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.