Treasuries outperformed Canada bonds in what is being touted as a continued flight to safety in the US market. Or maybe it was the PPI release. Who knows? Ask a priest.
Mind you, a little safety could be just what the doctor ordered down south! Bear Stearns has warned that the smaller of its two famous hedge funds is a total write-off, and the other one isn’t much better. Take this lesson to heart: just because a firm is good at selling investments doesn’t mean that they’re necessarily good at running investments.
In other sub-prime news, Moody’s is expanding its review and, presumably, hopes to have the barn door locked within three months of the horse being stolen. Chrysler is being forced to pay up for loans (about time), while a couple of brand-name brokerages have been left holding the baby as demand for junk declines.
Interesting times! Particularly if you don’t actually have an investment in the sector yourself! It should be noted that credit spreads in the Canadian preferred market are widening markedly, with Pfd-3 issues getting progressively weaker — but I’m not holding any of those, either, thank heavens. A graph of the After-Tax Pfd-3 Yield Spread for the past three-and-a-half months has been uploaded.
Volume picked up a little today, with a few good size blocks being traded.
| 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 | 5.24% | 5.26% | 25,588 | 15.06 | 2 | +0.0208% | 1,019.5 |
| Fixed-Floater | 5.02% | 5.31% | 140,304 | 15.09 | 8 | +0.1135% | 1,006.7 |
| Floater | 4.87% | 3.81% | 79,572 | 7.5 | 4 | -0.2904% | 1,045.6 |
| Op. Retract | 4.83% | 4.04% | 84,635 | 2.73 | 16 | +0.0579% | 1,021.5 |
| Split-Share | 5.06% | 4.64% | 115,530 | 3.92 | 17 | -0.1036% | 1,045.2 |
| Interest Bearing | 6.21% | 6.37% | 65,491 | 4.42 | 3 | +0.1024% | 1,037.8 |
| Perpetual-Premium | 5.53% | 5.16% | 118,677 | 5.37 | 26 | +0.0851% | 1,022.3 |
| Perpetual-Discount | 5.11% | 5.15% | 355,892 | 15.24 | 38 | +0.0793% | 965.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BAM.PR.G | FixedFloater | -1.4102% | |
| SBN.PR.A | SplitShare | -1.3462% | Now with a pre-tax bid-YTW of 4.92% based on a bid of 10.26 and a hardMaturity 2014-12-1 at 10.00. |
| BCE.PR.A | FixFloat | +1.0700% | |
| ELF.PR.F | PerpetualDiscount | +1.1255% | Now with a pre-tax bid-YTW of 5.49% based on a bid of 24.26 and a limitMaturity. |
| NA.PR.L | PerpetualDiscount | +1.3080% | Now with a pre-tax bid-YTW of 5.04% based on a bid of 24.01 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| WN.PR.B | Scraps (Would be OpRet, but there are credit concerns) | 120,060 | Desjardins bought 114,600 from CIBC at 25.11. Now with a pre-tax bid-YTW of 4.97% based on a bid of 25.15 and a softMaturity 2009-6-30 at 25.00. |
| GWO.PR.X | SplitShare | 103,183 | Now with a pre-tax bid-YTW of 3.50% based on a bid of 26.70 and a call 2009-10-30 at 26.00. Still some uncertainty with this issue … but at least Great-West is investment grade! |
| CM.PR.H | PerpetualDiscount | 63,600 | Scotia crossed 48,700 at 23.50. Now with a pre-tax bid-YTW of 5.14% based on a bid of 23.40 and a limitMaturity. |
| SLF.PR.D | PerpetualDiscount | 58,875 | Scotia crossed 46,500 at 22.35. Now with a pre-tax bid-YTW of 5.04% based on a bid of 22.25 and a limitMaturity. |
| ELF.PR.G | PerpetualDiscount | 52,735 | Scotia crossed 43,800 at 21.70. Now with a pre-tax bid-YTW of 5.56% based on a bid of 21.50 and a limitMaturity. |
| RY.PR.G | PerpetualDiscount | 50,600 | Nesbitt bought 25,000 at 22.80 from RBC, which sold another 20,000 in five tranches in the three minutes prior to this trade. This issue pays a fat first dividend, going ex next week. Well, relatively fat! Dimes are important! Now with a pre-tax bid-YTW of 5.04% based on a bid of 22.76 and a limitMaturity. |
There were twenty-one other $25-equivalent index-included issues trading over 10,000 shares today.
[…] On July 17, the Great Sub-Prime Panic of ’07 got rolling in earnest: Mind you, a little safety could be just what the doctor ordered down south! Bear Stearns has warned that the smaller of its two famous hedge funds is a total write-off, and the other one isn’t much better. Take this lesson to heart: just because a firm is good at selling investments doesn’t mean that they’re necessarily good at running investments. […]