The Bank of Canada increased the overnight rate by 0.25% to 4.5%, as universally expected. There is the usual amount of entrail-interpretation going on in the marketplace – for what it’s worth, I consider the tone of the press release to be neutral – and think that the strong CAD is doing a lot of the heavy lifting for the Bank. But there are the usual pseudo-quants from the “Look, Mom, I got a spreadsheet!” school, claiming, f’rinstance, that since increases have previously occurred in clumps, future increases will also occur in clumps. Apparently, most shops are predicting a September hike, but the track records of these firms was not disclosed. I’m not disclosing my track record of BOC watching, either, mainly because I haven’t got a clue what it is. So be warned!
Bonds had a strong day, on the back of an apparent flight to quality related to sub-prime mortgages in the US and the strength has now spread to Japan amidst muttering that maybe Japan holds too many Treasuries. What a difference a week makes, eh? It was just last Friday I was reporting on the extreme lousiness of the bond market, but Captain Quality has saved the day! I guess a lot of mortgage cheques didn’t arrive in the mail on Monday morning.
SBN.PR.A has announced a normal course issuer bid, less than six weeks after issuing additional shares and less than two months after closing the new issue. It’s not clear how seriously this press release is meant to be taken … there’s not a lot of discount in market-to-NAV for the units … which is why I’m not dignifying the release with its own post.
CXC.PR.A has announced exercise of the underwriters’ greenshoe. This issue is not tracked by HIMIPref™ and I have no plans to do so at this moment – it’s too small. Like many such issues, however, it could make a lot of sense for a small investor planning to buy 100 shares and hold until redemption, given its 5% coupon and discount price
| 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 | 5.41% | 5.41% | 28,043 | 14.83 | 2 | -0.3117% | 1,009.6 |
| Fixed-Floater | 5.05% | 5.35% | 140,634 | 15.01 | 8 | +0.1999% | 999.6 |
| Floater | 4.67% | 0.06% | 79,344 | 4.24 | 4 | -0.0996% | 1,047.7 |
| Op. Retract | 4.83% | 3.95% | 86,784 | 2.97 | 16 | +0.1604% | 1,022.0 |
| Split-Share | 5.05% | 4.65% | 124,716 | 3.99 | 17 | +0.4249% | 1,044.7 |
| Interest Bearing | 6.19% | 6.24% | 68,461 | 4.44 | 3 | -0.2364% | 1,039.9 |
| Perpetual-Premium | 5.54% | 5.17% | 120,414 | 5.81 | 26 | -0.0961% | 1,020.0 |
| Perpetual-Discount | 5.10% | 5.13% | 377,903 | 14.88 | 38 | -0.0181% | 966.4 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.C | FixFloat | -1.4493% | |
| PWF.PR.D | OpRet | +1.0584% | Now with a pre-tax bid-YTW of 4.49% based on a bid of 25.78 and a softMaturity 2012-10-30 at 25.00. |
| BCE.PR.T | FixFloat | +1.0616% | |
| PWF.PR.L | PerpetualDiscount | +1.0722% | Now with a pre-tax bid-YTW of 5.20% based on a bid of 24.51 and a limitMaturity. |
| BCE.PR.R | FixFloat | +1.1760% | |
| LBS.PR.A | SplitShare | +1.4479% | Now with a pre-tax bid-YTW of 4.34% based on a bid of 10.51 and a hardMaturity 2013-11-29 at 10.00. |
| BNA.PR.C | SplitShare | +2.1368% | Now with a pre-tax bid-YTW of 4.92% based on a bid of 23.90 and a hardMaturity 2019-1-10 at 25.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| NTL.PR.G | Scraps (would be Ratchet, but there are credit concerns) | 263,752 | |
| NTL.PR.F | Scraps (would be Ratchet, but there are credit concerns) | 255,300 | Scotia crossed 250,000 at 18.15 |
| IGM.PR.A | OpRet | 55,224 | Now with a pre-tax bid-YTW of 3.96% based on a bid of 26.85 and a call 2009-7-30 at 25.00. |
| CM.PR.J | PerpetualDiscount | 22,540 | Now with a pre-tax bid-YTW of 5.11% based on a bid of 22.07 and a limitMaturity. |
| BNA.PR.C | SplitShare | 19,290 | Now with a pre-tax bid-YTW of 4.93% based on a bid of 23.90 and a hardMaturity 2019-1-10 at 25.00. |
| GWO.PR.I | PerpetualDiscount | 18,485 | Now with a pre-tax bid-YTW of 5.07% based on a bid of 22.35 and a limitMaturity. We’re still waiting for GWO to drop the other shoe. |
| SLF.PR.D | PerpetualDiscount | 17,199 | Now with a pre-tax bid-YTW of 5.07% based on a bid of 22.10 and a limitMaturity. |
There were nine other $25-equivalent index-included issues trading over 10,000 shares today.