{"id":420,"date":"2006-12-20T22:59:55","date_gmt":"2006-12-21T02:59:55","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=420"},"modified":"2006-12-20T22:59:55","modified_gmt":"2006-12-21T02:59:55","slug":"december-20-2006","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=420","title":{"rendered":"December 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>\n4.16%<\/td>\n4.19%<\/td>\n35,352<\/td>\n17.07<\/td>\n1<\/td>\n+0.0403%<\/td>\n1,024.8<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.78%<\/td>\n3.74%<\/td>\n99,889<\/td>\n8.36<\/td>\n7<\/td>\n-0.0053%<\/td>\n1,034.9<\/td>\n<\/tr>\n
Floater<\/td>\n4.48%<\/td>\n-21.70%<\/td>\n62,865<\/td>\n0.34<\/td>\n5<\/td>\n+0.0480%<\/td>\n1,042.0<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.64%<\/td>\n1.02%<\/td>\n84,391<\/td>\n2.19<\/td>\n17<\/td>\n+0.0047%<\/td>\n1,031.8<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.06%<\/td>\n1.63%<\/td>\n247,660<\/td>\n2.51<\/td>\n9<\/td>\n-0.0408%<\/td>\n1,042.2<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.96%<\/td>\n5.84%<\/td>\n81,930<\/td>\n2.34<\/td>\n7<\/td>\n-0.0672%<\/td>\n1,026.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.00%<\/td>\n3.47%<\/td>\n289,050<\/td>\n4.19<\/td>\n52<\/td>\n+0.0026%<\/td>\n1,054.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.52%<\/td>\n4.50%<\/td>\n899,077<\/td>\n11.75<\/td>\n6<\/td>\n+0.0334%<\/td>\n1,061.2<\/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
MFC.PR.B<\/td>\nPerpetualPremium<\/td>\n-1.0832%<\/td>\nNow with a pre-tax bid-YTW of 4.31% based on a bid of 25.57 and a call 2014-4-18 at 25.00.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\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
GWO.PR.F<\/td>\nPerpetualPremium<\/td>\n401,887<\/td>\nThe highest priced index-included perpetual, at 28.07b. Nesbitt crossed 100,000 at 28.10. Now with a pre-tax bid-YTW of 1.28% based on a bid of 28.06 and a call 2008-10-30 at 26.00. It might last a while and get called 2012-10-30 at 25.00, but with an annual dividend of 1.475 and a call schedule declining by 0.25 annually, I don’t like its chances. You can get better than 3.57% without the risk of an early, horrid call anyway.<\/td>\n<\/tr>\n
TD.PR.M<\/td>\nOpRet<\/td>\n381,850<\/td>\nRoyal processed an internal cross<\/a> at 27.78. Now with a pre-tax bid-YTW of 2.18% based on a call 2009-5-30 at $26.00, but it would appear some people are confident it will last until a call at $25.00 2013-10-30, to yield 3.12%<\/td>\n<\/tr>\n
CM.PR.D<\/td>\nPerpetualPremium<\/td>\n312,702<\/td>\nAnother very-high-priced perpetual, at 27.51b. Nesbitt crossed 100,000 at 27.68. Now with a pre-tax bid-YTW of 1.91% based on a bid of 27.54 and a call 2008-5-31 at $26.00. It might last until 2012-5-30, to have yielded 3.86%. With an annual dividend of 1.4375, it might not!<\/td>\n<\/tr>\n
PWF.PR.I<\/td>\nPerpetualPremium<\/td>\n304,010<\/td>\nNesbitt crossed 200,000 at 27.50, then another 100,000 at the same price three hours later. Now with a pre-tax bid-YTW of 2.44% based on a bid of 27.43 and a call 2008-5-30 at $26.00. Pays 1.50, so is there really a competent and confident school of thought that thinks it will last until a call at 25.00 2012-5-30, yielding 4.19%? The relatively recent PWF.PR.L<\/a> pays 1.275.<\/td>\n<\/tr>\n
NA.PR.K<\/td>\nPerpetualPremium<\/td>\n202,815<\/td>\nThe second-highest-priced index-included perpetual, at 27.90b. Nesbitt crossed 200,000 at 27.98. Now with a pre-tax bid-YTW of 1.03% based on a bid of 27.90 and a call 2008-6-14 at 26.00. It will yield 3.64% if it lasts until a 25.00 call 2012-6-14. Too chancy for me! Pays 1.4625.<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nScraps<\/td>\n200,000<\/td>\nRoyal processed an internal cross of 200,000 at 25.45. A floating rate issue, currently out of the index due to insufficient volume.<\/td>\n<\/tr>\n
CM.PR.B<\/td>\nPerpetualPremium<\/td>\n198,945<\/td>\nCalled for redemption<\/a>.<\/td>\n<\/tr>\n
ACO.PR.A<\/td>\nOpRet<\/td>\n115,349<\/td>\nRoyal processed an internal cross of 115,000 shares at 28.25. Now with a pre-tax bid-YTW of 1.57% based on a bid of 28.13 and a call 2008-12-31 at 26.00. It pays 1.4375 and has a very steeply declining call premium (0.50 p.a.), so it might make last longer.<\/td>\n<\/tr>\n
GWO.PR.X<\/td>\nOpRet<\/td>\n108,897<\/td>\nNesbitt crossed 100,000 at 27.50. Pre-tax bid-YTW now 2.49% based on a bid of 27.50 and a call 2009-10-30 at 26.00. It might last longer – the call premium declines by 0.33 p.a. – but I’ll let other people bet on that one.<\/td>\n<\/tr>\n
NSI.PR.D<\/td>\nScraps<\/td>\n101,100<\/td>\nRoyal processed an internal cross of 100,000 at 30.00. Not the biggest trader in the world, which is why it’s not in the OpRet index … at a bid of 29.62, it has a pre-tax bid-YTW of 3.62% based on a call 2015-11-14 at 25.00. This compares to 3.15% at the ask price of 30.61.<\/td>\n<\/tr>\n<\/table>\n

There were nineteen other index-included issues with over 10,000 shares traded 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-420","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/420","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=420"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/420\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=420"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=420"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=420"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}