When it rains, it pours! I have again been unable to get to the index rebalancing, but will do the daily return and volume charts. Monday! I’ll update the indices Monday! (unless the roof falls in)
Update 2006-11-7
| 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 | 4.14% | 4.07% | 38,445 | 10.58 | 2 | +0.3444% | 1,013.6 |
| Fixed-Floater | 4.83% | 3.98% | 139,618 | 9.01 | 7 | +0.0295% | 1024.7 |
| Floater | 4.51% | -19.22% | 70,655 | 6.53 | 5 | +0.2632% | 1,027.2 |
| Op. Retract | 4.67% | 1.19% | 83,496 | 2.29 | 18 | -0.0444% | 1,023.2 |
| Split-Share | 5.03% | 3.71% | 182,023 | 3.36 | 9 | 0.1228% | 1,022.4 |
| Interest Bearing | 6.93% | 5.41% | 58,898 | 2.42 | 7 | 0.0786% | 1,017.2 |
| Perpetual-Premium | 5.07% | 3.92% | 247,576 | 3.92 | 49 | +0.0681% | 1,041.5 |
| Perpetual-Discount | 4.58% | 4.62% | 603,240 | 16.17 | 7 | -0.0342% | 1,036.1 |
End of 2006-11-7 Update
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BSD.PR.A | InterestBearing | -1.0989% | Yet another apparent victim of “I-don’t-want-anything-to-do-with-income-trusts!” syndrome, as this one is also ultimately dependent upon a portfolio of Canada’s favourite investment. According to their June 30, 2006 financial statement, they had assets of $154-million to cover preferred securities of $68-million (rounded figures). Applying yesterday’s approximation of a 15.4% loss since then, we are left with $130-million in assets, for a coverage ratio of 1.9:1. This is not as good as the two other Income Trust based prefs examined earlier, but is still a long way away from panic time. This issue will not pay distributions to the capital unit holders if the coverage is less than 1.4:1. YTW at the bid of 9.90 is 6.33% based on a maturity 2015-3-31. |
| STW.PR.A | InterestBearing | +1.6000% | Bouncing back from yesterday! Pre-tax YTW is 5.60% based on a bid price of $10.16 and a maturity 2009-12-31. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| WN.PR.E | PerpetualDiscount | 63,053 | Closed at $24.95-00, making a determined effort to get into “PerpetualPremium” territory! The bid-side YTW is 4.87%, based on a call at $25.00, 2015-7-31. |
| PIC.PR.A | SplitShare | 58,842 | RBC sold 10,000 to Scotia @ 16.02, then crossed 38,989 @ $16.03 for delayed delivery. Pre-tax YTW is 3.92% based on a maturity 2010-11-1. |
| BC.PR.C | FixedFloater | 53,188 | Scotia crossed 50,000 @ $25.60 in the final minutes of trading. |
| SLF.PR.D | PerpetualDiscount | 43,250 | The clearance sale mentality returned a little today, as the issue slipped a bit, to close at $24.06-09. The extremely comparable SLF.PR.C were quoted at $24.45-50. |
| CM.PR.H | PerpetualPremium | 41,475 | A good day for this issue, which gained 35bp on the day (bid/bid). YTW at the closing bid of $25.80 was 4.34%, based on a call 2014-4-29 @ $25.00. I’d be tempted to call this a result of money switching out of the CM.PR.B, which were called for redemption today … but the volume on the Bs was only 16,463 and the redemption has been anticipated for quite a while. |
There were ten other index-included issues trading over 10,000 shares today.
[…] Still bouncing around, as it has for the last two days. […]
[…] Dived to $9.77-99, but only an odd-lot of 35 shares traded at the bid – the official day’s low was $9.89. I commented on this issue on November 3: it’s not such a bad issue that it should be trading to yield 6.58% at the bid! I suspect that a lot of this volatility is caused by holders of matched units selling everything so that, essentially, a speculator has to be found to buy the capital units and a preferred security investor has to be found for the prefs … but I have nothing to back up this speculation except logic, and we all know how dangerous that is! […]