{"id":873,"date":"2007-05-26T00:42:36","date_gmt":"2007-05-26T04:42:36","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=873"},"modified":"2007-05-26T00:42:36","modified_gmt":"2007-05-26T04:42:36","slug":"may-25-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=873","title":{"rendered":"May 25, 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>\n5.18%<\/td>\n5.28%<\/td>\n40,243<\/td>\n15.21<\/td>\n2<\/td>\n0.0000%<\/td>\n959.2<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n5.69%<\/td>\n5.31%<\/td>\n154,863<\/td>\n15.26<\/td>\n6<\/td>\n-0.2682%<\/td>\n909.4<\/td>\n<\/tr>\n
Floater<\/td>\n4.82%<\/td>\n2.83%<\/td>\n79,977<\/td>\n11.20<\/td>\n3<\/td>\n+0.2956%<\/td>\n1,043.6<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.76%<\/td>\n3.53%<\/td>\n83,894<\/td>\n2.49<\/td>\n17<\/td>\n-0.0688%<\/td>\n1,029.4<\/td>\n<\/tr>\n
Split-Share<\/td>\n4.98%<\/td>\n4.30%<\/td>\n223,731<\/td>\n3.96<\/td>\n12<\/td>\n-0.0498%<\/td>\n1,048.0<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.54%<\/td>\n6.46%<\/td>\n70,777<\/td>\n5.26<\/td>\n5<\/td>\n-0.0316%<\/td>\n1,042.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.19%<\/td>\n4.60%<\/td>\n185,917<\/td>\n6.65<\/td>\n48<\/td>\n0.0681%<\/td>\n1,039.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.77%<\/td>\n4.80%<\/td>\n665,859<\/td>\n15.85<\/td>\n19<\/td>\n-0.4684%<\/td>\n1,022.0<\/td>\n<\/tr>\n<\/table>\n<\/div>\n\n\n\n\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
BCE.PR.R<\/td>\nFixFloat<\/td>\n-1.6355%<\/td>\nOn heavy volume (see below), but the big trade was a 21.39 and the close was 21.05-49, 15×5, so the volume can’t be blamed. Exchange\/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par.<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetualDiscount<\/td>\n-1.6142%<\/td>\nNow with a pre-tax bid-YTW of 4.75% based on a bid of 23.77 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
GWO.PR.E<\/td>\nOpRet<\/td>\n-1.5004%<\/td>\nNow with a pre-tax bid-YTW of 3.41% based on a bid of 26.26 and a call 2009-4-30 at 25.50. There are interesting things happening at GWO … but they’re not public just yet<\/a>.<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n-1.0707%<\/td>\nA sell of 2,600 shares by RBC in five tranches starting at 3:56pm at 23.28 and ending at 3:57pm at 23.10 took the price down a bit. Now with a pre-tax bid-YTW of 4.81% based on a bid of 23.10 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n-1.0373%<\/td>\nOn heavy volume (see below), which doesn’t appear to have affected the price directly. See above for link to GWO’s suspended animation. Now with a pre-tax bid-YTW of 4.78% based on a bid of 23.85 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetualPremium (for now!)<\/td>\n+1.0514%<\/td>\nOn heavy volume (see below) which appears to have propped up the price. Closed at 24.99-00, 100×20. The last trade was a Scotia cross of 300,000 at 24.99; the penultimate trade was for 500 shares at 24.71. Now with a pre-tax bid-YTW of 4.71% based on a bid of 24.99 and a call 2014-4-30 at 25.00.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\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.C<\/td>\nFixFloat<\/td>\n2,010,064<\/td>\nWow! Scotia crossed 2,000,000 at 23.35. Exchange\/Reset date is 2008-3-1 (Exchanges with series ‘AD’, not issued); Until then pays 5.54% of par.<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nPerpetualPremium<\/td>\n844,330<\/td>\nScotia crossed 540,000 at 26.18, then 300,000 at 26.20. Now with a pre-tax bid-YTW of 4.72% based on a bid of 26.08 and a call 2012-11-28 at 25.00.<\/td>\n<\/tr>\n
BCE.PR.R<\/td>\nFixFloat<\/td>\n800,500<\/td>\nScotia crossed 800,000 at 21.39. Exchange\/Reset date is 2010-12-1 (Exchanges with series ‘Q’, not issued); until then, pays 4.54% of par.<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nPerpetualPremium<\/td>\n679,488<\/td>\nScotia crossed 266,300 at 25.65, then 400,000 at 25.70. Now with a pre-tax bid-YTW of 4.49% based on a bid of 25.70 and a call 2014-11-30 at 25.00.<\/td>\n<\/tr>\n
NA.PR.K<\/td>\nPerpetualPremium<\/td>\n586,715<\/td>\nScotia crossed 360,000 at 26.23, then another 225,000 at the same price. Now with a pre-tax bid-YTW of 4.88% based on a bid of 26.15 and a call 2012-6-14 at 25.00.<\/td>\n<\/tr>\n
BCE.PR.A<\/td>\nFixFloat<\/td>\n558,287<\/td>\nScotia crossed 550,000 at 23.16. Exchange\/Reset date is 2007-9-1 (Exchanges with series ‘AB’, not issued); until then pays 5.03% of par.<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetualPremium<\/td>\n541,392<\/td>\nScotia crossed 540,000 at 26.10. Now with a pre-tax bid-YTW of 4.82% based on a bid of 26.08 and a call 2012-11-30 at 25.00.<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualPremium (for now!)<\/td>\n473,001<\/td>\nScotia crossed 453,600 at 24.95. Now with a pre-tax bid-YTW of 4.75% based on a bid of 24.95 and a limitMaturity.<\/td>\n<\/tr>\n
CU.PR.A<\/td>\nPerpetualPremium<\/td>\n461,653<\/td>\nScotia crossed 270,000 at 25.88, then 190,000 at the same price. Now with a pre-tax bid-YTW of 5.03% based on a bid of 25.83 and a call 2012-3-31 at 25.00.<\/td>\n<\/tr>\n
CM.PR.D<\/td>\nPerpetualPremium<\/td>\n452,510<\/td>\nScotia crossed 450,000 at 25.96. Now with a pre-tax bid-YTW of 5.06% based on a bid of 25.90 and a call 2012-5-30 at 25.00.<\/td>\n<\/tr>\n
BCE.PR.Z<\/td>\nFixFloat<\/td>\n450,718<\/td>\nScotia crossed 450,000 at 22.57. Exchange\/Reset Date is 2007-12-1 (Exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 22.58-89, 2×6; the Ys closed at 22.50-99, 6×4.<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetualPremium (for now!)<\/td>\n408,698<\/td>\nScotia crossed 100,000 at 24.99, then 300,000 at the same price. Now with a pre-tax bid-YTW of 4.71% based on a bid of 24.99 and a call 2014-4-30 at 25.00.<\/td>\n<\/tr>\n
ENB.PR.A<\/td>\nPerpetualPremium<\/td>\n328,227<\/td>\nScotia crossed 225,000 at 25.09, then 100,000 at the same price. Now with a pre-tax bid-YTW of 5.22% based on a bid of 25.02 and a call 2008-1-1 at 25.00.<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetualPremium<\/td>\n288,179<\/td>\nScotia crossed 275,000 at 26.39. Now with a pre-tax bid-YTW of 4.37% based on a bid of 26.35 and a call 2014-7-30 at 25.00.<\/td>\n<\/tr>\n
CU.PR.B<\/td>\nPerpetualPremium<\/td>\n272,053<\/td>\nScotia crossed 270,000 at 26.18. Now with a pre-tax bid-YTW of 4.96% based on a bid of 26.16 and a call 2011-7-1 at 25.25.<\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetualPremium<\/td>\n231,025<\/td>\nScotia crossed 225,000 at 26.11. Now with a pre-tax bid-YTW of 4.82% based on a bid of 26.01 and a call 2014-5-31 at 25.00.<\/td>\n<\/tr>\n
NSI.PR.D<\/td>\nScraps (Would be OpRet, but there are volume concerns … but not today, there aren’t!)<\/td>\n225,300<\/td>\nScotia crossed 225,000 at 29.35. Now with a pre-tax bid-YTW of 4.13% based on a bid of 28.35 and a call 2015-11-14 at 25.00.<\/td>\n<\/tr>\n
TCA.PR.X<\/td>\nPerpetualPremium<\/td>\n183,001<\/td>\nScotia crossed 180,000 at 52.35. Now with a pre-tax bid-YTW of 4.92% based on a bid of 52.15 and a call 2013-11-14 at 50.00.<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n164,810<\/td>\nSee elsewhere in this post for a link to the GWO uncertainty summary. Now with a pre-tax bid-YTW of 4.78% based on a bid of 23.85 and a limitMaturity.<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetualPremium<\/td>\n142,001<\/td>\nScotia crossed 140,000 at 26.44. Now with a pre-tax bid-YTW of 4.63% based on a bid of 26.11 and a call 2013-11-16 at 25.00.<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetualPremium<\/td>\n105,040<\/td>\nScotia crossed 100,000 at 25.65. Now with a pre-tax bid-YTW of 4.84% based on a bid of 25.59 and a call 2010-12-28 at 25.00.<\/td>\n<\/tr>\n
TCA.PR.Y<\/td>\nPerpetualPremium<\/td>\n102,701<\/td>\nScotia crossed 100,000 at 52.45. Now with a pre-tax bid-YTW of 4.86% based on a bid of 52.41 and a call 2014-4-4 at 50.00.<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetualPremium<\/td>\n101,550<\/td>\nScotia crossed 100,000 at 25.50. Now with a pre-tax bid-YTW of 5.03% based on a bid of 25.29 and a call 2010-12-30 at 25.00. That’s not too shabby for a Pfd-1(low) with some interest rate protection, despite the GWO uncertainty.<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetualPremium<\/td>\n101,150<\/td>\nScotia crossed 100,000 at 26.25. Now with a pre-tax bid-YTW of 4.39% based on a bid of 26.21 and a call 2015-1-30 at 25.00.<\/td>\n<\/tr>\n<\/table>\n

There were twenty-one other $25-equivalent index-included issues trading over 10,000 shares today.<\/p>\n

Well, the Scotia guy will be enjoying a nice weekend! We’ll just have to hope he didn’t exceed the allowable bonus for his grade, or management will be tempted to destroy his career<\/a> (it’s cheaper, you know).<\/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-873","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/873","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=873"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/873\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=873"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=873"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=873"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}