{"id":32198,"date":"2006-07-21T21:16:09","date_gmt":"2006-07-22T01:16:09","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=31"},"modified":"2006-07-21T21:16:09","modified_gmt":"2006-07-22T01:16:09","slug":"july-21-2006","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=32198","title":{"rendered":"July 21, 2006"},"content":{"rendered":"\n\n\n\n\n\n\n\n\n
Index<\/td>\nCurrent Yield (at bid)<\/td>\nYTW<\/td>\nAverage Trading Value<\/td>\nMod Dur (YTW)<\/td>\nIssues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n4.13%<\/td>\n4.14%<\/td>\n105,226<\/td>\n17.17<\/td>\n2<\/td>\n-0.2200%<\/td>\n996.2<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n5.21%<\/td>\n4.16%<\/td>\n95,800<\/td>\n13.49<\/td>\n5<\/td>\n0.0401%<\/td>\n996.9<\/td>\n<\/tr>\n
Floater<\/td>\n4.55%<\/td>\n-16.23%<\/td>\n62,137<\/td>\n6.44<\/td>\n5<\/td>\n0.1185%<\/td>\n1001.5<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.74%<\/td>\n3.46%<\/td>\n81,046<\/td>\n3.08<\/td>\n18<\/td>\n0.2040%<\/td>\n994.1<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.17%<\/td>\n4.08%<\/td>\n50,179<\/td>\n2.80<\/td>\n14<\/td>\n0.1054%<\/td>\n999.9<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.86%<\/td>\n5.29%<\/td>\n66,397<\/td>\n2.22<\/td>\n7<\/td>\n+0.0366%<\/td>\n1,008.4<\/td>\n<\/tr>\n
Perpetual<\/td>\n5.20%<\/td>\n4.65%<\/td>\n195,398<\/td>\n6.86<\/td>\n54<\/td>\n0.0815%<\/td>\n1,001.8<\/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
Boring! Not a single index-included issue gained or lost more than 1%!<\/td>\n<\/tr>\n<\/table>\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
TCA.PR.Y<\/td>\nPerpetual<\/td>\n97,662<\/td>\n\u00a0<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetual<\/td>\n31,800<\/td>\nScotia crossed 25,000 @ 25.60 … issue up 0.24% on day<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetual<\/td>\n15,050<\/td>\n\u00a0<\/td>\n<\/tr>\n
BC.PR.C<\/td>\nFixedFloater<\/td>\n10,752<\/td>\n\u00a0<\/td>\n<\/tr>\n<\/table>\n

A fairly quiet day – the volume highlight was definitely the TCA.PR.Y, trading over\u00a0$5-million worth, but there wasn’t really a lot of movement.<\/p>\n

\u00a0Scotia’s cross of 25,000 RY.PR.W\u00a0is interesting … the closing YTW was 4.70%, compared with the 4.87%\u00a0at which the RY.PR.B closed. Not a precise swap, certainly, since the RY.PR.B only traded 9,202 shares but could perhaps be related. The YTW of the RY.PR.W is based on a call in March, 2014, at $25.00. It pays a nickel more than the RY.PR.B and has a similar redemption schedule, simply shifted to be 18 months earlier.<\/p>\n

As noted in the post BNA.PR.A<\/a>, an error was fixed today, with the effect that it is now calculated to have a YTW of 5.05% at its price of 26.01-30 based on a call in October, 2006, at 25.75. Yesterday, it had been calculated to have a YTW of -13.1% at pretty much the same price.<\/p>\n

The change in this issue has changed the average calculated YTW of the splitShare index markedly. What can I say? Sometimes these things really do<\/strong> have a grossly negative YTW!\n<\/p>\n

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

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value Ratchet 4.13% 4.14% 105,226 17.17 2 -0.2200% 996.2 Fixed-Floater 5.21% 4.16% 95,800 13.49 5 0.0401% 996.9 Floater 4.55% …<\/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-32198","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/32198","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=32198"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/32198\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=32198"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=32198"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=32198"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}