Month-end is taking its dreaded toll … there will be no indices AGAIN today and precious little commentary.
My sole comment for today is that DBRS is sounding very defensive! They have released a “commentary” titled Rating Volatility in Structured Credit and a press release titled DBRS Approach to Canadian ABCP Surveillance – neither of which I can link to because ratings agencies, for all their good points, are complete dorks when it comes to public relations. So visit their web site and poke around for a few hours until you find their precious commentary.
If we do manage to avoid government regulation and control of the credit ratings process – the prospect that fills me with dread – it won’t be because of the slick publicity campaign managed by the agencies, that’s for sure.
The S&P equivalent was published August 23 and titled Structured Finance Commentary.
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| RY.PR.E | PerpetualDiscount | -1.4410% | Now with a pre-tax bid-YTW of 5.02% based on a bid of 22.57 and a limitMaturity. |
| BCE.PR.G | FixFloat | -1.1475% | |
| SLF.PR.E | PerpetualDiscount | -1.0503% | Now with a pre-tax bid-YTW of 4.98% based on a bid of 22.61 and a limitMaturity. |
| IAG.PR.A | PerpetualDiscount | +1.0989% | Now with a pre-tax bid-YTW of 5.00% based on a bid of 23.00 and a limitMaturity. |
| BAM.PR.M | PerpetualDiscount | +1.1154% | Now with a pre-tax bid-YTW of 5.81% based on a bid of 20.85 and a limitMaturity. BAM.PR.N closed at 20.40-50. |
| BNS.PR.L | PerpetualDiscount | +1.5106% | Now with a pre-tax bid-YTW of 4.83% based on a bid of 23.52 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| TD.PR.M | OpRet | 102,400 | Nesbitt crossed 100,000 at 26.35. Now with a pre-tax bid-YTW of 3.94% based on a bid of 26.17 and a softMaturity 2013-10-30 at 25.00. |
| GWO.PR.X | OpRet | 101,665 | Nesbitt crossed 100,000 at 26.65. Now with a pre-tax bid-YTW of 3.49% based on a bid of 26.54 and a call 2009-10-30 at 26.00. |
| GWO.PR.I | PerpetualDiscount | 83,850 | RBC crossed 40,000 at 22.70, then another(?) 40,000 at the same price. Now with a pre-tax bid-YTW of 4.96% based on a bid of 22.68 and a limitMaturity. |
| RY.PR.B | PerpetualDiscount | 57,400 | National Bank crossed 50,000 at 23.90. Now with a pre-tax bid-YTW of 4.93% based on a bid of 23.98 and a limitMaturity. |
| BNS.PR.L | PerpetualDiscount | 31,220 | Now with a pre-tax bid-YTW of 4.83% based on a bid of 23.52 and a limitMaturity. |
There were eleven other $25-equivalent index-included issues trading over 10,000 shares today.
Update, 2007-09-07
| 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 | 4.95% | 4.90% | 1,875,505 | 15.53 | 1 | 0.0000% | 1,043.7 |
| Fixed-Floater | 4.87% | 4.78% | 109,627 | 15.82 | 8 | -0.1107% | 1,027.4 |
| Floater | 4.45% | 2.56% | 89,455 | 10.65 | 4 | +0.2857% | 1,044.4 |
| Op. Retract | 4.82% | 3.61% | 77,249 | 3.03 | 15 | +0.1984% | 1,028.7 |
| Split-Share | 5.12% | 4.78% | 102,166 | 3.90 | 13 | +0.0391% | 1,047.8 |
| Interest Bearing | 6.28% | 6.84% | 67,013 | 4.56 | 3 | +0.1733% | 1,032.9 |
| Perpetual-Premium | 5.47% | 5.00% | 92,141 | 5.71 | 24 | +0.1507% | 1,032.6 |
| Perpetual-Discount | 5.06% | 5.10% | 262,140 | 15.05 | 38 | +0.2591% | 981.5 |