{"id":1029,"date":"2007-07-31T23:34:15","date_gmt":"2007-08-01T03:34:15","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1029"},"modified":"2007-07-31T23:34:15","modified_gmt":"2007-08-01T03:34:15","slug":"july-31-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1029","title":{"rendered":"July 31, 2007"},"content":{"rendered":"

Month end, and a funny day in the markets!\u00a0American equities were hit<\/a>, with a few companies exposed to sub-prime taking the brunt; Canadian equities stayed even<\/a>, thanks to a CAD 5.8-billion takeover bid for Western Oil Sands by Marathon Oil. \u00a0<\/p>\n

Treasuries were strong<\/a>, while Canadas were up a tad<\/a>, further widening the rate gap … and I do mean widening! For purposes of US\/Canada spreads, the vocabulary was established long, long ago, and “widening” means “Canada did worse”. Always.<\/p>\n

The differing behaviour is due to\u00a0– you guessed it! – sub-prime, other junk and hedge funds. Bear Stearns suspended redemptions in another fund<\/a>, while Macquarie Fortress announced<\/a> a monthly return of -25% on its high-yield (not sub-prime!) funds.\u00a0 Three French funds are toast<\/a>, due to the classic:<\/p>\n

\n

“Like many actors, we have tried to revitalize the performance of our funds by investing in CDOs,” Arnaud Ploix, a spokesman for Paris-based Oddo, said in an interview today. “Like others, we noticed recent problems with short-term liquidity and were caught out by the subprime dilemma.”<\/p>\n<\/blockquote>\n

Still … carnage means carrion<\/a>, so there are some happy people out there (besides Deutsche Bank<\/a>!).\u00a0It’s probably\u00a0a\u00a0good time to short hedge funds<\/a>! But you know things are getting interesting when three super-major dealers’ bonds trade as junk<\/a>!<\/p>\n

But\u00a0take a break for some perspective<\/a>:<\/p>\n

\n

High-yield, high-risk bonds lost 3.1 percent in July, their worst monthly performance since 2002, as concerns about an onslaught of debt to finance leveraged buyouts drove down prices.<\/p>\n<\/blockquote>\n

Returning to our more normal and much\u00a0more interesting apocalyptic\u00a0screaming, there are musings<\/a> that the USD 37.2-billion takeover of TXU is at risk, with the\u00a0suddenly\u00a0nervous financiers tempted to pay a billion bucks to get out of the deal. Observant readers will not that both\u00a0amounts are oddly reminiscent of the BCE \/ Teachers’ agreement<\/a>, but the musings are\u00a0rebutted on another news service<\/a>. Trial balloon? Chatter from clerks? Who knows? There would be a big reputational hit to take<\/a>.<\/p>\n

Meanwhile, back in the real economy (remember that?) US Inflation news was reasonably encouraging<\/a>. There is no word yet on how third-tranche double-knockout inflation swaptions reacted to this story.<\/p>\n

It looks like Murdoch will buy Dow Jones<\/a>. It is not yet clear how much he will bid for Prefblog. Yo! Murdoch! Call me!<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
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<\/strong><\/td>\n<\/tr>\n
Index<\/td>\nMean Current Yield (at bid)<\/td>\nMean YTW<\/td>\nMean Average Trading Value<\/td>\nMean Mod Dur (YTW)<\/td>\nIssues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n4.93%<\/td>\n4.92%<\/td>\n25,041<\/td>\n15.63<\/td>\n2<\/td>\n+0.2060%<\/td>\n1,039.4<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.98%<\/td>\n5.11%<\/td>\n131,615<\/td>\n15.46<\/td>\n8<\/td>\n-0.0252%<\/td>\n1,021.5<\/td>\n<\/tr>\n
Floater<\/td>\n4.85%<\/td>\n1.06%<\/td>\n76,954<\/td>\n11.52<\/td>\n4<\/td>\n+0.0202%<\/td>\n1,049.6<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.84%<\/td>\n4.07%<\/td>\n85,789<\/td>\n3.12<\/td>\n16<\/td>\n-0.0348%<\/td>\n1,020.3<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.06%<\/td>\n4.60%<\/td>\n102,302<\/td>\n3.93<\/td>\n17<\/td>\n-0.1769%<\/td>\n1,046.5<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.25%<\/td>\n6.67%<\/td>\n62,938<\/td>\n4.65<\/td>\n3<\/td>\n+0.1383%<\/td>\n1,031.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.54%<\/td>\n5.23%<\/td>\n114,037<\/td>\n5.93<\/td>\n26<\/td>\n-0.1430%<\/td>\n1,022.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.08%<\/td>\n5.12%<\/td>\n330,656<\/td>\n15.31<\/td>\n38<\/td>\n+0.0585%<\/td>\n973.3<\/td>\n<\/tr>\n<\/table>\n<\/div>\n
\n\n\n\n\n\n\n
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BNA.PR.B<\/td>\nSplitShare (for now! Will be “Scraps” after rebalancing, due to volume concerns)<\/td>\n-1.9522%<\/td>\nNow with a pre-tax bid-YTW of 5.32% based on a bid of 24.61 and a hardMaturity<\/a> 2016-3-25 at 25.00<\/td>\n<\/tr>\n
CFS.PR.A<\/td>\nSplitShare<\/td>\n-1.3834%<\/td>\nGiving up yesterday’s<\/a> gains. Now with a pre-tax bid-YTW of 4.36% based on a bid of 9.98 and a hardMaturity 2012-1-31 at 10.00.<\/td>\n<\/tr>\n
LFE.PR.A<\/td>\nSplitShare<\/td>\n+1.2597%<\/td>\nNow with a pre-tax bid-YTW of 4.31% based on a bid of 10.45 and a hardMaturity 2012-12-1 at 10.00<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nVolume<\/td>\nNotes<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n65,700<\/td>\nNow with a pre-tax bid-YTW of 4.97% based on a bid of 23.01 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
MFC.PR.A<\/td>\nOpRet<\/td>\n59,790<\/td>\nNow with a pre-tax bid-YTW of 4.29% based on a bid of 24.82 and a softMaturity<\/a> 2015-12-18 at 25.00.<\/td>\n<\/tr>\n
BAM.PR.H<\/td>\nOpRet<\/td>\n52,447<\/td>\nNesbitt crossed 50,000 at 26.60. Now with a pre-tax bid-YTW of 3.28% based on a bid of 26.60 and a call 2008-10-30 at 25.75.<\/td>\n<\/tr>\n
GWO.PR.E<\/td>\nOpRet<\/td>\n33,905<\/td>\nRBC crossed 30,000 at 25.80. Now with a pre-tax bid-YTW of 3.96% based on a bid of 25.76 and a call 2011-4-30 at 25.00. A related issue, GWL.PR.L, has recently been called<\/a> and there is an eagerly awaited (by me, anyway) earnings announcement tomorrow<\/a>.<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetualDiscount<\/td>\n19,120<\/td>\nNow with a pre-tax bid-YTW of 5.00% based on a bid of 22.62 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n

There were fourteen other $25-equivalent index-included issues trading over 10,000 shares today.<\/p><\/div>\n

\n<\/p>\n

<\/p>\n","protected":false},"excerpt":{"rendered":"

Month end, and a funny day in the markets!\u00a0American equities were hit, with a few companies exposed to sub-prime taking the brunt; Canadian equities stayed even, thanks to a CAD 5.8-billion takeover bid for Western …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-1029","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1029","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=1029"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1029\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1029"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1029"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1029"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}