July 25, 2007

The day ended with not much happening in government markets, either in Canada or the US. New Zealand tightened to 8.25%. Now, there’s a central bank that’s drop dead serious about inflation!

The KKR/Boots and Chrysler financings both appear to have failed, which probably has Teachers’ feeling pretty nervous about financing the BCE takeover. BCE preferreds seem to be taking all this in stride, however, perhaps due to Desjardins’ calming words.

Of interest today was action with EPP.PR.A, which – judging by the TSX – was a fizzle. There was some pretty good volume today anyway, highlighted by Nesbitt and a series of internal crosses of issues from the GWO / PWF / IGM / POW group … is somebody placing a bet on the August 1 quarterly results announcement?

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 5.03% 5.05% 24,925 15.38 2 +0.1665% 1,032.5
Fixed-Floater 4.97% 5.20% 137,796 15.24 8 -0.0191% 1,016.6
Floater 4.86% 2.59% 79,720 11.55 4 +0.0100% 1,048.4
Op. Retract 4.84% 3.98% 85,802 3.13 16 -0.0381% 1,020.5
Split-Share 5.05% 4.52% 108,892 3.89 17 -0.1296% 1,048.1
Interest Bearing 6.20% 6.48% 65,973 4.41 3 -0.3043% 1,039.7
Perpetual-Premium 5.53% 5.18% 117,387 5.76 26 -0.0856% 1,023.5
Perpetual-Discount 5.09% 5.11% 345,746 15.32 38 +0.0973% 972.9
Major Price Changes
Issue Index Change Notes
ELF.PR.F PerpetualDiscount -1.3350% Now with a pre-tax bid-YTW of 5.46% based on a bid of 24.39 and a limitMaturity.
CM.PR.I PerpetualDiscount -1.1329% Now with a pre-tax bid-YTW of 5.08% based on a bid of 23.21 and a limitMaturity.
BAM.PR.N PerpetualDiscount +1.1628% Reversing yesterday’s decline. 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 5.52% based on a bid of 21.75 and a limitMaturity.
PWF.PR.L PerpetualDiscount +1.4067% Now with a pre-tax bid-YTW of 5.22% based on a bid of 24.51 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 604,824 Nesbitt processed an internal cross of 599,999 shares (in two tranches, so the odd lot is not necessarily related!) at 22.53. Now with a pre-tax bid-YTW of 5.05% based on a bid of 22.50 and a limitMaturity.
IGM.PR.A OpRet 372,965 Nesbitt proccessed internal crosses of 369,500 shares at 26.87, and 99 shares at the same price. Now with a pre-tax bid-YTW of 4.08% based on a bid of 26.83 and a call 2009-07-30 at 26.00.
PWF.PR.K PerpetualDiscount 225,021 Internal crosses. Nesbitt. 199,900 & 99, $23.77. Now with a pre-tax bid-YTW of 5.21% based on a bid of 23.84 and a limitMaturity.
GWO.PR.F PerpetualPremium 146,330 Desjardins crossed 25,000 at 26.85, only to be trumped by Nesbitt’s internal cross of 121,000 (no odd lot!) at 26.87. Now with a pre-tax bid-YTW of 3.44% based on a bid of 26.82 and a call 2008-10-30 at 26.00.
PWF.PR.E PerpetualPremium 123,219 Nesbitt. Internal cross, 116,300 at 25.57. Now with a pre-tax bid-YTW of 4.96% based on a bid of 25.66 and a call 2013-3-2 at 25.00.
NTL.PR.F Scraps (would be ratchet, but there are credit concerns) 106,500 Junk bonds? We don’t need no stinking junk bonds. Scotia crossed 100,000 at 18.00
POW.PR.D PerpetualDiscount 103,264 Nesbitt, Internal Crosses, 99,900 & 99, at 23.93. Now with a pre-tax bid-YTW of 5.26% based on a bid of 23.90 and a limitMaturity.

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

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