{"id":32263,"date":"2006-09-07T22:17:46","date_gmt":"2006-09-08T02:17:46","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=102"},"modified":"2006-09-07T22:17:46","modified_gmt":"2006-09-08T02:17:46","slug":"september-7-2006","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=32263","title":{"rendered":"September 7, 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>\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>\n4.45%<\/td>\n4.47%<\/td>\n39,009<\/td>\n16.54<\/td>\n1<\/td>\n+0.6160%<\/td>\n997.1<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.95%<\/td>\n4.18%<\/td>\n334,528<\/td>\n11.47<\/td>\n6<\/td>\n0.1863%<\/td>\n1,001.8<\/td>\n<\/tr>\n
Floater<\/td>\n4.64%<\/td>\n-14.27%<\/td>\n82,732<\/td>\n8.03<\/td>\n4<\/td>\n-0.2086%<\/td>\n1,007.8<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.69%<\/td>\n2.19%<\/td>\n72,272<\/td>\n2.19<\/td>\n18<\/td>\n0.0086%<\/td>\n1,010.5<\/td>\n<\/tr>\n
Split-Share<\/td>\n4.98%<\/td>\n3.51%<\/td>\n53,135<\/td>\n2.71<\/td>\n10<\/td>\n0.2507%<\/td>\n1,008.7<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.80%<\/td>\n4.95%<\/td>\n57,200<\/td>\n1.86<\/td>\n7<\/td>\n0.0308%<\/td>\n1,019.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.15%<\/td>\n4.22%<\/td>\n182,443<\/td>\n4.68<\/td>\n48<\/td>\n0.1050%<\/td>\n1,020.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.61%<\/td>\n4.63%<\/td>\n298,584<\/td>\n16.19<\/td>\n6<\/td>\n0.1157%<\/td>\n1,030.0<\/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
FTN.PR.A<\/td>\nSplitShare<\/td>\n+1.3579%<\/td>\nVolume of 1000 shares in a single trade at $10.50. Currently quoted at 10.45-53, 15×10<\/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
TD.PR.O<\/td>\nPerpetualPremium<\/td>\n488,340<\/td>\nA big day as the market closed! RBC crossed 200,000 @ 25.80 at 3:30, Scotia bought 30,000 from RBC @ 25.80 at 3:36, Scotia bought another 50,000 @ 25.80 from RBC at 3:44, Nesbitt crossed 151,000 @ 25.80 at 3:55 and finally Nesbitt crossed another 49,000 @ 25.80 at 3:55. The issue has a YTW of 4.48% at the closing bid of 25.79.<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n128,990<\/td>\nNesbitt crossed 100,000 @ 24.30. These are the lowest priced index-included perpetuals.<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nScraps<\/td>\n122,800<\/td>\nThis is a floater paying 70% of Canadian Prime, currently callable at $25.00. It’s not included in the indices due to volume considerations – today was a major exception! Desjardins bought 110,100 from Nesbit at 25.35 in four tranches, then crossed 10,000 at the same price.<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetualPremium<\/td>\n113,420<\/td>\nNesbitt crossed 100,000 @ 25.25, which turned out to be the closing bid.<\/td>\n<\/tr>\n
NA.PR.K<\/td>\nPerpetualPremium<\/td>\n101,650<\/td>\nNesbitt crossed 100,000 @ 26.85, which turned out to be the closing bid. This is kind of an interesting issue … coupon is $1.4625 and redemption options start 2008-5-15 @ $26.00, declining by $0.25 annually. The YTW scenario is for redemption as soon as allowed, with a yield of 3.93% … but given the declining redemption premium, the market appears to be betting that this will be put off until NA can redeem at $25.00, which results in a yield of 4.49%. It won’t really take an enormous move in rates to clarify the matter … place yer bets, gents, place yer bets!<\/td>\n<\/tr>\n<\/table>\n

There were eleven other index-included issues trading over 10,000 shares today.<\/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 Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. …<\/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-32263","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/32263","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=32263"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/32263\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=32263"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=32263"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=32263"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}