{"id":719,"date":"2007-03-28T23:57:08","date_gmt":"2007-03-29T03:57:08","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=719"},"modified":"2007-03-28T23:57:08","modified_gmt":"2007-03-29T03:57:08","slug":"march-28-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=719","title":{"rendered":"March 28, 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>\n4.20%<\/td>\n4.06%<\/td>\n72,492<\/td>\n3.83<\/td>\n1<\/td>\n+0.1740%<\/td>\n1,050.4<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.98%<\/td>\n3.90%<\/td>\n97,086<\/td>\n14.51<\/td>\n5<\/td>\n+0.0635%<\/td>\n1,039.5<\/td>\n<\/tr>\n
Floater<\/td>\n4.72%<\/td>\n-19.29%<\/td>\n76,130<\/td>\n0.32<\/td>\n3<\/td>\n-0.0262%<\/td>\n1,054.7<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.71%<\/td>\n2.95%<\/td>\n85,049<\/td>\n2.16<\/td>\n17<\/td>\n+0.0158%<\/td>\n1,035.4<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.00%<\/td>\n3.01%<\/td>\n165,343<\/td>\n3.32<\/td>\n14<\/td>\n-0.1296%<\/td>\n1,054.0<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.53%<\/td>\n4.75%<\/td>\n64,821<\/td>\n2.31<\/td>\n5<\/td>\n+0.2126%<\/td>\n1,044.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.01%<\/td>\n3.63%<\/td>\n223,986<\/td>\n5.37<\/td>\n53<\/td>\n+0.0625%<\/td>\n1,060.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.54%<\/td>\n4.55%<\/td>\n797,066<\/td>\n15.38<\/td>\n10<\/td>\n-0.1122%<\/td>\n1,065.8<\/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
FFN.PR.A<\/td>\nSplitShare<\/td>\n-1.4481%<\/td>\nOn ZERO volume! Hard to calculate the YTW on this issue … should one use the extant maturity of 2009-12-1 for a pre-tax bid-YTW of 2.90% … or should one assume that the the upcoming meeting<\/a> will extend maturity to 2014-12-1 with no other changes<\/em>, which will increase YTW to 4.41%? It makes quite a difference! As does, incidentally, not making the proper allowance for monthly dividends using Kieth Betty’s on-line calculator<\/a>, so watch it!<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetualPremium<\/td>\n+1.0840%<\/td>\nOn volume of 10,235, about average for this issue. Now with a pre-tax bid-YTW of 4.30% based on a bid of 26.11 and a call 2014-11-30 at 25.00<\/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>\n497,745<\/td>\nNesbitt crossed 400,000 at 25.50, then RBC crossed 90,800 at 25.40.<\/td>\n<\/tr>\n
BCE.PR.A<\/td>\nFixedFloater<\/td>\n305,345<\/td>\nNesbitt crossed 300,000 at 25.30.<\/td>\n<\/tr>\n
MFC.PR.A<\/td>\nOpRet<\/td>\n143,245<\/td>\nDesjardins crossed 30,000 at 26.55, Scotia crossed 25,000 at 26.55. Now with a pre-tax bid-YTW of 3.31% based on a bid of 26.54 and a softMaturity<\/a> 2015-12-18. The price is such that early calls don’t (much) affect yields (relatively speaking!). Bond-equivalent of 4.63% at the Ontario Fat-Cat Factor of 1.4x<\/a>. Better than bonds … but at least you know when a bond will mature!<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n91,355<\/td>\nNow with a pre-tax bid-YTW of 4.49% based on a bid of 24.81 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
TD.PR.M<\/td>\nOpRet<\/td>\n51,420<\/td>\nDesjardins crossed 49,100 at 27.26. Now with a pre-tax bid-YTW of 2.58% based on a bid of 27.25 and a call 2009-5-30 at 26.00 … will be 3.31% if it makes it to the softMaturity 2013-10-30. Somebody’s willing to take that bet. I’ll pass.<\/td>\n<\/tr>\n<\/table>\n

There were twenty-two 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-719","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/719","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=719"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/719\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=719"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=719"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=719"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}