{"id":671,"date":"2007-03-07T23:45:33","date_gmt":"2007-03-08T03:45:33","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=671"},"modified":"2007-03-07T23:45:33","modified_gmt":"2007-03-08T03:45:33","slug":"march-7-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=671","title":{"rendered":"March 7, 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>\n4.01%<\/td>\n3.88%<\/td>\n94,665<\/td>\n3.89<\/td>\n1<\/td>\n+0.0398%<\/td>\n1,047.4<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.96%<\/td>\n3.47%<\/td>\n108,528<\/td>\n4.62<\/td>\n5<\/td>\n+0.0394%<\/td>\n1,042.5<\/td>\n<\/tr>\n
Floater<\/td>\n4.71%<\/td>\n-16.38%<\/td>\n73,769<\/td>\n11.02<\/td>\n3<\/td>\n+0.0787%<\/td>\n1,048.4<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.70%<\/td>\n2.31%<\/td>\n76,165<\/td>\n2.11<\/td>\n17<\/td>\n+0.1976%<\/td>\n1,033.3<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.07%<\/td>\n1.29%<\/td>\n196,780<\/td>\n3.24<\/td>\n15<\/td>\n-0.0002%<\/td>\n1,043.5<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.49%<\/td>\n3.46%<\/td>\n64,876<\/td>\n2.33<\/td>\n5<\/td>\n+0.0789%<\/td>\n1,038.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.00%<\/td>\n3.52%<\/td>\n254,148<\/td>\n5.34<\/td>\n53<\/td>\n+0.0674%<\/td>\n1,057.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.53%<\/td>\n4.54%<\/td>\n821,217<\/td>\n13.16<\/td>\n9<\/td>\n+0.0091%<\/td>\n1,066.3<\/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
BAM.PR.I<\/td>\nOpRet<\/td>\n+1.2898%<\/td>\nOn volume of 454 shares, so perhaps not the most significant move ever recorded! But even after today’s move, it has a pre-tax bid-YTW of 4.17% based on a bid of $26.70 and a call 2009-7-30 at 25.75, which ain’t bad! It’s certainly the best in the Operating Retractible index!<\/td>\n<\/tr>\n<\/table>\n\n\n\n\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.H<\/td>\nRatchetRate<\/td>\n703,000<\/td>\nWow! Nesbitt crossed 350,000, then Scotia crossed 150,000, and Nesbitt closed the trading with a cross of 200,000 – all crosses done at 25.12.<\/td>\n<\/tr>\n
BCE.PR.A<\/td>\nFixedFloater<\/td>\n417,780<\/td>\nNesbitt crossed 417,300 at 25.30. Then another 80 as an odd-lot trade.<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nPerpetualPremium<\/td>\n203,050<\/td>\nNesbitt crossed 200,000 at 25.65. Now with a pre-tax bid-YTW of 4.38% based on a bid of $25.65 and a call 2015-9-23 at $25.00<\/td>\n<\/tr>\n
BAM.PR.H<\/td>\nOpRet<\/td>\n163,586<\/td>\nNesbitt crossed 162,600 at 27.40. Now with a pre-tax bid-YTW of 2.27% based on a bid of $27.39 and a call 2008-10-30 at 25.75. It pays $1.4375, which is a whole big pile of money for a retractible, so I’m a little dubious about its chances of making it to the softMaturity<\/a> 2012-3-30 at $25.00. Compare these yields with the BAM.PR.I … SAME issuer SAME index … and see why sometimes I despair of this market. Sure, the H is more liquid than the I – about three times more liquid, according to the averageTradingValue<\/a>. But is there absolutely nobody out there holding H and prepared to chip away at the differential piecewise?<\/td>\n<\/tr>\n
YPG.PR.A<\/td>\nScraps<\/td>\n157,010<\/td>\nRecent new issue.<\/a> Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.75 and a softMaturity 2012-12-30.<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetualDiscount<\/td>\n122,660<\/td>\nRecent new issue<\/a>. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.91 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetualPremium<\/td>\n113,912<\/td>\nRBC crossed 50,000 at 26.25, the TD crossed the same number at the same price. Now with a pre-tax bid-YTW of 4.31% based on a bid of $26.20 and a call 2014-11-30 at $25.00.<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetualPremium<\/td>\n111,330<\/td>\nRecent new issue<\/a>. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.96 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
BCE.PR.S<\/td>\nScraps (would be Ratchet Rate, but there are liquidity concerns)<\/td>\n100,000<\/td>\nNesbitt crossed 100,000 at $25.20<\/td>\n<\/tr>\n<\/table>\n

There were thirteen 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-671","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/671","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=671"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/671\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=671"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=671"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=671"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}