{"id":1660,"date":"2008-01-07T22:29:39","date_gmt":"2008-01-08T02:29:39","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1660"},"modified":"2008-01-07T22:29:39","modified_gmt":"2008-01-08T02:29:39","slug":"january-7-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1660","title":{"rendered":"January 7, 2008"},"content":{"rendered":"

I received\u00a0an eMail from an Assiduous Reader today, asking whether I agreed that the pref market was looking rather frothy.<\/p>\n

Well – I agree it’s frothy, in that there are huge discrepencies between\u00a0issues –\u00a0it’s not too difficult to pick pairs of issues where one is\u00a0as obviously expensive as the other is cheap. However,\u00a0“frothy”\u00a0has a connotation\u00a0of “toppy”, and I’m not so sure that I agree with the word as far as that goes. Having a look at the four bellwether indices:<\/p>\n

\n\n\n\n\n\n\n\n
Index Performance<\/td>\n<\/tr>\n
Index<\/td>\nNow<\/td>\nTrough<\/td>\nTrough
\nDate<\/td>\n		Zero
\nReturn
\nSince<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n937.1<\/td>\n899.0<\/td>\n2007-11-27<\/td>\n2007-10-5<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n1,043.9<\/td>\n997.8<\/td>\n2007-10-23<\/td>\n2007-9-27<\/td>\n<\/tr>\n
SplitShare<\/td>\n1,043.9<\/td>\n1043.9<\/td>\n2007-11-26<\/td>\n2007-10-19<\/td>\n<\/tr>\n
OpRet<\/td>\n1,042.1<\/td>\n1025.5<\/td>\n2007-10-29<\/td>\nNow at Peak<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Toppy? It looks more as if the\u00a0bad dream of the fourth quarter has faded like gossamer … one might be able to make the case that\u00a0the\u00a0OpRet Index<\/a> is toppy, since there’s not much interest-equivalent premium to bonds … but PerpetualDiscounts still have an average pre-tax bid-YTW of 5.49 … interest-equivalent of 7.69% … long corporates are a shade over 5.6%, according to Canadian Bond Indices<\/a> …. this is within spitting distance of the October 30 spread<\/a>.<\/p>\n

Meanwhile, long Canadas yield 4.04% (!) for an interest-equivalent spread of about 365bp – this has widened considerably since this was checked<\/a> on October 10.<\/p>\n

So, as with all market-timing type questions, I will respond … “You’re asking me<\/em>?”<\/p>\n

Volume picked up slightly, but not much, on another good day. BNA.PR.C was astounding.<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
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<\/strong><\/td>\n<\/tr>\n
Index<\/td>\nMean Current Yield (at bid)<\/td>\nMean YTW<\/td>\nMean Average Trading Value<\/td>\nMean Mod Dur (YTW)<\/td>\nIssues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n5.63%<\/td>\n5.71%<\/td>\n64,106<\/td>\n15.54<\/td>\n2<\/td>\n-6.9095%<\/td>\n999.3<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.93%<\/td>\n5.31%<\/td>\n74,647<\/td>\n15.12<\/td>\n9<\/td>\n+0.3720%<\/td>\n1,032.3<\/td>\n<\/tr>\n
Floater<\/td>\n5.20%<\/td>\n5.24%<\/td>\n92,932<\/td>\n15.18<\/td>\n3<\/td>\n+1.6065%<\/td>\n845.9<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.82%<\/td>\n2.89%<\/td>\n80,208<\/td>\n3.42<\/td>\n15<\/td>\n+0.0854%<\/td>\n1,042.1<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.24%<\/td>\n5.35%<\/td>\n103,607<\/td>\n4.34<\/td>\n15<\/td>\n+0.7011%<\/td>\n1,043.9<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.32%<\/td>\n6.50%<\/td>\n59,540<\/td>\n3.44<\/td>\n4<\/td>\n+0.1795%<\/td>\n1,066.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.76%<\/td>\n4.70%<\/td>\n66,654<\/td>\n4.97<\/td>\n12<\/td>\n+0.1172%<\/td>\n1,020.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.46%<\/td>\n5.49%<\/td>\n355,590<\/td>\n14.68<\/td>\n54<\/td>\n+0.2441%<\/td>\n937.1<\/td>\n<\/tr>\n<\/table>\n<\/div>\n
\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BCE.PR.B<\/td>\nRatchetRate<\/td>\n-15.1515%<\/td>\nShoot the market maker! 150 shares traded at 24.75 at 10:44 am, and that was it for the day. Closed at 21.00-24.75, 10×6.<\/td>\n<\/tr>\n
LBS.PR.A<\/td>\nSplitShare<\/td>\n-1.1823%<\/td>\nAsset coverage of just under 2.3:1 as of January 3, according to Brompton Group<\/a>. Now with a pre-tax bid-YTW of 5.20% based on a bid of 10.03 and a hardMaturity<\/a> 2013-11-29 at 10.00.<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.1261%<\/td>\nNow with a pre-tax bid-YTW of 5.17% based on a bid of 21.95 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nPerpetualDiscount<\/td>\n+1.0143%<\/td>\nNow with a pre-tax bid-YTW of 5.28% based on a bid of 21.91 and a limitMaturity.<\/td>\n<\/tr>\n
WFS.PR.A<\/td>\nSplitShare<\/td>\n+1.0891%<\/td>\nAsset coverage of just under 2.0:1 as of December 31 according to Mulvihill<\/a>. Now with a pre-tax bid-YTW of 4.65% based on a bid of 10.21 and a hardMaturity 2011-6-30 at 10.00.<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetualDiscount<\/td>\n+1.4298%<\/td>\nNow with a pre-tax bid-YTW of 5.38% based on a bid of 24.12 and a limitMaturity.<\/td>\n<\/tr>\n
BCE.PR.Z<\/td>\nFixFloat<\/td>\n+1.5580%<\/td>\n\u00a0<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetualDiscount<\/td>\n+1.7447%<\/td>\nNow with a pre-tax bid-YTW of 5.26% based on a bid of 23.91 and a limitMaturity.<\/td>\n<\/tr>\n
BNA.PR.B<\/td>\nSplitShare<\/td>\n+1.9946%<\/td>\nAsset coverage of 3.7+:1 as of November 30, according to the company<\/a>. Now with a pre-tax bid-YTW of 6.66% based on a bid of 22.50 and a hardMaturity 2016-3-25 at 25.00.<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n+2.3047%<\/td>\n\u00a0<\/td>\n<\/tr>\n
FBS.PR.B<\/td>\nSplitShare<\/td>\n+2.5773%<\/td>\nAsset coverage of just under 1.7:1 as of January 3, according to TD Securities<\/a>. Now with a pre-tax bid-YTW of 5.01% based on a bid of 9.95 and a hardMaturity 2011-12-15 at 10.00.<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n+2.7042%<\/td>\n\u00a0<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n+7.1212%<\/td>\nAsset coverage of 3.7+:1 as of November 30, according to the company<\/a>. Now with a pre-tax bid-YTW of 6.37% based on a bid of 21.21 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (6.10% to 2010-9-30) and BNA.PR.B (6.66% to 2016-3-25). Believe it or not, this return is actually legitimate. A burst of trading (of 6,400 shares, all purchased by RBC) took the price up from 20.82 at 3:48pm to 21.64 at 3:59pm. Closed at 21.21-64, 5×10. Will it last?<\/td>\n<\/tr>\n<\/table>\n<\/div>\n
\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nVolume<\/td>\nNotes<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetualDiscount<\/td>\n57,552<\/td>\nNow with a pre-tax bid-YTW of 6.38% based on a bid of 18.80 and a limitMaturity.<\/td>\n<\/tr>\n
WFS.PR.A<\/td>\nSplitShare<\/td>\n116,700<\/td>\nRBC crossed 75,000 at 10.37. See above for issue characteristics.<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetualDiscount<\/td>\n35,200<\/td>\nNow with a pre-tax bid-YTW of 6.47% based on a bid of 18.54 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.D<\/td>\nPerpetualDiscount<\/td>\n18,350<\/td>\nNow with a pre-tax bid-YTW of 5.28% based on a bid of 21.54 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nPerpetualDiscount<\/td>\n17,840<\/td>\nNow with a pre-tax bid-YTW of 5.25% based on a bid of 23.10 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

There were seven other index-included $25.00-equivalent issues trading over 10,000 shares today.\n<\/p>\n

<\/p>\n","protected":false},"excerpt":{"rendered":"

I received\u00a0an eMail from an Assiduous Reader today, asking whether I agreed that the pref market was looking rather frothy. Well – I agree it’s frothy, in that there are huge discrepencies between\u00a0issues –\u00a0it’s not …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-1660","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1660","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=1660"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1660\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1660"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1660"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1660"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}