July 18, 2007

Both Treasuries and Canadas edged up today, as Canadian inflation wasn’t as bad as feared and US inflation didn’t scare anybody. Not Bernanke and not macroblog, anyway!

JPMorgan noted that junk is getting harder to sell and Freddy Mac agreed. Moody’s is claiming their tough-mindedness on sub-prime cost them business, which wouldn’t surprise me. How many Portfolio Managers, though, are going to lose their jobs for buying stuff not rated by Moody’s? That’s what counts.

DBRS has released a report titled “Analysis of Subprime Loan Concentration by Major Metropolitan Area and Corresponding Economic and HPA Trends”, available by emailing them. You know? If I was a smooth-talking salesman type, I’d be trying to put together a REIT at the moment, buying entire residential neighborhoods at half of last year’s prices. I’ve seen anecdotal reports of massive write-downs … and I recall, from somewhere, it is utter confusion over the recovery rate that is holding up ratings revisions of sub-prime CDO’s. Mind you, I also recall seeing … somewhere … some report in which it was claimed that banks et al. are hanging on to useless properties (in Cleveland?) for a long time, because they don’t have to book the loss until they sell the property. One way or another, though, there will be some people making good money from this mess.

BCE prefs had a good day today. It would appear that John Nagel swings a big stick! Volume was good, despite a lack of notable crosses. BMT.PR.A finally declared their dividend.

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 5.19% 5.21% 24,931 15.13 2 +0.5010% 1,024.6
Fixed-Floater 5.00% 5.27% 140,123 15.14 8 +0.4736% 1,011.4
Floater 4.86% 0.75% 80,480 4.18 4 +0.2926% 1,048.7
Op. Retract 4.83% 4.09% 85,096 2.78 16 -0.0585% 1,021.0
Split-Share 5.06% 4.61% 114,454 3.91 17 +0.0567% 1,045.8
Interest Bearing 6.16% 6.21% 65,096 4.43 3 +0.7856% 1,046.0
Perpetual-Premium 5.53% 5.14% 118,130 5.40 26 +0.0970% 1,023.3
Perpetual-Discount 5.10% 5.14% 353,753 14.87 38 +0.1583% 967.2
Major Price Changes
Issue Index Change Notes
BNA.PR.C SplitShare -1.2992% Now with a pre-tax bid-YTW of 5.11% based on a bid of 23.55 and a hardMaturity 2019-1-10 at 25.00.
BAM.PR.M PerpetualDiscount -1.0989% Now with a pre-tax bid-YTW of 5.54% based on a bid of 21.60 and a limitMaturity.
SLF.PR.E PerpetualDiscount +1.0782% Now with a pre-tax bid-YTW of 5.04% based on a bid of 22.50 and a limitMaturity.
BSD.PR.A InterestBearing +1.5690% Now with a pre-tax bid-YTW of 6.63% (as interest!) based on a bid of 9.71 and a hardMaturity 2015-3-31 at 10.00.
Volume Highlights
Issue Index Volume Notes
GWO.PR.X OpRet 70,774 Desjardins crossed 10,000 at 26.85. Now with a pre-tax bid-YTW of 3.42% based on a bid of 26.75 and a call 2009-10-30 at 26.00.
ELF.PR.G PerpetualDiscount 65,754 Scotia crossed 50,000 at 21.70. Now with a pre-tax bid-YTW of 5.53% based on a bid of 21.57 and a limitMaturity.
RY.PR.G PerpetualDiscount 45,714 Now with a pre-tax bid-YTW of 5.02% based on a bid of 22.83 and a limitMaturity. The currentYield is 4.93% … the huge discrepency is due to the fact that RY.PR.G will soon be going ex-dividend on a big first coupon. Note that the difference is even larger for RY.PR.F … 4.88% current, 5.01% YTW.
BNS.PR.M PerpetualDiscount 24,727 Now with a pre-tax bid-YTW of 5.02% based on a bid of 22.50 and a limitMaturity.
MFC.PR.C PerpetualDiscount 23,360 Now with a pre-tax bid-YTW of 4.97% based on a bid of 22.85 and a limitMaturity.

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

One Response to “July 18, 2007”

  1. […] I mentioned on July 18 that it would be most interesting to buy foreclosed residential properties in the US on the cheap, and this is exactly what Miami’s developers are hoping for. […]

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