{"id":653,"date":"2007-03-01T23:11:38","date_gmt":"2007-03-02T03:11:38","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=653"},"modified":"2007-03-01T23:11:38","modified_gmt":"2007-03-02T03:11:38","slug":"march-1-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=653","title":{"rendered":"March 1, 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>\n3.87%<\/td>\n3.87%<\/td>\n78,237<\/td>\n3.91<\/td>\n1<\/td>\n+0.0000%<\/td>\n1,047.4<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.98%<\/td>\n3.64%<\/td>\n105,993<\/td>\n4.61<\/td>\n5<\/td>\n-0.0465%<\/td>\n1,039.6<\/td>\n<\/tr>\n
Floater<\/td>\n4.72%<\/td>\n-18.56%<\/td>\n76,399<\/td>\n0.09<\/td>\n3<\/td>\n-0.1043%<\/td>\n1,048.1<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.71%<\/td>\n2.35%<\/td>\n76,706<\/td>\n2.12<\/td>\n17<\/td>\n-0.1150%<\/td>\n1,029.6<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.07%<\/td>\n1.12%<\/td>\n213,826<\/td>\n3.25<\/td>\n15<\/td>\n-0.0033%<\/td>\n1,043.3<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.50%<\/td>\n4.82%<\/td>\n63,313<\/td>\n2.34<\/td>\n5<\/td>\n-0.1451%<\/td>\n1,037.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.01%<\/td>\n3.58%<\/td>\n266,194<\/td>\n5.49<\/td>\n53<\/td>\n-0.0218%<\/td>\n1,055.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.54%<\/td>\n4.54%<\/td>\n844,780<\/td>\n14.21<\/td>\n9<\/td>\n0.0226%<\/td>\n1,063.9<\/td>\n<\/tr>\n<\/table>\n<\/div>\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
BAM.PR.I<\/td>\nOpRet<\/td>\n-1.2336%<\/td>\nThis doesn’t seem like a nice way for the market to greet Moodys’<\/a> upgrade of senior unsecured debt (from Baa3 to Baa2)! But, as far as I can make out from today’s trades, somebody at RBC really wanted to sell their 1,100 shares in a hurry, so it was done all at once, starting with 100 at 26.76 and continuing until 400 at 26.32. Now with a pre-tax bid-YTW of 4.61% based on a bid of $26.42 and a call 2009-7-30 at 25.75. It looks attractive at this price, provided you get filled!<\/td>\n<\/tr>\n
FBS.PR.B<\/td>\nSplitShare<\/td>\n+1.1563%<\/td>\nNow with a pre-tax bid-YTW of 1.41% based on a bid of $10.27 and a call 2008-1-14 at $10.00.<\/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
BCE.PR.C<\/td>\nFixedFloater<\/td>\n370,200<\/td>\nNesbitt crossed 511,600 at $25.60. That’s a nice ticket to write, especially if they earned a nickel per share from each side!<\/td>\n<\/tr>\n
BCE.PR.R<\/td>\nFixedFloater<\/td>\n362,150<\/td>\nNesbitt crossed 360,000 at $25.50.<\/td>\n<\/tr>\n
ACO.PR.A<\/td>\nOpRet<\/td>\n32,852<\/td>\nTD crossed 25,000 at $27.50 … and swept up a lot of offers on their way to that price! I can only assume they were working for somebody who had an urgent need to buy an issue with a yield to worst of 3.02% based on a bid of 27.16 and a call 2008-12-31 (at the ask of 27.64, the pre-tax YTW is 2.01%).<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualPremium<\/td>\n31,500<\/td>\nNow with a pre-tax bid-YTW of 4.53% based on a bid of $25.47 and a call 2016-3-1 at $25.00.<\/td>\n<\/tr>\n
WN.PR.D<\/td>\nPerpetualPremium<\/td>\n21,600<\/td>\nRBC bought 15,000 from CIBC in two tranches at $25.80. Now with a pre-tax bid-YTW of 4.84% based on a bid of $25.83 and a call 2014-10-31 at $25.00. But remember … Credit Watch Negative<\/a>!<\/td>\n<\/tr>\n<\/table>\n

There were six other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.<\/p>\n

The rebalancing of the HIMIPref\u2122 indices was quite extensive. I’ll try to report on it tomorrow.\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-653","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/653","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=653"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/653\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=653"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=653"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=653"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}