April 30, 2007

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 4.56% 4.61% 42,404 16.40 2 -0.6230% 972.0
Fixed-Floater 5.48% 4.52% 122,596 16.47 6 +0.1112% 942.8
Floater 4.56% -19.27% 60,029 4.18 4 -0.0196% 1,062.0
Op. Retract 4.74% 3.12% 83,261 2.59 17 -0.0409% 1,032.5
Split-Share 5.04% 4.34% 177,507 4.01 12 -0.1518% 1,044.5
Interest Bearing 6.50% 4.87% 61,407 2.25 5 -0.2148% 1,047.8
Perpetual-Premium 5.07% 4.53% 219,572 6.15 54 -0.0271% 1,051.2
Perpetual-Discount 4.58% 4.61% 936,660 16.20 12 -0.2193% 1,054.1
Major Price Changes
Issue Index Change Notes
CM.PR.R OpRet Hit a 52-week low of 25.52 on volume of 500 – count ’em, 500 – shares, closing at 25.75-00, 2×6. Geez, this market is getting sloppy! Now with a pre-tax bid-YTW of 4.50% based on a bid of 25.75 and a softMaturity 2013-4-29 at 25.00.
Volume Highlights
Issue Index Volume Notes
RY.PR.G PerpetualDiscount 839,800 Recent new issue. Now with a pre-tax bid-YTW of 4.62% based on a bid of 24.46 and a limitMaturity.
BNS.PR.L PerpetualDiscount 133,900 Now with a pre-tax bid-YTW of 4.53% based on a bid of 24.90 and a limitMaturity.
GWO.PR.I PerpetualDiscount 57,558 Now with a pre-tax bid-YTW of 4.58% based on a bid of 24.75 and a limitMaturity.
BMO.PR.J PerpetualPremium 26,920 Now with a pre-tax bid-YTW of 4.59% based on a bid of 25.00 and a limitMaturity. Goes ex-Dividend 5/2
BAM.PR.B Floater 22,211 Pays 70% of Canadian Prime on par value. Closed at 24.80-89.

There were eleven other $25-equivalent index-included issues trading over 10,000 shares today.

6 Responses to “April 30, 2007”

  1. kaspu says:

    Why do some companies issue split=share preferreds payable as interest and others payable as dividends? Is there a list somewhere that categorically lists which is which?


    Laurence Shiff

  2. jiHymas says:

    The dividend/interest question depends on what the underlying investment of the split share corporation is. There are many such corporations (e.g., BSD, FIG) that hold income trusts. They get interest and then pass it through … if they got dividends, they would pass those through. A split-share corporation is just a closed-end mutual fund with two classes of stock … it may be easier to understand the process if you keep that firmly in mind at all times!

    As far as a definitive list is concerned – well, you could try prefInfo.com! The extreme right-hand column indicates the dividend/interest status of the payments. Otherwise, I’m afraid, you have to go to the fund’s (or sponsor’s) web-site and scour the investor information to get an answer.

  3. Drew says:

    The HIMIPref summary screen indicates that the average trading volume of CFS.PR.A is 119,000 shares, well in excess of its volume over the recent past. Could you please explain this. I am guessing that higher liquidity is positive for valuation and vice versa. If this guess is correct, what sort of impact would the actual trading volume of CFS have on its valuation score?

  4. Drew says:

    I just noticed that I posted the questions above in the wrong spot. Sorry!

  5. jiHymas says:

    I believe the 119,000 figure you are looking at is the averageTradingValue, not the volume-average.

    The relationship between the two values is:

    averageTradingValue = flatBidPrice-Average * volume-average

    Does that answer your question?

    One way to gauge the effect of liquidity on valuation is to include the field curvePrice on the reportSummary, right-clicking the field to produce the curveCalculationContextMenu, selecting “Components of Curve Price” to display the componentsOfYieldCurvePriceBox and examining the reported value for priceComponentRiskLiquidity.

    Alternatively, you could produce the reportSummary with the field priceComponentRiskLiquidity, which will report the dollar value of all these components.

    If you prefer to work with fractions of curve price, any of the curvePriceComponents may be reported as curvePriceComponentsProportions, which is simply the dollar value divided by the curvePrice.

  6. Drew says:

    Yes, you’re right – I was looking at average trading value. But even at that, that would require an average trading volume of 10000 shares. Unless my memory is deceiving me again, it does not trade anything like that volume on an average basis. Today’s trading volume of 2000 seems closer to average, if a little high.

Leave a Reply

You must be logged in to post a comment.