| 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 | 4.28% | 4.29% | 38,041 | 16.89 | 1 | -0.7646% | 1,018.2 |
| Fixed-Floater | 4.81% | 3.82% | 98,094 | 6.65 | 7 | +0.1698% | 1,029.8 |
| Floater | 4.47% | -20.72% | 62,146 | 6.59 | 5 | -0.0700% | 1,038.2 |
| Op. Retract | 4.63% | -1.03% | 82,481 | 2.21 | 17 | +0.0306% | 1,033.1 |
| Split-Share | 5.11% | 2.94% | 156,248 | 2.73 | 8 | +0.3847% | 1,039.2 |
| Interest Bearing | 6.90% | 5.71% | 72,389 | 3.87 | 7 | +0.0198% | 1,024.3 |
| Perpetual-Premium | 5.01% | 3.39% | 261,734 | 4.63 | 51 | +0.0271% | 1,050.8 |
| Perpetual-Discount | 4.58% | 4.58% | 1,015,140 | 14.71 | 6 | +0.0677% | 1,047.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| LBS.PR.A | SplitShare | +1.7757 | Recovering from yesterday – and then some! Pre-tax bid-YTW is 3.89% based on a bid of $10.89 and a hardMaturity at $10.00 2013-11-29 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.D | PerpetualDiscount | 230,717 | Recent blue-light special. |
| CM.PR.R | OpRet | 154,380 | Desjardins crossed 100,000 at $27.15, then another 51,600 at the same price about three and a half hours later. I’d like to meet the purchaser, shake his hand, take him out to dinner, talk a little business and maybe sell him the rights to the Toronto Airport Bridge. The pre-tax bid-YTW is 1.97% based on a bid of $26.95 and a call 2008-5-30 at $25.75. The purchaser may be hoping it hangs on until its softMaturity 2013-4-29 at $25.00, at which point it will have yielded 3.77%, but really! The thing pays $1.238 and CIBC just issued a perpetual that paid only 1.175. You can stretch a point, talk about the savings that CIBC will realize by waiting, adjust the “effective cost”, hope that nobody notices that you’re comparing it with a perpetual and that CIBC would probably pay less than a buck per share per annum on a new retractible … but to get what? 3.77% at the bid? There’s other fish in the sea. Comparable yields computed from the closing ask price of $27.19 are 1.34% and 3.60%. |
| CM.PR.I | PerpetualPremium | 135,607 | Recent new issue, pre-tax bid-YTW of 4.66% based on a call 2016-3-1 at $25.00. |
| ELF.PR.G | PerpetualPremium | 37,600 | Recent new issue that continues to amaze me with a closing quotation of $25.60-65, pre-tax bid-YTW of 4.53% based on a call 2015-11-16 at $25.00. DBRS rates this as Pfd-2(low), so you sure aren’t getting much yield increment for the credit spread! |
| BAM.PR.M | PerpetualDiscount | 37,495 | Recent new issue, pre-tax bid-YTW of 4.79% based on a limitMaturity. It pays $1.1875, exactly the same as the ELF.PR.G mentioned above. Same credit rating. I love this market! |
There were seven other index-included issues with over 10,000 shares traded today.