December 4, 2006

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.

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