December 31, 2007

Hurrah! 2007 is finally over!

Strong performance from the PerpetualDiscounts again, but all this is on relatively light volume. Santa brought me exactly what I asked for.

Happy New Year! Best Wishes for 2008!

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 5.19% 5.19% 73,469 15.15 2 0.0000% 1,059.2
Fixed-Floater 4.89% 5.15% 85,409 15.30 8 +0.1145% 1,026.3
Floater 5.82% 5.84% 139,591 14.13 2 +1.0369% 829.8
Op. Retract 4.86% 3.08% 81,377 3.53 16 +0.0657% 1,039.6
Split-Share 5.31% 5.51% 107,314 4.19 15 +0.3585% 1,029.6
Interest Bearing 6.37% 6.58% 61,709 3.44 4 -0.1262% 1,058.4
Perpetual-Premium 5.82% 4.94% 79,658 5.23 11 +0.2505% 1,018.6
Perpetual-Discount 5.51% 5.42% 375,952 14.29 55 +0.8340% 928.1
Major Price Changes
Issue Index Change Notes
BAM.PR.J OpRet -1.7686% Now with a pre-tax bid-YTW of 5.15% based on a bid of 25.55 and a softMaturity 2018-3-30 at 25.00.
HSB.PR.C PerpetualDiscount +1.0725% Now with a pre-tax bid-YTW of 5.44% based on a bid of 23.56 and a limitMaturity.
ELF.PR.F PerpetualDiscount +1.1291% Now with a pre-tax bid-YTW of 6.46% based on a bid of 20.60 and a limitMaturity.
CIU.PR.A PerpetualDiscount +1.1302% Now with a pre-tax bid-YTW of 5.66% based on a bid of 20.58 and a limitMaturity.
BMO.PR.J PerpetualDiscount +1.1478% Now with a pre-tax bid-YTW of 5.39% based on a bid of 21.15 and a limitMaturity.
CM.PR.E PerpetualDiscount +1.2766% Now with a pre-tax bid-YTW of 5.88% based on a bid of 23.80 and a limitMaturity.
BAM.PR.M PerpetualDiscount +1.3767% Now with a pre-tax bid-YTW of 6.50% based on a bid of 18.41 and a limitMaturity.
BAM.PR.K Floater +1.4006%  
CM.PR.P PerpetualDiscount +1.9957% Now with a pre-tax bid-YTW of 5.81% based on a bid of 23.51 and a limitMaturity.
CM.PR.D PerpetualDiscount +2.0366% Now with a pre-tax bid-YTW of 5.85% based on a bid of 24.55 and a limitMaturity.
SLF.PR.B PerpetualDiscount +2.0947% Now with a pre-tax bid-YTW of 5.38% based on a bid of 22.42 and a limitMaturity.
RY.PR.B PerpetualDiscount +2.1998% Now with a pre-tax bid-YTW of 5.33% based on a bid of 22.30 and a limitMaturity.
ACO.PR.A OpRet +2.2684% Now with a pre-tax bid-YTW of 3.64% based on a bid of 26.60 and a call 2008-12-31 at 26.00.
HSB.PR.D PerpetualDiscount +2.3903% Now with a pre-tax bid-YTW of 5.33% based on a bid of 23.56 and a limitMaturity.
NA.PR.L PerpetualDiscount +2.4540% Now with a pre-tax bid-YTW of 5.65% based on a bid of 21.71 and a limitMaturity.
POW.PR.D PerpetualDiscount +2.4561% Now with a pre-tax bid-YTW of 5.36% based on a bid of 23.36 and a limitMaturity.
BNA.PR.C SplitShare +2.8037% Asset coverage of 3.7+:1 as of November 30, according to the company. Now with a pre-tax bid-YTW of 7.90% based on a bid of 18.70 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (5.73% to 2010-9-30) and BNA.PR.B (7.42% to 2016-3-25).
RY.PR.G PerpetualDiscount +2.8352% Now with a pre-tax bid-YTW of 5.33% based on a bid of 21.40 and a limitMaturity.
PWF.PR.L PerpetualDiscount +2.8375% Now with a pre-tax bid-YTW of 5.41% based on a bid of 23.92 and a limitMaturity.
BAM.PR.N PerpetualDiscount +3.3609% Now with a pre-tax bid-YTW of 6.38% based on a bid of 18.76 and a limitMaturity.
CM.PR.H PerpetualDiscount +3.70% Now with a pre-tax bid-YTW of 5.71% based on a bid of 21.04 and a limitMaturity.
BAM.PR.G FixFloat +4.2105%  
Volume Highlights
Issue Index Volume Notes
RY.PR.W PerpetualDiscount 46,910 RBC crossed 18,400 at 23.60. Now with a pre-tax bid-YTW of 5.26% based on a bid of 23.56 and a limitMaturity.
CM.PR.H PerpetualDiscount 19,190 Now with a pre-tax bid-YTW of 5.71% based on a bid of 21.04 and a limitMaturity.
RY.PR.D PerpetualDiscount 14,415 Now with a pre-tax bid-YTW of 5.38% based on a bid of 21.19 and a limitMaturity.
TD.PR.O PerpetualDiscount 13,195 Now with a pre-tax bid-YTW of 5.31% based on a bid of 23.18 and a limitMaturity.
CM.PR.I PerpetualDiscount 12,513 Now with a pre-tax bid-YTW of 5.77% based on a bid of 20.41 and a limitMaturity.

There were five other index-included $25.00-equivalent issues trading over 10,000 shares today.

3 Responses to “December 31, 2007”

  1. prefhound says:

    I would like to congratulate James on having been an excellent guide during a very tumultuous 2007. His unique and thorough perspectives on an important sector of the Canadian income field have flushed out numerous opportunities for me (and I hope, other investors).

    Congratulations, James and all the best in 2008.

    A dedicated fan….

  2. adrian2 says:

    Ditto.

    Another dedicated fan, from FWF

  3. jiHymas says:

    Thanks, guys! It’s nice to know I’m not just writing for myself!

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