{"id":247,"date":"2006-11-03T23:33:42","date_gmt":"2006-11-04T03:33:42","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=247"},"modified":"2006-11-03T23:33:42","modified_gmt":"2006-11-04T03:33:42","slug":"november-3-2006","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=247","title":{"rendered":"November 3, 2006"},"content":{"rendered":"

When it rains, it pours! I have again been unable to get to the index rebalancing, but will do the daily return and volume charts. Monday! I’ll update the indices Monday! (unless the roof falls in)<\/p>\n

Update 2006-11-7<\/strong><\/p>\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<\/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>\n4.14%<\/td>\n4.07%<\/td>\n38,445<\/td>\n10.58<\/td>\n2<\/td>\n+0.3444%<\/td>\n1,013.6<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.83%<\/td>\n3.98%<\/td>\n139,618<\/td>\n9.01<\/td>\n7<\/td>\n+0.0295%<\/td>\n1024.7<\/td>\n<\/tr>\n
Floater<\/td>\n4.51%<\/td>\n-19.22%<\/td>\n70,655<\/td>\n6.53<\/td>\n5<\/td>\n+0.2632%<\/td>\n1,027.2<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.67%<\/td>\n1.19%<\/td>\n83,496<\/td>\n2.29<\/td>\n18<\/td>\n-0.0444%<\/td>\n1,023.2<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.03%<\/td>\n3.71%<\/td>\n182,023<\/td>\n3.36<\/td>\n9<\/td>\n0.1228%<\/td>\n1,022.4<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.93%<\/td>\n5.41%<\/td>\n58,898<\/td>\n2.42<\/td>\n7<\/td>\n0.0786%<\/td>\n1,017.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.07%<\/td>\n3.92%<\/td>\n247,576<\/td>\n3.92<\/td>\n49<\/td>\n+0.0681%<\/td>\n1,041.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.58%<\/td>\n4.62%<\/td>\n603,240<\/td>\n16.17<\/td>\n7<\/td>\n-0.0342%<\/td>\n1,036.1<\/td>\n<\/tr>\n<\/table>\n

End of 2006-11-7 Update<\/strong><\/p>\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
BSD.PR.A<\/td>\nInterestBearing<\/td>\n-1.0989%<\/td>\nYet another apparent victim of “I-don’t-want-anything-to-do-with-income-trusts!” syndrome, as this one is also ultimately dependent upon a portfolio of Canada’s favourite investment. According to their June 30, 2006<\/a> financial statement, they had assets of $154-million to cover preferred securities of $68-million (rounded figures). Applying yesterday’s<\/a> approximation of a 15.4% loss since then, we are left with $130-million in assets, for a coverage ratio of 1.9:1. This is not as good as the two other Income Trust based prefs examined earlier, but is still a long way away from panic time. This issue will not pay distributions to the capital unit holders if the coverage is less than 1.4:1<\/a>. YTW at the bid of 9.90 is 6.33% based on a maturity 2015-3-31.<\/td>\n<\/tr>\n
STW.PR.A<\/td>\nInterestBearing<\/td>\n+1.6000%<\/td>\nBouncing back from yesterday! Pre-tax YTW is 5.60% based on a bid price of $10.16 and a maturity 2009-12-31.<\/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
WN.PR.E<\/td>\nPerpetualDiscount<\/td>\n63,053<\/td>\nClosed at $24.95-00, making a determined effort to get into “PerpetualPremium” territory! The bid-side YTW is 4.87%, based on a call at $25.00, 2015-7-31.<\/td>\n<\/tr>\n
PIC.PR.A<\/td>\nSplitShare<\/td>\n58,842<\/td>\nRBC sold 10,000 to Scotia @ 16.02, then crossed 38,989 @ $16.03 for delayed delivery. Pre-tax YTW is 3.92% based on a maturity 2010-11-1.<\/td>\n<\/tr>\n
BC.PR.C<\/td>\nFixedFloater<\/td>\n53,188<\/td>\nScotia crossed 50,000 @ $25.60 in the final minutes of trading.<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n43,250<\/td>\nThe clearance sale<\/a> mentality returned a little today, as the issue slipped a bit, to close at $24.06-09. The extremely comparable SLF.PR.C were quoted at $24.45-50.<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetualPremium<\/td>\n41,475<\/td>\nA good day for this issue, which gained 35bp on the day (bid\/bid). YTW at the closing bid of $25.80 was 4.34%, based on a call 2014-4-29 @ $25.00. I’d be tempted to call this a result of money switching out of the CM.PR.B, which were called for redemption today<\/a> … but the volume on the Bs was only 16,463 and the redemption has been anticipated for quite a while.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

<\/p>\n","protected":false},"excerpt":{"rendered":"

When it rains, it pours! I have again been unable to get to the index rebalancing, but will do the daily return and volume charts. Monday! I’ll update the indices Monday! (unless the roof falls …<\/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-247","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/247","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=247"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/247\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=247"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=247"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=247"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}