| 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 |
4.21% |
4.13% |
32,113 |
10.43 |
2 |
+0.2208% |
1,021.3 |
| Fixed-Floater |
4.81% |
3.92% |
110,684 |
11.25 |
7 |
+0.1017% |
1,029.1 |
| Floater |
4.49% |
-20.78% |
63,527 |
6.56 |
5 |
+0.1028% |
1,032.7 |
| Op. Retract |
4.66% |
1.07% |
80,575 |
2.25 |
18 |
+0.1223% |
1,028.4 |
| Split-Share |
4.97% |
3.21% |
148,345 |
3.32 |
9 |
+0.0985% |
1,034.4 |
| Interest Bearing |
6.93% |
5.91% |
67,380 |
3.87 |
7 |
+0.0061% |
1,016.9 |
| Perpetual-Premium |
5.07% |
3.88% |
213,285 |
4.18 |
49 |
+0.0803% |
1,044.1 |
| Perpetual-Discount |
4.63% |
4.65% |
1,041,900 |
16.13 |
9 |
+0.0515% |
1,036.8 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| CM.PR.R |
OpRet |
+1.1173% |
Puzzling. It did this on volume of 2,325 shares, roughly average for this issue, and closed at $27.15-40, 2×7, for a pre-tax bid-YTW of 1.42% based on a call 2008-5-30 at 25.75. This is a somewhat unusual issue, in that the premium decline in the call schedule is only $0.15 p.a. The issue pays $1.238 annually, so even taking the premium decline into account, the cost to CIBC is well above what they would pay to issue retractibles now – assuming that they wanted to issue retractibles. And I certainly wouldn’t be enthusiastically taking the risk, hoping to have obtained a yield of 3.61% should they make it to their soft maturity 2013-4-29! This issue simply looks expensive. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BAM.PR.M |
PerpetualDiscount |
181,952 |
Recent new issue, closed at $24.58-65 for a pre-tax bid-YTW of 4.85% |
| TD.PR.N |
OpRet |
81,420 |
A similar story to the CM.PR.R, above. This issue closed at $27.50-65, 40×15, for a pre-tax bid-YTW of 2.18% based on a call 2009-5-30 at $26.00. If it makes it to the soft maturity 2014-1-30, it will have yielded 3.10%, which is no great shakes either … 4.34% interest equivalent (at the Ontario Plutocrat Equivalency), you can buy a bank bond of that tenor that pays more! |
| CM.PR.I |
PerpetualDiscount |
60,090 |
Recent new issue, closed at 24.90-95 for a pre-tax bid-YTW of 4.74%. |
| PWF.PR.L |
PerpetualPremium |
55,900 |
Closed at $26.55-65, for a pre-tax bid-YTW of 4.33%, based on a call at $25.00, 2015-11-30. Somewhat expensive at these prices, I think. |
| NSI.PR.C |
Scraps |
50,440 |
This issue commenced trading 2000-10-2 (by conversion from another series – see the 2000 Annual Report) and trades by appointment, so it was interesting to see Scotia crossing 50,000 at $26.60 today. They closed at $26.06-00 … pre-tax bid-YTW of 3.40% based on a call 2009-5-1, ask-YTW of 1.84% based on the same call. Icky! The fact that the retraction price is lower than the call price makes this one of the more interesting issues to analyze … I’ll have to blog about it sometime. |
There were eleven other index-included issues trading over 10,000 shares today.
This entry was posted on Thursday, November 23rd, 2006 at 11:06 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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[…] Ha! Yesterday I said “This issue simply looks expensive”, and look what happens! I swing a pretty big stick around here, eh? Either that or I’m simply spouting the obvious. The pre-tax bid-YTW is now 2.68%, based on a price of $26.66 and a call at $25.75 2008-05-30. […]