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.
This entry was posted on Monday, December 4th, 2006 at 11:44 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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