December 31, 2008

Well, holy-smokes-and-a-half, that’s all I can say! Preferreds continued to rocket upwards on normal-for-non-tax-loss-selling-season volume. PerpetualDiscounts were at their lowest on December 22; in the five trading days since they they are up 14.29%, with yield coming in from 8.40% to 7.37%. A little over a point! Maybe I’ll stretch a point, and make that holy-smokes-and-three-quarters.

I’ll bet some shops took a week off in the middle of portfolio rebalancing since nothing would be happening – that’ll teach them to whimper about their precious work-life balance!

That was sufficient to bring the monthly return on the PerpetualDiscount subindex to +11.45%, the best month in my records. Unfortunately, I now have to throw out all those abject client letters I was drafting, since I can now point out that preferreds really do go up sometimes and really are different from equities. Thank you Santa!

How about a bond comparison? Long corporates were up 1.64% on the month and down 11.70% on the year (PerpetualDiscounts were down 17.11% on the year), with the bonds continuing to yield 7.50%, or maybe a shade under. The PerpetualDiscount yield of 7.37% at the close today equates to 10.32% at the standard 1.4x equivalency factor, so the spread is still an impressive 282bp.

And so goes another year! Happy New Year, everybody, and good riddance to the old one!

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.
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 7.92% 7.94% 137,402 12.81 7 +3.0001% 674.9
Floater 6.78% 6.82% 92,609 12.76 2 +8.6411% 480.8
Op. Retract 5.43% 6.14% 166,476 3.49 14 +0.0941% 1,005.5
Split-Share 6.32% 10.57% 91,689 3.95 15 +1.6133% 984.3
Interest Bearing 9.12% 17.04% 57,778 2.85 3 +3.2056% 824.5
Perpetual-Premium N/A N/A N/A N/A N/A N/A N/A
Perpetual-Discount 7.27% 7.37% 245,157 12.14 71 +2.9405% 769.3
Fixed-Reset 5.93% 4.94% 979,322 15.00 18 +0.5939% 1,021.3
Major Price Changes
Issue Index Change Notes
BAM.PR.M PerpetualDiscount +4.0816% Now with a pre-tax bid-YTW of 11.82% based on a bid of 10.20 and a limitMaturity. Closing quote 10.20-35, 1×1. Day’s range of 10.01-30.
HSB.PR.D PerpetualDiscount +4.1509% Now with a pre-tax bid-YTW of 7.62% based on a bid of 16.56 and a limitMaturity. Closing quote 16.56-91, 39×23. Day’s range of 16.21-94.
HSB.PR.C PerpetualDiscount +4.2296% Now with a pre-tax bid-YTW of 7.46% based on a bid of 16.51 and a limitMaturity. Closing quote 17.25-73, 1×3. Day’s range of 17.35-80.
BMO.PR.L PerpetualDiscount +4.3617% Now with a pre-tax bid-YTW of 7.52% based on a bid of 19.62 and a limitMaturity. Closing quote 19.62-50, 3×1. Day’s range of 19.40-25.
NA.PR.N FixedReset +4.3821%  
TD.PR.P PerpetualDiscount +4.4421% Now with a pre-tax bid-YTW of 6.78% based on a bid of 19.75 and a limitMaturity. Closing quote 19.75-07, 5×1. Day’s range of 20.00-07.
GWO.PR.G PerpetualDiscount +4.4983% Now with a pre-tax bid-YTW of 7.24% based on a bid of 18.12 and a limitMaturity. Closing quote 18.12-46, 1×1. Day’s range of 17.63-25.
CM.PR.I PerpetualDiscount +4.5541% Now with a pre-tax bid-YTW of 7.13% based on a bid of 16.53 and a limitMaturity. Closing quote 16.53-59, 1×6. Day’s range of 16.40-69.
W.PR.H PerpetualDiscount +4.5934% Now with a pre-tax bid-YTW of 8.22% based on a bid of 16.85 and a limitMaturity. Closing quote 16.85-24, 5×8. Day’s range of 16.45-85.
CU.PR.B PerpetualDiscount +4.6125% Now with a pre-tax bid-YTW of 6.91% based on a bid of 22.00 and a limitMaturity. Closing quote 22.00-45, 5×3. Day’s range of 21.50-00.
BMO.PR.J PerpetualDiscount +4.6224% Now with a pre-tax bid-YTW of 7.12% based on a bid of 16.07 and a limitMaturity. Closing quote 16.03-20, 3×10. Day’s range of 15.96-25.
BNS.PR.M PerpetualDiscount +4.7297% Now with a pre-tax bid-YTW of 6.74% based on a bid of 17.05 and a limitMaturity. Closing quote 17.05-40, 10×19. Day’s range of 16.81-40.
BSD.PR.A InterestBearing (until midnight) +4.8346% Asset coverage of 0.8-:1 as of December 24 according to Brookfield Funds. Now with a (dubious) pre-tax bid-YTW of 25.66% based on a bid of 4.12 and a (dubious) hardMaturity 2015-3-31 at 10.00. Closing quote of 4.12-37, 4×4. Day’s range of 3.99-23.
PWF.PR.K PerpetualDiscount +4.9581% Now with a pre-tax bid-YTW of 7.77% based on a bid of 16.30 and a limitMaturity. Closing quote 16.30-84, 1×10. Day’s range of 16.20-90.
CM.PR.P PerpetualDiscount +5.0200% Now with a pre-tax bid-YTW of 7.49% based on a bid of 16.30 and a limitMaturity. Closing quote 18.41-69, 3×5. Day’s range of 17.12-18.50.
GWO.PR.I PerpetualDiscount +5.0694% Now with a pre-tax bid-YTW of 7.51% based on a bid of 15.13 and a limitMaturity. Closing quote 15.13-25, 5×4. Day’s range of 14.75-65.
POW.PR.C PerpetualDiscount +5.1364% Now with a pre-tax bid-YTW of 7.42% based on a bid of 19.65 and a limitMaturity. Closing quote 19.65-80, 1×4. Day’s range of 19.60-20.75.
BAM.PR.K Floater +5.2326%  
SLF.PR.D PerpetualDiscount +5.3352% Now with a pre-tax bid-YTW of 7.29% based on a bid of 15.40 and a limitMaturity. Closing quote 15.40-77, 7×2. Day’s range of 14.99-79.
BMO.PR.K PerpetualDiscount +5.4701% Now with a pre-tax bid-YTW of 7.21% based on a bid of 18.51 and a limitMaturity. Closing quote 18.51-84, 3×10. Day’s range of 18.46-89.
BCE.PR.A FixFloat +5.6069%  
SLF.PR.A PerpetualDiscount +5.8521% Now with a pre-tax bid-YTW of 7.28% based on a bid of 16.46 and a limitMaturity. Closing quote 16.46-69, 1×9. Day’s range of 15.75-16.75.
ELF.PR.G PerpetualDiscount +5.8824% Now with a pre-tax bid-YTW of 8.74% based on a bid of 13.68 and a limitMaturity. Closing quote 13.68-00, 5×4. No trades.
CM.PR.G PerpetualDiscount +5.9469% Now with a pre-tax bid-YTW of 7.38% based on a bid of 18.35 and a limitMaturity. Closing quote 18.35-39, 6×29. Day’s range of 17.70-39.
BAM.PR.N PerpetualDiscount +6.2245% Now with a pre-tax bid-YTW of 11.57% based on a bid of 10.41 and a limitMaturity. Closing quote 10.41-42, 7×3. Day’s range of 10.17-44.
BCE.PR.F FixFloat +6.3830%  
SBC.PR.A SplitShare +6.6584% Asset coverage of 1.3+:1 as of December 24 according to Brompton. Now with a pre-tax bid-YTW of 9.46% based on a bid of 8.65 and a hardMaturity 2012-11-30 at 10.00. Closing quote of 8.65-24, 10×3. No Trades.
POW.PR.D PerpetualDiscount +7.0130% Now with a pre-tax bid-YTW of 7.63% based on a bid of 16.48 and a limitMaturity. Closing quote 16.48-54, 1×1. Day’s range of 16.03-60.
FIG.PR.A InterestBearing +7.5768% Asset coverage of 1.1-:1 based on Capital Unit NAV of 1.31 as of December 30 and 0.71 Capital Units per Preferred. Now with a pre-tax bid-YTW of 14.87% based on a bid of 6.70 and a hardMaturity 2014-12-31 at 10.00. Closing quote of 6.70-24, 5×7. Day’s range of 6.47-25.
IAG.PR.A PerpetualDiscount +7.5768% Now with a pre-tax bid-YTW of 7.37% based on a bid of 15.76and a limitMaturity. Closing quote 15.76-56, 1×4. Day’s range of 15.51-68.
BAM.PR.B Floater +12.0647%  
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 38,175 Now with a pre-tax bid-YTW of 7.13% based on a bid of 16.53 and a limitMaturity.
CM.PR.H PerpetualDiscount 36,149 Now with a pre-tax bid-YTW of 7.30% based on a bid of 16.48 and a limitMaturity.
BCE.PR.I FixFloat 35,062  
BNA.PR.C SplitShare 25,400 Now with a pre-tax bid-YTW of 19.54% based on a bid of 8.75 and a hardMaturity 2019-1-10 at 25.00.
GWO.PR.I PerpetualDiscount 21,275 Now with a pre-tax bid-YTW of 7.51% based on a bid of 15.13 and a limitMaturity.

There were twenty other index-included $25-pv-equivalent issues trading over 10,000 shares today.

Leave a Reply

You must be logged in to post a comment.