A wild day for stocks, as American equities gained sharply in the last hour to record good performance on the day, while Canadian stocks … shoulda stood in bed.
Meanwhile, Treasuries fell sharply, which may be due to reallocation to equities, reduced hopes for a rate cut, or simply because they felt like it. Ask a priest. Fitch cut ratings on a lot of sub-primes (which, I’ll bet, still doesn’t get the ratings in line with the prices) and clarified some of their rating processes. Canada still doesn’t have a dedicated bond blog or even any decent wire services (if I’m wrong, tell me!), so you’ll have to trust me again … Canadas did not have an exciting day. Flat-to-boring about sums it up.
Yesterday I highlighted a Bloomberg story claiming that some major brokerage bonds were trading as junk. Tom Graff says that’s a load of hooey, and provides some examples of bellwether junk bonds vs. the brokers of interest … broker spreads are wide, he says, but not actually junk!
Back to prefs … CM.PR.C has been redeemed and been removed from the “PerpetualPremium” index. To my shame, I confess that the HIMIPref™ Indices have not been rebalanced for July month-end and I will have to catch up at another time – hopefully tomorrow. The market had a good day – as suggested by the “Major Price Changes”, but beyond that, I’m afraid you’ll have to wait.
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BSD.PR.A | InterestBearing | -1.7951% | Now with a pre-tax bid-YTW of 7.40% (as interest) based on a bid of 9.30 and a hardMaturity 2015-3-31 at 10.00. |
| RY.PR.E | PerpetualDiscount | +1.1057% | Now with a pre-tax bid-YTW of 4.92% based on a bid of 22.86 and a limitMaturity. |
| RY.PR.A | PerpetualDiscount | +1.1236% | Now with a pre-tax bid-YTW of 4.95% based on a bid of 22.50 and a limitMaturity. |
| CFS.PR.A | SplitShare | +1.2024% | Now with a pre-tax bid-YTW of 4.07% based on a bid of 10.10 and a hardMaturity 2012-1-31 at 10.00 |
| MFC.PR.A | OpRet | +1.2893% | Now with a pre-tax bid-YTW of 4.11% based on a bid of 25.14 and a softMaturity 2015-12-18 at 25.00 |
| MIC.PR.A | PerpetualPremium | +1.5625% | Now with a pre-tax bid-YTW of 5.27% based on a bid of 26.00 and a call 2012-1-30 at 25.00 |
| BNS.PR.J | PerpetualPremium | +1.7316% | Now with a pre-tax bid-YTW of 4.67% based on a bid of 25.85 and a call 2013-11-28 at 25.00 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.D | PerpetualDiscount | 69,146 | Now with a pre-tax bid-YTW of 5.07% based on a bid of 22.16 and a limitMaturity. |
| SLF.PR.E | PerpetualDiscount | 58,150 | Scotia crossed 50,000 at 22.55. Now with a pre-tax bid-YTW of 4.22% based on a bid of 26.71 and a call 2008-12-31 at 26.00. |
| ACO.PR.A | OpRet | 40,171 | Scotia crossed 39,500 at 27.00. Now with a pre-tax bid-YTW of 4.22% based on a bid of 26.71 and a call 2008-12-31 at 26.00 |
| CM.PR.H | PerpetualDiscount | 37,825 | TD sold 10,700 to RBC, bought 10,200 from HSBC four minutes later and, after a pause, crossed 11,000; all at 24.10. Now with a pre-tax bid-YTW of 5.00% based on a bid of 24.10 and a limitMaturity. |
| BMO.PR.J | PerpetualDiscount | 29,450 | Now with a pre-tax bid-YTW of 4.95% based on a bid of 22.73 and a limitMaturity. |
There were eleven other $25-equivalent index-included issues trading over 10,000 shares today.
Update, 2007-08-02
| 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 | 4.85% | 4.88% | 28,380 | 15.81 | 1 | +0.0000% | 1,039.4 |
| Fixed-Floater | 4.98% | 5.09% | 131,776 | 15.49 | 8 | -0.0206% | 1,021.3 |
| Floater | 4.87% | 0.15% | 76,300 | 8.22 | 4 | +0.0442% | 1,051.1 |
| Op. Retract | 4.84% | 3.79% | 85,096 | 3.08 | 16 | +0.1672% | 1,022.0 |
| Split-Share | 5.04% | 4.49% | 111,069 | 3.93 | 15 | +0.0277% | 1,046.8 |
| Interest Bearing | 6.28% | 6.76% | 62,720 | 4.63 | 3 | -0.5402% | 1,026.2 |
| Perpetual-Premium | 5.53% | 5.18% | 105,751 | 5.66 | 24 | +0.2230% | 1,024.3 |
| Perpetual-Discount | 5.08% | 5.11% | 323,671 | 15.32 | 39 | +0.1887% | 975.2 |
[…] As has previously been noted, CM.PR.C has been redeemed and removed from the PerpetualPremium index. Its last day of inclusion was July 31. […]