| 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 | 4.25% | 4.18% | 31,759 | 10.44 | 2 | -0.0592% | 1,020.3 |
| Fixed-Floater | 4.80% | 3.83% | 102,080 | 8.43 | 7 | +0.0284% | 1,030.1 |
| Floater | 4.46% | -23.39% | 62,948 | 6.59 | 5 | +0.0863% | 1,038.9 |
| Op. Retract | 4.65% | -0.83% | 81,579 | 2.24 | 18 | +0.1305% | 1,032.8 |
| Split-Share | 4.96% | 2.89% | 142,601 | 3.31 | 9 | +0.4596% | 1,039.8 |
| Interest Bearing | 6.92% | 5.91% | 70,697 | 3.87 | 7 | -0.0537% | 1,021.2 |
| Perpetual-Premium | 5.04% | 3.41% | 207,761 | 4.06 | 48 | +0.1714% | 1,050.0 |
| Perpetual-Discount | 4.60% | 4.61% | 1,094,641 | 14.20 | 9 | +0.0318% | 1,046.4 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BSD.PR.A | InterestBearing | -1.1089% | Still bouncing around. It will be most interesting to see what has happened with respect to the annual redemption feature. |
| FFN.PR.A | SplitShare | +1.4164% | Add this one to the list of Issues I Don’t Understand. At the closing bid of $10.74, this issue has a YTW of 2.66% based on its maturity 2009-12-01 at $10.00. Bond-equivalent is 3.72%, you can do better than that with a three-year Canada. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CM.PR.I | PerpetualDiscount | 96,275 | Recent new issue. |
| SLF.PR.D | PerpetualDiscount | 51,020 | Recent blue-light special. |
| GWO.PR.I | PerpetualDiscount | 38,150 | Closed at $24.66-69 for a YTW of 4.55% based on a limitMaturity. |
| BAM.PR.M | PerpetualDiscount | 25,570 | Recent New Issue. |
| ELF.PR.G | PerpetualPremium | 25,500 | Nesbitt bought every share traded, in six tranches. At the closing bid of $25.41, YTW is 4.63% based on a call at par 2015-11-16. |
There were thirteen other index-included issues trading over 10,000 shares today.
[…] PrefBlog Canadian Preferred Shares – Data and Discussion « November 30, 2006 HIMI Preferred Indices : March 1996 » […]
[…] Well, I didn’t understand it on November 30 and I don’t understand it now. Why is this stuff trading at such stratospheric levels? At the closing bid of $10.79, it has a pre-tax bid-YTW of 2.50% based on a hard maturity 2009-12-01 – bond equivalent is 3.50%, less than treasury bills! The capital units closed today at $15.38-49 and the last NAVPU was November 30, 2006 at $26.67. Hmmm … according to their prospectus, the prefs are not redeemable. You can only submit a matched unit in October. The price of a matched pair today is $26.17, total, at the bid, almost 1.9% below the NAV. Or, it could be that capital units have been submitted for regular monthly retraction, at 96% of 26.67, which is $25.60, less the price to the company of buying the pref, which we’ll call $10.79, leaving $14.81, which isn’t enough to make sense unless banks have really shot through the roof! Well, either people are bidding up the prefs to settle down and wait for next October’s concurrent retraction (buying units at a 2% discount to Nov 30’s NAV) or … the market is nuts. One or the other, as far as I can see. […]