{"id":709,"date":"2007-03-23T23:58:33","date_gmt":"2007-03-24T03:58:33","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=709"},"modified":"2007-03-23T23:58:33","modified_gmt":"2007-03-24T03:58:33","slug":"march-23-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=709","title":{"rendered":"March 23, 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>\n4.15%<\/td>\n4.03%<\/td>\n77,474<\/td>\n3.83<\/td>\n1<\/td>\n0.0000%<\/td>\n1,049.0<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.98%<\/td>\n3.85%<\/td>\n98,668<\/td>\n7.91<\/td>\n5<\/td>\n+0.0243%<\/td>\n1,039.7<\/td>\n<\/tr>\n
Floater<\/td>\n4.73%<\/td>\n-18.34%<\/td>\n76,144<\/td>\n0.51<\/td>\n3<\/td>\n-0.1702%<\/td>\n1,052.4<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.70%<\/td>\n2.87%<\/td>\n79,747<\/td>\n2.15<\/td>\n17<\/td>\n-0.0829%<\/td>\n1,035.1<\/td>\n<\/tr>\n
Split-Share<\/td>\n4.98%<\/td>\n2.74%<\/td>\n169,788<\/td>\n3.32<\/td>\n14<\/td>\n+0.0984%<\/td>\n1,054.5<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.50%<\/td>\n4.76%<\/td>\n64,621<\/td>\n2.31<\/td>\n5<\/td>\n-0.0977%<\/td>\n1,041.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.01%<\/td>\n3.84%<\/td>\n226,067<\/td>\n5.05<\/td>\n53<\/td>\n+0.0194%<\/td>\n1,058.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.53%<\/td>\n4.54%<\/td>\n843,055<\/td>\n14.41<\/td>\n10<\/td>\n+0.0204%<\/td>\n1,066.5<\/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
BMO.PR.G<\/td>\nOpRet<\/td>\n-1.0265%<\/td>\nNesbitt crossed 42,700 at 25.20 and it closed at 25.07-20. Is this finally capitulation (by one player, anyway!) or is it just a noisy flash in the pan? Now with a pre-tax bid-YTW of 4.86% based on a softMaturity<\/a> 2008-5-24 at $25.00. Note that yesterday, the bid-YTW was 2.83% based on the bid of $25.33.<\/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
PWF.PR.I<\/td>\nPerpetualPremium<\/td>\n214,600<\/td>\nDesjardins had a buyer for this issue today and were on the buy-side for the last ten trades, which totalled 208,400 shares including a cross of 200,000 at 27.03. Looks like their buyer was motivated, because their trading took the price up from 26.74 to the cross level. Closed at 26.71-98; pre-tax bid-YTW is 4.13% based on a call 2008-5-30 at $26.00; pre-tax ask-YTW is 3.24%.<\/td>\n<\/tr>\n
CM.PR.R<\/td>\nOpRet<\/td>\n203,800<\/td>\nDesjardins crossed 200,000 at 26.85. Now with a pre-tax bid-YTW of 2.38% based on a bid of $26.67 and a call 2008-5-30 at $25.75. The buyer appears to be desperately hoping for the softMaturity 2013-4-29 at $25.00, which will have given a yield of 3.96%, and who am I to say he shouldn’t? James Hymas, that’s who<\/font>.<\/td>\n<\/tr>\n
GWO.PR.X<\/td>\nOpRet<\/td>\n65,418<\/td>\nDesjardins crossed 58,000 at 27.65, in a blatant attempt to capture the coveted “Biggest trades is low-yielding securities” trophy for March. Now with a pre-tax bid-YTW of 2.14% based on a bid of $27.60 and a call 2009-10-30 at $26.00. This is an interesting issue, with the issuer bid<\/a> and Putnam financing<\/a> to be considered.<\/td>\n<\/tr>\n
CM.PR.D<\/td>\nPerpetualPremium<\/td>\n63,200<\/td>\nTD crossed 60,000 at $26.99. Now with a pre-tax bid-YTW of 3.19% based on a bid of $26.93 and a call 2008-5-30 at $26.00 … which basically means it’s yielding not much more than a corporate bond. Maybe CIBC won’t call it! Maybe pigs will fly! You can never tell.<\/td>\n<\/tr>\n
BMO.PR.G<\/td>\nOpRet<\/td>\n47,708<\/td>\nDiscussed as a Big Mover.<\/td>\n<\/tr>\n<\/table>\n

There were nine 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-709","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/709","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=709"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/709\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=709"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=709"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=709"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}