| 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 |
4.26% |
4.27% |
36,532 |
16.91 |
1 |
+0.1622% |
1,019.9 |
| Fixed-Floater |
4.80% |
3.71% |
96,007 |
6.65 |
7 |
+0.1917% |
1,031.8 |
| Floater |
4.46% |
-21.20% |
61,799 |
6.57 |
5 |
+0.0080% |
1,038.3 |
| Op. Retract |
4.63% |
-0.95% |
81,820 |
2.21 |
17 |
-0.0563% |
1,032.6 |
| Split-Share |
5.11% |
2.92% |
152,466 |
2.73 |
8 |
+0.1561% |
1,040.9 |
| Interest Bearing |
6.89% |
5.76% |
73,261 |
2.36 |
7 |
+0.1581% |
1,026.0 |
| Perpetual-Premium |
5.02% |
3.45% |
259,049 |
4.63 |
51 |
-0.0192% |
1,050.6 |
| Perpetual-Discount |
4.58% |
4.58% |
1,006,272 |
16.28 |
6 |
+0.0004% |
1,047.9 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| FFN.PR.A |
SplitShare |
+1.2195% |
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. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| CM.PR.I |
PerpetualPremium |
124,154 |
Recent new issue, pre-tax bid-YTW of 4.66% based on a bid of $25.20 and a call 2016-3-1 at $25.00. |
| SLF.PR.D |
PerpetualDiscount |
48,801 |
Recent blue-light special, pre-tax bid-YTW of 4.57% based on a bid of $24.30 and a limitMaturity. |
| BAM.PR.M |
PerpetualDiscount |
27,260 |
Recent new issue, pre-tax bid-YTW of 4.79% based on a bid of $24.96 and a limitMaturity. |
| SLF.PR.C |
PerpetualDiscount |
21,993 |
Virtually identical to the SLF.PR.D mentioned above – same coupon & credit – and, if anything, should be priced slightly lower than SLF.PR.D since the redemption schedule starts earlier. But it closed at $24.60 bid, good for a pre-tax YTW of 4.52% based on a limitMaturity. |
| CM.PR.G |
PerpetualPremium |
20,120 |
At the closing bid of $27.11, it has a pre-tax YTW of 4.07% based on a call 2010-5-31. Since it pays $1.35, there’s at least some chance it hanging on longer while the bank saves $0.25 as the redemption price declines – if it’s called 2014-5-31 at $25.00, it will have yielded 4.19%, which doesn’t seem worthwhile. Still, of all the perpetualPremium issues in the index, there is nothing out there with a higher price AND a higher YTW. The average volume is impressive, as well, nearly double the nearest-in-volume of its higher-priced competitors. It would be most interesting to compare this with a retractible … it may be that somebody is simply assuming that it will be called and is willing to pay up for that certainty … see How Long is Forever? for an explanation of how that game works. |
There were eight other index-included issues with over 10,000 shares traded today.
This entry was posted on Tuesday, December 5th, 2006 at 11:18 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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