{"id":332,"date":"2006-11-24T23:02:57","date_gmt":"2006-11-25T03:02:57","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=332"},"modified":"2006-11-24T23:02:57","modified_gmt":"2006-11-25T03:02:57","slug":"november-24-2006","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=332","title":{"rendered":"November 24, 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>\n4.23%<\/td>\n4.13%<\/td>\n32,051<\/td>\n16.87<\/td>\n2<\/td>\n-0.1961%<\/td>\n1,019.3<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.81%<\/td>\n3.88%<\/td>\n107,918<\/td>\n8.98<\/td>\n7<\/td>\n-0.0933%<\/td>\n1,028.2<\/td>\n<\/tr>\n
Floater<\/td>\n4.48%<\/td>\n-21.11%<\/td>\n63,591<\/td>\n6.58<\/td>\n5<\/td>\n+0.1580%<\/td>\n1,034.3<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.66%<\/td>\n0.98%<\/td>\n80,778<\/td>\n2.25<\/td>\n18<\/td>\n+0.0209%<\/td>\n1,028.6<\/td>\n<\/tr>\n
Split-Share<\/td>\n4.97%<\/td>\n3.14%<\/td>\n148,136<\/td>\n3.32<\/td>\n9<\/td>\n+0.0298%<\/td>\n1,034.7<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.92%<\/td>\n5.87%<\/td>\n66,915<\/td>\n3.87<\/td>\n7<\/td>\n+0.1651%<\/td>\n1,018.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.06%<\/td>\n3.81%<\/td>\n211,330<\/td>\n4.13<\/td>\n49<\/td>\n+0.0852%<\/td>\n1,045.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.61%<\/td>\n4.63%<\/td>\n1,059,606<\/td>\n15.09<\/td>\n9<\/td>\n+0.3749%<\/td>\n1,040.7<\/td>\n<\/tr>\n<\/table>\n\n\n\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
CM.PR.R<\/td>\nOpRet<\/td>\n-1.8048%<\/td>\nHa! Yesterday<\/a> I said “This issue simply looks expensive”, and look what happens! I swing a pretty big stick around here, eh? Either that or I’m simply spouting the obvious. The pre-tax bid-YTW is now 2.68%, based on a price of $26.66 and a call at $25.75 2008-05-30.<\/td>\n<\/tr>\n
BC.PR.C<\/td>\nFixedFloater<\/td>\n-1.2360%<\/td>\nDespite this drop, it remains the issue in the FixedFloater index with the lowest bid-YTW, based on a price of $25.57 and a call 2011-8-31 at $25.00.<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetualDiscount<\/td>\n+1.0200%<\/td>\nImpressive performance with impressive volume of 90,550 shares! Pre-tax bid-YTW now relatively low in the PerpetualDiscount index (only MFC.PR.C is lower) at 4.50% based on a price of $24.76 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
BSD.PR.A<\/td>\nInterestBearing<\/td>\n+1.0204%<\/td>\nOn no trading! This one has been bouncing around a lot lately<\/a>.<\/td>\n<\/tr>\n
ACO.PR.A<\/td>\nOpRet<\/td>\n+2.0321%<\/td>\nIt seems like only yesterday I was calling this thing expensive, but it\u00a0 was Wednesday<\/a>. Shows how big a stick I swing around here. Still, with the pre-tax YTW now 0.65% based on a bid of $28.62 and a call 2008-12-31 at $26.00 (the buyers appear to be hoping it makes it to the day-before-retraction, so it will have earned a princely 2.64%), I’m sure the oblivious ingrates will get their come-uppance soon. In the medium term? Eventually? Please?<\/td>\n<\/tr>\n
PAY.PR.A<\/td>\nScraps<\/td>\n+2.28%<\/td>\nI wrote about this one recently<\/a>: the credit looks OK but I kept my mouth shut about valuation. Today’s massive gain was only a reversal of interim movement, because it closed with the same bid as the post mentioned: $25.57, for a pre-tax bid YTW of 4.06% based on a maturity 2008-7-31 at par.<\/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>\n338,043<\/td>\nRecent new issue<\/a>, and a nice move on the day, closing at 24.75-88 for a pre-tax bid-YTW of 4.82%<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n187,657<\/td>\nIs everybody else as tired of the constant references to the clearance sale<\/a> as I am? The blow-out sale<\/a> was October 25; in the month since then it has returned 2.18%, with the help of an intervening dividend. The only index-included issues to have done better between October 25 & November 24 are: GWO.PR.H (PerpetualPremium), BAM.PR.B (huh? – Floater), POW.PR.D (PerpetualPremium), HSB.PR.D (PerpetualPremium), HPF.PR.B (Not in the indices, but I posted about it lately<\/a> … it’s doing well just to spite me), LBS.PR.A<\/a> (SplitShare) and … wait for it … the grand champion, ACO.PR.A, discussed above (OpRet). Still and all, SLF.PR.D’s performance has been quite good. Pre-tax bid-YTW is now 4.57%, based on a bid of $24.27 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetualDiscount<\/td>\n90,550<\/td>\nPre-tax bid-YTW of 4.50% based on a bid of $24.76 and a limit maturity.<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nPerpetualPremium<\/td>\n59,350<\/td>\nPre-tax Bid YTW of 4.37% based on a call at par 2015-9-23 and a bid of $25.65. Is the call protection really worth 13bp of yield? Nesbitt processed an internal cross of 55,000 shares at $25.61. I think it’s a shade expensive here, but what do I know?<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualDiscount<\/td>\n53,481<\/td>\nRecent new issue<\/a>, now has a pre-tax bid-YTW of 4.73% based on a bid of $24.96.<\/td>\n<\/tr>\n<\/table>\n

There were twelve 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 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-332","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/332","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=332"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/332\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=332"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=332"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=332"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}