Thornburg Mortgage has been a fascinating continuing saga and I have referred to it frequently in conversation over the past six months – it was last mentioned on PrefBlog on August 22. It is the only example I know of in which preferred shareholders were the target of a partial cram-down: reorganizations and bankruptcies are usually an all-or-nothing affair for preferred shareholders, but in this instance they got partial value.
All for naught! Thornburg Mortgage is going bust.
In a startling development some US investors in AIG have been able to figure out who the villains might be (assuming there are villains) when considering excessive bonuses (assuming bonuses are excessive) and are going after the chairman of the board’s compensation committee. A Nobel prize in economics can’t be far behind.
Another banner day for preferreds, with PerpetualDiscounts leading the way and FixedResets not far behind. PerpetualDiscounts now yield 7.26%, equivalent to 10.16% interest at the standard 1.4x equivalency factor; long corporates are now at 7.4% (maybe a tad higher) for a pre-tax interest-equivalent spread of 276bp.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.0890 % | 860.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.0890 % | 1,392.1 |
| Floater | 5.67 % | 5.56 % | 75,671 | 14.57 | 2 | -1.0890 % | 1,075.4 |
| OpRet | 5.21 % | 4.78 % | 136,820 | 3.87 | 15 | 0.3322 % | 2,080.2 |
| SplitShare | 7.01 % | 11.10 % | 46,959 | 5.67 | 3 | 0.3075 % | 1,649.1 |
| Interest-Bearing | 6.18 % | 9.85 % | 31,631 | 0.72 | 1 | 0.1031 % | 1,929.6 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.9255 % | 1,530.4 |
| Perpetual-Discount | 7.09 % | 7.26 % | 154,345 | 12.29 | 71 | 0.9255 % | 1,409.4 |
| FixedReset | 6.09 % | 5.83 % | 769,743 | 13.72 | 34 | 0.5379 % | 1,834.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.E | Perpetual-Discount | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 7.57 % |
| BAM.PR.B | Floater | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 7.90 Evaluated at bid price : 7.90 Bid-YTW : 5.56 % |
| W.PR.H | Perpetual-Discount | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 19.04 Evaluated at bid price : 19.04 Bid-YTW : 7.26 % |
| TD.PR.Q | Perpetual-Discount | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 6.74 % |
| BNS.PR.O | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 20.98 Evaluated at bid price : 20.98 Bid-YTW : 6.82 % |
| GWO.PR.F | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 7.48 % |
| SLF.PR.D | Perpetual-Discount | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 14.76 Evaluated at bid price : 14.76 Bid-YTW : 7.61 % |
| RY.PR.L | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 24.28 Evaluated at bid price : 24.33 Bid-YTW : 4.89 % |
| POW.PR.B | Perpetual-Discount | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 7.69 % |
| GWO.PR.I | Perpetual-Discount | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 15.07 Evaluated at bid price : 15.07 Bid-YTW : 7.54 % |
| SLF.PR.A | Perpetual-Discount | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 7.59 % |
| RY.PR.R | FixedReset | 1.18 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 5.83 % |
| HSB.PR.C | Perpetual-Discount | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 7.26 % |
| RY.PR.H | Perpetual-Discount | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 21.39 Evaluated at bid price : 21.71 Bid-YTW : 6.60 % |
| BMO.PR.L | Perpetual-Discount | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 7.18 % |
| TD.PR.R | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 21.23 Evaluated at bid price : 21.23 Bid-YTW : 6.74 % |
| BAM.PR.H | OpRet | 1.25 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2012-03-30 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 8.10 % |
| BMO.PR.J | Perpetual-Discount | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 6.76 % |
| CM.PR.E | Perpetual-Discount | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 19.09 Evaluated at bid price : 19.09 Bid-YTW : 7.35 % |
| BNS.PR.L | Perpetual-Discount | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 16.93 Evaluated at bid price : 16.93 Bid-YTW : 6.79 % |
| MFC.PR.B | Perpetual-Discount | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 15.82 Evaluated at bid price : 15.82 Bid-YTW : 7.44 % |
| CM.PR.I | Perpetual-Discount | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 7.32 % |
| RY.PR.F | Perpetual-Discount | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 16.78 Evaluated at bid price : 16.78 Bid-YTW : 6.74 % |
| BAM.PR.I | OpRet | 1.40 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2013-12-30 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 8.93 % |
| CM.PR.G | Perpetual-Discount | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 18.53 Evaluated at bid price : 18.53 Bid-YTW : 7.30 % |
| BNS.PR.K | Perpetual-Discount | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 17.98 Evaluated at bid price : 17.98 Bid-YTW : 6.82 % |
| TD.PR.S | FixedReset | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 21.80 Evaluated at bid price : 21.86 Bid-YTW : 4.31 % |
| HSB.PR.D | Perpetual-Discount | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 7.60 % |
| W.PR.J | Perpetual-Discount | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 20.14 Evaluated at bid price : 20.14 Bid-YTW : 6.99 % |
| TD.PR.C | FixedReset | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 24.63 Evaluated at bid price : 24.68 Bid-YTW : 4.91 % |
| NA.PR.K | Perpetual-Discount | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 7.10 % |
| TD.PR.Y | FixedReset | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 22.05 Evaluated at bid price : 22.10 Bid-YTW : 4.39 % |
| BNS.PR.J | Perpetual-Discount | 1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 19.76 Evaluated at bid price : 19.76 Bid-YTW : 6.79 % |
| ELF.PR.G | Perpetual-Discount | 1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 13.51 Evaluated at bid price : 13.51 Bid-YTW : 8.85 % |
| PWF.PR.K | Perpetual-Discount | 2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 7.47 % |
| POW.PR.C | Perpetual-Discount | 2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 18.94 Evaluated at bid price : 18.94 Bid-YTW : 7.70 % |
| BNA.PR.C | SplitShare | 2.25 % | Asset coverage of 1.7-:1 as of February 28 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 11.36 Bid-YTW : 15.51 % |
| NA.PR.M | Perpetual-Discount | 2.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 7.19 % |
| RY.PR.B | Perpetual-Discount | 2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 6.67 % |
| BMO.PR.K | Perpetual-Discount | 2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 7.12 % |
| PWF.PR.G | Perpetual-Discount | 2.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 20.11 Evaluated at bid price : 20.11 Bid-YTW : 7.51 % |
| NA.PR.N | FixedReset | 2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 23.79 Evaluated at bid price : 23.86 Bid-YTW : 4.38 % |
| CM.PR.P | Perpetual-Discount | 2.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 18.83 Evaluated at bid price : 18.83 Bid-YTW : 7.32 % |
| IAG.PR.A | Perpetual-Discount | 3.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 14.76 Evaluated at bid price : 14.76 Bid-YTW : 7.87 % |
| PWF.PR.H | Perpetual-Discount | 3.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 7.65 % |
| PWF.PR.L | Perpetual-Discount | 4.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 17.08 Evaluated at bid price : 17.08 Bid-YTW : 7.64 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.X | FixedReset | 725,748 | New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 23.14 Evaluated at bid price : 25.02 Bid-YTW : 6.11 % |
| BMO.PR.O | FixedReset | 117,942 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 25.07 Evaluated at bid price : 25.12 Bid-YTW : 6.38 % |
| BMO.PR.K | Perpetual-Discount | 81,775 | Nesbitt crossed 16,000 at 18.50 and sold two blocks to Scotia at the same price, 25,000 & 12,500 shares. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 7.12 % |
| TD.PR.R | Perpetual-Discount | 54,500 | TD crossed two blocks at 21.19: 11,000 & 38,600 shares. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 21.23 Evaluated at bid price : 21.23 Bid-YTW : 6.74 % |
| MFC.PR.D | FixedReset | 53,614 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-01 Maturity Price : 24.50 Evaluated at bid price : 24.55 Bid-YTW : 6.58 % |
| GWO.PR.X | OpRet | 53,161 | TD crossed two blocks at 25.05: 25,000 & 14,000 shares. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2013-09-29 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 4.78 % |
| There were 39 other index-included issues trading in excess of 10,000 shares. | |||