| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30 |
| Index |
Mean Current Yield (at bid) |
Mean YTW |
Mean Average Trading Value |
Mean Mod Dur (YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
4.10% |
4.11% |
28,159 |
17.23 |
1 |
+0.0403% |
1,028.0 |
| Fixed-Floater |
4.77% |
3.54% |
83,031 |
8.35 |
7 |
+0.2138% |
1,040.8 |
| Floater |
4.57% |
-22.61% |
65,413 |
4.60 |
4 |
-0.0488% |
1,042.6 |
| Op. Retract |
4.67% |
1.76% |
81,891 |
2.04 |
17 |
-0.0433% |
1,032.3 |
| Split-Share |
5.11% |
-0.33% |
189,349 |
2.25 |
10 |
+0.0979% |
1,045.8 |
| Interest Bearing |
6.70% |
5.30% |
74,556 |
2.66 |
6 |
-0.0742% |
1,035.4 |
| Perpetual-Premium |
5.01% |
3.61% |
257,288 |
4.86 |
55 |
-0.0071% |
1,054.2 |
| Perpetual-Discount |
4.50% |
4.52% |
790,212 |
16.36 |
3 |
-0.0534% |
1,056.1 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| ACO.PR.A |
OpRet |
-1.7764% |
Now with a pre-tax bid-YTW of 1.48% based on a bid of $28.20 and a call 2008-12-31 at $26.00. Even after today’s loss and even assuming there is no early call, the softMaturity at $25.00 on 2011-11-30 is not very attractive, yielding 3.07% |
| IAG.PR.A |
PerpetualPremium |
-1.3018% |
Now with a pre-tax bid-YTW of 4.61% based on a bid of $25.02 and a limitMaturity |
| DIV.PR.A |
SplitShare |
+1.2128% |
The current bid of $25.87 seems very aggressive, given that the issue is currently callable at $25.20, resulting in a pre-tax bid-YTW of -22.71% based on the call being effective 2007-2-8. It could yield 4.63% if it lasts until its maturity at $25.00 2009-12-31, but that’s a bit of a gamble. It was due to this performance – sending the issue’s YTW from negative to even more negative – that the splitShare index mean-YTW went negative. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BC.PR.B |
FixedFloater |
40,800 |
TD crossed 39,200 at 25.25. |
| CM.PR.D |
PerpetualPremium |
32,445 |
Now with a pre-tax bid-YTW of 2.91% based on a bid of $26.85 and a call at $26.00 on 2008-05-30. There are clearly some among us who think that won’t happen! |
| PWF.PR.K |
PerpetualPremium |
23,675 |
RBC crossed 20,000 at $26.30. Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.26 and a call 2014-11-30 at 25.00. |
| CM.PR.G |
PerpetualPremium |
20,815 |
Now with a pre-tax bid-YTW of 3.93% based on a bid of $26.98 and a call 2010-5-31 at $26.00 |
| CM.PR.H |
PerpetualPremium |
20,800 |
Now with a pre-tax bid-YTW of 4.69% based on a bid of 25.59 and a call 2014-04-29 at $25.00. |
There were nine other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Tuesday, January 9th, 2007 at 10:58 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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[…] PrefBlog Canadian Preferred Shares – Data and Discussion « January 9, 2007 […]
[…] 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. […]