December 27, 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 4.11% 4.11% 33,993 17.25 1 +0.3449% 1,036.2
Fixed-Floater 4.79% 3.78% 96,608 6.56 7 +0.1201% 1,037.2
Floater 4.49% -19.67% 62,459 6.63 5 -0.1167% 1,038.5
Op. Retract 4.65% 1.41% 85,715 2.17 17 -0.1333% 1,031.3
Split-Share 5.07% 2.06% 242,391 2.51 9 0.0689% 1,043.8
Interest Bearing 6.99% 6.22% 81,563 1.83 7 -0.2637% 1,024.1
Perpetual-Premium 5.02% 3.71% 273,892 4.23 52 -0.0809% 1,054.1
Perpetual-Discount 4.53% 4.51% 828,112 11.73 6 +0.0202% 1,060.7
Major Price Changes
Issue Index Change Notes
CM.PR.R OpRet -1.6760% Now with a pre-tax bid-YTW of 2.70% based on a bid of 26.40 and a call at 25.75 on 2008-5-30. Yields 3.97% if it lasts until the softMaturity at par 2013-4-29, but given that it pays $1.238 (probably more than CIBC would have to pay on a new perpetual) I doubt it – especially since the call premium declines by only $0.15 annually.
WN.PR.C PerpetualPremium -1.4460% Now with a pre-tax bid-YTW of 4.65% based on a bid of 25.90 and a call at 25.00 on 2014-7-31.
CM.PR.P PerpetualPremium -1.3653% Now with a pre-tax bid-YTW of 4.11% based on a bid of 26.73 and a call 2012-11-28 at 25.00.
STW.PR.A InterestBearing -1.1730% Now with a pre-tax bid-YTW of 6.08% (mainly as interest!) based on a bid 10.11 and a hardMaturity 2009-12-31 at $10.00. This interest-bearing split-share is an attractive issue for RRSP-buyers: a call premium (currently callable at 10.60; declines by $0.20 at the beginning of every calendar year) ensures that if you do get called due to capital unit retractions, at least you get paid for your trouble.
TCA.PR.X PerpetualPremium -1.0939% Feeling the effects of the credit review? Now has a pre-tax bid-YTW of 4.34% based on a bid of 53.55 and a call 2013-11-14 at 50.00. Now trading with an enormous spread: the quote is 53.55-54.61.
W.PR.J PerpetualPremium +1.0148% Now with a pre-tax bid-YTW of 0.58% based on a bid of 25.53 and a call 2007-1-26 at 25.50. Obviously, there are some who believe it will last longer, despite its rich $1.40 p.a. dividend.
BC.PR.C FixedFloater +1.3617% ex-Dividend today, but it doesn’t look as if anybody noticed!
Volume Highlights
Issue Index Volume Notes
FBS.PR.B SplitShare 77,368 Recent new issue, now with a pre-tax bid-YTW of 1.63% based on a bid of 10.34 and a call 2008-1-14 at $10.00. I’m avoiding it!
PWF.PR.K PerpetualPremium 31,190 Scotia crossed 30,000 at 26.55. Now with a pre-tax bid-YTW of 4.19% based on a bid of 26.50 and a call 2014-11-30 at 25.00
CM.PR.H PerpetualPremium 16,695 Now with a pre-tax bid-YTW of 4.34% based on a bid of $25.65 and a call 2014-4-29 at 25.00
PWF.PR.F PerpetualPremium 14,300 Now with a pre-tax bid-YTW of 4.40% based on a bid of 26.00 and a call 2010-12-30 at 25.00. I call it somewhat expensive, for all that it will earn a dividend early in the new year.
GWO.PR.I PerpetualDiscount 13,430 Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.95 and a limitMaturity

There were two other index-included issues with over 10,000 shares traded today.

2 Responses to “December 27, 2006”

  1. […] I praised this issue as recently as yesterday: This interest-bearing split-share is an attractive issue for RRSP-buyers: a call premium (currently callable at 10.60; declines by $0.20 at the beginning of every calendar year) ensures that if you do get called due to capital unit retractions, at least you get paid for your trouble. […]

Leave a Reply

You must be logged in to post a comment.