| 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.
This entry was posted on Wednesday, December 27th, 2006 at 11:38 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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[…] 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 […]