Again, busy!
I did come up with another rationale for the current … drop, shall we say? … and have updated the Negative Convexity? Negative Schmonvexity! post.
Today was a horrible, horrible day for preferreds, with the market down sharply (as noted by Assiduous Reader lystgl in the comments to “New Trough for Preferreds?”) on sharply increased volume.
For those keeping track, today wasn’t even the worst day this year for the PerpetualDiscount sector … that honour belongs to January 17. Hmmm … 17th both times, eh? I wonder what a technical analyst would make of that?
This drop is preferred-specific: the yield on the PerpetualDiscount index today was 6.00%, equivalent to 8.40% interest using a 1.4x conversion factor. Long Corporates continue to yield a shade under 6.2%; the 220bp spread is out of the 190-210bp range that has been recently established.
| 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 | 4.17% | 4.18% | 51,736 | 17.00 | 1 | +0.1180% | 1,115.5 |
| Fixed-Floater | 4.94% | 4.69% | 61,769 | 16.01 | 7 | +0.4675% | 1,013.5 |
| Floater | 4.08% | 4.07% | 68,873 | 17.28 | 2 | -0.4366% | 939.7 |
| Op. Retract | 4.84% | 2.46% | 86,284 | 2.63 | 15 | -0.1184% | 1,056.5 |
| Split-Share | 5.30% | 5.62% | 68,991 | 4.16 | 15 | +0.4487% | 1,050.0 |
| Interest Bearing | 6.10% | 4.67% | 48,570 | 2.03 | 3 | +0.4202% | 1,123.4 |
| Perpetual-Premium | 5.92% | 4.85% | 375,476 | 11.13 | 13 | -0.5984% | 1,012.0 |
| Perpetual-Discount | 5.93% | 6.00% | 220,738 | 13.88 | 59 | -1.2649% | 885.3 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| PWF.PR.F | PerpetualDiscount | -4.3290% | Now with a pre-tax bid-YTW of 6.04% based on a bid of 22.10 and a limitMaturity. |
| ELF.PR.F | PerpetualDiscount | -4.0211% | Now with a pre-tax bid-YTW of 6.75% based on a bid of 20.05 and a limitMaturity. |
| MFC.PR.C | PerpetualDiscount | -3.7981% | Now with a pre-tax bid-YTW of 5.66% based on a bid of 20.01 and a limitMaturity. |
| BMO.PR.H | PerpetualDiscount | -3.1390% | Now with a pre-tax bid-YTW of 6.21% based on a bid of 21.60 and a limitMaturity. |
| CM.PR.J | PerpetualDiscount | -2.8342% | Now with a pre-tax bid-YTW of 6.30% based on a bid of 18.17 and a limitMaturity. |
| GWO.PR.G | PerpetualDiscount | -2.6063% | Now with a pre-tax bid-YTW of 6.13% based on a bid of 21.30 and a limitMaturity. |
| BAM.PR.M | PerpetualDiscount | -2.2530% | Now with a pre-tax bid-YTW of 7.06% based on a bid of 16.92 and a limitMaturity. |
| NA.PR.L | PerpetualDiscount | -2.2157% | Now with a pre-tax bid-YTW of 6.19% based on a bid of 19.86 and a limitMaturity. |
| POW.PR.B | PerpetualDiscount | -2.1983% | Now with a pre-tax bid-YTW of 5.99% based on a bid of 22.69 and a limitMaturity. |
| BAM.PR.N | PerpetualDiscount | -2.1277% | Now with a pre-tax bid-YTW of 7.02% based on a bid of 17.02 and a limitMaturity. |
| CM.PR.I | PerpetualDiscount | -2.0113% | Now with a pre-tax bid-YTW of 6.30% based on a bid of 19.00 and a limitMaturity. |
| RY.PR.A | PerpetualDiscount | -1.3514% | Now with a pre-tax bid-YTW of 5.71% based on a bid of 19.71 and a limitMaturity. |
| HSB.PR.D | PerpetualDiscount | -1.9422% | Now with a pre-tax bid-YTW of 6.07% based on a bid of 20.70 and a limitMaturity. |
| GWO.PR.H | PerpetualDiscount | -1.9139% | Now with a pre-tax bid-YTW of 5.94% based on a bid of 20.50 and a limitMaturity. |
| BNS.PR.N | PerpetualDiscount | -1.9015% | Now with a pre-tax bid-YTW of 5.87% based on a bid of 22.70 and a limitMaturity. |
| RY.PR.G | PerpetualDiscount | -1.8849% | Now with a pre-tax bid-YTW of 5.91% based on a bid of 19.26 and a limitMaturity. |
| CM.PR.P | PerpetualDiscount | -1.7857% | Now with a pre-tax bid-YTW of 6.18% based on a bid of 22.55 and a limitMaturity. |
| ELF.PR.G | PerpetualDiscount | -1.6912% | Now with a pre-tax bid-YTW of 6.73% based on a bid of 18.02 and a limitMaturity. |
| IAG.PR.A | PerpetualDiscount | -1.6658% | Now with a pre-tax bid-YTW of 5.93% based on a bid of 19.48 and a limitMaturity. |
| TD.PR.P | PerpetualDiscount | -1.6456% | Now with a pre-tax bid-YTW of 5.71% based on a bid of 23.31 and a limitMaturity. |
| BNS.PR.M | PerpetualDiscount | -1.6040% | Now with a pre-tax bid-YTW of 5.83% based on a bid of 19.63 and a limitMaturity. |
| BNS.PR.L | PerpetualDiscount | -1.6032% | Now with a pre-tax bid-YTW of 5.83% based on a bid of 19.64 and a limitMaturity. |
| CM.PR.E | PerpetualDiscount | -1.6003% | Now with a pre-tax bid-YTW of 6.26% based on a bid of 22.75 and a limitMaturity. |
| RY.PR.B | PerpetualDiscount | -1.5834% | Now with a pre-tax bid-YTW of 5.98% based on a bid of 19.89 and a limitMaturity. |
| RY.PR.A | PerpetualDiscount | -1.5728% | Now with a pre-tax bid-YTW of 5.80% based on a bid of 19.40 and a limitMaturity. |
| BNS.PR.O | PerpetualPremium (for now!) | -1.5206% | Now with a pre-tax bid-YTW of 5.77% based on a bid of 24.61 and a limitMaturity. |
| PWF.PR.K | PerpetualDiscount | -1.4967% | Now with a pre-tax bid-YTW of 5.98% based on a bid of 21.06 and a limitMaturity. |
| BMO.PR.J | PerpetualDiscount | -1.4646% | Now with a pre-tax bid-YTW of 5.83% based on a bid of 19.51 and a limitMaturity. |
| RY.PR.C | PerpetualDiscount | -1.4536% | Now with a pre-tax bid-YTW of 5.92% based on a bid of 19.66 and a limitMaturity. |
| POW.PR.C | PerpetualPremium (for now!) | -1.4286% | Now with a pre-tax bid-YTW of 6.11% based on a bid of 24.15 and a limitMaturity. |
| TD.PR.Q | PerpetualPremium (for now!) | -1.4056% | Now with a pre-tax bid-YTW of 5.79% based on a bid of 24.55 and a limitMaturity. |
| RY.PR.E | PerpetualDiscount | -1.3205% | Now with a pre-tax bid-YTW of 5.86% based on a bid of 19.43 and a limitMaturity. |
| RY.PR.F | PerpetualDiscount | -1.2807% | Now with a pre-tax bid-YTW of 5.84% based on a bid of 19.27 and a limitMaturity. |
| BNS.PR.J | PerpetualDiscount | -1.2579% | Now with a pre-tax bid-YTW of 5.61% based on a bid of 23.55 and a limitMaturity. |
| CM.PR.D | PerpetualDiscount | -1.1910% | Now with a pre-tax bid-YTW of 6.07% based on a bid of 24.06 and a limitMaturity. |
| POW.PR.A | PerpetualDiscount | -1.1097% | Now with a pre-tax bid-YTW of 5.92% based on a bid of 24.06 and a limitMaturity. |
| CM.PR.G | PerpetualDiscount | -1.1086% | Now with a pre-tax bid-YTW of 6.16% based on a bid of 22.30 and a limitMaturity. |
| W.PR.J | PerpetualDiscount | -1.0748% | Now with a pre-tax bid-YTW of 6.19% based on a bid of 23.01 and a limitMaturity. |
| W.PR.H | PerpetualDiscount | -1.0323% | Now with a pre-tax bid-YTW of 6.06% based on a bid of 23.01 and a limitMaturity. |
| WFS.PR.A | SplitShare | -1.0309% | Asset coverage of just under 1.7:1 as of June 12 according to the company. Now with a pre-tax bid-YTW of 6.71% based on a bid of 9.60 and a hardMaturity 2011-6-30 at 10.00. |
| SLF.PR.D | PerpetualDiscount | +1.0265% | Now with a pre-tax bid-YTW of 5.98% based on a bid of 18.70 and a limitMaturity. |
| FIG.PR.A | InterestBearing | +1.0562% | Asset coverage of just under 1.5:1 as of June 16, according to the company. Now with a pre-tax bid-YTW of 2.33% (as interest) based on a bid of 10.01 and a call 2008-7-17 at 10.00. |
| BCE.PR.C | FixFloat | +1.0615% | |
| BCE.PR.R | FixFloat | +2.2222% | |
| BNA.PR.C | SplitShare | +5.2493% | Asset coverage of just under 3.6:1 as of May 30, according to the company. Now with a pre-tax bid-YTW of 7.10% based on a bid of 20.05 and a hardMaturity 2019-1-10 at 25.00. This is just a reversal of yesterday‘s plunge, which overstated due to being calculated bid/bid on a day on which bids evaporated. Compare with BNA.PR.A (6.17% to 2010-9-30) and BNA.PR.B (8.40% to 2016-3-25). |
| BNA.PR.B | SplitShare | +6.46% | See BNA.PR.C, above. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BMO.PR.I | OpRet | 187,486 | CIBC crossed 50,000 at 25.18, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 0.4398% based on a bid of 25.16 and a call 2008-7-17 at 25.00. |
| NTL.PR.F | Scraps (would be Ratchet Rate, but there are credit concerns) | 153,675 | |
| BMO.PR.J | PerpetualDiscount | 134,200 | Now with a pre-tax bid-YTW of 5.83% based on a bid of 19.51 and a limitMaturity. |
| NTL.PR.G | Scraps (would be Ratchet Rate, but there are credit concerns) | 106,060 | |
| BCE.PR.G | FixFloat | 92,500 | CIBC crossed 90,000 in two tranches at 22.34. |
| BCE.PR.C | FixFloat | 71,650 | CIBC crossed 70,300 at 22.85. |
| BMO.PR.L | PerpetualPremium | 57,549 | Now with a pre-tax bid-YTW of 5.92% based on a bid of 25.00 and a limitMaturity. |
There were forty-two other index-included $25-pv-equivalent issues trading over 10,000 shares today.
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