Mean-YTW on SplitShare Index Goes Negative!

As noted on the January 9, 2007 Market Action report, the mean-yield-to-worst on the Split Share index has now gone negative.

This is due to the exceptional performance of DIV.PR.A, which had a stellar bid/bid return today of +1.2128%, despite the fact that it is currently callable at prices well below its current quotation. Will the market never learn?

Even after the recent call for redemption of the CVF.PR.A shares (under the same management as DIV.PR.A), people still do these things. If I thought that they were knowingly taking the risk, having explicitly taken a view on the likelihood of redemtption, it wouldn’t bother me so much … but that’s not what I think and I am bothered.

A portfolio evaluation of the split-share index as of today is available here.

This entry was posted on Tuesday, January 9th, 2007 at 11:19 pm and is filed under Index Construction / Reporting. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

2 Responses to “Mean-YTW on SplitShare Index Goes Negative!”

  1. PrefBlog » Blog Archive » DIV.PR.A to be Redeemed says:
    February 5, 2007 at 5:29 pm

    […] I mentioned this issue in the post Mean-YTW on SplitShare Index Goes Negative! […]

  2. PrefBlog » Blog Archive » February 2, 2007 says:
    February 5, 2007 at 8:45 pm

    […] Still with a pre-tax bid-YTW of -11.19%, (yes, that’s NEGATIVE DOUBLE FIGURES) based on a bid of $25.70 and an immediate call at $25.20. This possibility was discussed briefly on January 9 when the yield-to-worst on the SplitShare index went negative. […]

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