Monday, July 2, 2012

CEF premium snapshot for week beginning July 2, 2012

Came back from two weeks away to find The Great Incredible Paper Chase as alive as ever, with HY premiums 1.18 stdevs above mean and weighted-average premiums at 17% for the sector. National, CA and NY muni funds all back near 1stdev richness and senior loans flirting with 9m highs as the premium range compresses to the upside. The loan stand-out are covered call funds, which are .83 stdevs cheap to mean with the bulk of the funds (> 50%) trading with discounts higher than 10% and over 60% of fund discounts 0.5 stdevs higher (cheaper) than their historical mean. There appears to be relative value in this sector for the total-return focused investor that doesn't mind missing out on some upside if a long, rapid and sustained rally in equity occurs.

National Municipal
NY Municipal
CA Municipal
High Yield Corp
Senior Loan
Covered Call

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