{"id":162,"date":"2006-10-13T22:25:31","date_gmt":"2006-10-14T02:25:31","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=162"},"modified":"2006-10-13T22:25:31","modified_gmt":"2006-10-14T02:25:31","slug":"october-13-2006","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=162","title":{"rendered":"October 13, 2006"},"content":{"rendered":"\n\n\n\n\n\n\n\n\n\n\n
Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version<\/strong><\/td>\n<\/tr>\n
Index<\/td>\nMean Current Yield (at bid)<\/td>\nMean YTW<\/td>\nMean Average Trading Value<\/td>\nMean Mod Dur (YTW)<\/td>\nIssues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n4.18%<\/td>\n4.07%<\/td>\n50,066<\/td>\n10.61<\/td>\n2<\/td>\n-0.5541%<\/td>\n1,020.6<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.97%<\/td>\n3.80%<\/td>\n193,704<\/td>\n6.49<\/td>\n7<\/td>\n0.1466%<\/td>\n1,025.7<\/td>\n<\/tr>\n
Floater<\/td>\n4.53%<\/td>\n-17.59%<\/td>\n75,582<\/td>\n6.51<\/td>\n5<\/td>\n-0.1661%<\/td>\n1,017.7<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.68%<\/td>\n2.03%<\/td>\n88,058<\/td>\n2.41<\/td>\n17<\/td>\n0.0353%<\/td>\n1,016.9<\/td>\n<\/tr>\n
Split-Share<\/td>\n4.94%<\/td>\n3.62%<\/td>\n61,976<\/td>\n3.03<\/td>\n10<\/td>\n-0.0652%<\/td>\n1,015.5<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.90%<\/td>\n4.87%<\/td>\n55,319<\/td>\n2.02<\/td>\n7<\/td>\n-0.1133%<\/td>\n1,020.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.11%<\/td>\n3.74%<\/td>\n172,686<\/td>\n4.28<\/td>\n46<\/td>\n0.0553%<\/td>\n1,033.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.59%<\/td>\n4.61%<\/td>\n587,236<\/td>\n16.19<\/td>\n7<\/td>\n-0.1495%<\/td>\n1,033.4<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BSD.PR.A<\/td>\nInterestBearing<\/td>\n-1.0870%<\/td>\nPre-tax YTW now 6.10% INTEREST at the current bid of 10.01, based on a maturity in 2015.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nVolume<\/td>\nNotes<\/td>\n<\/tr>\n
CM.PR.B<\/td>\nPerpetualPremium<\/td>\n107,100<\/td>\nDesjardins 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.<\/td>\n<\/tr>\n
PWF.PR.D<\/td>\nScraps<\/td>\n73,000<\/td>\nDesjardins crossed 70,000 at $27.10. Things I Don’t Understand about the Market, Part 493<\/strong>: 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!<\/em> 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<\/em>. 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.<\/td>\n<\/tr>\n
BCE.PR.S<\/td>\nRatchetRate<\/td>\n27,700<\/td>\nEasy come<\/a>, 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<\/a> will come to pass.<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetualDiscount<\/td>\n24,916<\/td>\nClosed at 24.43-64; the extremely similar SLF.PR.D<\/a> 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 …<\/td>\n<\/tr>\n
DFN.PR.A<\/td>\nSplitShares<\/td>\n24,135<\/td>\nNice 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.<\/td>\n<\/tr>\n<\/table>\n

There were eleven other index-included issues trading over 10,000 shares today.\n<\/p>\n

<\/p>\n","protected":false},"excerpt":{"rendered":"

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 …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-162","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/162","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=162"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/162\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=162"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=162"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=162"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}