Spend-every-penny announced today that the proper manner to fight imminent recession is to cut government spending, end the right to strike for civil servants and eliminate the pension problem by eliminating the rules.
After thirteen straight trading days of losses, eight of which were over 1%, and cumulatively a stunning crash of 19.53% … the Americans stayed home to eat turkey … and the PerpetualDiscount market went up!
| 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 | 6.81% | 7.17% | 75,012 | 13.47 | 6 | -0.6039% | 771.8 |
| Floater | 10.59% | 10.92% | 58,778 | 8.74 | 2 | -13.5665% | 334.0 |
| Op. Retract | 5.51% | 6.82% | 137,532 | 4.17 | 15 | +0.3483% | 979.3 |
| Split-Share | 7.71% | 16.43% | 69,267 | 3.68 | 12 | -0.3225% | 802.2 |
| Interest Bearing | 9.33% | 19.86% | 59,862 | 2.94 | 3 | -0.6884% | 782.5 |
| Perpetual-Premium | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Perpetual-Discount | 8.32% | 8.44% | 187,123 | 10.99 | 71 | +2.2778% | 662.5 |
| Fixed-Reset | 6.10% | 5.73% | 1,077,888 | 14.07 | 12 | -0.4512% | 974.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -15.1282% | |
| BAM.PR.B | Floater | -12.0000% | |
| FFN.PR.A | SplitShare | -6.1873% | Asset coverage of 1.4+:1 as of November 14 according to the company. Now with a pre-tax bid-YTW of 17.47% based on a bid of 5.61 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 5.60-69, 291×2. Day’s range of 5.50-98. |
| BNA.PR.A | SplitShare | -6.0052% | Asset coverage of 1.7+:1 as of today, based on BAM.A at 18.11 and 2.4 BAM.A shares per BNA unit. Now with a pre-tax bid-YTW of 26.55% based on a bid of 18.00 and a hardMaturity 2010-9-30 at 25.00. Closing quote of 18.00-50, 10×12. Day’s range of 18.85-15. |
| BCE.PR.R | FixFloat | -5.7648% | |
| BNA.PR.B | SplitShare | -5.4886% | See BNA.PR.A, above. Now with a pre-tax bid-YTW of 15.01% based on a bid of 14.12 and a hardMaturity 2016-3-25 at 25.00. Closing quote of 14.12-16.47 (!), 5×2. Day’s range of 13.06-15.20 (!). |
| W.PR.J | PerpetualDiscount | +5.0286% | Now with a pre-tax bid-YTW of 9.08% based on a bid of 15.76 and a limitMaturity. Closing quote 15.76-89, 4×1. Day’s range of 14.51-15.99. |
| FBS.PR.B | SplitShare | +5.2679% | Asset coverage of 1.1-:1 as of November 20 according to TD Securities. Now with a pre-tax bid-YTW of 16.62% based on a bid of 7.25 and a hardMaturity 2011-12-15 at 10.00. Closing quote of 7.25-49, 49×46. Day’s range of 7.11-49. |
| PWF.PR.F | PerpetualDiscount | +5.3571% | Now with a pre-tax bid-YTW of 9.06% based on a bid of 14.75 and a limitMaturity. Closing quote 14.75-40, 9×3. Day’s range of 14.60-49. |
| NA.PR.L | PerpetualDiscount | +5.3725% | Now with a pre-tax bid-YTW of 8.35% based on a bid of 14.71 and a limitMaturity. Closing quote 14.71-48, 4×5. Day’s range of 13.96-70. |
| IAG.PR.A | PerpetualDiscount | +5.4936% | Now with a pre-tax bid-YTW of 8.70% based on a bid of 13.25 and a limitMaturity. Closing quote 13.25-40, 18×12. Day’s range of 12.56-40. |
| CM.PR.G | PerpetualDiscount | +6.0362% | Now with a pre-tax bid-YTW of 8.70% based on a bid of 15.81 and a limitMaturity. Closing quote 15.81-94, 3X2. Day’s range of 15.03-94. |
| RY.PR.A | PerpetualDiscount | +7.00% | Now with a pre-tax bid-YTW of 7.49% based on a bid of 14.99 and a limitMaturity. Closing quote 14.99-00, 2×8. Day’s range of 14.50-00. |
| GWO.PR.I | PerpetualDiscount | +7.1249% | Now with a pre-tax bid-YTW of 8.31% based on a bid of 13.57 and a limitMaturity. Closing quote 13.57-10, 2×5. Day’s range of 13.37-20. |
| POW.PR.A | PerpetualDiscount | +7.5299% | Now with a pre-tax bid-YTW of 9.37% based on a bid of 15.28 and a limitMaturity. Closing quote 15.28-75, 10×6. Day’s range of 15.55-85. |
| GWO.PR.G | PerpetualDiscount | +7.9170% | Now with a pre-tax bid-YTW of 8.68% based on a bid of 15.01 and a limitMaturity. Closing quote 15.01-12, 1×4. Day’s range of 14.21-15.40. |
| POW.PR.B | PerpetualDiscount | +12.2807% | Now with a pre-tax bid-YTW of 8.54% based on a bid of 16.00 and a limitMaturity. Closing quote 16.00-95, 7×2. Day’s range of 14.46-15.80. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| GWO.PR.J | FixedReset | 358,750 | Eight blocks totalling 182,100 shares. New Issue settled today. |
| TD.PR.N | OpRet | 103,250 | CIBC crossed 100,000 at 25.25. Now with a pre-tax bid-YTW of 4.48% based on a bid of 25.25 and a softMaturity 2014-1-30 at 25.00. |
| WFS.PR.A | SplitShare | 128,900 | Desjardins crossed 100,000 at 8.00. Asset coverage of 1.1+:1 as of November 20 according to Mulvihill. Now with a pre-tax bid-YTW of 16.40% based on a bid of 7.83 and a hardMaturity 2011-6-30 at 10.00. |
| BNS.PR.N | PerpetualDiscount | 51,543 | Now with a pre-tax bid-YTW of 8.37% based on a bid of 15.94 and a limitMaturity. |
| CM.PR.H | PerpetualDiscount | 38,582 | Now with a pre-tax bid-YTW of 8.87% based on a bid of 13.78 and a limitMaturity. |
There were fifty-three other index-included $25-pv-equivalent issues trading over 10,000 shares today.
Firstly, thank you very much.
This blog is most helpful for a neophyte pref investor like me and most appreciated.
I don’t know if I have it right but I wanted to let you know that your comment on FFN.PR.A may have a typo error or a data error. According to SEDAR filings that I read, the “hard maturity” date is 2005-12-1 not 2014-12-1.
I would be pleased to send you the reference document if wish.It was the MANAGEMENT INFORMATION CIRCULAR FOR THE SPECIAL MEETING OF SHAREHOLDERS TO BE HELD ON JULY 23, 2008.
The terms of FFN.PR.A were changed. The original hardMaturity date was 2009-12-1 according to the prospectus.
I believe you may be referring to the Special Meeting of FTN.PR.A holders, which was reported on PrefBlog and also resulted in a change of terms.
Thank you, I stand corrected.
That is why you are the Master and I am the Grasshopper (notwithstanding that grasshoppers don’t usually eat crow) and why it’s time for me to get stronger reading glasses.
I am changing my log in to grasshopper as penance.
Keep trying! There’s a lot of data used in preferred share analysis. Sometimes the HIMIPref™ data is wrong; sometimes I transcribe it incorrectly. And there are necessarily a lot of assumptions built in to the model … so if something doesn’t make sense to you, ask about it!