{"id":2224,"date":"2008-06-02T21:19:12","date_gmt":"2008-06-03T01:19:12","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2224"},"modified":"2008-06-02T21:19:12","modified_gmt":"2008-06-03T01:19:12","slug":"june-2-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2224","title":{"rendered":"June 2, 2008"},"content":{"rendered":"

On VoxEU, Francesco Giavazzi writes about the suddenly topical OIS \/ LIBOR spread<\/a>.<\/p>\n

BCE received leave to appeal to the Supreme Court<\/a>; the case will be heard June 17.<\/p>\n

The market drifted downwards, perhaps due to the National Bank Fixed Reset, 5.375%+205 new issue<\/a>.<\/p>\n

\n\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. In this version, index values are based at 1,000.0 on 2006-6-30<\/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>\n4.27%<\/td>\n4.28%<\/td>\n54,032<\/td>\n16.5<\/td>\n1<\/td>\n-0.1574%<\/td>\n1,112.4<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.88%<\/td>\n4.67%<\/td>\n62,870<\/td>\n16.03<\/td>\n7<\/td>\n-0.6986%<\/td>\n1,026.2<\/td>\n<\/tr>\n
Floater<\/td>\n4.07%<\/td>\n4.12%<\/td>\n61,352<\/td>\n17.09<\/td>\n2<\/td>\n-0.6054%<\/td>\n926.9<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.83%<\/td>\n2.43%<\/td>\n89,456<\/td>\n2.70<\/td>\n15<\/td>\n+0.0389%<\/td>\n1,056.7<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.24%<\/td>\n5.37%<\/td>\n73,028<\/td>\n4.22<\/td>\n15<\/td>\n+0.1323%<\/td>\n1,059.2<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.11%<\/td>\n6.20%<\/td>\n51,510<\/td>\n3.81<\/td>\n3<\/td>\n+0.2373%<\/td>\n1,115.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.84%<\/td>\n5.10%<\/td>\n415,115<\/td>\n6.70<\/td>\n13<\/td>\n+0.0033%<\/td>\n1,025.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.67%<\/td>\n5.71%<\/td>\n225,444<\/td>\n14.31<\/td>\n59<\/td>\n-0.1681%<\/td>\n924.9<\/td>\n<\/tr>\n<\/table>\n<\/div>\n
\n\n\n\n\n\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
BCE.PR.G<\/td>\nFixFloat<\/td>\n-2.3684%<\/td>\n <\/td>\n<\/tr>\n
RY.PR.F<\/td>\nPerpetualDiscount<\/td>\n-1.3327%<\/td>\nNow with a pre-tax bid-YTW of 5.61% based on a bid of 19.99 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n-1.2048%<\/td>\n <\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.1707%<\/td>\nNow with a pre-tax bid-YTW of 5.50% based on a bid of 20.26 and a limitMaturity.<\/td>\n<\/tr>\n
BCE.PR.R<\/td>\nFixFloat<\/td>\n-1.1178%<\/td>\n <\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetualDiscount<\/td>\n-1.0779%<\/td>\nNow with a pre-tax bid-YTW of 5.56% based on a bid of 20.19 and a limitMaturity.<\/td>\n<\/tr>\n
BCE.PR.I<\/td>\nFixFloat<\/td>\n-1.0753%<\/td>\n <\/td>\n<\/tr>\n
TD.PR.O<\/td>\nPerpetualDiscount<\/td>\n-1.0204%<\/td>\nNow with a pre-tax bid-YTW of 5.50% based on a bid of 22.31 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetualDiscount<\/td>\n-1.0078%<\/td>\nNow with a pre-tax bid-YTW of 5.54% based on a bid of 21.61 and a limitMaturity.<\/td>\n<\/tr>\n
W.PR.H<\/td>\nPerpetualDiscount<\/td>\n+1.2074%<\/td>\nNow with a pre-tax bid-YTW of 5.91% based on a bid of 23.47 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n
\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
GWO.PR.H<\/td>\nPerpetualDiscount<\/td>\n82,050<\/td>\nNesbitt crossed 25,000 at 22.59. Now with a pre-tax bid-YTW of 5.39% based on a bid of 22.50 and a limitMaturity.<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nPerpetualPremium<\/td>\n74,895<\/td>\nNesbitt crossed 60,000 at 25.11. Now with a pre-tax bid-YTW of 5.87% based on a bid of 25.12 and a limitMaturity.<\/td>\n<\/tr>\n
FAL.PR.A<\/td>\nRatchet<\/td>\n51,750<\/td>\nCalled for redemption<\/a>. Nesbitt was on the sell side for the day’s last ten trades, starting at 2:12pm and totally 51,650 in a range of 25.38-42.<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetualDiscount<\/td>\n40,795<\/td>\nNational Bank crossed each of the day’s last ten trades, time-stamped 3:52 & 3:53, totalling 16,600 shares, all at 21.65. Now with a pre-tax bid-YTW of 5.54% based on a bid of 21.61 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetualDiscount<\/td>\n24,475<\/td>\nNow with a pre-tax bid-YTW of 5.89% based on a bid of 20.68 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

There were twenty-one other index-included $25-pv-equivalent issues trading over 10,000 shares today.<\/p>\n","protected":false},"excerpt":{"rendered":"

On VoxEU, Francesco Giavazzi writes about the suddenly topical OIS \/ LIBOR spread. BCE received leave to appeal to the Supreme Court; the case will be heard June 17. The market drifted downwards, perhaps due …<\/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-2224","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2224","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=2224"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2224\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2224"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2224"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2224"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}