{"id":460,"date":"2007-01-09T22:58:32","date_gmt":"2007-01-10T02:58:32","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=460"},"modified":"2007-01-09T22:58:32","modified_gmt":"2007-01-10T02:58:32","slug":"january-9-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=460","title":{"rendered":"January 9, 2007"},"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>\n4.11%<\/td>\n28,159<\/td>\n17.23<\/td>\n1<\/td>\n+0.0403%<\/td>\n1,028.0<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.77%<\/td>\n3.54%<\/td>\n83,031<\/td>\n8.35<\/td>\n7<\/td>\n+0.2138%<\/td>\n1,040.8<\/td>\n<\/tr>\n
Floater<\/td>\n4.57%<\/td>\n-22.61%<\/td>\n65,413<\/td>\n4.60<\/td>\n4<\/td>\n-0.0488%<\/td>\n1,042.6<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.67%<\/td>\n1.76%<\/td>\n81,891<\/td>\n2.04<\/td>\n17<\/td>\n-0.0433%<\/td>\n1,032.3<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.11%<\/td>\n-0.33%<\/td>\n189,349<\/td>\n2.25<\/td>\n10<\/td>\n+0.0979%<\/td>\n1,045.8<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.70%<\/td>\n5.30%<\/td>\n74,556<\/td>\n2.66<\/td>\n6<\/td>\n-0.0742%<\/td>\n1,035.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.01%<\/td>\n3.61%<\/td>\n257,288<\/td>\n4.86<\/td>\n55<\/td>\n-0.0071%<\/td>\n1,054.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.50%<\/td>\n4.52%<\/td>\n790,212<\/td>\n16.36<\/td>\n3<\/td>\n-0.0534%<\/td>\n1,056.1<\/td>\n<\/tr>\n<\/table>\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
ACO.PR.A<\/td>\nOpRet<\/td>\n-1.7764%<\/td>\nNow with a pre-tax bid-YTW of 1.48% based on a bid of $28.20 and a call 2008-12-31 at $26.00. Even after today’s loss and even assuming there is no early call, the softMaturity<\/a> at $25.00 on 2011-11-30 is not very attractive, yielding 3.07%<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nPerpetualPremium<\/td>\n-1.3018%<\/td>\nNow with a pre-tax bid-YTW of 4.61% based on a bid of $25.02 and a limitMaturity<\/a><\/td>\n<\/tr>\n
DIV.PR.A<\/td>\nSplitShare<\/td>\n+1.2128%<\/td>\nThe current bid of $25.87 seems very aggressive, given that the issue is currently callable at $25.20, resulting in a pre-tax bid-YTW of -22.71% based on the call being effective 2007-2-8. It could yield 4.63% if it lasts until its maturity at $25.00 2009-12-31, but that’s a bit of a gamble. It was due to this performance – sending the issue’s YTW from negative to even more negative – that the splitShare index mean-YTW went negative.<\/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
BC.PR.B<\/td>\nFixedFloater<\/td>\n40,800<\/td>\nTD crossed 39,200 at 25.25.<\/td>\n<\/tr>\n
CM.PR.D<\/td>\nPerpetualPremium<\/td>\n32,445<\/td>\nNow with a pre-tax bid-YTW of 2.91% based on a bid of $26.85 and a call at $26.00 on 2008-05-30. There are clearly some among us who think that won’t happen!<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetualPremium<\/td>\n23,675<\/td>\nRBC crossed 20,000 at $26.30. Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.26 and a call 2014-11-30 at 25.00.<\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetualPremium<\/td>\n20,815<\/td>\nNow with a pre-tax bid-YTW of 3.93% based on a bid of $26.98 and a call 2010-5-31 at $26.00<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetualPremium<\/td>\n20,800<\/td>\nNow with a pre-tax bid-YTW of 4.69% based on a bid of 25.59 and a call 2014-04-29 at $25.00.<\/td>\n<\/tr>\n<\/table>\n

There were nine other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.\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. 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-460","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/460","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=460"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/460\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=460"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=460"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=460"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}