January 10, 2007

I regret to say that indices will not be updated tonight, although the HIMIPref™ database is fully up-to-date.

What with putting the finishing touches to an article for the February issue of Canadian Moneysaver and … and and AND looking at some very interesting results for yet another measure of yield … I just ran out of time.

And I’m hungry.

Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes today.
Volume Highlights
Issue Index Volume Notes
BNA.PR.C SplitShare 798,550 New issue settled today
CM.PR.I PerpetualPremium 224,124 TD posted the last trade, a cross of 68,300 at $25.40. Now with a pre-tax bid-YTW of 4.53% based on a bid of $25.30 and a call 2016-3-1 at $25.00. Since the YTW exceeds the issue yield of the Royal, Scotia and BMO new issues, as well as having a certain amount of interest rate protection due to its higher coupon, some may conclude that this old issue is more attractive than the new ones. The volume indicates that, perhaps, many have done just that. I’m not one of them, but then, I’m a capital-gains fan. An equal number of shares were sold, of course, but the price was up today, at the issue gained 0.3172% (bid/bid).
SLF.PR.B PerpetualPremium 224,124 TD crossed 73,500 at 25.90. Now with a pre-tax bid-YTW of 4.33% based on a bid of $25.85 and a call at $25.00 2014-10-30. I say it’s expensive, but disagreement makes a market!
RY.PR.D PerpetualPremium 94,560 Nesbitt bought 21,500 from Scotia in the day’s last trade, at $25.05. It closed at 25.02-05 … basically, within transaction costs of the virtually identical new issue.
TD.PR.M OpRet 61,600 Scotia crossed 50,300 at 27.18 in the day’s last trade. Now with a pre-tax bid-YTW of 2.41% based on a bid of $27.21 and a call 2009-05-30 at $26.00. The premium declines $0.25 p.a. and the issue pays $1.175 … so who knows? It might make it to the softMaturity 2013-10-30 at $25.00, to yield 3.22%. Even the latter figure doesn’t beat bonds by much … bond-equivalent 4.51%, when seven-year bank paper yields about 4.35% … pre-tax! A lot of the stuff out there is high-coupon, no good for taxable clients.

There were twelve other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.


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 4.09% 4.10% 27,045 17.24 1 +0.0806% 1,028.8
Fixed-Floater 4.77% 3.40% 82,533 10.12 7 -0.0110% 1,040.7
Floater 4.57% -22.39% 64,560 8.25 4 -0.0490% 1,042.1
Op. Retract 4.67% 1.86% 82,649 2.04 17 +0.0923% 1,033.3
Split-Share 5.05% +0.58% 403,757 2.86 11 -0.1249% 1,044.5
Interest Bearing 6.70% 5.47% 75,125 2.66 6 -0.0192% 1,035.2
Perpetual-Premium 5.01% 3.62% 256,821 5.04 55 -0.0590% 1,053.5
Perpetual-Discount 4.51% 4.53% 780,073 16.35 3 -0.1075% 1,054.9

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