| 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.
[…] 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. […]