PrefLetter 2010 Annual Collection Released!

The full collection of PrefLetters published in 2010 has been released and is now available for purchase via the PrefLetter website (click Subscribe Now).

The 2010 Collection includes the following appendices of varying length:

  • January: the calculation and utility of Implied Volatility for PerpetualDiscount issues (spreadsheet available)
  • February: the analytical treatment of “Strong Pairs” – issues that may be interconverted at the shareholder’s option on a periodic basis (spreadsheet available)
  • March: FixedResets, particularly the odd tax effects that unwary investors may find surprising (speadsheet available)
  • April: the investment relationship between Preferred Shares and Annuities
  • May: the recent slump in FixedReset issues and analyzes relative performance of these issues to draw a conclusion regarding the market’s valuation of these instruments
  • June: the mathematical basis for ‘easy’ approximations to yield and delves further into the method that the market is apparently using for relative valuation of FixedResets
  • July: the potential for calls of PerpetualDiscounts, given the market’s recent run-up and the potential for refinancing via FixedResets.
  • August: a review of FixedReset analysis and presents two pricing models for your consideration.
  • September: a review of some preferred share portfolios. Passive funds are very popular, but it is important to know all of their investment attributes, not just the “low fee”!
  • October: a review of Implied Volatility and how the remarkable “Summer Rally’ in PerpetualDiscount shares has dramatically increased the visibility of this important valuation metric.
  • November: a review of Market Impact, its relationship to portfolio management and its role in the Flash Crash of May 6. An additional appendix provides a summary of the trading of preferred shares on the Pure Trading exchange and corrects an error from the November, 2009, edition.
  • December: a review of the determinants of SplitShare credit quality and discusses a spreadsheet I have made available to readers for performing Monte-Carlo estimates of credit quality. (spreadsheet available)

The total length of the 2010 Annual Collection is 286 pages (file size about 11.2 MB) – much of this is, of course, the by now out of date recommendations of individual issues, but about half of the total is comprised of the appendices.

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