{"id":438,"date":"2006-12-29T23:00:14","date_gmt":"2006-12-30T03:00:14","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=438"},"modified":"2006-12-29T23:00:14","modified_gmt":"2006-12-30T03:00:14","slug":"december-29-2006","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=438","title":{"rendered":"December 29, 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. In this version, index values are based at 1,000.0 on 2006-6-30<\/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>\n4.10%<\/td>\n4.10%<\/td>\n31,372<\/td>\n17.27<\/td>\n1<\/td>\n+0.0000%<\/td>\n1,036.2<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.78%<\/td>\n3.65%<\/td>\n90,998<\/td>\n8.40<\/td>\n7<\/td>\n+0.1127%<\/td>\n1,038.9<\/td>\n<\/tr>\n
Floater<\/td>\n4.50%<\/td>\n-19.07%<\/td>\n59,079<\/td>\n6.61<\/td>\n5<\/td>\n-0.1571%<\/td>\n1,036.7<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.64%<\/td>\n0.09%<\/td>\n82,567<\/td>\n1.97<\/td>\n17<\/td>\n+0.1159%<\/td>\n1,033.7<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.08%<\/td>\n2.14%<\/td>\n234,234<\/td>\n2.51<\/td>\n9<\/td>\n+0.0496%<\/td>\n1,043.2<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.96%<\/td>\n6.12%<\/td>\n79,631<\/td>\n3.38<\/td>\n7<\/td>\n-0.2055%<\/td>\n1,031.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.02%<\/td>\n3.61%<\/td>\n258,326<\/td>\n4.39<\/td>\n52<\/td>\n-0.0373%<\/td>\n1,053.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.54%<\/td>\n4.54%<\/td>\n790,495<\/td>\n13.31<\/td>\n6<\/td>\n-0.1794%<\/td>\n1,057.8<\/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
TD.PR.N<\/td>\nOpRet<\/td>\n-1.0881%<\/td>\nOn volume of 26 – count ’em, twenty-six – shares, to close at 27.27-13, 17×11. Now with a pre-tax bid-YTW of 2.65% based on a call 2009-5-30 at $26.00.<\/td>\n<\/tr>\n
ACO.PR.A<\/td>\nOpRet<\/td>\n+1.0172%<\/td>\nI don’t get it. This now has a pre-tax bid-YTW of 0.35% based on a bid of 28.8 and a call 2008-12-31 at $26.00. Even if it makes it to the softMaturity<\/a> 2011-11-30, it will only have yielded 2.56% (PRE-tax) from these nose-bleed levels … and this latter, generous figure is only 3.58% interest-equivalent with an Ontario Equivalency Factor<\/a> of 1.40. Three point Five Eight Percent? I can do better than that in Canadas. Retail.<\/td>\n<\/tr>\n
LBS.PR.A<\/td>\nSplitShare<\/td>\n+1.0195%<\/td>\nStill with a pre-tax bid-YTW of 3.75%, based on a bid of 10.90 and a hardMaturity<\/a> 2013-11-29 at $10.00. An interest-equivalent rate of 5.25% is something I find MUCH more interesting for seven-year money.<\/td>\n<\/tr>\n
BMO.PR.I<\/td>\nOpRet<\/td>\n+1.1650%<\/td>\nAgainst all odds, this issue has gained in price since I\u00a0mentioned it in November<\/a>, to close at 26.05-07 1×50, on frenzied volume of 100 shares. That makes the pre-tax bid-YTW -26.38% (yes, NEGATIVE 26.38%), based on a call 2007-1-28 at 25.25. I can only imagine that people figure that since the issue has survived redemption possibilities since 2005-11-25, it will make it until the softMaturity 2008-11-24 at $25.00 … and they may be right! The issue pays $1.1875 so, by waiting until 2007-11-25 anyway, the bank can save another $0.25 call premium for a net cost of $0.9375 … which is about where BMO could issue new retractible prefs right now, assuming they wanted to. But so what? What’s the point of this analysis and risk-taking? If the things survive a year beyond that, to the softMaturity 2008-11-24, they will have yielded 2.72%, so it’s the same story as ACO.PR.A mentioned above: interest equivalent (factor 1.4) of 3.81% for two-year money? My cat can do better than that with Canadas.<\/td>\n<\/tr>\n<\/table>\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
FBS.PR.B<\/td>\nSplitShare<\/td>\n46,040<\/td>\nRBC bought 10,000 shares of this recent new issue<\/a> from Scotia at 10.39. But why wouldn’t the purchaser just set fire to his money instead, and save the aggravation of waiting? The pre-tax bid-YTW is 1.35% based on a call 2008-1-14 at $10.00. They must be hoping for survival until the hardMaturity 2011-12-15, which results in a yield of 3.99%. Some might make it. There will always be some capital unit holders who hang on to their stock and don’t force redemption. But it’s not a bet I would make.<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetualDiscount<\/td>\n18,500<\/td>\nRBC crossed 10,600 at 24.78, so we know at least one trader showed up for work today. Now with a pre-tax bid-YTW of 4.50% based on a closing bid of $24.79 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualPremium<\/td>\n17,075<\/td>\nNow with a pre-tax bid-YTW of 4.47% based on a bid of 25.38 and a call 2016-3-1 at 25.00.<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetualPremium<\/td>\n16,900<\/td>\nNow with a pre-tax bid-YTW of 4.48% based on a bid of 25.10 and a call 2015-6-23 at 25.00<\/td>\n<\/tr>\n<\/table>\n

That’s it! There were no other index-included issues with over 10,000 shares traded today. Happy New Year!<\/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. In this version, index values are based at 1,000.0 on 2006-6-30 Index Mean Current Yield …<\/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-438","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/438","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=438"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/438\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=438"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=438"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=438"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}