January 9, 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 4.10% 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.

2 Responses to “January 9, 2007”

  1. […] PrefBlog Canadian Preferred Shares – Data and Discussion « January 9, 2007 […]

  2. […] 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. […]

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