % Now with a pre-tax bid-YTW of 7.13% based on a bid of 15.92 and a limitMaturity. Closing quote of 15.92-15, 12×17. Day’s range of 16.15-38.
PWF.PR.E PerpetualDiscount 5.11% Now with a pre-tax bid-YTW of 7.61% based on a bid of 18.50 and a limitMaturity. Closing quote of 18.50-00, 5×10. Day’s range of 17.99-50.
NA.PR.L PerpetualDiscount 5.20 % Now with a pre-tax bid-YTW of 7.55% based on a bid of 16.39 and a limitMaturity. Closing quote of 16.39-83, 3×23. Day’s range of 16.21-80.
BCE.PR.G FixedFloater 5.36 %  
MFC.PR.B PerpetualDisco

unt

 5.57% Now with a pre-tax bid-YTW of 6.32% based on a bid of 18.59 and a limitMaturity. Closing quote of 18.59-89, 2×1. Day’s range of 17.84-18.89.
BCE.PR.R FixedFloater 5.76 %  
FIG.PR.A InterestBearing 6.12% Asset coverage of 1.1+:1 as of December 31, based on Capital Unit Value of 1.75 and 0.71 Capital Units per preferred. Now with a pre-tax bid-YTW of 13.56% based on a bid of 7.11 and a hardMaturity 2014-12-31 at 10.00. Closing quote of 7.11-49, 3×3. Day’s range of 7.34-35.
BCE.PR.Y Ratchet 6.13 %  
TD.PR.P PerpetualDiscount 6.33% Now with a pre-tax bid-YTW of 6.38% based on a bid of 21.00 and a limitMaturity. Closing quote of 21.00-20, 8×40. Day’s range of 20.35-21.49.
GWO.PR.H PerpetualDiscount 6.34% Now with a pre-tax bid-YTW of 7.38% based on a bid of 16.60 and a limitMaturity. Closing quote of 16.60-93, 5×10. Day’s range of 16.30-95.
PWF.PR.H PerpetualDiscount 6.50 % Now with a pre-tax bid-YTW of 7.55% based on a bid of 19.50 and a limitMaturity. Closing quote of 19.50-20, 1×15. Day’s range of 18.99-50.
NA.PR.M PerpetualDiscount 6.78 % Now with a pre-tax bid-YTW of 7.20% based on a bid of 21.25 and a limitMaturity. Closing quote of 21.25-40, 40×7. Day’s range of 20.45-21.75.
BCE.PR.C FixedFloater 7.25 %  
BAM.PR.B Floater 8.21 %  
BAM.PR.J OpRet 8.52 % Now with a pre-tax bid-YTW of 11.76% based on a bid of 16.30 and a softMaturity 2018-3-30 at 25.00. Closing quote of 16.30-88, 5×18. Day’s range of 15.80-16.88.
POW.PR.B PerpetualDiscount 8.81% Now with a pre-tax bid-YTW of 7.27% based on a bid of 18.52 and a limitMaturity. Closing quote of 18.52-15, 2×3. Day’s range of 17.49-18.96.
BCE.PR.I FixedFloater 8.96 %  
BCE.PR.S Ratchet 10.56 %  
Issue Index Shares
Traded		 Notes
CM.PR.P PerpetualDiscount 24,520 Now with a pre-tax bid-YTW of 7.28% based on a bid of 18.95 and a limitMaturity.
POW.PR.D PerpetualDiscount 22,200 Now with a pre-tax bid-YTW of 7.36% based on a bid of 17.09 and a limitMaturity.
CM.PR.H PerpetualDiscount 20,100 Now with a pre-tax bid-YTW of 7.23% based on a bid of 16.66 and a limitMaturity.
BMO.PR.J PerpetualDiscount 18,575 Now with a pre-tax bid-YTW of 6.89% based on a bid of 16.60 and a limitMaturity.
RY.PR.G PerpetualDiscount 17,940 Now with a pre-tax bid-YTW of 6.51% based on a bid of 17.56 and a limitMaturity.

There were twelve other index-included $25-p.v.-equivalent issues trading over 10,000 shares today.

HIMI Preferred Indices

HIMIPref™ Preferred Indices: December 2008

HIMI Index Values 2008-12-31
These values reflect the December 2008 Revision
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 795.7 2 2.00 8.48% 12.5 32M 7.79%
FixedFloater 1,252.0 8 2.00 8.11% 12.5 83M 8.17%
Floater 986.6 4 1.72 5.78% 14.2 34M 6.18%
OpRet 1,967.9 15 1.35 4.69% 3.9 129M 5.44%
SplitShare 1,758.9 15 2.00 10.00% 4.18 79M 6.32%
Interest-Bearing 1,836.1 2 2.00 14.76% 0.9 51M 7.70%
Perpetual-Premium 1,467.5 0 N/A N/A N/A N/A N/A
Perpetual-Discount 1,351.5 71 1.23 7.29% 12.2 243M 7.27%
FixedReset 1,793.3 18 1.06 4.81% 15.1 801M 5.92%

For Index Revisions during December 2008, see the post HIMIPref™ Index Rebalancing: December 2008.

Publication of index details is embargoed for six months following index date.

Reader Initiated Comments

Can Perpetuals Trade Perpetually?

I have recently been asked:

At what point will a company redeem its preferred shares, if the yield is high enough at some point the amount of interest they have paid out will be greater than the amount of capital generated from the sale of the preferred share. Is there a point where a preferred share just ceases to be traded, or does a company have to redeem them? My question is basically a pref can’t trade forever so how do you know when it will stop trading? I am assuming it may go on past the redemption date since the information you have provided says usually after 5-10 years.

… to which I respond:

It is true that at some point the amount the total amount of interest/dividend exceeds the original capital invested, but this is true of long term bonds as well. At five percent, money doubles in 15 years … so for a 5% 30-year bond, only one-quarter of the original value is represented by return of capital – three quarters of the value is the income stream. UK Perpetuals issued during the Great War are still trading.

As long as the company can invest the capital to achieve a rate of return higher than their payments, it’s a good deal for them.

There is no reason why a perpetual can’t trade forever. It will be called only when it makes sense for the company – which could be due to cheaper refinancing, simplification of the capital structure, take-over, bankruptcy, any number of things. Most perpetuals issued in the 90’s have been called, but only because refinancing was cheap.

Index Construction / Reporting

HIMIPref™ Index Rebalancing: December 2008

HIMI Index Changes, December 31, 2008
Issue From To Because
BSD.PR.A InterestBearing Scraps Credit
PWF.PR.A Scraps Floater Volume
ACO.PR.A Scraps OpRet Volume
BCE.PR.S Scraps Ratchet Volume
BAM.PR.G Scraps FixFloat Volume
TRI.PR.B Scraps Floater Volume

There were the following intra-month changes:

HIMI Index Changes during December 2008
Issue Action Index Because
RY.PR.N Add FixedReset New Issue
BMO.PR.N Add FixedReset New Issue
BNS.PR.S Add FixedReset New Issue
Issue Comments

Best & Worst Performers: December 2008

These are total returns, with dividends presumed to have been reinvested at the bid price on the ex-date. The list has been restricted to issues in the HIMIPref™ indices.

December, 2008
Issue Index DBRS Rating Monthly Performance Notes (“Now” means “December 31”)
BCE.PR.Z FixFloat Pfd-2(low) -23.35%  
BCE.PR.Y Ratchet Pfd-2(low) -22.73%  
BCE.PR.S FixFloat Pfd-2(low) -20.97%  
BCE.PR.R FixFloat Pfd-2(low) -19.35%  
BCE.PR.I FixFloat Pfd-2(low) -18.83%  
… … … … …
BNA.PR.B SplitShare Pfd-2(low) +31.21% Asset coverage of 1.8-:1 as of December 31 based on BAM.A at 18.55 and 2.4 BAM.A per preferred. Now with a pre-tax bid-YTW of 8.87% based on a bid of 20.01 and a hardMaturity 2016-3-25 at 25.00. Presumably helped out a lot by very favourable monthly retraction terms – estimated retraction price is now $21.77 based on an NAV of 44.52.
FTN.PR.A SplitShare Pfd-2(low)
Review Negative		 +31.27% Asset coverage of 1.4-:1 as of December 15 according to the company, with an estimated NAV of 13.75 based on the change in XFN since then. Now with a pre-tax bid-YTW of 8.94% based on a bid of 8.16 and a hardMaturity 2015-12-1. Estimated retraction price of $8.70 with capital units offered at $4.50.
BAM.PR.K Floater Pfd-2(low) +34.66% Was the worst performer in November, with a return of -35.06%.
FFN.PR.A SplitShare Pfd-2(low)
Review Negative		 +35.09% Was the fifth-worst performer in November, with a return of -25.48%. Asset coverage of 1.1+:1 as of December 15 according to the company; NAV now estimated as 11.63 based on change in XFN since then. Now with a pre-tax bid-YTW of 11.07% based on a bid of 7.56 and a hardMaturity 2014-12-1 at 10.00. Estimated retraction price of $8.19 with capital units offered at $2.97.
BAM.PR.B Floater Pfd-2(low) +37.05% Was the second-worst performer in November, with a return of -30.81%.

The December rankings are not as mysterious as the November rankings … three of the best performers are merely bouncing back from horrible performance last month, while the five worst performers are all BCE issues … reacting as one might expect to the death of the Teachers’ deal.

It is interesting to note that the BPP floaters – issued by BPO Properties, which never fails to irritate me – had a horrible month. Two of the three would have made the list had they been included in the indices (they are excluded on credit concerns) … and they are now trading roughly kinda call it even yield with the BAM floaters, ending (for now) the long-standing credit inversion. To continue the graphs given in that post:

Was somebody saying something about efficient markets?

Market Action

December 31, 2008

Well, holy-smokes-and-a-half, that’s all I can say! Preferreds continued to rocket upwards on normal-for-non-tax-loss-selling-season volume. PerpetualDiscounts were at their lowest on December 22; in the five trading days since they they are up 14.29%, with yield coming in from 8.40% to 7.37%. A little over a point! Maybe I’ll stretch a point, and make that holy-smokes-and-three-quarters.

I’ll bet some shops took a week off in the middle of portfolio rebalancing since nothing would be happening – that’ll teach them to whimper about their precious work-life balance!

That was sufficient to bring the monthly return on the PerpetualDiscount subindex to +11.45%, the best month in my records. Unfortunately, I now have to throw out all those abject client letters I was drafting, since I can now point out that preferreds really do go up sometimes and really are different from equities. Thank you Santa!

How about a bond comparison? Long corporates were up 1.64% on the month and down 11.70% on the year (PerpetualDiscounts were down 17.11% on the year), with the bonds continuing to yield 7.50%, or maybe a shade under. The PerpetualDiscount yield of 7.37% at the close today equates to 10.32% at the standard 1.4x equivalency factor, so the spread is still an impressive 282bp.

And so goes another year! Happy New Year, everybody, and good riddance to the old one!

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 7.92% 7.94% 137,402 12.81 7 +3.0001% 674.9
Floater 6.78% 6.82% 92,609 12.76 2 +8.6411% 480.8
Op. Retract 5.43% 6.14% 166,476 3.49 14 +0.0941% 1,005.5
Split-Share 6.32% 10.57% 91,689 3.95 15 +1.6133% 984.3
Interest Bearing 9.12% 17.04% 57,778 2.85 3 +3.2056% 824.5
Perpetual-Premium N/A N/A N/A N/A N/A N/A N/A
Perpetual-Discount 7.27% 7.37% 245,157 12.14 71 +2.9405% 769.3
Fixed-Reset 5.93% 4.94% 979,322 15.00 18 +0.5939% 1,021.3
Major Price Changes
Issue Index Change Notes
BAM.PR.M PerpetualDiscount +4.0816% Now with a pre-tax bid-YTW of 11.82% based on a bid of 10.20 and a limitMaturity. Closing quote 10.20-35, 1×1. Day’s range of 10.01-30.
HSB.PR.D PerpetualDiscount +4.1509% Now with a pre-tax bid-YTW of 7.62% based on a bid of 16.56 and a limitMaturity. Closing quote 16.56-91, 39×23. Day’s range of 16.21-94.
HSB.PR.C PerpetualDiscount +4.2296% Now with a pre-tax bid-YTW of 7.46% based on a bid of 16.51 and a limitMaturity. Closing quote 17.25-73, 1×3. Day’s range of 17.35-80.
BMO.PR.L PerpetualDiscount +4.3617% Now with a pre-tax bid-YTW of 7.52% based on a bid of 19.62 and a limitMaturity. Closing quote 19.62-50, 3×1. Day’s range of 19.40-25.
NA.PR.N FixedReset +4.3821%  
TD.PR.P PerpetualDiscount +4.4421% Now with a pre-tax bid-YTW of 6.78% based on a bid of 19.75 and a limitMaturity. Closing quote 19.75-07, 5×1. Day’s range of 20.00-07.
GWO.PR.G PerpetualDiscount +4.4983% Now with a pre-tax bid-YTW of 7.24% based on a bid of 18.12 and a limitMaturity. Closing quote 18.12-46, 1×1. Day’s range of 17.63-25.
CM.PR.I PerpetualDiscount +4.5541% Now with a pre-tax bid-YTW of 7.13% based on a bid of 16.53 and a limitMaturity. Closing quote 16.53-59, 1×6. Day’s range of 16.40-69.
W.PR.H PerpetualDiscount +4.5934% Now with a pre-tax bid-YTW of 8.22% based on a bid of 16.85 and a limitMaturity. Closing quote 16.85-24, 5×8. Day’s range of 16.45-85.
CU.PR.B PerpetualDiscount +4.6125% Now with a pre-tax bid-YTW of 6.91% based on a bid of 22.00 and a limitMaturity. Closing quote 22.00-45, 5×3. Day’s range of 21.50-00.
BMO.PR.J PerpetualDiscount +4.6224% Now with a pre-tax bid-YTW of 7.12% based on a bid of 16.07 and a limitMaturity. Closing quote 16.03-20, 3×10. Day’s range of 15.96-25.
BNS.PR.M PerpetualDiscount +4.7297% Now with a pre-tax bid-YTW of 6.74% based on a bid of 17.05 and a limitMaturity. Closing quote 17.05-40, 10×19. Day’s range of 16.81-40.
BSD.PR.A InterestBearing (until midnight) +4.8346% Asset coverage of 0.8-:1 as of December 24 according to Brookfield Funds. Now with a (dubious) pre-tax bid-YTW of 25.66% based on a bid of 4.12 and a (dubious) hardMaturity 2015-3-31 at 10.00. Closing quote of 4.12-37, 4×4. Day’s range of 3.99-23.
PWF.PR.K PerpetualDiscount +4.9581% Now with a pre-tax bid-YTW of 7.77% based on a bid of 16.30 and a limitMaturity. Closing quote 16.30-84, 1×10. Day’s range of 16.20-90.
CM.PR.P PerpetualDiscount +5.0200% Now with a pre-tax bid-YTW of 7.49% based on a bid of 16.30 and a limitMaturity. Closing quote 18.41-69, 3×5. Day’s range of 17.12-18.50.
GWO.PR.I PerpetualDiscount +5.0694% Now with a pre-tax bid-YTW of 7.51% based on a bid of 15.13 and a limitMaturity. Closing quote 15.13-25, 5×4. Day’s range of 14.75-65.
POW.PR.C PerpetualDiscount +5.1364% Now with a pre-tax bid-YTW of 7.42% based on a bid of 19.65 and a limitMaturity. Closing quote 19.65-80, 1×4. Day’s range of 19.60-20.75.
BAM.PR.K Floater +5.2326%  
SLF.PR.D PerpetualDiscount +5.3352% Now with a pre-tax bid-YTW of 7.29% based on a bid of 15.40 and a limitMaturity. Closing quote 15.40-77, 7×2. Day’s range of 14.99-79.
BMO.PR.K PerpetualDiscount +5.4701% Now with a pre-tax bid-YTW of 7.21% based on a bid of 18.51 and a limitMaturity. Closing quote 18.51-84, 3×10. Day’s range of 18.46-89.
BCE.PR.A FixFloat +5.6069%  
SLF.PR.A PerpetualDiscount +5.8521% Now with a pre-tax bid-YTW of 7.28% based on a bid of 16.46 and a limitMaturity. Closing quote 16.46-69, 1×9. Day’s range of 15.75-16.75.
ELF.PR.G PerpetualDiscount +5.8824% Now with a pre-tax bid-YTW of 8.74% based on a bid of 13.68 and a limitMaturity. Closing quote 13.68-00, 5×4. No trades.
CM.PR.G PerpetualDiscount +5.9469% Now with a pre-tax bid-YTW of 7.38% based on a bid of 18.35 and a limitMaturity. Closing quote 18.35-39, 6×29. Day’s range of 17.70-39.
BAM.PR.N PerpetualDiscount +6.2245% Now with a pre-tax bid-YTW of 11.57% based on a bid of 10.41 and a limitMaturity. Closing quote 10.41-42, 7×3. Day’s range of 10.17-44.
BCE.PR.F FixFloat +6.3830%  
SBC.PR.A SplitShare +6.6584% Asset coverage of 1.3+:1 as of December 24 according to Brompton. Now with a pre-tax bid-YTW of 9.46% based on a bid of 8.65 and a hardMaturity 2012-11-30 at 10.00. Closing quote of 8.65-24, 10×3. No Trades.
POW.PR.D PerpetualDiscount +7.0130% Now with a pre-tax bid-YTW of 7.63% based on a bid of 16.48 and a limitMaturity. Closing quote 16.48-54, 1×1. Day’s range of 16.03-60.
FIG.PR.A InterestBearing +7.5768% Asset coverage of 1.1-:1 based on Capital Unit NAV of 1.31 as of December 30 and 0.71 Capital Units per Preferred. Now with a pre-tax bid-YTW of 14.87% based on a bid of 6.70 and a hardMaturity 2014-12-31 at 10.00. Closing quote of 6.70-24, 5×7. Day’s range of 6.47-25.
IAG.PR.A PerpetualDiscount +7.5768% Now with a pre-tax bid-YTW of 7.37% based on a bid of 15.76and a limitMaturity. Closing quote 15.76-56, 1×4. Day’s range of 15.51-68.
BAM.PR.B Floater +12.0647%  
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 38,175 Now with a pre-tax bid-YTW of 7.13% based on a bid of 16.53 and a limitMaturity.
CM.PR.H PerpetualDiscount 36,149 Now with a pre-tax bid-YTW of 7.30% based on a bid of 16.48 and a limitMaturity.
BCE.PR.I FixFloat 35,062  
BNA.PR.C SplitShare 25,400 Now with a pre-tax bid-YTW of 19.54% based on a bid of 8.75 and a hardMaturity 2019-1-10 at 25.00.
GWO.PR.I PerpetualDiscount 21,275 Now with a pre-tax bid-YTW of 7.51% based on a bid of 15.13 and a limitMaturity.

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

HIMI Preferred Indices

HIMIPref™ Preferred Indices: November 2008

HIMI Index Values 2008-11-28
These values reflect the December 2008 Revision
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,030.3 1 2.00 6.92% 14.0 32M 6.37%
FixedFloater 1,483.5 7 2.00 6.98% 13.7 52M 6.62%
Floater 735.2 2 2.00 10.29% 9.2 47M 10.11%
OpRet 1,930.0 14 1.30 4.98% 4.1 126M 5.50%
SplitShare 1,485.7 15 2.00 14.84% 3.5 59M 7.44%
Interest-Bearing 1,800.2 3 2.00 20.87% 4.5 60M 9.15%
Perpetual-Premium 1,325.9 0 N/A N/A N/A N/A N/A
Perpetual-Discount 1,221.1 71 1.24 8.14% 11.3 186M 7.99%
FixedReset 1,722.5 15 1.07 5.64% 14.2 639M 6.11%

For Index Revisions during November 2008, see the post HIMIPref™ Index Rebalancing: November 2008.

Publication of index details is embargoed for six months following index date.

HIMI Preferred Indices

HIMIPref™ Preferred Indices: October 2008

HIMI Index Values 2008-10-31
These values reflect the December 2008 Revision
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,302.5 1 2.00 5.31% 15.3 28M 5.20%
FixedFloater 1,812.0 7 2.00 5.63% 14.9 36M 5.42%
Floater 1,097.8 2 2.00 6.58% 13.1 41M 6.77%
OpRet 1,971.9 15 1.30 5.15% 4.2 110M 5.31%
SplitShare 1,781.6 13 2.00 9.67% 3.7 54M 6.25%
Interest-Bearing 2,085.7 3 2.00 12.81% 4.7 65M 7.84%
Perpetual-Premium 1,544.0 0 N/A N/A N/A N/A N/A
Perpetual-Discount 1,422.0 71 1.24 6.80% 12.8 174M 6.83%
FixedReset 1,940.0 10 1.00 5.12% 15.2 581M 5.38%

For Index Revisions during October 2008, see the post HIMIPref™ Index Rebalancing: October 2008.

Publication of index details is embargoed for six months following index date.

New Issues

BAM to Offer USD Prefs?

Perhaps intruiged by recent queries about USD Prefs with eligible dividends and distraught at the idea that there is a fragment of the capital markets left untapped, Brookfield Asset Management has issued a Preliminary Short Form Base Shelf Prospectus for USD 1-billion in debt securities and Class A Preference Shares.

Sorry I can’t link to it, but that would constitute dissemination of public information to the public, which the regulators have sworn to stamp out. Can’t have just anybody linking to a prospectus, eh? It’s on SEDAR, dated December 30.

There is no indication as to whether the dividends will be eligible for the full dividend tax credit – that will have to wait for the supplementary prospectus for a specific issue.

To my disappointment, the specific terms of the Australian refinancing have still not been disclosed. All it says is:

Also in November 2008, the Company announced that it had finalized an agreement to extend the final maturity of a debt financing of its Australian operations by one year. Under the terms of the agreement, the loan will be US$800 million of which US$140 million will be repaid in April 2009 and the balance in April 2010. The Company also announced its intention to combine all of its European operations into a single operating platform and to refinance it on a longer-term basis in the European markets.

Many thanks to Assiduous Reader MP – who, I suspect, is angling for a job as PrefBlog’s Regulatory Filings Editor – for bringing this to my attention.

HIMI Preferred Indices

HIMIPref™ Preferred Indices: September 2008

HIMI Index Values 2008-9-30
These values reflect the December 2008 Revision
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,474.2 1 2.00 4.70% 16.1 29M 4.68%
FixedFloater 2,064.6 7 2.00 4.81% 15.8 53M 4.72%
Floater 1,704.0 2 2.00 5.05% 15.4 39M 5.18%
OpRet 2,065.3 14 1.34 4.44% 4.1 79M 5.07%
SplitShare 1,927.8 13 2.00 7.65% 3.7 54M 5.80%
Interest-Bearing 2,556.7 2 2.00 6.70% 5.1 42M 6.39%
Perpetual-Premium 1,726.5 1 1.00 6.28% 13.5 56M 6.25%
Perpetual-Discount 1,548.4 70 1.24 6.17% 13.6 172M 6.22%
FixedReset 2,028.5 10 1.00 5.09% 15.3 823M 5.09%

For Index Revisions during September 2008, see the post HIMIPref™ Index Rebalancing: September 2008.

Publication of index details is embargoed for six months following index date.

Update, 2009-03-31: Index Details