Econbrowser‘s James Hamilton sounds a gloomy note in his post Will the Fed Do More?:
Certainly Federal Reserve Bank of St. Louis President James Bullard is trying to communicate that the Fed needs to respond more if disinflation continues:
There has been disinflation. It has been at the low end of where I’d like to see it. For that reason I think we should supplement our quantitative easing program if we get further developments on that front. We should have a plan in place to take action if it moves lower.
My expectation is that Hoenig’s forecast will prove optimistic, and that last week’s modest easing is not the last we’re going to hear from the Fed.
Not to be out-done, Econbrowser‘s Menzie Chinn writes a post Financing US Debt which presents highlights of a recent paper:
We use the CBO assessment of the President’s budget, and a key estimated relationship between the ten year – three month spread and the unemployment gap, inflation, structural budget deficits, and foreign official purchase of Treasury securities. Note that we presume that, contrary to some people’s assertions, deficits matter. Actually, we estimate the relationship, and find that each percentage point of the structural, or cyclically adjusted, budget deficit raises the spread by 27 basis points. The fit is displayed in Chart 5.
The Canadian preferred share market rocketted ahead on good volume today, with PerpetualDiscounts up 26bp and FixedResets up 16bp. FixedResets set a new all-time low median average yield-to-worst at 3.26%. Interestingly, the Bozo Spread (Current Yield PerpetualDiscounts less Current Yield FixedResets) has narrowed very slightly to 45bp.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2112 % | 2,062.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2112 % | 3,124.5 |
| Floater | 2.54 % | 2.16 % | 37,323 | 21.95 | 4 | 0.2112 % | 2,227.0 |
| OpRet | 4.90 % | 0.55 % | 103,677 | 0.20 | 9 | 0.0862 % | 2,347.9 |
| SplitShare | 6.04 % | -24.10 % | 70,236 | 0.09 | 2 | 0.2297 % | 2,329.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0862 % | 2,146.9 |
| Perpetual-Premium | 5.77 % | 5.32 % | 98,815 | 1.76 | 7 | 0.0562 % | 1,962.2 |
| Perpetual-Discount | 5.74 % | 5.77 % | 183,740 | 14.12 | 71 | 0.2558 % | 1,891.0 |
| FixedReset | 5.29 % | 3.26 % | 291,604 | 3.38 | 47 | 0.1550 % | 2,243.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRI.PR.B | Floater | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-08-19 Maturity Price : 23.32 Evaluated at bid price : 23.60 Bid-YTW : 2.02 % |
| CM.PR.M | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 28.17 Bid-YTW : 3.23 % |
| W.PR.J | Perpetual-Discount | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-08-19 Maturity Price : 23.88 Evaluated at bid price : 24.13 Bid-YTW : 5.87 % |
| SLF.PR.F | FixedReset | 4.00 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 27.85 Bid-YTW : 3.15 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.O | Perpetual-Discount | 57,244 | Desjardins crossed two blocks of 20,000 each, both at 22.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-08-19 Maturity Price : 22.16 Evaluated at bid price : 22.31 Bid-YTW : 5.48 % |
| RY.PR.L | FixedReset | 38,400 | Anonymous crossed 37,800 at 27.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.30 Bid-YTW : 2.83 % |
| BNS.PR.N | Perpetual-Discount | 37,490 | Nesbitt crossed 30,000 at 23.97. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-08-19 Maturity Price : 23.65 Evaluated at bid price : 23.85 Bid-YTW : 5.55 % |
| BMO.PR.L | Perpetual-Premium | 33,514 | Desjardins crossed 30,000 at 26.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-24 Maturity Price : 25.00 Evaluated at bid price : 25.76 Bid-YTW : 5.29 % |
| TRP.PR.C | FixedReset | 32,155 | Nesbitt crossed 18,000 at 25.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-08-19 Maturity Price : 23.27 Evaluated at bid price : 25.45 Bid-YTW : 3.71 % |
| PWF.PR.L | Perpetual-Discount | 31,803 | Desjardins crossed 30,000 at 21.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-08-19 Maturity Price : 21.46 Evaluated at bid price : 21.77 Bid-YTW : 5.90 % |
| There were 36 other index-included issues trading in excess of 10,000 shares. | |||