July 19, 2007

A very quiet day for both Treasuries and Canadas today, as commentators parsed Bernanke’s Congressional testimony and decided it was ‘steady as she goes’.

China is projected to tighten, while Brad Setser worries that the world is taking too long to adjust. China has been stimulated by exports to the US for too long!

Chrysler makes the daily summary again, this time because its finance unit is having to pay up for loans. S&P bit the bullet with another mass downgrade of sub-prime CDOs, while JPMorgan warned that worse is to come in the primary market, but the bad news has been reflected in the ABX Derivatives market.

Mulvihill announced  exchange ratios for Premium Income II today … given that the setting of these ratios was delayed, I suspect that the offering is not doing very well. We shall see, however … and if they sell enough, I’ll add it to the HIMIPref™ universe, since I like the terms of the preferreds.

BCE Prefs had another strong day today, perhaps reflecting Desjardins’ drum-pounding. The preferred share market continued to rise – slowly & haltingly, perhaps, but it is rising!

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 5.15% 5.17% 24,945 15.19 2 +0.2280% 1,026.9
Fixed-Floater 4.98% 5.25% 140,357 15.17 8 +0.3343% 1,014.8
Floater 4.86% 0.75% 81,972 8.25 4 -0.0300% 1,048.4
Op. Retract 4.83% 4.05% 85,251 2.72 16 -0.0034% 1,020.9
Split-Share 5.06% 4.61% 114,266 3.91 17 +0.0288% 1,046.1
Interest Bearing 6.26% 6.51% 66,576 4.39 3 -1.5631% 1,029.6
Perpetual-Premium 5.52% 5.11% 117,321 5.40 26 +0.1128% 1,024.5
Perpetual-Discount 5.09% 5.13% 351,271 14.88 38 +0.1822% 968.9
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -3.7075% It looks like the bidders were just plain frightened away, as it closed at 9.35-55, 27×34. Now with a pre-tax bid-YTW of 7.27% based on a bid of 9.35 and a hardMaturity 2015-3-31 at 10.00. Strange, what with Sentry Select about to come to market with InterestBearing prefs that will yield 6.25% for less than three-and-a-half years.
LFE.PR.A SplitShare -1.2253% Now with a pre-tax bid-YTW of 4.31% based on a bid of 10.48 and a hardMaturity 2012-12-1 at 10.00.
BCE.PR.Z FixFloat +1.6196%  
CM.PR.H PerpetualDiscount +2.1277% Now with a pre-tax bid-YTW of 5.01% based on a bid of 24.00 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
RY.PR.W PerpetualDiscount 153,500 RBC crossed 150,000 at 24.68. Now with a pre-tax bid-YTW of 5.03% based on a bid of 24.70 and a limitMaturity.
BAM.PR.K Floater 36,356 Nesbitt bought 10,000 from National Bank at 24.85, then National Bank crossed 20,000 at 24.80.
CM.PR.H PerpetualDiscount 34,060 Now with a pre-tax bid-YTW of 5.01% based on a bid of 24.00 and a limitMaturity.
CM.PR.J PerpetualDiscount 30,100 Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.30 and a limitMaturity.
BNS.PR.L PerpetualDiscount 28,035 Now with a pre-tax bid-YTW of 5.01% based on a bid of 22.55 and a limitMaturity.

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

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