Technical difficulties (like mainly the fact that I have no brains at all and wiped out some files … if this gets any worse I’m going to condemned to analyzing equities) preclude preparation of the Index Reports for the next few days. This post will be updated in due course. Sorry!
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| HSB.PR.D | PerpetualPremium | +1.4165% | National Bank bought 9,600 in the last ten trades of the day from various sellers, taking the price from $26.25 to $26.70 in very short order. Now with a pre-tax bid-YTW of 4.20% based on a bid of $26.49 and a call 2015-1-30 at $25.00 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| POW.PR.C | PerpetualPremium | 212,700 | RBC crossed 100,000 at $26.33 to close the day’s trading. Now with a pre-tax bid-YTW of 4.54% based on a call 2008-1-5 … an attractive issue, although the pseudoModifiedDuration-WorstBid is less than minWorstBid-PseudoModifiedDurationBuy, precluding investment by those of us who like capital gain. With an annual dividend of $1.45, this looks like a good candidate for the early call, but I’d feel much more confident in this statement if CL.PR.B was called! |
| BC.PR.C | FixedFloater | 163,969 | Desjardins crossed 61,000 for cash. |
| SLF.PR.A | PerpetualPremium | 55,250 | Nesbitt crossed 50,000 at $25.75. Now with a pre-tax bid-YTW of 4.36% based on a bid of $25.75 and a call 2014-4-30 at $25.00. |
| BNS.PR.L | PerpetualPremium | 37,140 | Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.00 and a limitMaturity. |
| RY.PR.E | PerpetualDiscount | 19,775 | Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.99 and a limitMaturity. |
There were sixteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
Update: Before all confidence in me is lost, I should note that the missing files are really just missing records in files, and require mere computer time to replace. If they were more difficult to replace, they’d have been much more impressively backed up!
Update, finally!
| 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 | 4.03% | 4.03% | 28,261 | 17.40 | 1 | +0.1496% | 1,039.9 |
| Fixed-Floater | 4.79% | 3.63% | 78,774 | 10.79 | 7 | -0.2776% | 1,040.4 |
| Floater | 4.48% | -36.04% | 63,643 | 4.11 | 4 | -0.1991% | 1,064.7 |
| Op. Retract | 4.69% | 2.30% | 80,167 | 2.22 | 17 | -0.1309% | 1,028.6 |
| Split-Share | 5.06% | -0.24% | 358,948 | 2.81 | 11 | -0.0783% | 1,044.9 |
| Interest Bearing | 6.71% | 5.99% | 71,628 | 4.48 | 6 | -0.0520% | 1,034.8 |
| Perpetual-Premium | 5.02% | 4.06% | 262,441 | 5.96 | 56 | -0.0885% | 1,049.7 |
| Perpetual-Discount | 4.51% | 4.52% | 1,391,156 | 16.32 | 5 | -0.0479% | 1,054.4 |