| 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.
This entry was posted on Wednesday, November 29th, 2006 at 10:57 pm and is filed under Market Action. 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.
[…] 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. […]