A good day for both Canadas and Treasuries in a day that had not so much news as the continued unfolding of the sub-prime saga.
Junk bonds continued to get hammered today, with a certain amount of leakage into investment grade bonds via financial corporations. Dramatically, credit spreads on the Tribune Co. buyout are now at +770bp [to get an idea of what that means, see the primers].
And – this should not really be a surprise – the finger-pointing has begun. The CEO of KBHome blames the Fed (or, the rapid rise in short rates controlled by the Fed, anyway), while the Fed blames sloppy investors.
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.
The preferred market had a good day, with good volume. A noticable chunk of this volume was in selected split share issues, perhaps due to next week’s index rebalancing.
| 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 | 5.12% | 5.14% | 24,826 | 15.23 | 2 | +0.1035% | 1,028.0 |
| Fixed-Floater | 4.98% | 5.24% | 139,766 | 15.18 | 8 | -0.0035% | 1,014.8 |
| Floater | 4.86% | 0.94% | 81,521 | 4.19 | 4 | +0.0302% | 1,048.7 |
| Op. Retract | 4.83% | 4.12% | 86,137 | 2.98 | 16 | -0.0115% | 1,020.8 |
| Split-Share | 5.05% | 4.62% | 114,268 | 3.92 | 17 | +0.2343% | 1,048.5 |
| Interest Bearing | 6.17% | 6.28% | 68,453 | 4.43 | 3 | +1.4533% | 1,044.6 |
| Perpetual-Premium | 5.51% | 5.07% | 117,741 | 5.39 | 26 | +0.1477% | 1,026.0 |
| Perpetual-Discount | 5.09% | 5.13% | 348,619 | 15.27 | 38 | +0.0958% | 969.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| POW.PR.C | PerpetualPremium | +1.0502% | Now with a pre-tax bid-YTW of 4.86% based on a bid of 25.98 and a call 2012-1-5 at 25.00. A hefty bid for 4,500 shares, at that, which exceeds the average daily volume. |
| ELF.PR.G | PerpetualDiscount | +1.1960% | Now with a pre-tax bid-YTW of 5.43% based on a bid of 22.00 and a limitMaturity. |
| GWO.PR.I | PerpetualDiscount | +1.2118% | Now with a pre-tax bid-YTW of 5.03% based on a bid of 22.55 and a limitMaturity. |
| BNS.PR.J | PerpetualPremium | +1.3354% | Now with a pre-tax bid-YTW of 4.67% based on a bid of 25.80 and a call 2013-11-28 at 25.00. |
| BSD.PR.A | InterestBearing | +1.6043% | The bidders came back after yesterday’s swoon. Now with a pre-tax bid-YTW of 7.00% (nearly all as interest) based on a bid of 9.50 and a hardMaturity 2015-3-31 at 10.00. |
| BNA.PR.C | SplitShare | +2.6552% | Now with a pre-tax bid-YTW of 4.91% based on a bid of 23.97 and a hardMaturity 2019-1-10 at 25.00. |
| FIG.PR.A | InterestBearing | +2.7749% | Powering the InterestBearing index to an impressive rise – better performance over the last two days than BSD.PR.A. Unfortunately, it’s now at its current call price, so there’s probably not much capital gain left, although the yield is still good: now with a pre-tax bid-YTW of 6.35% based on a bid of 10.00 and a hardMaturity 2014-12-31 at 10.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CM.PR.J | PerpetualDiscount | 85,820 | Now with a pre-tax bid-YTW of 5.03% based on a bid of 22.45 and a limitMaturity. |
| IGM.PR.A | OpRet | 57,013 | Desjardins crossed 50,000 at 27.15 (and bought at least 2,600 shares at slightly lower prices in five tranches 4 minutes before the closing bell). Now with a pre-tax bid-YTW of 3.72% based on a bid of 27.00 and a call 2009-7-30 at 26.00. |
| CM.PR.C | PerpetualPremium | 50,400 | Now with a pre-tax bid-YTW of 4.99% based on a bid of 25.93 and a call 2011-8-30 at 25.00. |
| PIC.PR.A | SplitShare | 39,723 | Now with a pre-tax bid-YTW of 4.27% based on a bid of 15.66 and a hardMaturity 2010-11-1 at 15.00. |
| SLF.PR.E | PerpetualDiscount | 23,400 | Now with a pre-tax bid-YTW of 5.08% based on a bid of 22.35 and a limitMaturity. |
There were twenty-three other $25-equivalent index-included issues trading over 10,000 shares today.