| 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 | 4.10% | 4.02% | 42,284 | 10.66 | 2 | 0.0000% | 1,019.7 |
| Fixed-Floater | 4.96% | 3.56% | 159,126 | 8.71 | 7 | -0.0157% | 1,026.5 |
| Floater | 4.53% | -14.49% | 74,873 | 6.50 | 5 | -0.0237% | 1,019.6 |
| Op. Retract | 4.67% | 2.17% | 87,729 | 2.38 | 17 | 0.0664% | 1,019.9 |
| Split-Share | 4.93% | 3.76% | 159,658 | 3.76 | 11 | 0.0538% | 1,022.8 |
| Interest Bearing | 6.89% | 5.34% | 56,770 | 2.00 | 7 | -0.1479% | 1,022.6 |
| Perpetual-Premium | 5.09% | 3.94% | 213,929 | 4.37 | 47 | 0.0426% | 1,036.8 |
| Perpetual-Discount | 4.60% | 4.63% | 561,841 | 16.16 | 7 | 0.0468% | 1,032.1 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| MST.PR.A | InterestBearing | -1.2346% | Reverses yesterday’s gains to close with a much more reasonable bid-YTW of 5.14%. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.D | PerpetualDiscount | 493,956 | Another huge day! See SLF.PR.D : Inventory Blow-out Sale!. No significant price movement. |
| ELF.PR.G | PerpetualPremium | 237,855 | RBC crossed 75,000 at the opening at $25.15, then 100,000 @ $25.12, followed by 56,000 @ $25.13. Since this was a recent RBC bought deal, one may speculate that this was the clearance sale for this issue. |
| CM.PR.A | OpRet | 181,581 | Desjardins crossed 180,000 @ $26.78 for cash. The short-settlement was probably client-driven, since this went ex-dividend September 26. I don’t understand the lofty price on this thing, though … the YTW is a piddly 1.14%, based on a closing bid of $26.87 and a call 2007-11-30 at $25.75. There will be those that place a high probability on the “Survive Until the 2011 call @ $25.00 and pay $1.35 p.a. in the meantime” scenario, but I’m not about to put my money behind that idea! Retractables are treated as bonds for capital adequacy purposes, and can be issued to pay less than a buck. |
| SLF.PR.C | PerpetualDiscount | 181,570 | BMO bought 50,000 from Scotia @ $24.40. Given that the issues are so similar, I’ll bet a nickel that the seller’s proceeds went right into SLF.PR.D. But who … who would buy this stuff? Ticket size doesn’t seem like a sensible consideration, because even if the underwriters turned down your order for 50,000 (hah!), on a day like today you could probably fill it with 500 buys of 100 shares apiece! Short covering, maybe? Except that SLF.PR.C has traded below SLF.PR.D since the latter’s issuance, so that doesn’t really work either. |
| RY.PR.W | PerpetualPremium | 110,153 | Day’s high: $26.15. Day’s low: $26.10. Boring! |
There were nineteen other index-included issues trading over 10,000 shares today.
BMO.PR.G
Wednesday, October 25th, 2006We’ve had a look at RY.PR.K … now let’s have a look at the other constituent of the HIMI OperatingRetractible Index with a negative Yield-to-Worst: BMO.PR.G. The option schedule is:
Which, when analyzed with the 2006-10-24 closing bid of $25.59 results in the optionCalculationList:
These bonds are not recommended by HIMIPref™ as their Eligible For Purchase (Code) has a numerical result of “14” : “pseudoModifiedDuration (Worst) of buy side less than minimum setting”. The pseudoModifiedDurationWorstBid of this issue is 0.11 based on the following calculation:
These data are taken from the pseudoModifiedDurationCalculationBox and pseudoPortfolioReportBox.
The analyticalParametersReportBox shows that the value of minWorstBidPseudoModifiedDurationBuy is an optimizableParameter with a value currently set to 2.481. Thus, we can infer that HIMIPref™ analysis has been found to work better on a long-term portfolio basis when issues with such imminent callability are excluded from consideration.
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