Won’t be much today, folks! Besides month-end stuff, I was working on my “Auction Rate Securities : Hibernation Sickness – a review of this week’s Municipal Auction Rate Securities activity. Still sick, but on the rebound … and it appears that hedge funds are throwing in stink bids.
Sitka / Apex Update – BMO still in restructuring talks.
Naked Capitalism : Leveraged Funds Hurry to Sell $100-billion of Debt – there’s a lot of Medium Term Note issuance coming due this year … if they can’t roll it or otherwise refinance it, there’s going to be yet more Asset Backed paper desperately looking for a home.
Naked Capitalism : Did Mark-to-Market Accounting Create the Credit Bubble? … Well, it sure helped! And it’s definitely speeding the way down!
Perpetuals (of both flavours) ended the month on a down-beat, but PerpetualDiscounts were still up 3.03% on the month, which will do for now! Volume was OK.
| 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 | 5.55% | 5.56% | 36,031 | 14.6 | 2 | +0.4291% | 1,080.7 |
| Fixed-Floater | 4.97% | 5.65% | 71.187 | 14.69 | 7 | +0.2054% | 1,033.1 |
| Floater | 4.92% | 4.99% | 66,590 | 15.45 | 3 | +0.1964% | 858.8 |
| Op. Retract | 4.81% | 3.06% | 76,355 | 2.44 | 15 | -0.1549% | 1,048.3 |
| Split-Share | 5.27% | 5.34% | 95,529 | 4.07 | 15 | +0.0000% | 1,050.3 |
| Interest Bearing | 6.21% | 6.33% | 56,235 | 3.56 | 4 | +0.0511% | 1,090.3 |
| Perpetual-Premium | 5.72% | 5.02% | 328,196 | 4.69 | 16 | -0.0997% | 1,033.4 |
| Perpetual-Discount | 5.36% | 5.40% | 273,629 | 14.81 | 52 | -0.1488% | 960.1 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| WFS.PR.A | SplitShare | -1.4563% | Asset coverage of just under 1.8:1 as of February 21, according to Mulvihill. Now with a pre-tax bid-YTW of 5.07% based on a bid of 10.15 and a hardMaturity 2011-6-30. |
| RY.PR.C | PerpetualDiscount | -1.2567% | Now with a pre-tax bid-YTW of 5.26% based on a bid of 22.00 and a limitMaturity. |
| ELF.PR.G | PerpetualDiscount | -1.1516% | Now with a pre-tax bid-YTW of 5.85% based on a bid of 20.60 and a limitMaturity. |
| BAM.PR.J | OpRet | -1.0449% | Now with a pre-tax bid-YTW of 5.25% based on a bid of 25.57 and a softMaturity 2018-3-30 at 25.57. |
| SLF.PR.A | PerpetualDiscount | -1.0278% | Now with a pre-tax bid-YTW of 5.13% based on a bid of 23.11 and a limitMaturity. |
| BNA.PR.C | SplitShare | +1.4706% | Asset coverage of 3.3+:1 as of January 31, according to the company. Now with a pre-tax bid-YTW of 6.62% based on a bid of 20.70 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (4.25% to call 2008-3-30 at 25.50; some might prefer 5.38% to hardMaturity 2010-9-30) and BNA.PR.B (7.20% to hardMaturity 2016-3-25). |
| HSB.PR.C | PerpetualDiscount | +2.3529% | Now with a pre-tax bid-YTW of 5.31% based on a bid of 24.36 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.A | PerpetualDiscount | 84,555 | Now with a pre-tax bid-YTW of 5.19% based on a bid of 21.52 and a limitMaturity. |
| BMO.PR.H | PerpetualDiscount | 64,015 | TD crossed 25,000 at 24.30. Now with a pre-tax bid-YTW of 5.36% based on a bid of 24.51 and a limitMaturity. |
| PWF.PR.K | PerpetualDiscount | 63,000 | Scotia crossed 25,000 at 23.25, then another 22,000 at the same price. Now with a pre-tax bid-YTW of 5.37% based on a bid of 23.26 and a limitMaturity. |
| BAM.PR.N | PerpetualDiscount | 57,400 | RBC crossed 40,000 at 19.07. Now with a pre-tax bid-YTW of 6.37% based on a bid of 19.03 and a limitMaturity. |
| BMO.PR.J | PerpetualDiscount | 54,850 | Now with a pre-tax bid-YTW 5.30% based on a bid of 21.38 and a limitMaturity. |
There were nineteen other index-included $25-pv-equivalent issues trading over 10,000 shares today.