July 30, 2007

There was a dead-cat bounce for both American and Canadian equities today, with a concommittant decline in Treasuries and Canadas (although you’ll just have to take my word for it, since I can’t find a source. Doesn’t anybody out there have a blog?)

Another hedge fund went bust and a company that’s in the business of giving mortgages to sub-prime clients discovered they didn’t use enough “sub-“s when describing their clientele. You could almost hear the cheering from Deutsche Bank, which is short sub-primes, but corporate credits improved overall anyway – another dead-cat bounce.

Meanwhile, there’s some fear that over-regulation & lack of innovation will cost the US debt markets some underwriting, so we may see a hum-dinger when Congress regulates sub-primein the spirit of competitiveness, of course. But why would Congress listen to some Fed researchers?

The Eurobond market has traditionally been the domain of top-rated large banks and other financial issuers; together, they accounted for roughly 75 percent of Eurobond volume from 1995 to 2006. It is therefore not surprising that the market would serve as home to other highly rated issues such as structured securities. The market’s self-regulated environment offers another important advantage for structured products, because this debt is often sponsored by hedge funds, whose trading strategies are best suited to this type of environment.

The preferred market had a very quiet day – I don’t think any blocks were traded at all. All eyes are on equities and junk! This is the kind of market where strange things can happen and liquidity has an enormous value … so get your limit orders in now!

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 4.96% 4.95% 25,417 15.58 2 -0.2256% 1,037.3
Fixed-Floater 4.98% 5.12% 133,782 13.98 8 +0.1962% 1,021.7
Floater 4.85% 1.23% 77,537 8.48 4 +0.1106% 1,049.4
Op. Retract 4.84% 4.09% 84,535 3.28 16 -0.0836% 1,020.6
Split-Share 5.05% 4.55% 103,237 3.88 17 +0.2030% 1,048.4
Interest Bearing 6.26% 6.70% 63,131 4.65 3 +0.1375% 1,030.3
Perpetual-Premium 5.53% 5.19% 113,825 5.94 26 +0.0460% 1,023.5
Perpetual-Discount 5.09% 5.12% 333,598 15.31 38 -0.0119% 972.8
Major Price Changes
Issue Index Change Notes
NA.PR.K PerpetualPremium +1.0133% Now with a pre-tax bid-YTW of 4.97% based on a bid of 25.92 and a call 2012-6-14 at 25.00
WFS.PR.A SplitShare +1.3780% Now with a pre-tax bid-YTW of 4.56% based on a bid of 10.30 and a hardMaturity 2011-6-30 at 10.00.
BMO.PR.J PerpetualDiscount +1.4589% Now with a pre-tax bid-YTW of 4.98% based on a bid of 22.95 and a limitMaturity.
CFS.PR.A SplitShare +1.6064% Now with a pre-tax bid-YTW of 4.01% based on a bid of 10.12 and a hardMaturity 2012-1-31 at 10.00
Volume Highlights
Issue Index Volume Notes
BMO.PR.J PerpetualDiscount 19,975 See above.
RY.PR.F PerpetualDiscount 14,300 Now with a pre-tax bid-YTW of 4.98% based on a bid of 22.33 and a limitMaturity.
CM.PR.I PerpetualDiscount 13,790 Now with a pre-tax bid-YTW of 5.12% based on a bid of 23.06 and a limitMaturity.
SLF.PR.A PerpetualDiscount 12,480 Now with a pre-tax bid-YTW of 4.98% based on a bid of 24.06 and a limitMaturity.
BNS.PR.M PerpetualDiscount 11,860 Now with a pre-tax bid-YTW of 5.00% based on a bid of 22.63 and a limitMaturity.

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

2 Responses to “July 30, 2007”

  1. kaspu says:

    meouw!. That cat didn’t bounce very high. It sounds like a Monty Python scene…

  2. […] Giving up yesterday’s gains. Now with a pre-tax bid-YTW of 4.36% based on a bid of 9.98 and a hardMaturity 2012-1-31 at 10.00. […]

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