| 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.
[…] 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. […]
[…] 27-Dec-2006 […]