July 9, 2007

Quiet day today. Volatility continues to be high, as it has for the past two months, but nothing unusual when considered in the context of this short period.

The Bank of Canada will announce the Overnight Rate on July 10. Universally expected to be up 25bp to 4.50%; the suspense lies in what sort of language they use to prepare us for the next meeting.

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 5.39% 5.41% 29,205 14.83 2 -0.5626% 1,012.8
Fixed-Floater 5.06% 5.36% 139,980 15.01 8 -0.0152% 997.6
Floater 4.66% -1.58% 77,898 4.66 4 +0.0712% 1,048.7
Op. Retract 4.83% 4.09% 86,094 3.17 16 +0.1215% 1,020.4
Split-Share 5.07% 4.79% 125,028 4.08 17 -0.2458% 1,040.3
Interest Bearing 6.18% 6.21% 68,783 4.45 3 +0.3063% 1,042.4
Perpetual-Premium 5.54% 5.13% 120,487 5.34 26 -0.0272% 1,021.0
Perpetual-Discount 5.10% 5.13% 383,837 14.89 38 -0.1514% 966.6
Major Price Changes
Issue Index Change Notes
PWF.PR.D OpRet -1.9223% Now with a pre-tax bid-YTW of 4.72% based on a bid of 25.51 and a softMaturity 2012-10-30 at 25.00.
LBS.PR.A SplitShare -1.3333% Now with a pre-tax bid-YTW of 4.60% based on a bid of 10.36 and a hardMaturity 2013-11-29 at 10.00.
NA.PR.L PerpetualDiscount -1.1741% Now with a pre-tax bid-YTW of 5.03% based on a bid of 24.41 and a limitMaturity.
BCE.PR.T FixFloat -1.0504% Exchange/Reset date is 2011-11-1 (exchanges with BCE.PR.S); until then pays 4.502% of par. Teachers is bidding 25.77 for the ‘T’; 25.50 for the ‘S’. The ‘T’ closed at 23.55-99, 5×10; the ‘S’ closed at 23.85-35, 6×5.
CFS.PR.A SplitShare -1.0091% Now with a pre-tax bid-YTW of 4.72% based on a bid of 9.81 and a hardMaturity 2012-1-31 AT 10.00.
BCE.PR.C FixFloat +1.4706% Exchange/Reset date is 2008-3-1 (exchanges with series ‘AD’, not issued); until then, pays 5.54% of par.
BCE.PR.H Ratchet +1.2685% Exchange/Reset date is 2011-5-1 (exchanges with BCE.PR.G, which pays 4.35% of par). The ‘H’ closed at 23.85-20, 13×6; the ‘G’ closed at 24.00-10, 13×10. Teachers is bidding 25.50 for the ‘G’; 25.56 for the ‘H’. Given the huge discount to the Teachers price (which implies a large presumed probability of the deal not being consumated) I would have expected a larger price differential between the H & G, given that the H will probably yield 100% of prime for the forseeable future. There are a lot of moving parts in the calculation; it is possible to construct a self-consistent event probability matrix; but it still seems very strange to me.
MFC.PR.C PerpetualDiscount +1.3187% Now with a pre-tax bid-YTW of 4.91% based on a bid of 23.05 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
RY.PR.F PerpetualDiscount 32,790 Now with a pre-tax bid-YTW of 5.11% based on a bid of 22.35 and a limitMaturity.
SLF.PR.D PerpetualDiscount 31,170 Now with a pre-tax bid-YTW of 5.05% based on a bid of 22.16 and a limitMaturity.
BAM.PR.K Floater 27,000  
SLF.PR.A PerpetualDiscount 14,320 Now with a pre-tax bid-YTW of 4.93% based on a bid of 24.20 and a limitMaturity.
BMO.PR.J PerpetualDiscount 12,920 Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.50 and a limitMaturity.

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

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