{"id":591,"date":"2007-02-16T22:28:00","date_gmt":"2007-02-17T02:28:00","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=591"},"modified":"2007-02-16T22:28:00","modified_gmt":"2007-02-17T02:28:00","slug":"february-16-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=591","title":{"rendered":"February 16, 2007"},"content":{"rendered":"
\n\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>\n4.06%<\/td>\n4.08%<\/td>\n29,489<\/td>\n17.29<\/td>\n1<\/td>\n0.3584%<\/td>\n1,047.8<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.81%<\/td>\n3.59%<\/td>\n88,954<\/td>\n6.38<\/td>\n7<\/td>\n+0.0129%<\/td>\n1,042.9<\/td>\n<\/tr>\n
Floater<\/td>\n4.47%<\/td>\n-23.24%<\/td>\n55,666<\/td>\n3.33<\/td>\n5<\/td>\n-0.0622%<\/td>\n1,050.6<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.70%<\/td>\n2.28%<\/td>\n75,887<\/td>\n2.07<\/td>\n18<\/td>\n+0.0615%<\/td>\n1,031.6<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.09%<\/td>\n1.78%<\/td>\n267,398<\/td>\n2.64<\/td>\n14<\/td>\n-0.0028%<\/td>\n1,044.6<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.49%<\/td>\n3.58%<\/td>\n59,106<\/td>\n2.35<\/td>\n5<\/td>\n-0.1837%<\/td>\n1,035.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.03%<\/td>\n3.70%<\/td>\n225,523<\/td>\n5.11<\/td>\n51<\/td>\n+0.0090%<\/td>\n1,053.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.52%<\/td>\n4.56%<\/td>\n1,178,685<\/td>\n16.27<\/td>\n11<\/td>\n+0.0621%<\/td>\n1,059.4<\/td>\n<\/tr>\n<\/table>\n<\/div>\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+1.4177%<\/td>\nTraded as high as $28.40 today and closed at 27.90-06, 3×10. The buyers are obviously sanguine about the potential for a redemption at $26.00, 2008-12-31, which results in the YTW scenario yielding 1.45% pre-tax … they seem to be hoping for the softMaturity<\/a> 2011-11-30, which will yield 3.09%. Of course, that’s still only the equivalent of a bond paying 4.33% for rich Ontario investors<\/a>, but that doesn’t seem to matter much!<\/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
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n227,100<\/td>\nRecent new issue<\/a>. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.05 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetualPremium<\/td>\n167,740<\/td>\nNow with a pre-tax bid-YTW of 4.18% based on a bid of $26.05 and a call 2014-4-29 at $25.00.<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetualDiscount<\/td>\n166,075<\/td>\nRecent New Issue<\/a>. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.I<\/td>\nPerpetualPremium<\/td>\n30,750<\/td>\nDesjardins bought 12,700 from National Bank in 7 tranches at $26.77 commencing 11:40am, and crossed 10,000 at the same price. It seems awfully brave – the pre-tax bid-YTW is 3.53% based on a bid of $26.80 and a call 2008-5-30 at $26.00. They would appear to be hoping for the call 2012-5-30 at $25.00, which will result in a much more attractive yield of 4.54%. I’d prefer to do that without quite so much risk, though!<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nPerpetualPremium<\/td>\n28,115<\/td>\nRecent New Issue<\/a>. Now with a pre-tax bid-YTW of 4.51% based on a bid of 25.07 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n

There were eight 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-591","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/591","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=591"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/591\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=591"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=591"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=591"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}