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 |
4.06% |
4.08% |
25,937 |
17.30 |
1 |
+0.2015% |
1,030.4 |
Fixed-Floater |
4.75% |
2.98% |
75,444 |
10.72 |
7 |
+0.1230% |
1,048.2 |
Floater |
4.56% |
-23.86% |
64,020 |
8.22 |
4 |
+0.1556% |
1,043.1 |
Op. Retract |
4.67% |
2.19% |
78,460 |
2.02 |
17 |
+0.0402% |
1,031.9 |
Split-Share |
5.06% |
1.12% |
402,233 |
2.85 |
11 |
-0.0443% |
1,044.3 |
Interest Bearing |
6.70% |
5.58% |
74,501 |
2.64 |
6 |
+0.0033% |
1,036.6 |
Perpetual-Premium |
5.02% |
3.70% |
234,728 |
5.14 |
55 |
+0.0085% |
1,052.3 |
Perpetual-Discount |
4.51% |
4.53% |
1,218,255 |
16.35 |
4 |
+0.0807% |
1,055.4 |
Major Price Changes |
Issue |
Index |
Change |
Notes |
There were no index-included issues with major price moves today. |
Volume Highlights |
Issue |
Index |
Volume |
Notes |
BNS.PR.K |
PerpetualPremium |
202,800 |
TD crossed 100,000 at 26.00, then another 100,000 at the same price 90 minutes later. Now with a pre-tax bid-YTW of 4.20% based on a bid of 25.95 and a call 2014-05-28 at $25.00 |
BMO.PR.J |
PerpetualDiscount |
131,233 |
Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.94 and a limitMaturity. |
GWO.PR.X |
OpRet |
108,160 |
Nesbitt crossed 85,000 at $27.51; Desjardins crossed 18,500 at 27.56. Now with a pre-tax bid-YTW of 2.48% based on a bid of $27.56 and a call 2009-10-30 at $26.00. |
GWO.PR.H |
PerpetualPremium |
58,860 |
RBC crossed 50,000 at 26.00. Now with a pre-tax bid-YTW of 4.41% based on a bid of $25.82 and a call 2014-10-31 at $25.00. |
RY.PR.D |
PerpetualPremium |
34,440 |
RBC bought a 19,800 from Scotia in three successive trades at 25.01. Now with a pre-tax bid-YTW of 4.54% based on a limitMaturity. |
There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
Updated 2007-1-24 … Correction of some trading information
This entry was posted on Friday, January 19th, 2007 at 1:25 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
You can leave a response, or trackback from your own site.
In light of the fact that HIMIPref is designed to be used principally with investment grade preferred shares, why don’t you eliminate the non-investment grade preferred shares from its database and, if they are available, instead add other investment grade preferred shares? My question obviously assumes there are investment grade preferred shares which are not included in the HIMIPref database, which may of course be wrong, but to the extent it is right, what criteria do you use for selecting preferred shares to be added or deleted from the database?
This is an important issue – and one that I have been asked about by others recently.
Therefore, I won’t bury a response with a comment here – I’ll prepare a proper explanation for the HIMIPref Website and then post about the new page when it’s done.
Briefly: All major new issues are added to the universe – these are all Pfd-3(low) or higher [we don’t have a “Junk Pref” market yet!]. Once these are in the universe, they stay in … off the top of my head, I can only recall deleting one issue … it traded about 500 shares per month and was mucking up my monthly reports by always being at either the top or the bottom of the performance charts.
There are investment grade prefs that are not included in the Universe – these will usually be split share corporations that I don’t consider worth adding.
I consider the following questions when deciding whether or not to add an issue:
Any affirmative answer gets the issue included.
For example, right now the Universe needs interest-bearing prefs. I’m much more likely to add a new issue of those than of anything else.
Thank you. I have one comment. The criteria of “Does this issue have characteristics the Universe needs?” begs the question: what does it need, or, perhaps more usefully, how do you determine what it needs; and why, as an investor and not the Universe, should I care about the needs of the Universe (leaving aside entirely the metaphysical question of whether a Universe can have needs)? I will await your no doubt thoughtful response in the fullness of time.
Well … the Universe needs Interest Bearing issues right now because there’s not a good selection. There are only six issues in the InterestBearing index now and some of them have undesirable characteristics – such as, for instance, the BAM.PR.T issue that is virtually certain to called in June.
Ideally, there are enough issues in each index that spreads to the curve can be calculated and so that characteristics of individual issues and issuers are not mistaken for characteristics of the class. In other words, I want a statistically valid sample to perform statistics on.
And, of course, once I’ve decided that a particular sub-class of preferreds makes a wonderful investment, I want to be able to invest in it!
Thanks. I think I understand better now, though I’m still a little confused about the continued inclusion of the P3s, as presumably they are not part of the asset class against which you wish to compare issues.
Oh, Pfd-3s aren’t the shakiest investments going. According to DBRS:
Pfd-3’s are suitable from time to time in larger portfolios that can take small positions in them without ruinous transaction costs; HIMIPref™ allows the the maxWeightCreditClass3 and maxWeightIssuerClass3 constraints to be set according to taste. I recommend values of no more than 10% and 2%, respectively, to those users who wish to grab a little of the extra yield.
There is much more company-specific volatility in these issues than there is for the higher grades, however! The more that a pref can be treated as a generic package of cash flows, the more reliable HIMIPref™ results will be.
[…] Drew’s comments and queries have, as always, pointed out some deficiencies and, as is not quite so often the case, have led to an improvement in my documentation. […]