{"id":376,"date":"2006-12-08T23:12:29","date_gmt":"2006-12-09T03:12:29","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=376"},"modified":"2006-12-08T23:12:29","modified_gmt":"2006-12-09T03:12:29","slug":"december-8-2006","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=376","title":{"rendered":"December 8, 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>\n4.24%<\/td>\n4.26%<\/td>\n37,639<\/td>\n16.94<\/td>\n1<\/td>\n+0.0000%<\/td>\n1,019.9<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.81%<\/td>\n3.81%<\/td>\n103,006<\/td>\n8.36<\/td>\n7<\/td>\n+0.0001%<\/td>\n1,028.5<\/td>\n<\/tr>\n
Floater<\/td>\n4.47%<\/td>\n-20.59%<\/td>\n60,917<\/td>\n6.58<\/td>\n5<\/td>\n+0.0235%<\/td>\n1,038.1<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.63%<\/td>\n-0.47%<\/td>\n81,806<\/td>\n2.20<\/td>\n17<\/td>\n+0.0372%<\/td>\n1,032.2<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.11%<\/td>\n2.91%<\/td>\n144,894<\/td>\n2.71<\/td>\n8<\/td>\n-0.0020%<\/td>\n1,039.3<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.90%<\/td>\n5.52%<\/td>\n76,292<\/td>\n3.85<\/td>\n7<\/td>\n-0.4193%<\/td>\n1,024.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.02%<\/td>\n3.62%<\/td>\n254,404<\/td>\n4.57<\/td>\n51<\/td>\n-0.0704%<\/td>\n1,050.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.59%<\/td>\n4.60%<\/td>\n968,678<\/td>\n16.25<\/td>\n6<\/td>\n-0.2374%<\/td>\n1,045.3<\/td>\n<\/tr>\n<\/table>\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
BSD.PR.A<\/td>\nInterestBearing<\/td>\n-1.6915%<\/td>\nThis has been volatile lately<\/a>, probably due to speculation about the possible call<\/a>. Now with a pre-tax bid-YTW of 6.62% (as interest!) based on a bid of 9.88 and a maturity 2015-3-31.<\/td>\n<\/tr>\n
FCN.PR.A<\/td>\nInterestBearing<\/td>\n-1.3725%<\/td>\nA blowback from yesterday<\/a>. Now with a pre-tax bid-YTW of 6.44% (as interest!) based on a bid of 10.06 and a hardMaturity<\/a> 2011-3-31 at 10.00. This issue’s call schedule does not include a declining premium feature, so negative pseudoConvexity<\/a> is fierce.<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.0157%<\/td>\nVirtually identical<\/a> to SLF.PR.D, which it now brackets in price, being quoted at 24.25-59 compared to SLF.PR.D’s 24.38-46. Now with a pre-tax bid-YTW of 4.59% based on a limitMaturity<\/a>.<\/td>\n<\/tr>\n
LBS.PR.A<\/td>\nSplitShare<\/td>\n-1.0157%<\/td>\nNow with a pre-tax bid-YTW of 4.17% – not bad for a split share or other retractible – based on a bid of 10.72 and a hard maturity 2013-11-29 at 10.00.<\/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
RY.PR.A<\/td>\nPerpetualDiscount<\/td>\n129,654<\/td>\nNow with a pre-tax bid-YTW of 4.50%, based on a limit maturity. In other words, these are trading near-as-dammit to even yield with the Royal new issue<\/a>, which is expected to settle Dec. 13<\/a>.<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n41,489<\/td>\nA regular guest<\/a> on this list! Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.38 and a limit maturity.<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetualDiscount<\/td>\n35,450<\/td>\nThe price collapsed at the close, with 10+ trades in the last minute. Scotia sold on nine of them, selling 6,500 at prices beginning at 24.60 and ending at 24.25. Lesson 1: don’t put market orders in during the last minute unless you know for sure there’s some depth!<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualPremium<\/td>\n33,115<\/td>\nRecent new issue<\/a>, now with a pre-tax bid-YTW of 4.63% based on a bid of $25.27 and a call 2016-3-1 at 25.00<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetualDiscount<\/td>\n19,802<\/td>\nRecent new issue<\/a>, now with a pre-tax bid-YTW of 4.78% based on a bid of $25.00 and a limit maturity.<\/td>\n<\/tr>\n<\/table>\n

There were five other index-included issues with over 10,000 shares traded today.<\/p>\n

No enormous blocks crossed by Scotia today! I guess their guy’s still counting his commission from the last two days.\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-376","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/376","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=376"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/376\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=376"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=376"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=376"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}