Naked Capitalism reports that the auction of Cheyne Finance’s assets, mentioned July 15 realized forty-four cents on the dollar. It remains to be seen how many of these assets will actually change hands, as Cheyne’s investors can elect to receive the securities rather than the cash.
The week ended well, but we’re still down from last Friday’s close. PerpetualDiscounts now yield 6.50% dividend, equivalent to 9.00% interest; long corporates … oh, call it 6.20, that’s close enough … PTIE spread of 280bp.
So now all you guys can spend the weekend worrying about whether this is a real rally or a sucker rally. My suggestion is that half of you engage in panic buying of the stuff I’m looking to sell, while the other half dump the stuff I want to buy at whatever price you can get.
| 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 | 4.34% | 3.96% | 37,955 | 0.08 | 1 | +0.0000% | 1,122.4 |
| Fixed-Floater | 4.70% | 4.42% | 72,946 | 16.29 | 6 | -0.1607% | 1,081.1 |
| Floater | 4.14% | 4.15% | 53,944 | 17.11 | 3 | +0.7969% | 892.7 |
| Op. Retract | 4.99% | 4.58% | 147,484 | 3.13 | 17 | -0.0854% | 1,039.7 |
| Split-Share | 5.44% | 6.71% | 63,443 | 4.02 | 14 | +0.0067% | 1,016.5 |
| Interest Bearing | 6.15% | 6.04% | 42,084 | 3.71 | 3 | -0.2004% | 1,120.3 |
| Perpetual-Premium | 6.14% | 6.13% | 68,188 | 10.70 | 4 | +0.8028% | 981.7 |
| Perpetual-Discount | 6.44% | 6.50% | 236,930 | 13.21 | 67 | +0.9341% | 821.7 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| IAG.PR.A | PerpetualDiscount | -2.8807% | Now with a pre-tax bid-YTW of 7.05% based on a bid of 16.52 and a limitMaturity. |
| BCE.PR.C | FixFloat | -2.3984% | |
| PWF.PR.K | PerpetualDiscount | -1.2276% | Now with a pre-tax bid-YTW of 6.72% based on a bid of 18.52 and a limitMaturity. |
| CIU.PR.A | PerpetualDiscount | -1.0526% | Now with a pre-tax bid-YTW of 6.22% based on a bid of 18.80 and a limitMaturity. |
| RY.PR.G | PerpetualDiscount | +1.0515% | Now with a pre-tax bid-YTW of 6.28% based on a bid of 18.26 and a limitMaturity. |
| BMO.PR.J | PerpetualDiscount | +1.0615% | Now with a pre-tax bid-YTW of 6.33% based on a bid of 18.09 and a limitMaturity. |
| CU.PR.A | PerpetualDiscount | +1.0870% | Now with a pre-tax bid-YTW of 6.33% based on a bid of 23.25 and a limitMaturity. |
| RY.PR.A | PerpetualDiscount | +1.0923% | Now with a pre-tax bid-YTW of 6.12% based on a bid of 18.51 and a limitMaturity. |
| POW.PR.B | PerpetualDiscount | +1.1111% | Now with a pre-tax bid-YTW of 6.74% based on a bid of 20.02 and a limitMaturity. |
| BNS.PR.N | PerpetualDiscount | +1.1391% | Now with a pre-tax bid-YTW of 6.19% based on a bid of 21.31 and a limitMaturity. |
| GWO.PR.I | PerpetualDiscount | +1.1594% | Now with a pre-tax bid-YTW of 6.52% based on a bid of 17.45 and a limitMaturity. |
| TD.PR.Q | PerpetualDiscount | +1.2864% | Now with a pre-tax bid-YTW of 5.95% based on a bid of 23.62 and a limitMaturity. |
| HSB.PR.C | PerpetualDiscount | +1.3263% | Now with a pre-tax bid-YTW of 6.76% based on a bid of 19.10 and a limitMaturity. |
| RY.PR.H | PerpetualDiscount | +1.3276% | Now with a pre-tax bid-YTW of 6.10% based on a bid of 23.66 and a limitMaturity. |
| LBS.PR.A | SplitShare | +1.3374% | Asset coverage of 1.9+:1 as of July 17, according to Brompton Group. Now with a pre-tax bid-YTW of 5.62% based on a bid of 9.85 and a hardMaturity 2013-11-29. |
| GWO.PR.H | PerpetualDiscount | +1.3699% | Now with a pre-tax bid-YTW of 6.63% based on a bid of 18.50 and a limitMaturity. |
| SLF.PR.A | PerpetualDiscount | +1.3881% | Now with a pre-tax bid-YTW of 6.58% based on a bid of 18.26 and a limitMaturity. |
| RY.PR.F | PerpetualDiscount | +1.3881% | Now with a pre-tax bid-YTW of 6.21% based on a bid of 18.26 and a limitMaturity. |
| MFC.PR.C | PerpetualDiscount | +1.4085% | Now with a pre-tax bid-YTW of 6.34% based on a bid of 18.00 and a limitMaturity. |
| SLF.PR.B | PerpetualDiscount | +1.4917% | Now with a pre-tax bid-YTW of 6.61% based on a bid of 18.37 and a limitMaturity. |
| TD.PR.R | PerpetualDiscount | +1.5424% | Now with a pre-tax bid-YTW of 5.93% based on a bid of 23.70 and a limitMaturity. |
| GWO.PR.G | PerpetualDiscount | +1.5808% | Now with a pre-tax bid-YTW of 6.60% based on a bid of 19.92 and a limitMaturity. |
| RY.PR.W | PerpetualDiscount | +1.6550% | Now with a pre-tax bid-YTW of 6.16% based on a bid of 20.27 and a limitMaturity. |
| BMO.PR.K | PerpetualDiscount | +1.6577% | Now with a pre-tax bid-YTW of 6.41% based on a bid of 20.85 and a limitMaturity. |
| POW.PR.A | PerpetualDiscount | +1.6716% | Now with a pre-tax bid-YTW of 6.83% based on a bid of 20.68 and a limitMaturity. |
| CM.PR.E | PerpetualDiscount | +1.8088% | Now with a pre-tax bid-YTW of 7.15% based on a bid of 19.70 and a limitMaturity. |
| PWF.PR.L | PerpetualDiscount | +1.8221% | Now with a pre-tax bid-YTW of 6.75% based on a bid of 19.00 and a limitMaturity. |
| BNS.PR.O | PerpetualDiscount | +1.90% | Now with a pre-tax bid-YTW of 5.95% based on a bid of 23.61 and a limitMaturity. |
| CM.PR.D | PerpetualDiscount | +1.9637% | Now with a pre-tax bid-YTW of 7.15% based on a bid of 20.25 and a limitMaturity. |
| CM.PR.H | PerpetualDiscount | +2.0594% | Now with a pre-tax bid-YTW of 7.17% based on a bid of 16.85 and a limitMaturity. |
| PWF.PR.L | PerpetualDiscount | +2.0623% | Now with a pre-tax bid-YTW of 6.20% based on a bid of 24.25 and a limitMaturity. |
| W.PR.J | PerpetualDiscount | +2.1337% | Now with a pre-tax bid-YTW of 6.54% based on a bid of 21.54 and a limitMaturity. |
| CM.PR.P | PerpetualDiscount | +2.1647% | Now with a pre-tax bid-YTW of 7.15% based on a bid of 19.35 and a limitMaturity. |
| POW.PR.D | PerpetualDiscount | +2.1996% | Now with a pre-tax bid-YTW of 6.62% based on a bid of 19.05 and a limitMaturity. |
| CM.PR.J | PerpetualDiscount | +2.3975% | Now with a pre-tax bid-YTW of 6.98% based on a bid of 16.23 and a limitMaturity. |
| BAM.PR.K | Floater | +2.4147% | |
| BMO.PR.L | PerpetualDiscount | +2.6201% | Now with a pre-tax bid-YTW of 6.35% based on a bid of 23.50 and a limitMaturity. |
| RY.PR.C | PerpetualDiscount | +2.6761% | Now with a pre-tax bid-YTW of 6.23% based on a bid of 18.80 and a limitMaturity. |
| CU.PR.B | PerpetualDiscount | +2.7311% | Now with a pre-tax bid-YTW of 6.23% based on a bid of 24.45 and a limitMaturity. |
| ELF.PR.F | PerpetualDiscount | +3.0491% | Now with a pre-tax bid-YTW of 7.33% based on a bid of 18.25 and a limitMaturity. |
| CM.PR.I | PerpetualDiscount | +3.1559% | Now with a pre-tax bid-YTW of 7.09% based on a bid of 16.67 and a limitMaturity. |
| POW.PR.B | PerpetualDiscount | +4.0462% | Now with a pre-tax bid-YTW of 6.81% based on a bid of 19.80 and a limitMaturity. |
| CM.PR.G | PerpetualDiscount | +4.5030% | Now with a pre-tax bid-YTW of 7.14% based on a bid of 19.03 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| NSI.PR.C | Scraps (Would be OpRet but there are volume concerns) | 249,000 | CIBC crossed 248,800 in two tranches at 25.00. Now with a pre-tax bid-YTW of 4.93% based on a bid of 25.00 and a limitMaturity. This … is an interesting issue. It’s redeemable at 25.00 commencing 2009-4-1 and retractible at 24.75 commencing 2009-7-1. So, although it’s an OpRet kind of issue, in this particular case the potential calls will yield more and the potential puts will yield less than the limitMaturity. My various methods of calculating duration and convexity don’t agree very well for this issue! |
| RY.PR.C | PerpetualDiscount | 129,300 | Nesbitt crossed 100,000 at 18.50, then RBC crossed 25,000 at the same price. Now with a pre-tax bid-YTW of 6.23% based on a bid of 18.80 and a limitMaturity. |
| SLF.PR.A | PerpetualDiscount | 115,930 | National crossed 97,500 at 18.30, then CIBC crossed 10,000 at the same price. Now with a pre-tax bid-YTW of 6.58% based on a bid of 18.26 and a limitMaturity. |
| SLF.PR.C | PerpetualDiscount | 105,655 | National crossed 92,100 at 17.00. Now with a pre-tax bid-YTW of 6.68% based on a bid of 16.85 and a limitMaturity. |
| BAM.PR.K | Floater | 78,000 | TD bought 24,700 from RBC at 19.50; RBC crossed 25,000 at the same price. |
| PIC.PR.A | SplitShare | 106,498 | CIBC bought 54,600 from (three different?) “Anonymous” at 14.25 in three tranches. Asset coverage of just under 1.4:1 as of July 10, according to Mulvihill. Now with a pre-tax bid-YTW of 8.28% based on a bid of 14.21 and a hardMaturity 2010-11-1 at 15.00. |
There were twenty-nine other index-included $25-pv-equivalent issues trading over 10,000 shares today.
Any thoughts as to why POW is getting such a yield? Big, big co. Looks attractive even for registered acc’ts now but? ABCP?
I know of nothing special going on with POW. Remember that it is Pfd-2(high) by DBRS and P-2(high) by S&P, so a quality spread of some size is to be expected.