Sorry folks! Today was boring on the news front AND I was busy, so there’s no macro-level commentary. Accrued Interest wrote a good piece on How Safe are the GSEs?.
Strength in the Floating Rate sector continues to astound; they’re really coming back a lot from their extreme depths. I don’t think it has anything to do with the credit, because the BAM perpetuals are still bumping along without any huge gains. PerpetualDiscounts are doing well, but this is simply in line with long corporates, which have returned +1.44% in the month to 5/20.
| 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 | 4.75% | 4.78% | 47,734 | 15.94 | 1 | -0.2820% | 1,080.6 |
| Fixed-Floater | 4.69% | 4.58% | 65,517 | 16.13 | 7 | -0.6110% | 1,069.5 |
| Floater | 4.07% | 4.11% | 61,380 | 17.14 | 2 | +0.8898% | 927.8 |
| Op. Retract | 4.83% | 2.61% | 89,192 | 2.53 | 15 | -0.0766% | 1,056.0 |
| Split-Share | 5.25% | 5.44% | 69,956 | 4.17 | 13 | +0.2382% | 1,059.2 |
| Interest Bearing | 6.10% | 5.99% | 53,940 | 3.81 | 3 | +0.4044% | 1,111.9 |
| Perpetual-Premium | 5.89% | 5.71% | 136,790 | 5.80 | 9 | +0.0573% | 1,021.8 |
| Perpetual-Discount | 5.65% | 5.69% | 298,053 | 14.03 | 63 | +0.0898% | 927.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.Z | FixFloat | -1.4517% | |
| BNS.PR.J | PerpetualDiscount | -1.3878% | Now with a pre-tax bid-YTW of 5.42% based on a bid of 24.16 and a limitMaturity. |
| BSD.PR.A | InterestBearing | +1.0309% | Asset coverage of just under 1.8:1 as of May 16, according to Brookfield Funds. Now with a pre-tax bid-YTW of 6.62% (mostly as interest) based on a bid of 9.80 and a hardMaturity 2015-3-31 at 10.00. |
| ELF.PR.G | PerpetualDiscount | +1.1543% | Now with a pre-tax bid-YTW of 6.25% based on a bid of 19.28 and a limitMaturity. |
| BAM.PR.B | Floater | +1.2309% | |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| PWF.PR.K | PerpetualDiscount | 79,425 | Nesbitt crossed 75,000 at 22.24. Now with a pre-tax bid-YTW of 5.66% based on a bid of 22.09 and a limitMaturity. |
| RY.PR.H | PerpetualDiscount | 75,110 | CIBC crossed 50,000 at 24.95. Now with a pre-tax bid-YTW of 5.71% based on a bid of 24.95 and a limitMaturity. |
| TD.PR.R | PerpetualDiscount (for now!) | 60,650 | Now with a pre-tax bid-YTW of 5.69% based on a bid of 25.05 and a limitMaturity. |
| PWF.PR.I | PerpetualPremium | 52,550 | Nesbitt crossed 50,000 at 25.30. Now with a pre-tax bid-YTW of 5.80% based on a bid of 25.30 and a call 2012-5-30 at 25.00. |
| PWF.PR.G | PerpetualDiscount | 51,800 | Nesbitt crossed 50,000 at 25.25. Now with a pre-tax bid-YTW of 5.71% based on a bid of 25.25 and a limitMaturity. |
There were twenty-two other index-included $25-pv-equivalent issues trading over 10,000 shares today.
[…] Accrued Interest post on Freddie Mac was referred to yesterday. For those interested-but-not-all-that-much in the issue, Jonathan Weill reviews the accounting […]