{"id":2268,"date":"2008-06-16T22:20:51","date_gmt":"2008-06-17T02:20:51","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2268"},"modified":"2008-06-16T22:20:51","modified_gmt":"2008-06-17T02:20:51","slug":"june-16-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2268","title":{"rendered":"June 16, 2008"},"content":{"rendered":"

The OSFI\/ABCP post<\/a> has been updated with news of remarks by Supt. Dixon to the Commons Finance Committee.<\/p>\n

Another very – very – poor day in the market. Volume, though, was relatively light. Now, this is getting a whole lot closer to Technical Analysis than I like, but this does lend some credence to my speculation that this downdraft is retail-driven<\/a>. Whether or not that actually means anything in terms of future performance is, of course, another matter. entirely.<\/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>\n4.16%<\/td>\n4.18%<\/td>\n49,571<\/td>\n17.09<\/td>\n1<\/td>\n+0.0000%<\/td>\n1,114.1<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.96%<\/td>\n4.72%<\/td>\n59,877<\/td>\n15.98<\/td>\n7<\/td>\n-0.7863%<\/td>\n1,008.8<\/td>\n<\/tr>\n
Floater<\/td>\n4.06%<\/td>\n4.06%<\/td>\n69,576<\/td>\n17.32<\/td>\n2<\/td>\n+1.7552%<\/td>\n943.8<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.84%<\/td>\n2.38%<\/td>\n85,107<\/td>\n2.40<\/td>\n15<\/td>\n+0.0235%<\/td>\n1,057.8<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.32%<\/td>\n5.62%<\/td>\n68,502<\/td>\n4.14<\/td>\n15<\/td>\n-0.5980%<\/td>\n1,045.3<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.09%<\/td>\n6.05%<\/td>\n45,812<\/td>\n3.77<\/td>\n3<\/td>\n+0.0003%<\/td>\n1,118.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.89%<\/td>\n4.98%<\/td>\n377,190<\/td>\n9.56<\/td>\n13<\/td>\n-0.1597%<\/td>\n1,018.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.85%<\/td>\n5.92%<\/td>\n219,683<\/td>\n13.99<\/td>\n59<\/td>\n-0.6834%<\/td>\n896.6<\/td>\n<\/tr>\n<\/table>\n<\/div>\n
\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\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
BNA.PR.B<\/td>\nSplitShare<\/td>\n-6.0711%<\/td>\nAsset coverage of just under 3.6:1 as of May 30, according to the company<\/a>. Now with a pre-tax bid-YTW of 9.43% based on a bid of 19.03 and a hardMaturity<\/a> 2016-3-25 at 25.00. Amusingly (or not, depending on your point of view), the price was actually UP on a close\/close basis, as all three board-lot trades on the day were executed at 20.75. Closed at 19.03-20-49, 12×4, in an impressive display of market-making. Compare with BNA.PR.A (6.18% to 2010-9-30) and BNA.PR.C (7.75% to 2019-1-10).<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n-5.4591%<\/td>\nIt did this on NO volume, closing at 19.05-20.25, 22×6. See BNA.PR.B, above.<\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nPerpetualDiscount<\/td>\n-3.2538%<\/td>\nNow with a pre-tax bid-YTW of 5.99% based on a bid of 22.30 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
BCE.PR.C<\/td>\nFixFloat<\/td>\n-3.0446%<\/td>\n <\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetualDiscount<\/td>\n-2.2978%<\/td>\nNow with a pre-tax bid-YTW of 6.10% based on a bid of 21.26 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetualDiscount<\/td>\n-2.1869%<\/td>\nNow with a pre-tax bid-YTW of 6.06% based on a bid of 19.68 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetualDiscount<\/td>\n-1.4342%<\/td>\nNow with a pre-tax bid-YTW of 6.05% based on a bid of 19.93 and a limitMaturity.<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.8036%<\/td>\nNow with a pre-tax bid-YTW of 6.02% based on a bid of 24.50 and a limitMaturity.<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetualDiscount<\/td>\n-1.5378%<\/td>\nNow with a pre-tax bid-YTW of 5.85% based on a bid of 24.33 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nPerpetualDiscount<\/td>\n-1.4627%<\/td>\nNow with a pre-tax bid-YTW of 5.88% based on a bid of 20.21 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nPerpetualDiscount<\/td>\n-1.4078%<\/td>\nNow with a pre-tax bid-YTW of 5.66% based on a bid of 21.71 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetualDiscount<\/td>\n-1.3514%<\/td>\nNow with a pre-tax bid-YTW of 5.71% based on a bid of 19.71 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n-1.0155%<\/td>\nNow with a pre-tax bid-YTW of 6.03% based on a bid of 18.52 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.J<\/td>\nPerpetualDiscount<\/td>\n-1.3240%<\/td>\nNow with a pre-tax bid-YTW of 5.53% based on a bid of 23.85 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nPerpetualDiscount<\/td>\n-1.2641%<\/td>\nNow with a pre-tax bid-YTW of 5.95% based on a bid of 21.87 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.P<\/td>\nPerpetualDiscount<\/td>\n-1.2500%<\/td>\nNow with a pre-tax bid-YTW of 5.62% based on a bid of 23.70 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetualDiscount<\/td>\n-1.2471%<\/td>\nNow with a pre-tax bid-YTW of 5.88% based on a bid of 21.38 and a limitMaturity.<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetualDiscount<\/td>\n-1.2392%<\/td>\nNow with a pre-tax bid-YTW of 6.61% based on a bid of 18.33 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetualDiscount<\/td>\n-1.1986%<\/td>\nNow with a pre-tax bid-YTW of 6.90% based on a bid of 17.31 and a limitMaturity.<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetualDiscount<\/td>\n-1.1704%<\/td>\nNow with a pre-tax bid-YTW of 5.95% based on a bid of 21.11 and a limitMaturity.<\/td>\n<\/tr>\n
BCE.PR.Z<\/td>\nFixFloat<\/td>\n-1.1550%<\/td>\n <\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n-1.1213%<\/td>\nNow with a pre-tax bid-YTW of 5.82% based on a bid of 19.40 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.G<\/td>\nPerpetualDiscount<\/td>\n-1.1083%<\/td>\nNow with a pre-tax bid-YTW of 5.80% based on a bid of 19.63 and a limitMaturity.<\/td>\n<\/tr>\n
BCE.PR.R<\/td>\nFixFloat<\/td>\n-1.0989%<\/td>\n <\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetualDiscount<\/td>\n-1.0256%<\/td>\nNow with a pre-tax bid-YTW of 5.86% based on a bid of 19.30 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n+3.0348%<\/td>\n <\/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
BAM.PR.K<\/td>\nFloater<\/td>\n45,600<\/td>\n <\/td>\n<\/tr>\n
CM.PR.D<\/td>\nPerpetualDiscount<\/td>\n27,000<\/td>\nDesjardins bought 10,000 from Anonymous at 24.60, then 10,000 from Bolder (who?) at 24.57. Now with a pre-tax bid-YTW of 5.99% based on a bid of 24.35 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualDiscount<\/td>\n20,735<\/td>\nNow with a pre-tax bid-YTW of 6.17% based on a bid of 19.39 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetualDiscount<\/td>\n17,902<\/td>\nNow with a pre-tax bid-YTW of 5.58% based on a bid of 22.16 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetualDiscount<\/td>\n17,220<\/td>\nNow with a pre-tax bid-YTW of 6.06% based on a bid of 19.68 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

The OSFI\/ABCP post has been updated with news of remarks by Supt. Dixon to the Commons Finance Committee. Another very – very – poor day in the market. Volume, though, was relatively light. Now, this …<\/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-2268","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2268","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=2268"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2268\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2268"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2268"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2268"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}