American GDP grew at an annualized rate of 3.9% in the third quarter, but economists were not impressed. On a positive note, ADP Employment data was stronger than expected, which implies that next Friday’s jobs number shouldn’t be disastrous, at any event.
In other words: we’re confused! So what else is new?
The Fed cut to 4.50% today, as expected. When the market is unanimous, the Fed usually listens. Accrued Interest looks to the future and sees the potential for future cuts measured in terms of bank rescue rather than broader inflation/economic concerns.
The more things change … in 1993, the US had the steepest yield curve since the Civil War, as the Fed was busy bailing out the banks’ profitability (this was in the aftermath to the S&L crisis, remember). Then, in 1994, the music suddenly stopped and Orange County, among others, couldn’t find a chair. It will be most interesting to see how this cycle unfolds!
Well, thank heavens that month’s over! There have been a huge variation of the returns in the HIMIPref™ indices over the past month and the fund was unfortunate enough to have identified a broad pricing discrepency just as the panic got started. Returns this month are not a complete disaster, I hasten to add, but will have underperformed the index.
Mind you, the yield on the fund’s holdings is now well above the index and credit quality is great … so the faster that things normalize, the happier I’ll be! Results should be published on Saturday November 3, or Sunday at the latest.
| 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 | |||||||
| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.96% | 4.91% | 404,090 | 15.52 | 1 | 0.0000% | 1,049.2 |
| Fixed-Floater | 4.91% | 4.82% | 98,002 | 15.84 | 7 | -0.0519% | 1,041.1 |
| Floater | 4.52% | 4.54% | 65,688 | 16.27 | 3 | -0.1234% | 1,039.4 |
| Op. Retract | 4.87% | 3.82% | 79,227 | 3.44 | 15 | +0.0956% | 1,026.6 |
| Split-Share | 5.17% | 4.99% | 86,527 | 4.10 | 15 | +0.3344% | 1,043.3 |
| Interest Bearing | 6.23% | 6.22% | 61,028 | 3.59 | 4 | -0.1501% | 1,062.0 |
| Perpetual-Premium | 5.71% | 5.60% | 104,069 | 8.73 | 17 | +0.2043% | 1,006.9 |
| Perpetual-Discount | 5.58% | 5.62% | 321,198 | 14.48 | 47 | +0.2649% | 905.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| ELF.PR.G | PerpetualDiscount | -1.5492% | Now with a pre-tax bid-YTW of 6.09% based on a bid of 19.70 and a limitMaturity. |
| GWO.PR.H | PerpetualDiscount | -1.0363% | Now with a pre-tax bid-YTW of 5.85% based on a bid of 21.01 and a limitMaturity. |
| W.PR.J | PerpetualDiscount | +1.0482% | Now with a pre-tax bid-YTW of 5.85% based on a bid of 24.10 and a limitMaturity. |
| POW.PR.D | PerpetualDiscount | +1.0502% | Now with a pre-tax bid-YTW of 5.70% based on a bid of 22.13 and a limitMaturity. |
| BMO.PR.H | PerpetualPremium (for now!) | +1.0850% | Ex-Dividend today. Now with a pre-tax bid-YTW of 5.22% based on a bid of 24.94 and a limitMaturity. |
| CM.PR.H | PerpetualDiscount | +1.1759% | Now with a pre-tax bid-YTW of 5.62% based on a bid of 21.51 and a limitMaturity. |
| FTU.PR.A | SplitShare | +1.1964% | Asset coverage of just under 2.0:1 according to the Company. Now with a pre-tax bid-YTW of 4.93% based on a bid of 10.15 and a hardMaturity 2012-12-1 at 10.00. |
| SLF.PR.E | PerpetualDiscount | +1.4602% | Now with a pre-tax bid-YTW of 5.66% based on a bid of 20.15 and a limitMaturity. |
| BNA.PR.C | SplitShare | +1.6900% | Now with a pre-tax bid-YTW of 6.47% based on a bid of 21.06 and a hardMaturity 2019-1-10 at 25.00. |
| NA.PR.K | PerpetualPremium | +1.7066% | Now with a pre-tax bid-YTW of 5.80% based on a bid of 25.03 and a call 2012-6-14 at 25.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| GWO.PR.X | OpRet | 100,629 | Desjardins crossed 30,000 at 26.61, then another 70,000 at 26.65. Now with a pre-tax bid-YTW of 3.76% based on a bid of 26.50 and a softMaturity 2013-9-29 at 25.00. |
| GWO.PR.I | PerpetualDiscount | 95,846 | Now with a pre-tax bid-YTW of 5.71% based on a bid of 19.95 and a limitMaturity. |
| ELF.PR.G | PerpetualDiscount | 85,590 | Desjardins crossed 25,000 at 20.00, then Scotia crossed 50,000 at the same price. Now with a pre-tax bid-YTW of 6.09% based on a bid of 19.70 and a limitMaturity. |
| CM.PR.J | PerpetualDiscount | 82,000 | Now with a pre-tax bid-YTW of 5.57% based on a bid of 20.36 and a limitMaturity. |
| BMO.PR.J | PerpetualDiscount | 70,040 | Now with a pre-tax bid-YTW of 5.41% based on a bid of 20.85 and a limitMaturity. |
There were thirty other index-included $25.00-equivalent issues trading over 10,000 shares today.