July 24, 2007

Equities got thumped today, both in the US and Canada on profit warnings of various kinds and weak resources.

Of greater importance to the Canadian bond markets was the retail sales number, which was amazingly strong. The expectation that this will lead the Bank of Canada to increase rates boosted the dollar and, presumably, would have whacked bonds had they not benefited from the flight from equities. As it was, bonds were flat-to-downish, underperforming Treasuries substantially, as Treasuries enjoyed the pain in the equity and junk bond market without such countervailing economic data. Higher grade debt is still thought to be insulated from the sub-prime debacle.

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 (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 5.06% 5.08% 24,649 15.33 2 +0.2478% 1,030.7
Fixed-Floater 4.97% 5.21% 137,594 15.23 8 +0.1867% 1,016.8
Floater 4.86% 2.59% 80,868 11.55 4 -0.0301% 1,048.3
Op. Retract 4.83% 3.98% 85,223 2.93 16 -0.0181% 1,020.9
Split-Share 5.04% 4.51% 110,669 3.90 17 -0.0700% 1,049.4
Interest Bearing 6.18% 6.35% 66,490 4.41 3 +0.1076% 1,042.9
Perpetual-Premium 5.52% 5.15% 116,083 5.38 26 -0.0408% 1,024.4
Perpetual-Discount 5.09% 5.12% 345,040 15.32 38 +0.0577% 972.0
Major Price Changes
Issue Index Change Notes
LFE.PR.A SplitShare -1.3270% Coming back to earth from yesterday. Now with a pre-tax bid-YTW of 4.47% based on a bid of 10.41 and a hardMaturity 2012-12-01 at 10.00.
BNA.PR.C SplitShare -1.2605% Now with a pre-tax bid-YTW of 5.14% based on a bid of 23.50 and a hardMaturity 2019-1-10 at 25.00
BAM.PR.N PerpetualDiscount -1.1494% Still no sign of capitulation by the dealers, who I suspect still own a lot of this issue … just a continued decline. I suspect that problems with this issue are weighing down the entire BAM complex – which includes BNA.PR.C (splitShare) and BAM.PR.J (Operating Retractible) … but what do I know? These are all starting to look attractive to me. BAM.PR.N now has a pre-tax bid-YTW of 5.59% based on a bid of 21.50 and a limitMaturity.
BSD.PR.A InterestBearing +1.1640% Now with a pre-tax bid-YTW of 6.91% based on a bid of 9.56 and a hardMaturity 2015-3-31 at 10.00
Volume Highlights
Issue Index Volume Notes
YPG.PR.B Scraps (would be OpRet but there are credit concerns) 246,550 Issued on June 8. Now with a pre-tax bid-YTW of 6.20% based on a bid of 23.02 and a softMaturity 2017-6-29 at 25.00. This can be contrasted with YPG bonds … the 5.25% issue due 2016-2-15 yields about 230bp over Canadas, or about 6.90% interest.
PWF.PR.L PerpetualDiscount 113,800 Nesbitt crossed 100,000 at 24.20. Now with a pre-tax bid-YTW of 5.29% based on a bid of 24.17 and a limitMaturity.
BNS.PR.M PerpetualDiscount 72,110 Now with a pre-tax bid-YTW of 4.96% based on a bid of 22.75 and a limitMaturity.
SLF.PR.B PerpetualDiscount 24,127 Now with a pre-tax bid-YTW of 4.97% based on a bid of 24.33 and a limitMaturity.
CU.PR.B PerpetualPremium 21,479 Now with a pre-tax bid-YTW of 5.63% based on a bid of 25.65 and a call 2012-7-1 at 25.00.
RY.PR.G PerpetualDiscount 21,400 Ex-Dividend today. Now with a pre-tax bid-YTW of 4.97% based on a bid of 22.60 and a limitMaturity.

There were thirteen other $25-equivalent index-included issues trading over 10,000 shares today.

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