Monday, June 11, 2012

CEF premium snapshot for week beginning June 11, 2012

The Great Incredible Paper Chase is not dead yet. Fixed cash flows are still commanding higher premiums (or lower discounts). The disparity between senior loans and high yield will not last long, though. If risk asset volatility settles down, expect senior loan funds to significantly outperform HY as the sector and the underlying asset-class offer better value. Despite a notable uptick to equity implied volatility which should lead to higher option premiums, covered call funds remain the least-loved funds. Muni funds remain well bid even as the underlying assets have failed to keep up with treasuries (ratios expanding). Notable exceptions are Build America Bond funds which carry significantly lower premiums (higher discounts) than their taxable cousins despite higher distributions.

National municipal funds
NY state municipal funds
CA state municipal funds
High yield bond funds
Senior loan funds
Covered call funds