Assiduous Reader MP alerts me to the fact that both POW and PWF have filed shelf prospectuses for new series of prefs. We shall see!
Accrued Interest notes that the long Treasury auction today was terrible:
Across the Curve estimates that the sloppy auction cost US taxpayers $175-million.
In sympathy, Canadas got whacked for about 7bp across the curve today.
TD Bank talked a good game about BCE debt (if there should happen to be any):
Toronto-Dominion Bank, one of the lenders financing the C$51.7 billion ($42.6 billion) takeover of BCE Inc., may have to keep the loans on its balance sheet because selling new debt will be difficult amid the credit crisis, the bank’s top executive said.
Toronto equities were heading for a new low but then recovered. Preferreds did much the same, but didn’t recover completely.
| 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 | 4.99% | 4.96% | 67,720 | 15.70 | 6 | -0.4499% | 1,049.6 |
| Floater | 7.47% | 7.61% | 51,496 | 11.75 | 2 | -3.3959% | 467.3 |
| Op. Retract | 5.26% | 5.95% | 136,791 | 3.85 | 15 | +0.0961% | 1,004.6 |
| Split-Share | 6.47% | 11.46% | 57,010 | 3.92 | 12 | -1.9526% | 916.9 |
| Interest Bearing | 8.15% | 15.46% | 56,209 | 3.23 | 3 | -0.6611% | 871.1 |
| Perpetual-Premium | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Perpetual-Discount | 6.98% | 7.06% | 176,911 | 12.51 | 71 | -1.2658% | 782.6 |
| Fixed-Reset | 5.40% | 5.13% | 938,678 | 15.10 | 12 | -0.4667% | 1,079.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| FBS.PR.B | SplitShare | -19.5181% | Asset coverage of 1.4+:1 as of November 6 according to TD Securities. Now with a pre-tax bid-YTW of 20.19% based on a bid of 6.68 and a hardMaturity 2011-12-15 at 10.00. Closing quote of 6.68-8.40 (!) 15×10. Day’s range of 8.25-40 … so the closing bid is spurious, but illustrates the lack of depth in the market. |
| PWF.PR.I | PerpetualDiscount | -8.3444% | Now with a pre-tax bid-YTW of 7.31% based on a bid of 20.76 and a limitMaturity. Closing quote 20.76-50, 10×9. Day’s range 20.00-23.25 (!). |
| GWO.PR.I | PerpetualDiscount | -7.3395% | Now with a pre-tax bid-YTW of 7.57% based on a bid of 15.15 and a limitMaturity. Closing Quote 15.15-75, 2×2. Day’s range of 15.00-16.35. |
| ELF.PR.G | PerpetualDiscount | -6.8772% | Now with a pre-tax bid-YTW of 9.11% based on a bid of 13.27 and a limitMaturity. Closing Quote 13.27-14.49, 2×5. Day’s range of 12.77-14.25. |
| GWO.PR.H | PerpetualDiscount | -5.3467% | Now with a pre-tax bid-YTW of 7.68% based on a bid of 16.11 and a limitMaturity. Closing Quote 16.11-65, 4×2. Day’s range of 16.11-17.39. |
| DFN.PR.A | SplitShare | -4.7619% | Asset Coverage of 1.9+:1 as of October 31 according to the company. Now with a pre-tax bid-YTW of 8.35% based on a bid of 8.60 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 8.60-75, 4×8. Day’s range of 8.60-9.03. |
| PWF.PR.E | PerpetualDiscount | -4.6667% | Now with a pre-tax bid-YTW of 6.95% based on a bid of 20.02 and a limitMaturity. Closing Quote 20.02-53, 6×3. Day’s range of 20.02-76. |
| BAM.PR.K | Floater | -4.0404% | |
| NA.PR.M | PerpetualDiscount | -3.7239% | Now with a pre-tax bid-YTW of 7.13% based on a bid of 21.20 and a limitMaturity. Closing Quote 21.20-88, 3×5. Day’s range of 21.10-22.25. |
| W.PR.H | PerpetualDiscount | -3.6244% | Now with a pre-tax bid-YTW of 7.97% based on a bid of 17.55 and a limitMaturity. Closing Quote 17.55-75, 8×8. Day’s range of 17.55-21. |
| FIG.PR.A | InterestBearing | -3.5620% | Asset coverage of 1.3-:1 as of November 11, based on a Capital Unit NAV of 3.92 and 0.71 Capital Units per Preferred. Now with a pre-tax bid-YTW of 13.04% based on a bid of 7.31% and a hardMaturity 2014-12-31 at 10.00. Closing quote of 7.31-65, 3×1. Day’s range of 7.01-89. |
| SLF.PR.B | PerpetualDiscount | -3.4332% | Now with a pre-tax bid-YTW of 7.91% based on a bid of 15.47 and a limitMaturity. Closing Quote 15.47-70, 7×3. Day’s range of 15.50-13. |
| ENB.PR.A | PerpetualDiscount | -3.2609% | Now with a pre-tax bid-YTW of 6.19% based on a bid of 22.25 and a limitMaturity. Closing Quote 22.25-50, 4×10. Day’s range of 22.00-23.24. |
| SLF.PR.A | PerpetualDiscount | -3.0189% | Now with a pre-tax bid-YTW of 7.86% based on a bid of 15.42 and a limitMaturity. Closing Quote 15.42-89, 3×3. Day’s range of 15.32(?)-89. |
| NA.PR.L | PerpetualDiscount | -2.8000% | Now with a pre-tax bid-YTW of 7.19% based on a bid of 17.01 and a limitMaturity. Closing Quote 17.01-24, 4×3. Day’s range of 17.01-51. |
| POW.PR.C | PerpetualDiscount | -2.7896% | Now with a pre-tax bid-YTW of 7.16% based on a bid of 20.56 and a limitMaturity. Closing Quote 20.56-81, 3×1. Day’s range of 20.51-15. |
| BAM.PR.B | Floater | -2.7340% | |
| BCE.PR.A | FixFloat | -2.7234% | |
| FTN.PR.A | SplitShare | -2.7160% | Asset coverage of 1.9-:1 as of October 31 according to the company. Now with a pre-tax bid-YTW of 9.57% based on a bid of 7.88 and a hardMaturity 2015-12-1 at 10.00. Closing quote of 7.88-99, 5×10. Day’s range of 7.88-10. |
| BMO.PR.H | PerpetualDiscount | -2.5907% | Now with a pre-tax bid-YTW of 7.09% based on a bid of 18.80 and a limitMaturity. Closing Quote 18.80-09, 4×1. Day’s range of 18.50-17. |
| BMO.PR.K | PerpetualDiscount | -2.5250% | Now with a pre-tax bid-YTW of 7.13% based on a bid of 18.53 and a limitMaturity. Closing Quote 18.53-95, 21×10. Day’s range of 18.52-01. |
| PWF.PR.K | PerpetualDiscount | -2.5210% | Now with a pre-tax bid-YTW of 7.20% based on a bid of 17.40 and a limitMaturity. Closing Quote 17.40-50, 5×10. Day’s range of 16.71-76. |
| POW.PR.D | PerpetualDiscount | -2.3550% | Now with a pre-tax bid-YTW of 7.47% based on a bid of 17.00 and a limitMaturity. Closing Quote 17.00-11, 3×1. Day’s range of 16.89-41. |
| MFC.PR.B | PerpetualDiscount | -2.2346% | Now with a pre-tax bid-YTW of 6.78% based on a bid of 17.50 and a limitMaturity. Closing Quote 17.50-80, 2×19. Day’s range of 17.51-15. |
| PWF.PR.L | PerpetualDiscount | -2.2222% | Now with a pre-tax bid-YTW of 7.33% based on a bid of 17.60 and a limitMaturity. Closing Quote 17.60-94, 1×4. Day’s range of 17.61-00. |
| TCA.PR.X | PerpetualDiscount | -2.1013% | Now with a pre-tax bid-YTW of 6.37% based on a bid of 44.26 and a limitMaturity. Closing Quote 44.26-95, 5×8. Day’s range of 44.95-21. |
| BSD.PR.A | InterestBearing | +2.0168% | Asset coverage of 1.0+:1 as of November 7 according to the company. Now with a pre-tax bid-YTW of 16.60% based on a bid of 6.07 and a hardMaturity 2015-3-31 at 10.00. Closing quote of 6.07-34, 4×9. Day’s range of 6.06-50. |
| WFS.PR.A | SplitShare | +2.3313% | Asset coverage of 1.3+:1 as of November 6 according to Mulvihill. Now with a pre-tax bid-YTW of 13.34% based on a bid of 8.34 and a hardMaturity 2011-6-30 at 10.00. Closing quote of 8.34-68, 10×27. Day’s range of 8.21-50. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.D | PerpetualDiscount | 184,221 | National crossed 40,000 at 15.18, then anonymous bought 3 blocks of 10,000 each from RBC at 15.00, 14.95 & 14.95; finally, anonymous “crossed” 10,000 at 14.95. Now with a pre-tax bid-YTW of 7.66% based on a bid of 14.80 and a limitMaturity. |
| L.PR.A | Scraps (Would be OpRet but there are credit concerns) | 124,190 | CIBC crossed 100,000 at 22.95, then bought 13,600 from RBC at the same price. Now with a pre-tax bid-YTW of 7.67% based on a bid of 22.90 and a softMaturity 2015-7-30 at 25.00. |
| BPO.PR.F | Scraps (would be OpRet but there are credit concerns) | 105,408 | TD crossed 49,300 at 17.50, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 16.25% based on a bid of 17.46 and a softMaturity 2013-3-30 at 25.00. |
| GWO.PR.X | OpRet | 73,863 | CIBC crossed 71,000 at 25.00. Now with a pre-tax bid-YTW of 4.92% based on a bid of 25.05 and a softMaturity 2013-9-29 at 25.00. |
| BMO.PR.H | PerpetualDiscount | 66,370 | CIBC crossed 40,000 at 18.75, then another 20,000 at the same price. Now with a pre-tax bid-YTW of 7.09% based on a bid of 18.80 and a limitMaturity. |
| RY.PR.I | FixedReset | 58,309 | CIBC bought 10,000 from anonymous at 24.01. |
| BMO.PR.J | PerpetualDiscount | 55,940 | Nesbitt crossed 42,000 at 16.26. Now with a pre-tax bid-YTW of 6.96% based on a bid of 16.26 and a limitMaturity. |
There were thirty-seven other index-included $25-pv-equivalent issues trading over 10,000 shares today.
Although long term nominal Treasuries might be hard to sell, the story with inflation protected TIPS is even more interesting. TIPS now have quite high real yields (e.g. 3.5% real for the TIP ETF with average maturity 8.6 years).
For the nominal yield to equal the real yield basically means that Treasury investors believe the US CPI will be at the current level 7-8 years from now (zero net inflation for that horizon). Quite an amazing “forecast”!
I was most amused to see the following on the Cleveland Fed’s inflation expectation estimation site: