{"id":144,"date":"2006-10-03T22:10:41","date_gmt":"2006-10-04T02:10:41","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=144"},"modified":"2006-10-03T22:10:41","modified_gmt":"2006-10-04T02:10:41","slug":"october-3-2006","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=144","title":{"rendered":"October 3, 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>\n4.30%<\/td>\n4.23%<\/td>\n41,261<\/td>\n10.48<\/td>\n2<\/td>\n-0.0798%<\/td>\n1,014.6<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n5.00%<\/td>\n4.01%<\/td>\n221,623<\/td>\n12.37<\/td>\n7<\/td>\n0.0228%<\/td>\n1,016.4<\/td>\n<\/tr>\n
Floater<\/td>\n4.51%<\/td>\n-22.83%<\/td>\n79,954<\/td>\n6.49<\/td>\n5<\/td>\n0.3622%<\/td>\n1,022.9<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.67%<\/td>\n2.47%<\/td>\n89,098<\/td>\n2.47<\/td>\n17<\/td>\n-0.0837%<\/td>\n1,016.8<\/td>\n<\/tr>\n
Split-Share<\/td>\n4.93%<\/td>\n2.89%<\/td>\n60,359<\/td>\n3.03<\/td>\n10<\/td>\n0.3260%<\/td>\n1,017.2<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.90%<\/td>\n4.81%<\/td>\n53,847<\/td>\n1.81<\/td>\n7<\/td>\n-0.1221%<\/td>\n1,021.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.12%<\/td>\n3.76%<\/td>\n175,175<\/td>\n4.21<\/td>\n47<\/td>\n0.0972%<\/td>\n1,030.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.59%<\/td>\n4.61%<\/td>\n326,319<\/td>\n16.21<\/td>\n6<\/td>\n-0.0266%<\/td>\n1,037.9<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
ACO.PR.A<\/td>\nOpRet<\/td>\n-1.5575%<\/td>\nDid this on volume of 1,922 shares and closed at $27.81-40. The day’s low was $28.00, which means that a good chunk of this poor performance was due to the bid only, not to actual trades.<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n+1.7751%<\/td>\nNo trading, but there’s a bid for 1500 shares at $25.80! At this price, the issue has a Current Yield of only 4.07%, the lowest of the five issues in the “Floater” index … and YTW is large and negative.<\/td>\n<\/tr>\n
WFS.PR.A<\/td>\nSplitShare<\/td>\n+1.3258%<\/td>\n\u00a0<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nPerpetualPremium<\/td>\n+1.0274%<\/td>\nI think it’s a little pricey at the bid-side of $26.55, but what do I know? The YTW is 4.24% based on a call in 2014<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetualPremium<\/td>\n+1.0208%<\/td>\nOnly 100 shares are bid at the closing $26.72<\/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
NA.PR.L<\/td>\nPerpetualPremium<\/td>\n67,410<\/td>\nNesbitt bought 57,800 from Scotia at $25.60 in three successive tranches.<\/td>\n<\/tr>\n
IGM.PR.A<\/td>\nOpRet<\/td>\n42,359<\/td>\n\u00a0<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetualPremium<\/td>\n35,100<\/td>\nScotia crossed 33,700 @ $26.15, which was the closing bid.<\/td>\n<\/tr>\n
CM.PR.A<\/td>\nOpRet<\/td>\n29,850<\/td>\nScotia crossed 25,100 at $26.75, which was the closing bid. These have a YTW of only 1.47% at this level, but will have yielded 3.65% if they survive until just before their retraction date.<\/td>\n<\/tr>\n
FTS.PR.F<\/td>\nScraps<\/td>\n29,780<\/td>\nLet’s hear it for the Little New Issue<\/a> That Could (stay above par).<\/td>\n<\/tr>\n<\/table>\n

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

The large number of index-included issues that had absolute returns in excess of 1% today makes the market look a little sloppy. Could this have something to do with the continuation of The Great Oil Slaughter of 2006?\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-144","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/144","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=144"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/144\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=144"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=144"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=144"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}