| 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 |
4.18% |
4.07% |
50,066 |
10.61 |
2 |
-0.5541% |
1,020.6 |
| Fixed-Floater |
4.97% |
3.80% |
193,704 |
6.49 |
7 |
0.1466% |
1,025.7 |
| Floater |
4.53% |
-17.59% |
75,582 |
6.51 |
5 |
-0.1661% |
1,017.7 |
| Op. Retract |
4.68% |
2.03% |
88,058 |
2.41 |
17 |
0.0353% |
1,016.9 |
| Split-Share |
4.94% |
3.62% |
61,976 |
3.03 |
10 |
-0.0652% |
1,015.5 |
| Interest Bearing |
6.90% |
4.87% |
55,319 |
2.02 |
7 |
-0.1133% |
1,020.3 |
| Perpetual-Premium |
5.11% |
3.74% |
172,686 |
4.28 |
46 |
0.0553% |
1,033.1 |
| Perpetual-Discount |
4.59% |
4.61% |
587,236 |
16.19 |
7 |
-0.1495% |
1,033.4 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BSD.PR.A |
InterestBearing |
-1.0870% |
Pre-tax YTW now 6.10% INTEREST at the current bid of 10.01, based on a maturity in 2015. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| CM.PR.B |
PerpetualPremium |
107,100 |
Desjardins crossed 100,000 @ 26.10. This is an interesting issue. It pays $1.50 so one may be sure that it’s on CIBC’s “hated sources of financing” list, with the call schedule beginning in January 2007 at $26.00, declining by $0.25 annually until it reaches $25.00 in 2011+. On a net basis, the cost to CIBC is $1.25 which is at least ballpark to where they could refinance the issue. The pre-tax YTW is 4.58% based on a price of $26.06 and a call in 2007, but if it lasts until 2011, holders will have realized 4.89%. Not much chance of a capital gain with this issue … but yield ain’t bad, provided you can trade cheaply! With such a short expected holding period for the YTW scenario, small price changes and commission payment loom large … the pre-tax YTW based on the ASK price of $26.12 is only 3.97% and all these figures are pre-commission. |
| PWF.PR.D |
Scraps |
73,000 |
Desjardins crossed 70,000 at $27.10. Things I Don’t Understand about the Market, Part 493: Why is this stuff trading at such a lofty price? It pays $1.30 and is callable commencing 2007-10-31 at $26.00, the call price declining by $0.20 p.a. until it reaches par 2012-7-31. Ha-ha! says the company! Fooled ya with the short last period! Then it’s retractible as well, commencing 2012-10-31 (they want a three month stub-period so they can remain in control of proceedings). So for those 5 years, there’s a net cost to the company of $1.10 to keep the issue outstanding and it’s retractible. Who knows how things will turn out, but retractibles can be financed for less than $1 – at least, that’s what CGI did earlier this year, and there’s only one index-included operating-retractible issue out there with a YTW in excess of 4%. If the issue is called in 2007, the yield will have been 1.01%; if it survives until 2012, 3.62%. And, of course, there’s not really any chance of any upside with this thing. |
| BCE.PR.S |
RatchetRate |
27,700 |
Easy come, easy go – the issue was down 0.7168% on the day. It would seem there is some question in the marketplace as to whether the tender will come to pass. |
| SLF.PR.C |
PerpetualDiscount |
24,916 |
Closed at 24.43-64; the extremely similar SLF.PR.D closed at 24.65-89. It would appear the market is prepared to pay a gigantic premium for 9 extra months of non-callability … hmm, let me review my Expectations Theory … |
| DFN.PR.A |
SplitShares |
24,135 |
Nice to see one of the little guys make the volume list! This has an entirely reasonable pre-tax YTW of 3.77% based on a bid price of $10.45 and a maturity in December 2009. |
There were eleven other index-included issues trading over 10,000 shares today.
This entry was posted on Friday, October 13th, 2006 at 10:25 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
You can leave a response, or trackback from your own site.