Volume continued heavy today, but should start slowing next week. Still, the deadline for tax-loss selling is Wednesday Dec 24, so we shall see!
PerpetualDiscounts now yield an average of 6.99% 7.99% pre-tax, equivalent to 9.79% 11.19% pre-tax interest at the standard 1.4x conversion factor. Long corporates are at 7.60%, so the Pre-Tax Interest-Equivalent spread is now 219bp 359bp.
Many thanks to Assiduous Reader Chris, who points out in the comments below that I am an idiot.
| 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 | 7.75% | 8.08% | 97,994 | 12.50 | 6 | -4.4604% | 684.0 |
| Floater | 8.96% | 9.01% | 77,662 | 10.44 | 2 | +4.3973% | 360.9 |
| Op. Retract | 5.50% | 6.79% | 149,966 | 4.16 | 15 | -0.1896% | 987.1 |
| Split-Share | 6.88% | 13.09% | 77,994 | 3.98 | 14 | +0.7681% | 899.3 |
| Interest Bearing | 9.80% | 21.65% | 53,709 | 2.77 | 3 | +0.2261% | 748.7 |
| Perpetual-Premium | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Perpetual-Discount | 7.86% | 7.99% | 218,843 | 11.44 | 71 | -0.3034% | 704.5 |
| Fixed-Reset | 6.05% | 5.47% | 1,228,142 | 14.37 | 18 | +0.4038% | 997.7 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.G | FixFloat | -8.7833% | |
| IAG.PR.A | PerpetualDiscount | -6.6176% | Now with a pre-tax bid-YTW of 9.11% based on a bid of 12.70 and a limitMaturity. Closing quote 12.70-19, 8×3. Day’s range of 11.99-13.60. |
| BCE.PR.R | FixFloat | -6.0000% | |
| BAM.PR.M | PerpetualDiscount | -5.9289% | Now with a pre-tax bid-YTW of 12.59% based on a bid of 9.52 and a limitMaturity. Closing quote 9.52-76, 2×3. Day’s range of 9.60-13. |
| BNA.PR.C | SplitShare | -5.7803% | Asset coverage of 1.7-:1, based on BAM.A at 17.49 and 2.4 BAM.A per preferred. Now with a pre-tax bid-YTW of 20.59% based on a bid of 8.15 and a hardMaturity 2019-01-10 at 25.00. Closing quote of 8.15-39, 2×1. Day’s range of 8.20-65. |
| BCE.PR.A | FixFloat | -5.4268% | |
| FBS.PR.B | SplitShare | -5.1881% | Asset coverage of 1.1-:1 as of December 11 according to TD Securities. Now with a pre-tax bid-YTW of 16.55% based on a bid of 7.31 and a hardMaturity 2011-12-15 at 10.00. Closing quote of 7.31-45, 10×10. Day’s range of 7.20-71. |
| BCE.PR.I | FixFloat | -4.4185% | |
| BNS.PR.J | PerpetualDiscount | -3.3315% | Now with a pre-tax bid-YTW of 7.68% based on a bid of 17.41 and a limitMaturity. Closing quote 17.41-50, 4×20. Day’s range of 17.21-09. |
| BCE.PR.Y | FixFloat | -3.0612% | |
| BAM.PR.J | OpRet | -2.8452% | Now with a pre-tax bid-YTW of 14.07% based on a bid of 14.00 and a softMaturity 2018-3-30 at 25.00. Now with a pre-tax bid-YTW of 14.00-25, 10×10. Day’s range of 14.00-15.15. |
| TD.PR.S | FixedReset | -2.7078% | |
| BAM.PR.N | PerpetualDiscount | -2.5974% | Now with a pre-tax bid-YTW of 12.29% based on a bid of 9.75 and a limitMaturity. Closing quote 9.75-84, 2×1. Day’s range of 9.51-00. |
| CIU.PR.A | PerpetualDiscount | -2.5271% | Now with a pre-tax bid-YTW of 8.63% based on a bid of 13.50 and a limitMaturity. Closing quote 13.50-71, 2×1. Day’s range of 13.50-71. |
| HSB.PR.D | PerpetualDiscount | -2.5000% | Now with a pre-tax bid-YTW of 8.06% based on a bid of 15.60 and a limitMaturity. Closing quote 15.60-25, 5×4. Day’s range of 15.75-25. |
| BNS.PR.N | PerpetualDiscount | -2.1449% | Now with a pre-tax bid-YTW of 7.93% based on a bid of 16.88 and a limitMaturity. Closing quote 16.88-30, 4×7. Day’s range of 16.85-70. |
| SLF.PR.A | PerpetualDiscount | +2.0423% | Now with a pre-tax bid-YTW of 8.24% based on a bid of 14.49 and a limitMaturity. Closing quote 14.49-50, 1×38. Day’s range of 14.12-50. |
| BAM.PR.B | Floater | +2.1472% | |
| WFS.PR.A | SplitShare | +2.1879% | Asset coverage of 1.2+:1 as of December 4 according to Mulvihill. Now with a pre-tax bid-YTW of 15.29% based on a bid of 7.94 and a hardMaturity 2011-6-30 at 10.00. Closing quote of 7.94-26, 50×22. Day’s range of 7.51-10. |
| FFN.PR.A | SplitShare | +2.4320% | Asset coverage of 1.3+:1 as of November 28 according to the company. Now with a pre-tax bid-YTW of 12.23% based on a bid of 7.16 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 7.16-32, 40×10. Day’s range of 6.74-25. |
| TD.PR.A | FixedReset | +2.8169% | |
| DFN.PR.A | SplitShare | +2.8249% | Asset coverage of 1.7+:1 as of November 28 according to the company. Now with a pre-tax bid-YTW of 7.22% based on a bid of 9.10 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 9.10-19, 25×18. Day’s range of 8.89-10. |
| DF.PR.A | SplitShare | +2.9139% | Asset coverage of 1.4+:1 as of November 28 according to the company. Now with a pre-tax bid-YTW of 10.49% based on a bid of 7.77 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 7.77-10, 4×5. Day’s range of 7.55-78. |
| LFE.PR.A | SplitShare | +3.0864% | Asset coverage of 1.6-:1 as of November 28 according to the company. Now with a pre-tax bid-YTW of 10.57% based on a bid of 8.35 and a hardMaturity 2012-12-1 at 10.00. Closing quote of 8.35-87, 22×1. Day’s range of 8.00-37. |
| BAM.PR.K | Floater | +6.5350% | |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| TD.PR.C | FixedReset | 119,190 | National crossed one block of 50,000 at 25.00 and another at 25.01. |
| BNS.PR.L | PerpetualDiscount | 77,915 | Nesbitt crossed 53,300 at 15.30. Now with a pre-tax bid-YTW of 7.49% based on a bid of 15.30 and a limitMaturity. |
| RY.PR.N | FixedReset | 75,690 | National crossed 43,200 at 25.21. |
| BNS.PR.M | PerpetualDiscount | 74,964 | Nesbitt crossed 53,300 at 15.30. Now with a pre-tax bid-YTW of 7.48% based on a bid of 15.33 and a limitMaturity. |
| BMO.PR.N | FixedReset | 73,230 | Nesbitt bought 10,000 from National at 24.99. New issue settled yesterday. |
There were seventy-four index-included $25-pv-equivalent issues trading over 10,000 shares today
PerpetualDiscounts now yield an average of 6.99% pre-tax, equivalent to 9.79% pre-tax interest at the standard 1.4x conversion factor. Long corporates are at 7.60%, so the Pre-Tax Interest-Equivalent spread is now 219bp.
I think you mean 7.99% (according to your table and consistent with recent posts). So that’s a more interesting pre-tax equivalent of 11.19% and a spread of 359bp to long corporates…
Quite right, and thank you.
PrefBlog’s proofreader will be executed.
Sweet, I made it to Assiduous Reader status!
But, hey, the least us readers can do in exchange for your dedication to this invaluable blog is do a bit of proof reading.