{"id":10303,"date":"2010-03-31T19:52:42","date_gmt":"2010-03-31T23:52:42","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=10303"},"modified":"2010-03-31T19:52:42","modified_gmt":"2010-03-31T23:52:42","slug":"march-31-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=10303","title":{"rendered":"March 31, 2010"},"content":{"rendered":"

Greek bonds are getting hammered<\/a>:<\/p>\n

Europe\u2019s week-old rescue plan for Greece has so far failed to do what its leaders predicted: reduce borrowing costs for the region\u2019s most indebted country.<\/p>\n

The yield on 10-year Greek government bonds has increased 24 basis points to 6.522 percent since EU leaders agreed to the aid blueprint on March 25. That\u2019s the highest in a month and more than double the rate paid by Germany. Seven-year bonds sold by Greece on March 29 fell for a second day today.<\/p>\n

\u201cWhat they were hoping for was to set up some sort of arrangement that never has to be used,\u201d said Phyllis Reed, head of bond research in London at Kleinwort Benson, which manages about $32 billion. \u201cThe markets have sniffed that out and it seems like we\u2019re heading back to square one.\u201d<\/p><\/blockquote>\n

The Brookfield\/General Growth affair is winding its way through court<\/a>:<\/p>\n

General Growth Properties Inc.\u2019s proposal to exit bankruptcy with funding from Brookfield Asset Management Inc. has a clause that will give the company until the end of the year to complete a takeover deal with another party, according to two people with knowledge of the plan.
…<\/b>
The provision would give Chicago-based General Growth time to explore a takeover bid from Simon Property Group Inc., whose $10 billion offer was turned down by its rival last month. Simon is preparing a new bid, according to a person with knowledge of that plan. Brookfield\u2019s plan is subject to the approval of U.S. Bankruptcy Judge Allan Gropper, who gave General Growth an Aug. 26 deadline to control its case.<\/p><\/blockquote>\n

Citigroup has spent a lot of money upgrading its algorithmic trading software<\/a>:<\/p>\n

Citigroup Inc. is overhauling its platform of trading strategies in an attempt to grow its share of U.S. equities from 14 percent, according to Young Kang, global head of algorithmic products at the firm.
…<\/b>
A global group of 20 quantitative analysts and more than 50 developers, overseen by Kang, built the algorithms and the technology supporting the new platform, which has been used on Citigroup\u2019s cash equities and program trading desks. The strategies have been tested in recent months by some hedge funds and institutional clients.
…<\/b>
Citigroup is also making changes to ColorBook, the smart router from Lava Trading, a unit within the broker, to execute orders faster. Smart routers are used by brokers to craft an execution strategy for the smaller orders generated once an algorithm or trading desk has decided how to transact a stock.<\/p>\n

ColorBook currently executes orders in 700 microseconds, or 0.0007 second, Swanson said. The firm is trying to reduce that to 200 microseconds.<\/p><\/blockquote>\n

There is as yet no word on the take-up of the WFS warrants<\/a>, which expired today out of the money, or regarding the SBN warrants<\/a>, likewise.<\/p>\n

Volume was highly elevated again today as the Canadian preferred share market staggered into quarter end. PerpetualDiscounts were down 35bp while FixedResets lost 38bp to take the yield on the latter index back above 3.50%, to 3.55%. The only winner in the performance highlights is W.PR.H, which is merely a dead-cat bounce from yesterday.<\/p>\n

The yield on PerpetualDiscounts is now 6.16%, equivalent to 8.62% interest at the standard equivalency factor of 1.4x. Long Corporates<\/a> now yield about 5.8%, having achieved a total return of +88bp on the month and +5.02% on the year-to-date, so the pre-tax interest-equivalent spread is now about 285bp, a sharp increase from the 265bp reported March 24<\/a> and getting very close to their one-year high in the low 290s<\/a>.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n2.56 %<\/td>\n2.61 %<\/td>\n57,956<\/td>\n20.98<\/td>\n1<\/td>\n0.2273 %<\/td>\n2,162.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.93 %<\/td>\n3.05 %<\/td>\n49,216<\/td>\n20.11<\/td>\n1<\/td>\n0.2272 %<\/td>\n3,207.1<\/td>\n<\/tr>\n
Floater<\/td>\n1.89 %<\/td>\n1.65 %<\/td>\n48,457<\/td>\n23.45<\/td>\n4<\/td>\n0.5562 %<\/td>\n2,436.5<\/td>\n<\/tr>\n
OpRet<\/td>\n4.84 %<\/td>\n3.35 %<\/td>\n109,163<\/td>\n0.16<\/td>\n12<\/td>\n-0.0711 %<\/td>\n2,310.7<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.38 %<\/td>\n5.08 %<\/td>\n139,530<\/td>\n0.08<\/td>\n2<\/td>\n-0.2853 %<\/td>\n2,138.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0711 %<\/td>\n2,112.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n6.00 %<\/td>\n6.08 %<\/td>\n124,177<\/td>\n13.73<\/td>\n7<\/td>\n-0.1386 %<\/td>\n1,859.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.09 %<\/td>\n6.16 %<\/td>\n187,682<\/td>\n13.72<\/td>\n71<\/td>\n-0.3455 %<\/td>\n1,741.8<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.37 %<\/td>\n3.55 %<\/td>\n381,165<\/td>\n3.65<\/td>\n43<\/td>\n-0.3771 %<\/td>\n2,196.8<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
IAG.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-03-31
\nMaturity Price : 23.82
\nEvaluated at bid price : 24.00
\nBid-YTW : 6.23 %<\/td>\n<\/tr>\n
BNS.PR.K<\/td>\nPerpetual-Discount<\/td>\n-1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-03-31
\nMaturity Price : 20.30
\nEvaluated at bid price : 20.30
\nBid-YTW : 6.03 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-03-31
\nMaturity Price : 21.06
\nEvaluated at bid price : 21.06
\nBid-YTW : 6.22 %<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-03-31
\nMaturity Price : 20.51
\nEvaluated at bid price : 20.51
\nBid-YTW : 6.26 %<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nPerpetual-Discount<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-03-31
\nMaturity Price : 20.90
\nEvaluated at bid price : 20.90
\nBid-YTW : 5.91 %<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.65
\nBid-YTW : 5.03 %<\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-03-31
\nMaturity Price : 21.60
\nEvaluated at bid price : 21.60
\nBid-YTW : 6.26 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-11-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.07
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n
NA.PR.O<\/td>\nFixedReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.90
\nBid-YTW : 3.71 %<\/td>\n<\/tr>\n
GWO.PR.L<\/td>\nPerpetual-Discount<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-03-31
\nMaturity Price : 23.20
\nEvaluated at bid price : 23.35
\nBid-YTW : 6.09 %<\/td>\n<\/tr>\n
W.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-03-31
\nMaturity Price : 21.29
\nEvaluated at bid price : 21.29
\nBid-YTW : 6.49 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
TD.PR.E<\/td>\nFixedReset<\/td>\n160,848<\/td>\nNesbitt bought 10,000 from anonymous at 28.22; RBC bought three blocks of 10,000 each from TD at 28.05. RBC crossed 40,200 at 28.05.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.05
\nBid-YTW : 3.42 %<\/td>\n<\/tr>\n
HSB.PR.E<\/td>\nFixedReset<\/td>\n119,398<\/td>\nRBC crossed 97,500 at 28.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.90
\nBid-YTW : 3.75 %<\/td>\n<\/tr>\n
BMO.PR.O<\/td>\nFixedReset<\/td>\n104,645<\/td>\nNesbitt bought blocks of 20,000 and 16,400 from TD at 28.50, then crossed 50,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.45
\nBid-YTW : 3.22 %<\/td>\n<\/tr>\n
TD.PR.G<\/td>\nFixedReset<\/td>\n103,633<\/td>\nNesbitt bought 10,000 each from National and anonymous at 28.25, followed by 10,000 from CIBC at 28.10. Desjardins bought 14,800 from TD at 26.30.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.05
\nBid-YTW : 3.43 %<\/td>\n<\/tr>\n
BNS.PR.T<\/td>\nFixedReset<\/td>\n100,805<\/td>\nTD crossed 40,000 at 28.12, Nesbitt crossed 24,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.12
\nBid-YTW : 3.34 %<\/td>\n<\/tr>\n
PWF.PR.O<\/td>\nPerpetual-Discount<\/td>\n78,300<\/td>\nNesbitt crossed 37,500 at 23.15.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-03-31
\nMaturity Price : 23.13
\nEvaluated at bid price : 23.28
\nBid-YTW : 6.35 %<\/td>\n<\/tr>\n
There were 64 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Greek bonds are getting hammered: Europe\u2019s week-old rescue plan for Greece has so far failed to do what its leaders predicted: reduce borrowing costs for the region\u2019s most indebted country. The yield on 10-year Greek …<\/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-10303","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/10303","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=10303"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/10303\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=10303"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=10303"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=10303"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}