{"id":328,"date":"2006-11-23T23:06:23","date_gmt":"2006-11-24T03:06:23","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=328"},"modified":"2006-11-23T23:06:23","modified_gmt":"2006-11-24T03:06:23","slug":"november-23-2006","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=328","title":{"rendered":"November 23, 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>\n4.21%<\/td>\n4.13%<\/td>\n32,113<\/td>\n10.43<\/td>\n2<\/td>\n+0.2208%<\/td>\n1,021.3<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.81%<\/td>\n3.92%<\/td>\n110,684<\/td>\n11.25<\/td>\n7<\/td>\n+0.1017%<\/td>\n1,029.1<\/td>\n<\/tr>\n
Floater<\/td>\n4.49%<\/td>\n-20.78%<\/td>\n63,527<\/td>\n6.56<\/td>\n5<\/td>\n+0.1028%<\/td>\n1,032.7<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.66%<\/td>\n1.07%<\/td>\n80,575<\/td>\n2.25<\/td>\n18<\/td>\n+0.1223%<\/td>\n1,028.4<\/td>\n<\/tr>\n
Split-Share<\/td>\n4.97%<\/td>\n3.21%<\/td>\n148,345<\/td>\n3.32<\/td>\n9<\/td>\n+0.0985%<\/td>\n1,034.4<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.93%<\/td>\n5.91%<\/td>\n67,380<\/td>\n3.87<\/td>\n7<\/td>\n+0.0061%<\/td>\n1,016.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.07%<\/td>\n3.88%<\/td>\n213,285<\/td>\n4.18<\/td>\n49<\/td>\n+0.0803%<\/td>\n1,044.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.63%<\/td>\n4.65%<\/td>\n1,041,900<\/td>\n16.13<\/td>\n9<\/td>\n+0.0515%<\/td>\n1,036.8<\/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
CM.PR.R<\/td>\nOpRet<\/td>\n+1.1173%<\/td>\nPuzzling. It did this on volume of 2,325 shares, roughly average for this issue, and closed at $27.15-40, 2×7, for a pre-tax bid-YTW of 1.42% based on a call 2008-5-30 at 25.75. This is a somewhat unusual issue, in that the premium decline in the call schedule is only $0.15 p.a. The issue pays $1.238 annually, so even taking the premium decline into account, the cost to CIBC is well above what they would pay to issue retractibles now – assuming that they wanted to issue retractibles. And I certainly wouldn’t be enthusiastically taking the risk, hoping to have obtained a yield of 3.61% should they make it to their soft maturity 2013-4-29! This issue simply looks expensive.<\/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
BAM.PR.M<\/td>\nPerpetualDiscount<\/td>\n181,952<\/td>\nRecent new issue<\/a>, closed at $24.58-65 for a pre-tax bid-YTW of 4.85%<\/td>\n<\/tr>\n
TD.PR.N<\/td>\nOpRet<\/td>\n81,420<\/td>\nA similar story to the CM.PR.R, above. This issue closed at $27.50-65, 40×15, for a pre-tax bid-YTW of 2.18% based on a call 2009-5-30 at $26.00. If it makes it to the soft maturity 2014-1-30, it will have yielded 3.10%, which is no great shakes either … 4.34% interest equivalent (at the Ontario Plutocrat Equivalency<\/a>), you can buy a bank bond of that tenor that pays more!<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualDiscount<\/td>\n60,090<\/td>\nRecent new issue<\/a>, closed at 24.90-95 for a pre-tax bid-YTW of 4.74%.<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetualPremium<\/td>\n55,900<\/td>\nClosed at $26.55-65, for a pre-tax bid-YTW of 4.33%, based on a call at $25.00, 2015-11-30. Somewhat expensive at these prices, I think.<\/td>\n<\/tr>\n
NSI.PR.C<\/td>\nScraps<\/td>\n50,440<\/td>\nThis issue commenced trading 2000-10-2 (by conversion from another series – see the 2000 Annual Report<\/a>) and trades by appointment, so it was interesting to see Scotia crossing 50,000 at $26.60 today. They closed at $26.06-00 … pre-tax bid-YTW of 3.40% based on a call 2009-5-1, ask-YTW of 1.84% based on the same call. Icky! The fact that the retraction price is lower than the call price makes this one of the more interesting issues to analyze … I’ll have to blog about it sometime.<\/td>\n<\/tr>\n<\/table>\n

There were eleven other index-included issues trading over 10,000 shares today.<\/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-328","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/328","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=328"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/328\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=328"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=328"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=328"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}