{"id":219,"date":"2006-10-25T12:21:54","date_gmt":"2006-10-25T16:21:54","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=219"},"modified":"2006-10-25T12:21:54","modified_gmt":"2006-10-25T16:21:54","slug":"bmoprg-2","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=219","title":{"rendered":"BMO.PR.G"},"content":{"rendered":"<p>We&#8217;ve had a look at RY.PR.K &#8230; now let&#8217;s have a look at the other constituent of the HIMI OperatingRetractible Index with a negative Yield-to-Worst: BMO.PR.G. The option schedule is:<\/p>\n<ul>\u00a0\u00a0\u00a0\u00a0\u00a0<\/p>\n<li>Redemption\u00a0\u00a0\u00a0\u00a0\u00a0 2005-08-25\u00a0\u00a0\u00a0\u00a0\u00a0 2006-08-24\u00a0 25.500000<\/li>\n<li>Redemption\u00a0\u00a0\u00a0\u00a0\u00a0 2006-08-25\u00a0\u00a0\u00a0\u00a0\u00a0 2007-08-24\u00a0 25.250000<\/li>\n<li>Redemption\u00a0\u00a0\u00a0\u00a0\u00a0 2007-08-25\u00a0\u00a0 INFINITE DATE\u00a0 25.000000<\/li>\n<li>Retraction\u00a0\u00a0\u00a0\u00a0\u00a0 2008-05-25\u00a0\u00a0 INFINITE DATE\u00a0 26.040000<\/li>\n<\/ul>\n<p>Which, when analyzed with the 2006-10-24 closing bid of $25.59 results in the <a href=\"http:\/\/www.prefshares.com\/glossary.html#optionCalculationList\">optionCalculationList<\/a>:<\/p>\n<ul>\u00a0\u00a0\u00a0\u00a0<\/p>\n<li>Call\u00a0 2006-11-23 YTM: -2.10 % [Restricted: -0.17 %] (Prob: 28.69 %)<\/li>\n<li>Soft Maturity\u00a0 2008-05-24 YTM: 3.78 % [Restricted: 3.78 %] (Prob: 71.31 %)<\/li>\n<\/ul>\n<p>These bonds are not recommended by HIMIPref\u2122 as their <a href=\"http:\/\/www.prefshares.com\/glossary.html#RS293\">Eligible For Purchase (Code)<\/a> has a <a href=\"http:\/\/www.prefshares.com\/glossary.html#tradeSizeCalculationNotes\">numerical result<\/a> of &#8220;14&#8221; : &#8220;pseudoModifiedDuration (Worst) of buy side less than minimum setting&#8221;. The <a href=\"http:\/\/www.prefshares.com\/glossary.html#pseudoModifiedDurationWorstBid\">pseudoModifiedDurationWorstBid<\/a> of this issue is 0.11 based on the following calculation:<\/p>\n<div align=\"center\">\n<table border=\"1\">\n<tr>\n<td colspan=\"2\">Calculation of pseudoModifiedDurationWorstBid for BMO.PR.G<\/td>\n<\/tr>\n<tr>\n<td>Price<\/td>\n<td>Yield-to-Worst<\/td>\n<\/tr>\n<tr>\n<td>25.3341<\/td>\n<td>4.45%<\/td>\n<\/tr>\n<tr>\n<td>25.59<\/td>\n<td>-2.10%<\/td>\n<\/tr>\n<tr>\n<td>25.8459<\/td>\n<td>-13.73%<\/td>\n<\/tr>\n<tr>\n<td colspan=\"2\">Summary<\/td>\n<\/tr>\n<tr>\n<td>Price of Instrument measured<\/td>\n<td>25.5900<\/td>\n<\/tr>\n<tr>\n<td>Percent Price Difference<\/td>\n<td>2.0000 %<\/td>\n<\/tr>\n<tr>\n<td>Yield Difference (Worst Method)<\/td>\n<td>-18.1862 %<\/td>\n<\/tr>\n<tr>\n<td>PseudoModified Duration (Worst)<\/td>\n<td>0.1100<\/td>\n<\/tr>\n<\/table>\n<\/div>\n<p>These data are taken from the <a href=\"http:\/\/www.prefshares.com\/glossary.html#pseudoModifiedDurationCalculationBox\">pseudoModifiedDurationCalculationBox<\/a> and <a href=\"http:\/\/www.prefshares.com\/glossary.html#pseudoPortfolioReportBox\">pseudoPortfolioReportBox<\/a>.<\/p>\n<p>The <a href=\"http:\/\/www.prefshares.com\/glossary.html#analyticalParametersReportBox\">analyticalParametersReportBox<\/a> shows that the value of <a href=\"http:\/\/www.prefshares.com\/glossary.html#minWorstBidPseudoModifiedDurationBuy\">minWorstBidPseudoModifiedDurationBuy<\/a> is an <a href=\"http:\/\/www.prefshares.com\/glossary.html#optimizableParameters\">optimizableParameter<\/a> with a value currently set to 2.481. Thus, we can infer that HIMIPref\u2122 analysis has been found to work better on a long-term portfolio basis when issues with such imminent callability are excluded from consideration.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>We&#8217;ve had a look at RY.PR.K &#8230; now let&#8217;s have a look at the other constituent of the HIMI OperatingRetractible Index with a negative Yield-to-Worst: BMO.PR.G. The option schedule is: \u00a0\u00a0\u00a0\u00a0\u00a0 Redemption\u00a0\u00a0\u00a0\u00a0\u00a0 2005-08-25\u00a0\u00a0\u00a0\u00a0\u00a0 2006-08-24\u00a0 25.500000 &hellip;<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[13],"tags":[],"class_list":["post-219","post","type-post","status-publish","format-standard","hentry","category-issue-comments"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/219","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=219"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/219\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=219"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=219"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=219"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}