{"id":313,"date":"2006-11-20T23:02:12","date_gmt":"2006-11-21T03:02:12","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=313"},"modified":"2006-11-20T23:02:12","modified_gmt":"2006-11-21T03:02:12","slug":"november-20-2006","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=313","title":{"rendered":"November 20, 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>\n4.21%<\/td>\n4.16%<\/td>\n32,268<\/td>\n10.46<\/td>\n2<\/td>\n+0.1807%<\/td>\n1,017.9<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.82%<\/td>\n3.87%<\/td>\n116,924<\/td>\n8.43<\/td>\n7<\/td>\n0.1646%<\/td>\n1,027.5<\/td>\n<\/tr>\n
Floater<\/td>\n4.48%<\/td>\n-23.30%<\/td>\n65,196<\/td>\n6.54<\/td>\n5<\/td>\n+0.1500%<\/td>\n1,034.6<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.66%<\/td>\n0.97%<\/td>\n80,119<\/td>\n2.26<\/td>\n18<\/td>\n-0.0466%<\/td>\n1,028.0<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.01%<\/td>\n3.41%<\/td>\n153,586<\/td>\n3.31<\/td>\n9<\/td>\n-0.0820%<\/td>\n1,027.4<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.94%<\/td>\n5.96%<\/td>\n65,965<\/td>\n2.36<\/td>\n7<\/td>\n-0.3524%<\/td>\n1,015.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.07%<\/td>\n4.03%<\/td>\n218,236<\/td>\n4.19<\/td>\n49<\/td>\n+0.0068%<\/td>\n1,043.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.63%<\/td>\n4.65%<\/td>\n1,028,052<\/td>\n16.13<\/td>\n9<\/td>\n-0.2680%<\/td>\n1,036.1<\/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
BSD.PR.A<\/td>\nInterestBearing<\/td>\n+1.2097%<\/td>\nContinue<\/a> to bounce around. No solid news yet about the upcoming retraction event<\/a>.<\/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
BAM.PR.M<\/td>\nPerpetualDiscount<\/td>\n395,480<\/td>\nNew issue<\/a><\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetualPremium<\/td>\n334,880<\/td>\nClosed at $25.41-59, with a YTW of 4.44% based on the bid price and a call at $25.00 2014-04-30. It pays $1.1875 – so “call protection” of 30 bp 7.5 years hence is being valued at 18bp p.a., compared to the SLF.PR.D. Whether there are ANY scenarios in which the SLF.PR.A have a better total return is left as an exercise for the reader<\/a>.<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualDiscount<\/td>\n69,560<\/td>\nAnother recent new issue<\/a>, closing with a bid-YTW of 4.74%. An attractive issue at $24.88-90.<\/td>\n<\/tr>\n
WN.PR.E<\/td>\nPerpetualDiscount<\/td>\n29,978<\/td>\nIt’s trying hard to be PerpetualPremium, at 24.96-99, but it’s full of dividend – the next ex-date is on or about 2006-12-13. Bid YTW is 4.81, based on perpetuity.<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n18,675<\/td>\nStill<\/a> trading heavily.<\/td>\n<\/tr>\n<\/table>\n

There were fifteen 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-313","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/313","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=313"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/313\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=313"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=313"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=313"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}