November 29, 2006

 

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.24% 4.20% 32,632 16.91 2 -0.4784% 1,020.9
Fixed-Floater 4.81% 3.88% 102,696 8.44 7 -0.0333% 1,029.8
Floater 4.47% -22.93% 63,072 6.59 5 +0.0377% 1,038.0
Op. Retract 4.65% -0.58% 81,650 2.24 18 +0.0284% 1,031.5
Split-Share 4.98% 3.15% 144,077 3.32 9 -0.1287% 1,035.0
Interest Bearing 6.91% 5.87% 70,291 3.88 7 -0.1749% 1,021.8
Perpetual-Premium 5.05% 3.44% 209,930 4.11 48 +0.0539% 1,048.2
Perpetual-Discount 4.60% 4.61% 1,101,304 14.22 9 +0.1964% 1,046.1
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare -1.9444% Now with a pre-tax bid-YTW of 3.16%, based on a bid of $10.59 and a maturity 2009-12-01.
CL.PR.B PerpetualPremium +1.4467% Not a big trader, but enough to make it into the index! This now has a pre-tax bid-YTW of -3.63, based on a bid of $26.30 and a call 2007-1-30 at $26.00, which would seem to limit the upside considerably! Buyers appear to be hoping it will last longer, say to a $25.00 call 2011-1-30, which results in a +4.76%, but come on, now! The thing pays $1.5625 – what treasurer will let it live? Canada Life is owned by Great-West Lifeco, who are not known for their complete lack of knowledge regarding the preferred share market.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 193,952 Recent new issue.
ACO.PR.A OperatingRetractible 150,294 This has been showing up a lot lately, on both price and volume counts. Today Nesbitt crossed 150,000 at $28.26 and it closed at 28.10 bid, for a pre-tax YTW of 1.58% based on a call 2008-12-31 at $26.00. Is somebody trying to sell an elephant?
WN.PR.E PerpetualDiscount 125,311 Maybe a PerpetualDiscount now, but not for long, maybe! RBC crossed 100,000 at $25.15 and it closed at $25.15 bid for a limitMaturity of 4.78%.
RY.PR.C PerpetualPremium 102,736 Recent new issue
MFC.PR.C PerpetualDiscount 65,955 Closed at $24.96 bid for a pre-tax YTW of 4.50% based on a limit maturity.

There were fourteen other index-included issues trading over 10,000 shares today.

3 Responses to “November 29, 2006”

  1. […] There were a number of index-included issues with superb monthly performance, led by ACO.PR.A +3.75% (I don’t understand it – see November 29 – it’s trading a lot, but the yield is very low), closely followed by FFN.PR.A +3.49% (which is simply ridiculous. […]

  2. […] Not usually much of a trader, but RBC crossed 150,000 at 26.15 for cash and Nesbitt crossed the same amount at 25.97 for delayed delivery … very similar to the trading on December 18! Hmmmm….. I pontificated November 29 that this was a prime candidate for redemption, but there’s been no news yet. The pre-tax bid-YTW is now 1.65% based on a bid of $26.09 and a call 2007-1-30 at 26.00. The next ex-date is 2007-3-1, so if the funny settlements are a dividend capture/avoidance game, it’s a deep one! […]

  3. […] As noted in the January 5, 2007, Commentary, the yieldToWorst on CL.PR.B has gone negative … again! This happened previously on November 29, 2006 and I suggested then – and I still suggest – that this issue is a prime candidate for redemption. […]

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