{"id":425,"date":"2006-12-21T23:32:43","date_gmt":"2006-12-22T03:32:43","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=425"},"modified":"2006-12-21T23:32:43","modified_gmt":"2006-12-22T03:32:43","slug":"december-21-2006","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=425","title":{"rendered":"December 21, 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>\n4.14%<\/td>\n4.16%<\/td>\n36,631<\/td>\n17.12<\/td>\n1<\/td>\n+0.3626%<\/td>\n1,028.6<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.78%<\/td>\n3.70%<\/td>\n98,254<\/td>\n8.37<\/td>\n7<\/td>\n+0.1069%<\/td>\n1,036.0<\/td>\n<\/tr>\n
Floater<\/td>\n4.49%<\/td>\n-19.12%<\/td>\n62,973<\/td>\n0.34<\/td>\n5<\/td>\n-0.2412%<\/td>\n1,039.4<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.64%<\/td>\n0.83%<\/td>\n85,845<\/td>\n1.99<\/td>\n17<\/td>\n+0.0792%<\/td>\n1,032.6<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.05%<\/td>\n1.59%<\/td>\n247,470<\/td>\n2.52<\/td>\n9<\/td>\n+0.2801%<\/td>\n1,045.2<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.95%<\/td>\n6.06%<\/td>\n83,034<\/td>\n2.34<\/td>\n7<\/td>\n+0.1688%<\/td>\n1,027.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.00%<\/td>\n3.57%<\/td>\n284,961<\/td>\n4.21<\/td>\n52<\/td>\n+0.0139%<\/td>\n1,055.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.53%<\/td>\n4.50%<\/td>\n879,559<\/td>\n11.75<\/td>\n6<\/td>\n-0.0598%<\/td>\n1,060.6<\/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
TOC.PR.B<\/td>\nFloater<\/td>\n-1.6026%<\/td>\nNesbitt was on the sell side for every trade, starting in the morning at 25.77 and ending with a cross of 12,400 at 25.50.<\/td>\n<\/tr>\n
FFN.PR.A<\/td>\nSplitShare<\/td>\n-1.1278%<\/td>\nNow with a pre-tax bid-YTW of 3.48% based on a price of $10.52 and a hardMaturity<\/a> 2009-12-01 at 10.00<\/td>\n<\/tr>\n
BSD.PR.A<\/td>\nInterestBearing<\/td>\n+1.0989%<\/td>\nNow with a pre-tax bid-YTW of 5.88% (as interest!) based on a bid of $10.12 and a hardMaturity 2015-3-31 at 10.00<\/td>\n<\/tr>\n
LBS.PR.A<\/td>\nSplitShare<\/td>\n+2.0333%<\/td>\nNow with a pre-tax bid-YTW of 3.68%, based on a bid of $11.04 and a hardMaturity 2013-11-29 at 10.00<\/td>\n<\/tr>\n<\/table>\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
CL.PR.B<\/td>\nPerpetualPremium<\/td>\n300,000<\/td>\nNot usually much of a trader, but RBC crossed 150,000 at 26.15 for cash<\/a> and Nesbitt crossed the same amount at 25.97 for delayed delivery<\/a> … very similar to the trading on December 18<\/a>! Hmmmm….. I pontificated November 29<\/a> that this was a prime candidate for redemption, but there’s been no news yet. The pre-tax bid-YTW is now 1.65% based on a bid of $26.09 and a call 2007-1-30 at 26.00. The next ex-date is 2007-3-1, so if the funny settlements are a dividend capture\/avoidance game, it’s a deep one!<\/td>\n<\/tr>\n
GWO.PR.X<\/td>\nOpRet<\/td>\n188,968<\/td>\nYesterday’s<\/a> heavy trading continues. Now with a pre-tax bid-YTW of 2.49% based on a bid of 27.50 and a call 2009-10-30 at 26.00 … but given that it’s a retractible paying 1.20, with the call premium declining at 0.33 p.a., it might make it to the softMaturity<\/a> 2013-9-29, yielding 3.15%.<\/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.J<\/td>\nOpRet<\/td>\n81,463<\/td>\nTDSecurities processed an internal cross<\/a> of 75,000 shares at 27.03. Now with a pre-tax bid-YTW of 2.30% based on a bid of 26.98 and a call 2008-5-30 at 26.00. It might make it to the soft maturity 2013-7-30, yielding 3.48%. Might.<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n56,685<\/td>\nNational processed an internal cross of 20,000 at 24.92. Now with a pre-tax bid-YTW of 4.52% based on a bid of 24.92 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualPremium<\/td>\n46,391<\/td>\nNow with a pre-tax bid-YTW of 4.57% based on a bid of 25.42 and a call 2016-3-1 at 25.00.<\/td>\n<\/tr>\n<\/table>\n

There were twenty-three 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-425","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/425","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=425"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/425\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=425"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=425"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=425"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}