Price volatility slowed considerably today, although recent trends continued weakly, with PerpetualDiscounts gaining 7bp and FixedResets losing 7bp on continued heavy volume.
PerpetualDiscounts now yield 6.17%, equivalent to 8.64% at the standard equivalency factor of 1.4x. Long Corporates now yield about 5.7%, so the pre-tax interest-equivalent spread is now about 295bp, down substantially from the peak of 310bp reported April 7 though still wider than the 285bp reported at month-end.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 2.58 % | 2.66 % | 55,605 | 20.92 | 1 | 0.9238 % | 2,142.5 |
| FixedFloater | 4.92 % | 2.98 % | 47,691 | 20.42 | 1 | 0.4545 % | 3,252.7 |
| Floater | 1.90 % | 1.65 % | 45,513 | 23.45 | 4 | -0.1569 % | 2,423.5 |
| OpRet | 4.88 % | 3.42 % | 111,354 | 0.29 | 10 | 0.0194 % | 2,314.1 |
| SplitShare | 6.35 % | 1.74 % | 138,852 | 0.08 | 2 | -0.1531 % | 2,148.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0194 % | 2,116.0 |
| Perpetual-Premium | 5.86 % | 3.88 % | 33,280 | 0.62 | 2 | -0.6848 % | 1,841.1 |
| Perpetual-Discount | 6.14 % | 6.17 % | 196,476 | 13.67 | 76 | 0.0743 % | 1,734.3 |
| FixedReset | 5.43 % | 3.94 % | 498,483 | 3.66 | 44 | -0.0653 % | 2,172.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| NA.PR.M | Perpetual-Premium | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-14 Maturity Price : 23.90 Evaluated at bid price : 24.11 Bid-YTW : 6.22 % |
| IAG.PR.E | Perpetual-Discount | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-14 Maturity Price : 24.38 Evaluated at bid price : 24.59 Bid-YTW : 6.15 % |
| RY.PR.W | Perpetual-Discount | 1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-14 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 5.89 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.J | OpRet | 101,607 | Nesbitt crossed 100,000 at 25.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-05-30 Maturity Price : 25.50 Evaluated at bid price : 25.50 Bid-YTW : 3.02 % |
| TD.PR.A | FixedReset | 93,100 | TD crossed two blocks of 25,000 each at 25.74 and two blocks of 12,500 each at 25.73. Desjardins crossed three blocks, of 15,000 shares, 18,000 and 20,000, all at 25.78. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-02 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 4.12 % |
| BMO.PR.N | FixedReset | 82,400 | Nesbitt crossed 75,000 at 28.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-27 Maturity Price : 25.00 Evaluated at bid price : 27.99 Bid-YTW : 3.50 % |
| RY.PR.N | FixedReset | 68,945 | RBC bought blocks of 19,200 shares, 10,000 and 20,000 from anonymous at 27.44. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.35 Bid-YTW : 3.92 % |
| RY.PR.X | FixedReset | 67,506 | Anonymous crossed (?) two blocks 20,000 each at 27.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 27.71 Bid-YTW : 3.87 % |
| SLF.PR.C | Perpetual-Discount | 65,810 | Nesbitt crossed blocks of 40,000 and 15,000 at 18.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-14 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 6.23 % |
| There were 63 other index-included issues trading in excess of 10,000 shares. | |||