| 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.
[…] 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. […]