{"id":279,"date":"2006-11-13T22:51:51","date_gmt":"2006-11-14T02:51:51","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=279"},"modified":"2006-11-13T22:51:51","modified_gmt":"2006-11-14T02:51:51","slug":"november-13-2006","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=279","title":{"rendered":"November 13, 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>\n4.17%<\/td>\n4.13%<\/td>\n33,771<\/td>\n10.53<\/td>\n2<\/td>\n-0.1799%<\/td>\n1,016.4<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.81%<\/td>\n3.96%<\/td>\n126,440<\/td>\n9.44<\/td>\n7<\/td>\n+0.1189%<\/td>\n1,029.4<\/td>\n<\/tr>\n
Floater<\/td>\n4.50%<\/td>\n-22.32%<\/td>\n66,317<\/td>\n6.50<\/td>\n5<\/td>\n+0.1836%<\/td>\n1,030.4<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.67%<\/td>\n0.97%<\/td>\n80,017<\/td>\n2.27<\/td>\n18<\/td>\n+0.0018%<\/td>\n1,026.4<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.01%<\/td>\n3.53%<\/td>\n166,356<\/td>\n3.33<\/td>\n9<\/td>\n-0.0309%<\/td>\n1,027.5<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.93%<\/td>\n5.43%<\/td>\n63,296<\/td>\n2.38<\/td>\n7<\/td>\n-0.0357%<\/td>\n1,017.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.07%<\/td>\n3.92%<\/td>\n229,963<\/td>\n4.23<\/td>\n49<\/td>\n-0.0175%<\/td>\n1,043.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.58%<\/td>\n4.61%<\/td>\n572,040<\/td>\n16.18<\/td>\n7<\/td>\n+0.0697%<\/td>\n1,038.3<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BAM.PR.H<\/td>\nOpRet<\/td>\n+1.5062%<\/td>\nTraded in a narrow range today, between 27.56 and 27.62, closing at $27.63-79, 2×11. Pre-tax bid-YTW is now a skimpy 2.13%, based on a call at 25.75 2008-10-30.<\/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
CU.PR.V<\/td>\nScraps<\/td>\n100,000<\/td>\nNesbitt crossed 100,000 @ 25.40 in the day’s only trade. The same 100,000 that they crossed on November 8<\/a>, perhaps?<\/td>\n<\/tr>\n
CU.PR.T<\/td>\nScraps<\/td>\n91,100<\/td>\nNesbitt crossed 90,000 @ 25.60 and it closed at $25.02-74. Drive a truck through that spread! This issue was also discussed on November 8<\/a>.<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n33,045<\/td>\nDown 0.2058% on the day (i.e.: a nickel). I’m getting awfully tired of referring to the Clearance Sale<\/a>.<\/td>\n<\/tr>\n
CM.PR.B<\/td>\nPerpetualPremium<\/td>\n13,500<\/td>\nWill be redeemed in January<\/a>.<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetualPremium<\/td>\n12,388<\/td>\nClosed at 25.70-77, 20×12. Now has a pre-tax YTW of 4.49% based on a call 2014-10-30 at $25.00. It’s interesting to compare this with the SLF.PR.A, which have a pre-tax YTW of only 4.36% based on a call 2014-04-30. You sure get a lot of yield by extending term half-a-year, eh? The term of the YTW isn’t the be-all and end-all of the analysis, of course, but according to me (OK, well, according to HIMIPref\u2122) curvePrice<\/a> of the B is 25.79; of the A $25.41. Closing quotes are 25.70-77 (pretty close) and 25.80-92 (yech!) respectively.<\/td>\n<\/tr>\n<\/table>\n

There was only one other index-included issues trading over 10,000 shares today.\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-279","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/279","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=279"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/279\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=279"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=279"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=279"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}