{"id":528,"date":"2007-01-26T23:57:38","date_gmt":"2007-01-27T03:57:38","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=528"},"modified":"2007-01-26T23:57:38","modified_gmt":"2007-01-27T03:57:38","slug":"january-26-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=528","title":{"rendered":"January 26, 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>\n4.00%<\/td>\n4.01%<\/td>\n29,417<\/td>\n17.40<\/td>\n1<\/td>\n+0.1999%<\/td>\n1,038.3<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.77%<\/td>\n3.50%<\/td>\n76,322<\/td>\n8.39<\/td>\n7<\/td>\n-0.7113%<\/td>\n1,042.4<\/td>\n<\/tr>\n
Floater<\/td>\n4.47%<\/td>\n-37.25%<\/td>\n61,636<\/td>\n4.10<\/td>\n4<\/td>\n+1.7363%<\/td>\n1,066.8<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.69%<\/td>\n2.29%<\/td>\n79,444<\/td>\n2.23<\/td>\n17<\/td>\n-0.1133%<\/td>\n1,029.9<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.05%<\/td>\n-0.05%<\/td>\n366,656<\/td>\n2.82<\/td>\n11<\/td>\n+0.0170%<\/td>\n1,045.7<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.70%<\/td>\n5.96%<\/td>\n71,628<\/td>\n4.49<\/td>\n6<\/td>\n-0.0129%<\/td>\n1,035.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.02%<\/td>\n3.87%<\/td>\n264,083<\/td>\n5.76<\/td>\n56<\/td>\n-0.1128%<\/td>\n1,050.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.51%<\/td>\n4.52%<\/td>\n1,426,872<\/td>\n16.33<\/td>\n5<\/td>\n-0.0480%<\/td>\n1,054.9<\/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
BCE.PR.Z<\/td>\nFixedFloater<\/td>\n-1.7464%<\/td>\nClosed at $25.88-00, 2×17. Looks like the BCE.PR.Y \/ BCE.PR.Z<\/a> mis-match is beginning to unravel … especially as BCE.PR.Y closed at 25.06-40, 3×20. Or, should I say, my recommendation is paying off? The pre-tax bid-YTW on BCE.PR.Z is now 2.04%, based on a bid of $25.88 and a call 2007-12-31 at $25.00, so at least it’s moved to the right side of zero.<\/td>\n<\/tr>\n
BC.PR.C<\/td>\nFixedFloater<\/td>\n-1.3657%<\/td>\nGiving up most of yesterday’s<\/a> gains.<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetualPremium<\/td>\n-1.039%<\/td>\nOn volume of 1,200 shares, below average<\/a> even for this issue. Now with a pre-tax bid-YTW of 4.19% based on a call at … um … $26.00 on 2009-11-16; $25.75 on 2010-11-16; and $25.50 on 2011-11-16 all work out to pretty much the same thing.<\/td>\n<\/tr>\n
TOC.PR.B<\/td>\nFloater<\/td>\n+6.1366%<\/td>\nI hope the market maker<\/a> for this issue has the pleasure of answering some very detailed questions about this from the TSX. It’s absolutely ridiculous. This happened on frenzied trading of eight transactions (seven of them between 3pm and 3:45pm) involving a crushing 3,554 shares. The price popped from $27.25 to $28.80 when National Bank bought 185 shares (100 from “Anonymous”, the odd lot<\/a> from RBC) at 3:26pm; then at 3:45 pm TD Securities bought 1,500 shares in two tranches from RBC at $28.09. The issue closed at $27.50-$28.50, 1×1. Super. A nice tight market in size. My grandmother can do better than that.<\/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.C<\/td>\nFixedFloater<\/td>\n604,572<\/td>\nDesjardins crossed 197,400 at $26.00; closed at 26.00-05, 6×49.<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetualPremium<\/td>\n213,800<\/td>\nScotia crossed 200,000 at $26.15. Now with a pre-tax bid-YTW of 4.20% based on a bid of $26.02 and a call at $25.00 on 2014-3-26. I thought they were expensive on the 24th<\/a> and I think they’re expensive now.<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetualPremium<\/td>\n210,998<\/td>\nScotia crossed 207,600 at $24.90. Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.85 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualPremium<\/td>\n57,834<\/td>\nNow with a pre-tax bid-YTW of 4.55% based on a bid of $25.31 and a call 2016-3-1 at $25.00.<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetualPremium<\/td>\n51,400<\/td>\nScotia crossed 48,000 at $26.10. Now with a pre-tax bid-YTW of 4.30% based on a bid of $26.10 and a call 2014-11-30 at $25.00.<\/td>\n<\/tr>\n<\/table>\n

There were twelve other “$25 p.v. equivalent” 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. 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-528","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/528","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=528"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/528\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=528"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=528"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=528"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}