| 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 | 4.18% | 4.07% | 50,066 | 10.61 | 2 | -0.5541% | 1,020.6 |
| Fixed-Floater | 4.97% | 3.80% | 193,704 | 6.49 | 7 | 0.1466% | 1,025.7 |
| Floater | 4.53% | -17.59% | 75,582 | 6.51 | 5 | -0.1661% | 1,017.7 |
| Op. Retract | 4.68% | 2.03% | 88,058 | 2.41 | 17 | 0.0353% | 1,016.9 |
| Split-Share | 4.94% | 3.62% | 61,976 | 3.03 | 10 | -0.0652% | 1,015.5 |
| Interest Bearing | 6.90% | 4.87% | 55,319 | 2.02 | 7 | -0.1133% | 1,020.3 |
| Perpetual-Premium | 5.11% | 3.74% | 172,686 | 4.28 | 46 | 0.0553% | 1,033.1 |
| Perpetual-Discount | 4.59% | 4.61% | 587,236 | 16.19 | 7 | -0.1495% | 1,033.4 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BSD.PR.A | InterestBearing | -1.0870% | Pre-tax YTW now 6.10% INTEREST at the current bid of 10.01, based on a maturity in 2015. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CM.PR.B | PerpetualPremium | 107,100 | Desjardins crossed 100,000 @ 26.10. This is an interesting issue. It pays $1.50 so one may be sure that it’s on CIBC’s “hated sources of financing” list, with the call schedule beginning in January 2007 at $26.00, declining by $0.25 annually until it reaches $25.00 in 2011+. On a net basis, the cost to CIBC is $1.25 which is at least ballpark to where they could refinance the issue. The pre-tax YTW is 4.58% based on a price of $26.06 and a call in 2007, but if it lasts until 2011, holders will have realized 4.89%. Not much chance of a capital gain with this issue … but yield ain’t bad, provided you can trade cheaply! With such a short expected holding period for the YTW scenario, small price changes and commission payment loom large … the pre-tax YTW based on the ASK price of $26.12 is only 3.97% and all these figures are pre-commission. |
| PWF.PR.D | Scraps | 73,000 | Desjardins crossed 70,000 at $27.10. Things I Don’t Understand about the Market, Part 493: Why is this stuff trading at such a lofty price? It pays $1.30 and is callable commencing 2007-10-31 at $26.00, the call price declining by $0.20 p.a. until it reaches par 2012-7-31. Ha-ha! says the company! Fooled ya with the short last period! Then it’s retractible as well, commencing 2012-10-31 (they want a three month stub-period so they can remain in control of proceedings). So for those 5 years, there’s a net cost to the company of $1.10 to keep the issue outstanding and it’s retractible. Who knows how things will turn out, but retractibles can be financed for less than $1 – at least, that’s what CGI did earlier this year, and there’s only one index-included operating-retractible issue out there with a YTW in excess of 4%. If the issue is called in 2007, the yield will have been 1.01%; if it survives until 2012, 3.62%. And, of course, there’s not really any chance of any upside with this thing. |
| BCE.PR.S | RatchetRate | 27,700 | Easy come, easy go – the issue was down 0.7168% on the day. It would seem there is some question in the marketplace as to whether the tender will come to pass. |
| SLF.PR.C | PerpetualDiscount | 24,916 | Closed at 24.43-64; the extremely similar SLF.PR.D closed at 24.65-89. It would appear the market is prepared to pay a gigantic premium for 9 extra months of non-callability … hmm, let me review my Expectations Theory … |
| DFN.PR.A | SplitShares | 24,135 | Nice to see one of the little guys make the volume list! This has an entirely reasonable pre-tax YTW of 3.77% based on a bid price of $10.45 and a maturity in December 2009. |
There were eleven other index-included issues trading over 10,000 shares today.