As many will have noted, a lot of things haven’t been posted yet that should be posted. For various reasons – includng, but not limited to, what the market is doing, this is Misery Week.
Things like commentary on MAPF and best/worst lists for September have gone by the board but will appear … eventually.
PerpetualDiscounts now yield 6.70% on average, equivalent to 9.38% at the standard 1.4x equivalency factor. Long corporates have popped up to about 6.9%, so the spread is not as unreasonable as one might suppose, at 248bp.
| 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. The Fixed-Reset index was added effective 2008-9-5 at that day’s closing value of 1,119.4 for the Fixed-Floater index. |
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| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | N/A | N/A | N/A | N/A | 0 | N/A | N/A |
| Fixed-Floater | 5.43% | 5.69% | 77,301 | 14.68 | 6 | -6.6340% | 948.7 |
| Floater | 6.27% | 6.33% | 49,473 | 13.46 | 2 | -0.4836% | 643.4 |
| Op. Retract | 5.39% | 6.44% | 125,626 | 3.86 | 14 | -1.7805% | 977.5 |
| Split-Share | 6.27% | 10.31% | 58,118 | 4.03 | 12 | -1.7959% | 903.2 |
| Interest Bearing | 7.07% | 9.53% | 45,543 | 3.55 | 3 | -3.4398% | 978,8 |
| Perpetual-Premium | 6.51% | 6.56% | 55,527 | 13.10 | 1 | -2.1996% | 953.7 |
| Perpetual-Discount | 6.64% | 6.70% | 176,645 | 12.99 | 70 | -1.0022% | 811.0 |
| Fixed-Reset | 5.17% | 5.02% | 1,064,284 | 15.36 | 10 | +0.8785% | 1,106.4 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| LFE.PR.A | SplitShare | -16.4130% | Asset coverage of just under 2.2:1 as of September 30, according to the company. Now with a pre-tax bid-YTW of 12.71% based on a bid of 7.69 and a hardMaturity 2012-12-1 at 10.00. Not as bad as it looks – the low for the day was $9.00 and the closing quote was a Toronto Special: 7.69-9.28, 17×1. |
| BAM.PR.H | OpRet | -9.0909% | Now with a pre-tax bid-YTW of 12.42% based on a bid of 20.50 and a softMaturity 2012-3-30 at 25.00. Compare with BAM.PR.I (8.48% to 2013-12-30), BAM.PR.J (11.94% to 2018-3-30) and BAM.PR.O (11.23% to 2013-6-30); and with the perpetuals at 9.25%. |
| BCE.PR.R | FixFloat | -8.6957% | |
| BAM.PR.J | OpRet | -7.8826% | See BAM.PR.H, above. |
| BCE.PR.G | FixFloat | -7.2848% | |
| BCE.PR.I | FixFloat | -7.2845% | |
| BAM.PR.M | PerpetualDiscount | -7.1378% | Now with a pre-tax bid-YTW of 9.25% based on a bid of 13.01 and a limitMaturity. |
| BNA.PR.C | SplitShare | -6.3571% | Asset coverage of 3.2+:1 as of August 31 according to the company. Coverage now of 2.2+:1 based on BAM.A at 23.37 and 2.4 BAM.A held per preferred. Now with a pre-tax bid-YTW of 13.02% based on a bid of 13.11 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (11.62% to 2016-3-25) and BNA.PR.B (18.66% [!] to 2016-3-25). Wild. |
| FIG.PR.A | InterestBearing | -5.7143% | Asset coverage of 1.6+:1 as of October 3, according to Faircourt. Now with a pre-tax bid-YTW of 10.23% based on a bid of 8.25 and a hardMaturity 2014-12-31 at 10.00. |
| BCE.PR.Z | FixFloat | -5.7011% | |
| BCE.PR.C | FixFloat | -5.5281% | |
| BMO.PR.K | PerpetualDiscount | -5.3922% | Now with a pre-tax bid-YTW of 6.92% based on a bid of 19.30 and a limitMaturity. |
| BSD.PR.A | InterestBearing | -5.3659% | Asset coverage of just under 1.3:1 as of October 3, according to Brookfield Funds. The asset coverage implies no more distributions to capital units. Now with a pre-tax bid-YTW of 11.11% based on a bid of 7.76 and a hardMaturity 2015-3-31 at 10.00. |
| POW.PR.C | PerpetualDiscount | -5.2133% | Now with a pre-tax bid-YTW of 7.30% based on a bid of 20.00 and a limitMaturity. |
| BAM.PR.B | Floater | -5.0873% | Closing quote 12.50-99, 5×5. Compare with its “weak pair”, 14.00-74, 2×10. |
| MFC.PR.A | OpRet | -4.8869% | Now with a pre-tax bid-YTW of 5.14% based on a bid of 23.55 and a softMaturity 2015-12-18 at 25.00. |
| TD.PR.M | PerpetualDiscount | -4.2520% | Now with a pre-tax bid-YTW of 5.28% based on a bid of 24.32 and a limitMaturity. |
| TD.PR.Q | PerpetualDiscount | -4.0587% | Now with a pre-tax bid-YTW of 6.31% based on a bid of 22.22 and a limitMaturity. |
| SLF.PR.A | PerpetualDiscount | -4.0000% | Now with a pre-tax bid-YTW of 6.66% based on a bid of 18.00 and a limitMaturity. |
| BAM.PR.O | OpRet | -3.7037% | See BAM.PR.H, above |
| PWF.PR.I | PerpetualDiscount | -3.4649% | Now with a pre-tax bid-YTW of 6.65% based on a bid of 22.61 and a limitMaturity. |
| BMO.PR.J | PerpetualDiscount | -3.4091% | Now with a pre-tax bid-YTW of 6.73% based on a bid of 17.00 and a limitMaturity. |
| IAG.PR.A | PerpetualDiscount | -2.8571% | Now with a pre-tax bid-YTW of 6.83% based on a bid of 17.00 and a limitMaturity. |
| PWF.PR.J | OpRet | -2.8250% | Now with a pre-tax bid-YTW of 5.62% based on a bid of 24.00 and a softMaturity 2013-7-30 at 25.00. |
| GWO.PR.H | PerpetualDiscount | -2.7222% | Now with a pre-tax bid-YTW of 7.00% based on a bid of 17.51 and a limitMaturity. |
| POW.PR.A | PerpetualDiscount | -2.6975% | Now with a pre-tax bid-YTW of 6.98% based on a bid of 20.20 and a limitMaturity. |
| BMO.PR.L | PerpetualDiscount | -2.6549% | Now with a pre-tax bid-YTW of 6.70% based on a bid of 22.00 and a limitMaturity. |
| W.PR.H | PerpetualDiscount | -2.5655% | Now with a pre-tax bid-YTW of 7.76% based on a bid of 17.85 and a limitMaturity. |
| RY.PR.C | PerpetualDiscount | -2.4718% | Now with a pre-tax bid-YTW of 6.45% based on a bid of 18.15 and a limitMaturity. |
| CM.PR.P | PerpetualDiscount | -2.4000% | Now with a pre-tax bid-YTW of 7.55% based on a bid of 18.30 and a limitMaturity. |
| POW.PR.B | PerpetualDiscount | -2.3093% | Now with a pre-tax bid-YTW of 7.41% based on a bid of 18.19 and a limitMaturity. |
| CM.PR.J | PerpetualDiscount | -2.2581% | Now with a pre-tax bid-YTW of 7.46% based on a bid of 15.15 and a limitMaturity. |
| TD.PR.R | PerpetualDiscount | -2.2164% | Now with a pre-tax bid-YTW of 6.24% based on a bid of 22.50 and a limitMaturity. |
| CL.PR.B | PerpetualPremium (for now!) | -2.1996% | Now with a pre-tax bid-YTW of 6.56% based on a bid of 24.01 and a limitMaturity. |
| BAM.PR.N | PerpetualDiscount | -2.1788% | Now with a pre-tax bid-YTW of 9.25% based on a bid of 13.02 and a limitMaturity. |
| RY.PR.H | PerpetualDiscount | -2.1739% | Now with a pre-tax bid-YTW of 6.38% based on a bid of 22.50 and a limitMaturity. |
| FTN.PR.A | SplitShare | -2.0225% | Asset coverage of 2.2+:1 as of September 30 according to the company. Now with a pre-tax bid-YTW of 7.69% based on a bid of 7.69% and a hardMaturity 2015-12-1 at 10.00. |
| BNS.PR.K | PerpetualDiscount | -2.0000% | Now with a pre-tax bid-YTW of 6.14% based on a bid of 19.60 and a limitMaturity. |
| CM.PR.R | PerpetualDiscount | -2.0000% | Now with a pre-tax bid-YTW of 5.54% based on a bid of 24.50 and a limitMaturity. |
| NA.PR.K | PerpetualDiscount | -1.9655% | Now with a pre-tax bid-YTW of 6.87% based on a bid of 21.30 and a limitMaturity. |
| PWF.PR.F | PerpetualDiscount | -1.9005% | Now with a pre-tax bid-YTW of 6.62% based on a bid of 19.90 and a limitMaturity. |
| NA.PR.M | PerpetualDiscount | -1.8359% | Now with a pre-tax bid-YTW of 6.71% based on a bid of 22.35 and a limitMaturity. |
| IGM.PR.A | PerpetualDiscount | -1.7544% | Now with a pre-tax bid-YTW of 5.63% based on a bid of 25.20 and a softMaturity 2013-6-29 at 25.00. |
| BNA.PR.B | SplitShare | -1.6185% | See BNA.PR.C, above |
| RY.PR.W | PerpetualDiscount | -1.6046% | Now with a pre-tax bid-YTW of 6.56% based on a bid of 19.01 and a limitMaturity. |
| DFN.PR.A | SplitShare | -1.5240% | Asset coverage of just under 2.2:1 as of September 30, according to the company. Now with a pre-tax bid-YTW of 8.76% based on a bid of 8.40 and a hardMaturity 2014-12-1 at 10.00. |
| TCA.PR.X | PerpetualDiscount | -1.4317% | Now with a pre-tax bid-YTW of 6.25% based on a bid of 44.75 and a limitMaturity. |
| ALB.PR.A | SplitShare | -1.4256% | Asset coverage of 1.6+:1 as of October 2 according to Scotia Managed Companies. Now with a pre-tax bid-YTW of 7.25% based on a bid of 23.51 and a hardMaturity 2011-2-28 at 25.00. |
| ELF.PR.F | PerpetualDiscount | -1.4118% | Now with a pre-tax bid-YTW of 7.97% based on a bid of 16.76 and a limitMaturity. |
| BNS.PR.M | PerpetualDiscount | -1.4046% | Now with a pre-tax bid-YTW of 6.19% based on a bid of 18.25 and a limitMaturity. |
| RY.PR.B | PerpetualDiscount | -1.3333% | Now with a pre-tax bid-YTW of 6.46% based on a bid of 18.50 and a limitMaturity. |
| MFC.PR.B | PerpetualDiscount | -1.3333% | Now with a pre-tax bid-YTW of 6.36% based on a bid of 18.50 and a limitMaturity. |
| ENB.PR.A | PerpetualDiscount | -1.1842% | Now with a pre-tax bid-YTW of 6.18% based on a bid of 22.53 and a limitMaturity. |
| SLF.PR.B | PerpetualDiscount | -1.1076% | Now with a pre-tax bid-YTW of 6.46% based on a bid of 18.75 and a limitMaturity. |
| CU.PR.A | PerpetualDiscount | -1.0753% | Now with a pre-tax bid-YTW of 6.39% based on a bid of 23.00 and a limitMaturity. |
| BCE.PR.Y | Ratchet | -1.0753% | |
| GWO.PR.E | OpRet | -1.0396% | Now with a pre-tax bid-YTW of 4.96% based on a bid of 24.75 and a softMaturity 2014-3-30 at 25.00. |
| RY.PR.A | PerpetualDiscount | +1.0158% | Now with a pre-tax bid-YTW of 6.32% based on a bid of 17.90 and a limitMaturity. |
| BNS.PR.R | FixedReset | +1.0267% | |
| RY.PR.E | PerpetualDiscount | +1.0579% | Now with a pre-tax bid-YTW of 6.31% based on a bid of 18.15 and a limitMaturity. |
| PWF.PR.H | PerpetualDiscount | -1.1477% | Now with a pre-tax bid-YTW of 6.40% based on a bid of 22.50 and a limitMaturity. |
| RY.PR.I | FixedReset | +1.4257% | |
| FBS.PR.B | SplitShare | +2.1566% | Asset coverage of 1.5+:1 as of October 2, according to TD Securities. Now with a pre-tax bid-YTW of 8.57% based on a bid of 9.00 and a hardMaturity 2011-12-15 at 10.00. Perhaps in an effort to halt the carnage, the fund announced a dividend increase for the capital units; let’s see … FBS.B closed at 4.90; FBS.PR.B closed at 8.80; NAV $15.07 as of October 2; Special Annual Retraction in December …. hmmm …. |
| BNS.PR.Q | FixedReset | +2.2917% | |
| MFC.PR.C | PerpetualDiscount | +2.7778% | Now with a pre-tax bid-YTW of 6.15% based on a bid of 18.50 and a limitMaturity. |
| PWF.PR.E | PerpetualDiscount | +2.8148% | Now with a pre-tax bid-YTW of 6.12% based on a bid of 22.44 and a limitMaturity. |
| NA.PR.N | FixedReset | +2.8963% | |
| WFS.PR.A | SplitShare | +2.9593% | Asset coverage of 1.5+:1 as of September 30 according to the company. Now with a pre-tax bid-YTW of 12.75% based on a bid of 8.35 and a hardMaturity 2011-6-30 at 10.00. |
| TD.PR.O | PerpetualDiscount | +3.4286% | Now with a pre-tax bid-YTW of 6.11% based on a bid of 19.11 and a limitMaturity. |
| BAM.PR.K | Floater | +3.6269% | See BAM.PR.B, above … and go figure. |
| BAM.PR.I | OpRet | +9.8901% | See BAM.PR.H, above. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| TD.PR.M | OpRet | 272,700 | National crossed 22,000 at 25.40, then CIBC crossed 250,000 at 24.90. Now with a pre-tax bid-YTW of 5.28% based on a bid of 24.32 and a softMaturity 2013-10-30 at 25.00. |
| TD.PR.N | OpRet | 250,000 | CIBC crossed 250,000 at 24.85. Now with a pre-tax bid-YTW of 5.43% based on a bid of 24.02 and a softMaturity 2014-1-30 at 25.00. |
| MFC.PR.A | OpRet | 204,195 | National crossed 200,000 at 25.05. Now with a pre-tax bid-YTW of 5.14% based on a bid of 23.55 and a softMaturity 2015-12-18 at 25.00. MFC is a fine company, but it shouldn’t be trading through TDs of shorter term. |
| BAM.PR.H | OpRet | 110,130 | CIBC crossed 100,000 at 21.25. See above. |
| NA.PR.K | PerpetualDiscount | 104,450 | CIBC crossed 100,000 at 21.75. Now with a pre-tax bid-YTW of 6.87% based on a bid of 21.30 and a limitMaturity. |
There were thirty-one other index-included $25-pv-equivalent issues trading over 10,000 shares today
James: I’m amazed by the drop in LBS.PR.A. I would have thought that the fixed redemption and the retraction privilieges would anchor them near $10.
You and me both, brother, you and me both. LBS.PR.A is currently quoted at 8.51-74; LBS is at 8.20-50; NAV as of 10/2 is $19.50.
The Special Annual Retraction is in November …
maybe that “as of 10/2” part is material. Also maybe there’s some risk in the brompton or fund structure that I’m not smart enough to see e.g. they don’t actually hold the shares – they’ve leveraged them all to buy gold futures or whatever.
What happens at the annual retraction?
See the prospectus