{"id":10476,"date":"2010-04-14T19:25:14","date_gmt":"2010-04-14T23:25:14","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=10476"},"modified":"2010-04-14T19:25:14","modified_gmt":"2010-04-14T23:25:14","slug":"april-14-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=10476","title":{"rendered":"April 14, 2010"},"content":{"rendered":"

Price volatility slowed considerably today, although recent trends continued weakly, with PerpetualDiscounts gaining 7bp and FixedResets losing 7bp on continued heavy volume.<\/p>\n

PerpetualDiscounts now yield 6.17%, equivalent to 8.64% at the standard equivalency factor of 1.4x. Long Corporates<\/a> 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<\/a> though still wider than the 285bp reported at month-end<\/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>\n2.58 %<\/td>\n2.66 %<\/td>\n55,605<\/td>\n20.92<\/td>\n1<\/td>\n0.9238 %<\/td>\n2,142.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.92 %<\/td>\n2.98 %<\/td>\n47,691<\/td>\n20.42<\/td>\n1<\/td>\n0.4545 %<\/td>\n3,252.7<\/td>\n<\/tr>\n
Floater<\/td>\n1.90 %<\/td>\n1.65 %<\/td>\n45,513<\/td>\n23.45<\/td>\n4<\/td>\n-0.1569 %<\/td>\n2,423.5<\/td>\n<\/tr>\n
OpRet<\/td>\n4.88 %<\/td>\n3.42 %<\/td>\n111,354<\/td>\n0.29<\/td>\n10<\/td>\n0.0194 %<\/td>\n2,314.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.35 %<\/td>\n1.74 %<\/td>\n138,852<\/td>\n0.08<\/td>\n2<\/td>\n-0.1531 %<\/td>\n2,148.4<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0194 %<\/td>\n2,116.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.86 %<\/td>\n3.88 %<\/td>\n33,280<\/td>\n0.62<\/td>\n2<\/td>\n-0.6848 %<\/td>\n1,841.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.14 %<\/td>\n6.17 %<\/td>\n196,476<\/td>\n13.67<\/td>\n76<\/td>\n0.0743 %<\/td>\n1,734.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.43 %<\/td>\n3.94 %<\/td>\n498,483<\/td>\n3.66<\/td>\n44<\/td>\n-0.0653 %<\/td>\n2,172.3<\/td>\n<\/tr>\n<\/table>\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
NA.PR.M<\/td>\nPerpetual-Premium<\/td>\n-1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-04-14
\nMaturity Price : 23.90
\nEvaluated at bid price : 24.11
\nBid-YTW : 6.22 %<\/td>\n<\/tr>\n
IAG.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-04-14
\nMaturity Price : 24.38
\nEvaluated at bid price : 24.59
\nBid-YTW : 6.15 %<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetual-Discount<\/td>\n1.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-04-14
\nMaturity Price : 21.15
\nEvaluated at bid price : 21.15
\nBid-YTW : 5.89 %<\/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
PWF.PR.J<\/td>\nOpRet<\/td>\n101,607<\/td>\nNesbitt crossed 100,000 at 25.50.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-05-30
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.50
\nBid-YTW : 3.02 %<\/td>\n<\/tr>\n
TD.PR.A<\/td>\nFixedReset<\/td>\n93,100<\/td>\nTD 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.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-02
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.75
\nBid-YTW : 4.12 %<\/td>\n<\/tr>\n
BMO.PR.N<\/td>\nFixedReset<\/td>\n82,400<\/td>\nNesbitt crossed 75,000 at 28.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-27
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.99
\nBid-YTW : 3.50 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nFixedReset<\/td>\n68,945<\/td>\nRBC bought blocks of 19,200 shares, 10,000 and 20,000 from anonymous at 27.44.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.35
\nBid-YTW : 3.92 %<\/td>\n<\/tr>\n
RY.PR.X<\/td>\nFixedReset<\/td>\n67,506<\/td>\nAnonymous crossed (?) two blocks 20,000 each at 27.75.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-09-23
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.71
\nBid-YTW : 3.87 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetual-Discount<\/td>\n65,810<\/td>\nNesbitt crossed blocks of 40,000 and 15,000 at 18.05.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-04-14
\nMaturity Price : 18.04
\nEvaluated at bid price : 18.04
\nBid-YTW : 6.23 %<\/td>\n<\/tr>\n
There were 63 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

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 …<\/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-10476","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/10476","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=10476"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/10476\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=10476"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=10476"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=10476"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}