| 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.
[…] 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. […]
[…] 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! […]
[…] 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. […]