{"id":907,"date":"2007-06-11T23:33:10","date_gmt":"2007-06-12T03:33:10","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=907"},"modified":"2007-06-11T23:33:10","modified_gmt":"2007-06-12T03:33:10","slug":"june-11-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=907","title":{"rendered":"June 11, 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>\n5.54%<\/td>\n5.62%<\/td>\n31,218<\/td>\n14.64<\/td>\n2<\/td>\n-0.6802%<\/td>\n950.1<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n5.72%<\/td>\n5.79%<\/td>\n138,113<\/td>\n14.59<\/td>\n7<\/td>\n-0.2449%<\/td>\n878,4<\/td>\n<\/tr>\n
Floater<\/td>\n4.80%<\/td>\n0.43%<\/td>\n92,773<\/td>\n11.17<\/td>\n3<\/td>\n0.0136%<\/td>\n1,047.9<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.82%<\/td>\n3.97%<\/td>\n85,598<\/td>\n3.42<\/td>\n17<\/td>\n-0.2845%<\/td>\n1,018.8<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.07%<\/td>\n4.82%<\/td>\n177,468<\/td>\n4.18<\/td>\n15<\/td>\n-0.0516%<\/td>\n1,033.7<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.63%<\/td>\n6.76%<\/td>\n89,249<\/td>\n6.11<\/td>\n4<\/td>\n+0.1482%<\/td>\n1,039.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.44%<\/td>\n5.21%<\/td>\n143,352<\/td>\n9.59<\/td>\n34<\/td>\n-0.1489%<\/td>\n1,011.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.12%<\/td>\n5.17%<\/td>\n550,310<\/td>\n15.21<\/td>\n29<\/td>\n-0.6742%<\/td>\n951.6<\/td>\n<\/tr>\n<\/table>\n<\/div>\n\n\n\n\n\n\n\n\n\n\n\n\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
IAG.PR.A<\/td>\nPerpetualDiscount<\/td>\n-4.0860%<\/td>\nNow with a pre-tax bid-YTW of 5.16% based on a bid of 22.30 and a limitMaturity<\/a>. New low today of 22.50; closed at 22.30-60, 9×10.<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetualDiscount<\/td>\n-2.2194%<\/td>\nNow with a pre-tax bid-YTW of 5.31% based on a bid of 22.91 and a limitMaturity. New low today of 22.76.<\/td>\n<\/tr>\n
TCA.PR.Y<\/td>\nPerpetualPremium<\/td>\n-1.6237%<\/td>\nNow with a pre-tax bid-YTW of 5.21% based on a bid of 51.50 and a call 2014-4-4 at 50.00. New low today of 51.50.<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetualPremium (for now!)<\/td>\n-1.6169%<\/td>\nNow with a pre-tax bid-YTW of 5.15% based on a bid of 23.73 and a limitMaturity. This move is particularly strange when compared with the performance of NA.PR.K, below. New low today of 23.73.<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetualDiscount<\/td>\n-1.5281%<\/td>\nNow with a pre-tax bid-YTW of 5.53% based on a bid of 21.91 and a limitMaturity. New low today of 21.90.<\/td>\n<\/tr>\n
GWO.PR.E<\/td>\nOpRet<\/td>\n-1.5205%<\/td>\nNow with a pre-tax bid-YTW of 4.37% based on a bid of 25.26 and a call 2011-4-30 at 25.00. GWO announced a debt issue today<\/a>, which should start to clarify the situation with respect to their preferreds – this one has an outstanding issuer bid.<\/td>\n<\/tr>\n
TD.PR.M<\/td>\nOpRet<\/td>\n-1.5038%<\/td>\nNow with a pre-tax bid-YTW of 3.96% based on a bid of 26.20 and a softMaturity<\/a> 2013-10-30 at 25.00. Today’s low was 26.60, but the closing quote was 26.20-40, 10×17 and the 52-week low is 26.30.<\/td>\n<\/tr>\n
BCE.PR.S<\/td>\nRatchet<\/td>\n-1.3772%<\/td>\nExchange\/Reset date is 2011-11-1 (exchanges with BCE.PR.T, which pays 4.502% until then). The Ss closed at 22.20-70, 3×2; the Ts closed at 19.00-50, 1×10.<\/td>\n<\/tr>\n
BCE.PR.R<\/td>\nFixFloat<\/td>\n-1.2920%<\/td>\nExchange\/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Closed at 19.10-50, 5×5.<\/td>\n<\/tr>\n
BNS.PR.J<\/td>\nPerpetualPremium<\/td>\n-1.1858%<\/td>\nNow with a pre-tax bid-YTW of 5.22% based on a bid of 25.00 a limitMaturity. Today’s low was 25.30; the 52-week low is 25.25.<\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nPerpetualPremium<\/td>\n-1.1858%<\/td>\nNow with a pre-tax bid-YTW of 5.24% based on a bid of 25.00 and a limitMaturity.<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetualDiscount<\/td>\n-1.1364%<\/td>\nNow with a pre-tax bid-YTW of 5.55% based on a bid of 21.75 and a limitMaturity.<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.1062%<\/td>\nNow with a pre-tax bid-YTW of 5.05% based on a bid of 22.35 and a limitMaturity. New low today of 22.10.<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetualDiscount<\/td>\n-1.0753%<\/td>\nNow with a pre-tax bid-YTW of 5.07% based on a bid of 23.00 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nPerpetualDiscount<\/td>\n-1.0661%<\/td>\nNow with a pre-tax bid-YTW of 5.10% based on a bid of 23.20 and a limitMaturity. New low today of 23.02.<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nPerpetualPremium (for now!)<\/td>\n-1.0204%<\/td>\nNow with a pre-tax bid-YTW of 5.37% based on a bid of 24.25 and a limitMaturity. New low today of 24.12. GWO announced a debt issue today<\/a>, which should start to clarify the situation with respect to their preferreds.<\/td>\n<\/tr>\n
BSD.PR.A<\/td>\nInterestBearing<\/td>\n+1.0363%<\/td>\nNow with a pre-tax bid-YTW of 6.45% (as interest) based on a bid of 9.75 and a hardMaturity<\/a> 2015-3-31 at 10.00.<\/td>\n<\/tr>\n
NA.PR.K<\/td>\nPerpetualPremium<\/td>\n+3.5156%<\/td>\nNow with a pre-tax bid-YTW of 4.10% based on a bid of 26.50 and a call 2008-6-14 at $26.00. The price took off shortly after 3:30pm, when “Anonymous” lifted all the offers until the day’s high of 26.50 was reached. Even after some after-hours trading, the end-of-after-hours (is that how you say it?) quote was 26.50-75, 41×5. I have been informed that this is the result of a buy-in. Expect to see\u00a0the price move\u00a0reversed tomorrow … but it will be most interesting to see how many shares trade at 26.50!<\/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
GWO.PR.X<\/td>\nOpRet<\/td>\n152,840<\/td>\nDesjardins crossed a total of 147,600 in three tranches at 27.50. Now with a pre-tax bid-YTW of 2.12% based on a bid of 27.45 and a call 2009-10-30 at $26.00. GWO announced a debt issue today<\/a>, which should start to clarify the situation with respect to their preferreds – this one has an outstanding issuer bid.<\/td>\n<\/tr>\n
BMO.PR.I<\/td>\nPerpetualPremium<\/td>\n80,070<\/td>\nScotia crossed 73,000 at 25.01. Now with a pre-tax bid-YTW of 4.90% based on a bid of 25.01 and a limitMaturity.<\/td>\n<\/tr>\n
TOC.PR.B<\/td>\nFloater<\/td>\n57,530<\/td>\nNesbitt bought 50,000 from National Bank at 25.50.<\/td>\n<\/tr>\n
NA.PR.K<\/td>\nPerpetualPremium<\/td>\n39,480<\/td>\nSee “Major Price Changes”, above.<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetualDiscount<\/td>\n36,900<\/td>\nNow with a pre-tax bid-YTW of 5.11% based on a bid of 22.20 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n

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

Of particular interest tomorrow is the closing of the Co-operators 5% Perpetual New Issue<\/a>, which I calculate has a curvePrice<\/a> of $22.47. We shall see!\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-907","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/907","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=907"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/907\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=907"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=907"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=907"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}