I’m sorry. I had witty & trenchant analysis planned, the secrets of the universe unveiled and was even going to tell you what the price of oil will be exactly one year hence … but now I’ve run out of time. So all you’re going to get is the links:
Lacker: Fed Auction’s Effect Unclear
CEPR Policy Insight #18 (there will be a separate post devoted to this one … tomorrow?)
MBIA Tumbles on $8.1 Billion of CDOs, Fitch Warning
So How Did Morgan Stanley Lose That $9.4 Billion
Lessons from the North Atlantic Financial Crisis
SunTrust Injects $1.4 Billion to Protect Money Funds
Merrill’s Writedowns to Top $8 Billion, Analysts Say
The alliance between China’s (nominally) communist government and Wall Street deepens …
A Proposal for Reviving the Credit Markets
Experts Weigh in on Merits of Fiscal Stimulus
Whoosh! There’s a day and a half, for anybody keeping track! Preferreds were down again on the day, on heavy volume. The CIBC issues were extremely badly hurt, presumably on news of their subprime/ACA problems discussed yesterday, which may have been exacerbated by tax loss selling.
There’s some interesting timing issues with the CIBC issues … the last day for tax-loss selling is December 24, and that is their ex-date for the current dividend … tomorrow, December 21, is their last cum-date. So … if you have such an issue you really want to sell, when do you sell it? Decisions, decisions …
Remember the discussion of Weston yield spreads that included a note that the CM.PR.? issues were trading with a yield spread of 11bp? That’s way, way, way out of date now. Looking solely at the bid-YTW of their PerpetualDiscount issues, I make the high yield 6.30% (CM.PR.I) and the low yield 5.91% (CM.PR.D)
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 | 5.13% | 5.13% | 83,476 | 15.22 | 2 | +0.4326% | 1,051.0 |
Fixed-Floater | 4.87% | 5.07% | 95,550 | 15.38 | 8 | -0.1635% | 1,024.0 |
Floater | 6.10% | 6.12% | 131,032 | 13.74 | 2 | +1.0329% | 790.8 |
Op. Retract | 4.88% | 3.06% | 86,884 | 3.29 | 16 | +0.2399% | 1,034.1 |
Split-Share | 5.31% | 5.43% | 111,961 | 4.31 | 15 | +0.1808% | 1,027.6 |
Interest Bearing | 6.36% | 6.92% | 67,495 | 3.66 | 4 | -0.2503% | 1,051.3 |
Perpetual-Premium | 5.86% | 5.63% | 86,708 | 6.94 | 11 | -0.5641% | 1,007.3 |
Perpetual-Discount | 5.61% | 5.66% | 395,551 | 14.39 | 55 | -0.6695% | 907.7 |
Major Price Changes | |||
Issue | Index | Change | Notes |
BAM.PR.G | FixFloat | -4.9974% | |
CM.PR.I | PerpetualDiscount | -4.8573% | Now with a pre-tax bid-YTW of 6.30% based on a bid of 19.00 and a limitMaturity. |
CM.PR.H | PerpetualDiscount | -4.6967% | Now with a pre-tax bid-YTW of 6.27% based on a bid of 19.48 and a limitMaturity. |
CM.PR.J | PerpetualDiscount | -4.4388% | Now with a pre-tax bid-YTW of 6.11% based on a bid of 18.73 and a limitMaturity. |
CM.PR.G | PerpetualDiscount | -3.3755% | Now with a pre-tax bid-YTW of 5.99% based on a bid of 22.90 and a limitMaturity. |
CM.PR.P | PerpetualDiscount | -3.3531% | Now with a pre-tax bid-YTW of 6.11% based on a bid of 22.77 and a limitMaturity. |
CM.PR.E | PerpetualDiscount | -3.2635% | Now with a pre-tax bid-YTW of 5.92% based on a bid of 24.01 and a limitMaturity. |
CIU.PR.A | PerpetualDiscount | -2.8708% | Now with a pre-tax bid-YTW of 5.73% based on a bid of 20.30 and a limitMaturity. |
CU.PR.A | PerpetualPremium | -2.4951% | Now with a pre-tax bid-YTW of 5.85% based on a bid of 25.01 and a limitMaturity. |
W.PR.J | PerpetualDiscount | -2.1277% | Now with a pre-tax bid-YTW of 6.20% based on a bid of 23.00 and a limitMaturity. |
W.PR.H | PerpetualDiscount | -1.9531% | Now with a pre-tax bid-YTW of 6.18% based on a bid of 22.59 and a limitMaturity. |
GWO.PR.G | PerpetualDiscount | -1.6949% | Now with a pre-tax bid-YTW of 5.62% based on a bid of 23.20 and a limitMaturity. |
BMO.PR.J | PerpetualDiscount | -1.6585% | Now with a pre-tax bid-YTW of 5.64% based on a bid of 20.16 and a limitMaturity. |
PWF.PR.L | PerpetualDiscount | -1.6463% | Now with a pre-tax bid-YTW of 5.55% based on a bid of 23.30 and a limitMaturity. |
CM.PR.D | PerpetualPremium (for now!) | -1.5538% | Now with a pre-tax bid-YTW of 5.91% based on a bid of 24.71 and a limitMaturity. |
BSD.PR.A | InterestBearing | -1.5301% | Asset coverage of 1.6+:1 as of December 14, according to the company. Now with a pre-tax bid-YTW of 7.89% (mostly as interest) based on a bid of 9.01 and a hardMaturity 2015-3-31 at 10.00. |
RY.PR.G | PerpetualDiscount | -1.3333% | Now with a pre-tax bid-YTW of 5.49% based on a bid of 20.72 and a limitMaturity. |
SLF.PR.C | PerpetualDiscount | -1.2566% | Now with a pre-tax bid-YTW of 5.47% based on a bid of 20.43 and a limitMaturity. |
PWF.PR.J | OpRet | -1.2039% | Now with a pre-tax bid-YTW of 4.50% based on a bid of 25.44 and a softMaturity 2013-7-30 at 25.00. |
CL.PR.B | PerpetualPremium | -1.1534% | Now with a pre-tax bid-YTW of 5.20% based on a bid of 25.71 and a call 2009-1-30 at 25.50 OR a call 2010-1-30 at 25.25. |
RY.PR.D | PerpetualDiscount | -1.1374% | Now with a pre-tax bid-YTW of 5.46% based on a bid of 20.86 and a limitMaturity. |
BNA.PR.C | SplitShare | -1.0183% | Asset coverage of 3.7+:1 as of November 30 according to the company. Now with a pre-tax bid-YTW of 8.65% based on a bid of 17.65 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (5.99% to 2010-9-30) and BNA.PR.B (7.49% to 2016-3-25). |
RY.PR.E | PerpetualDiscount | -1.0422% | Now with a pre-tax bid-YTW of 5.45% based on a bid of 20.89 and a limitMaturity. |
WFS.PR.A | SplitShare | +1.0091% | Asset coverage of just under 2.0:1 as of December 13 according to Mulvihill. Now with a pre-tax bid-YTW of 5.20% based on a bid of 10.01 and a hardMaturity 2011-6-30 at 10.00. |
POW.PR.B | PerpetualDiscount | +1.0947% | Now with a pre-tax bid-YTW of 5.57% based on a bid of 24.01 and a limitMaturity. |
SBN.PR.A | SplitShare | +1.1000% | Asset coverage of 2.3+:1 as of December 13, according to Mulvihill. Now with a pre-tax bid-YTW of 5.08% based on a bid of 10.11 and a hardMaturity 2014-12-1 at 10.00. |
SLF.PR.B | PerpetualDiscount | +1.1682% | Now with a pre-tax bid-YTW of 5.55% based on a bid of 21.65 and a limitMaturity. |
PWF.PR.F | PerpetualDiscount | +1.3356% | Now with a pre-tax bid-YTW of 5.48% based on a bid of 24.28 and a limitMaturity. |
GWO.PR.I | PerpetualDiscount | +1.3426% | Now with a pre-tax bid-YTW of 5.55% based on a bid of 20.38 and a limitMaturity. |
BAM.PR.K | Floater | +1.7585% | |
IAG.PR.A | PerpetualDiscount | +1.9250% | Now with a pre-tax bid-YTW of 5.60% based on a bid of 20.65 and a limitMaturity. |
LBS.PR.A | SplitShare | +1.9901% | Asset coverage of 2.4+:1 as of December 13 according to Brompton. Now with a pre-tax bid-YTW of 4.98% based on a bid of 10.25 and a hardMaturity 2013-11-29 at 10.00. |
BAM.PR.J | OpRet | +2.0494% | Now with a pre-tax bid-YTW of 5.73% based on a bid of 24.40 and a softMaturity 2018-3-30 at 25.00. |
Volume Highlights | |||
Issue | Index | Volume | Notes |
IQW.PR.C | Scraps (would be OpRet, but there are credit concerns) | 419,634 | In default. |
IQW.PR.D | Scraps (would be PerpetualDiscount, but there are credit concerns) | 198,225 | In default. |
SLF.PR.C | PerpetualDiscount | 126,630 | Now with a pre-tax bid-YTW of 5.47% based on a bid of 20.43 and a limitMaturity. |
SLF.PR.A | PerpetualDiscount | 99,502 | Now with a pre-tax bid-YTW of 5.60% based on a bid of 21.30 and a limitMaturity. |
BMO.PR.J | PerpetualDiscount | 90,390 | Now with a pre-tax bid-YTW of 5.64% based on a bid of 20.16 and a limitMaturity. |
SLF.PR.E | PerpetualDiscount | 88,340 | Now with a pre-tax bid-YTW of 5.48% based on a bid of 20.63 and a limitMaturity. |
BAM.PR.M | PerpetualDiscount | 79,080 | Now with a pre-tax bid-YTW of 6.75% based on a bid of 17.69 and a limitMaturity. |
BNS.PR.M | PerpetualDiscount | 76,164 | Now with a pre-tax bid-YTW of 5.36% based on a bid of 21.32 and a limitMaturity. |
There were fifty-two other index-included $25.00-equivalent issues trading over 10,000 shares today.
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