Another good day for prefs, with the PerpetualDiscounts again up over a point for the third day in a row. Before anybody gets too excited though … we’ve not yet recovered to October 22 levels and the 6.77% yield is almost 50bp over the September 30 level of 6.29%.
The 6.77% yield is equivalent to 9.48% interest at the standard 1.4x factor, while long corporates are still chugging along in the 7.5% area … so we’re back to a spread of about 200bp. Long corporates are actually down fractionally on the month-to-day and recovery in this market should, logically, now become a major factor in preferred share performance.
On the other hand, the market hasn’t really behaved logically for over a year and a half, so who knows?
| 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 | 5.32% | 5.38% | 70,523 | 15.12 | 6 | +2.4301% | 982.4 |
| Floater | 6.90% | 7.01% | 48,965 | 12.48 | 2 | +1.8248% | 505.2 |
| Op. Retract | 5.29% | 6.10% | 131,568 | 3.99 | 15 | -0.1494% | 998.4 |
| Split-Share | 6.24% | 10.45% | 58,457 | 3.97 | 12 | +1.1492% | 944.7 |
| Interest Bearing | 7.93% | 13.29% | 60,778 | 3.25 | 3 | +2.4349% | 893.0 |
| Perpetual-Premium | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Perpetual-Discount | 6.70% | 6.77% | 180,124 | 12.88 | 71 | +1.0227% | 813.3 |
| Fixed-Reset | 5.35% | 5.10% | 892,441 | 15.18 | 11 | +0.5777% | 1,083.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BAM.PR.B | Floater | -6.3551% | |
| POW.PR.B | PerpetualDiscount | -5.1307% | Now with a pre-tax bid-YTW of 6.91% based on a bid of 19.60 and a limitMaturity. Closing quote 19.60-79, 2X3. Day’s range 19.23-20.40. |
| LFE.PR.A | SplitShare | -3.8043% | Asset coverage of 1.6+:1 as of October 31, according to the company. Now with a pre-tax bid-YTW of 8.74% based on a bid of 8.85 and a hardMaturity 2012-12-1 at 10.00. Closing quote of 8.85-14, 5×5. Day’s range of 9.10-40. |
| W.PR.H | PerpetualDiscount | +3.0641% | Now with a pre-tax bid-YTW of 7.54% based on a bid of 18.50 and a limitMaturity. Closing Quote 18.50-14, 5×5. Day’s range of 18.25-19.40. |
| MFC.PR.B | PerpetualDiscount | +3.1501% | Now with a pre-tax bid-YTW of 6.57% based on a bid of 18.01 and a limitMaturity. Closing Quote 18.01-09, 11×1. Day’s range of 17.66-45. |
| BCE.PR.R | FixFloat | +3.2771% | |
| NA.PR.L | PerpetualDiscount | +3.3682% | Now with a pre-tax bid-YTW of 6.85% based on a bid of 17.80 and a limitMaturity. Closing Quote 17.80-25, 13×5. Day’s range of 17.60-00. |
| CM.PR.P | PerpetualDiscount | +3.3916% | Now with a pre-tax bid-YTW of 7.12% based on a bid of 19.51 and a limitMaturity. Closing Quote 19.51-57, 3×5. Day’s range of 18.87-47. |
| PWF.PR.E | PerpetualDiscount | +3.4269% | Now with a pre-tax bid-YTW of 6.37% based on a bid of 21.73 and a limitMaturity. Closing Quote 21.73-74, 11×2. Day’s range of 21.28-73. |
| GWO.PR.G | PerpetualDiscount | +3.7190% | Now with a pre-tax bid-YTW of 6.57% based on a bid of 20.08 and a limitMaturity. Closing Quote 20.08-30, 5×5. Day’s range of 19.60-50. |
| CM.PR.D | PerpetualDiscount | +3.7207% | Now with a pre-tax bid-YTW of 7.14% based on a bid of 20.35 and a limitMaturity. Closing Quote 20.35-43, 5×3. Day’s range of 19.76-44. |
| STW.PR.A | InterestBearing | +4.0884% | Asset coverage of 1.4+:1 as of October 30 according to Middlefield. Now with a pre-tax bid-YTW of 11.92% based on a bid of 9.42 and a hardMaturity 2009-12-31 at 10.00. Closing quote of 9.42-54, 4×2. Day’s range of 9.26-44. |
| BNA.PR.A | SplitShare | +4.3738% | Asset coverage of just under 2.8:1 as of September 30 according to the company. Coverage now of 2.2-:1 based on BAM.A at 22.51 and 2.4 BAM.A held per preferred. Now with a pre-tax bid-YTW of 17.24% based on a bid of 21.00 and a hardMaturity 2010-9-30 at 25.00. Compare with BNA.PR.B (9.91% to 2016-3-25) and BNA.PR.C (13.39% to 2019-1-10). Closing quote 21.00-99, 16×7. Day’s range 20.12-65. |
| BCE.PR.G | FixFloat | +5.2138% | |
| MFC.PR.C | PerpetualDiscount | +5.9666% | Now with a pre-tax bid-YTW of 6.45% based on a bid of 17.76 and a limitMaturity. Closing Quote 17.76-93, 1×1. Day’s range of 17.00-96. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CM.PR.A | OpRet | 89,327 | Now with a pre-tax bid-YTW of 4.92% based on a bid of 25.29 and a softMaturity 2011-7-30 at 25.00. |
| RY.PR.L | FixedReset | 79,195 | New issue, settled yesterday. |
| BMO.PR.I | PerpetualDiscount | 76,400 | Called for redemption. |
| TD.PR.O | PerpetualDiscount | 75,850 | Now with a pre-tax bid-YTW of 6.62% based on a bid of 18.49 and a limitMaturity. |
There were thirty-eight other index-included $25-pv-equivalent issues trading over 10,000 shares today.