Category: Market Action

There’s an amusing story today about bonus policies at Credit Suisse:

Credit Suisse Group AG’s investment bank has found a new way to reduce the risk of losses from about $5 billion of its most illiquid loans and bonds: using them to pay employees’ year-end bonuses.

The bank will use leveraged loans and commercial mortgage- backed debt, some of the securities blamed for generating the worst financial crisis since the Great Depression, to fund executive compensation packages, people familiar with the matter said. The new policy applies only to managing directors and directors, the two most senior ranks at the Zurich-based company, according to a memo sent to employees today.
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Credit Suisse is the first to use the debt to pay employees. Outside investors may also be permitted to invest in the facility, according to the people familiar with the matter, who declined to be identified because the plan hasn’t been made public. The bank will boost the potential for returns by providing leverage to the facility, and will be paid back first, according to the people.

If I am correct – with the support of the BoE – and bank assets have, in general, been written down to far below fundamental value, this is a clever way for the executives to (a) earn brownie points, and (b) give themselves enormous bonuses.

In sad news for bond investors, General Electric’s debt ratings are at risk. This is particularly grievous because GE has long had a well-deserved AAA rating but has yielded like a single-A … and any time you can pick up free credit quality is a Good Time.

Allan Greenspan opines in an Economist op-ed Banks need more capital:

As recently as the summer of 2006, with average book capital at 10%, a federal agency noted that “more than 99% of all insured institutions met or exceeded the requirements of the highest regulatory capital standards.”

Today, fearful investors clearly require a far larger capital cushion to lend, unsecured, to any financial intermediary. When bank book capital finally adjusts to current market imperatives, it may well reach its highest levels in 75 years, at least temporarily (see chart). It is not a stretch to infer that these heightened levels will be the basis of a new regulatory system.

Note that the chart shows “Book equity as % of book assets”. I believe that this is equal to the FDIC’s ratio “Equity capital to assets”. The FDIC defines this as “Total equity capital as a percent of total assets”, whereas the more commonly referenced “Leverage Ratio” is

Tier 1 (core) capital as a percent of average total assets minus ineligible intangibles.

Tier 1 (core) capital includes: common equity plus noncumulative perpetual preferred stock plus minority interests in consolidated subsidiaries less goodwill and other ineligible intangible assets. The amount of eligible intangibles (including mortgage servicing rights) included in core capital is limited in accordance with supervisory capital regulations. Average total assets used in this computation are an average of daily or weekly figures for the quarter.

The equity capital ratio for all FDIC insured institutions was reported in their 3Q08 Report to be 9.63%, compared to 10.45% (3Q07); 10.25% (3Q05); and 9.13% (3Q03). Note that Mr. Greenspan’s chart forecasts a massive increase in this ratio without this forecast being justified in the text.

Moody’s cut Citigroup from Aa3 to A2:

Moody’s Investors Service lowered the debt ratings of Citigroup Inc. (senior debt to A2 from Aa3) and the ratings on its lead bank, Citibank N.A. (long-term bank deposits to Aa3 from Aa1). The financial strength rating on the bank was lowered three notches to C from B, which translates to a change in the baseline credit assessment to A3 from Aa3. The outlook on the bank financial strength rating is negative and the rating outlooks on the deposit and debt ratings at both the bank and the holding company are stable.
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Moody’s said that its downgrade of Citigroup’s debt and deposit ratings was moderated by Moody’s opinion that Citigroup enjoys a very high probability of systemic support from the U.S. government. The benefits of this systemic support partially offset the deterioration in Citigroup’s stand-alone credit quality, which is driven by worsening asset quality and the likelihood that Citigroup could see further decline in its tangible capital base in the next two years.

This had immediate contagion effects, with HSBC getting hammered in Hong Kong. Look out below!

Holy smokes, what a day. Very heavy volume and the market tanked. An Assiduous Reader wrote in:

Another dismal day for PerpetualDiscounts on fairly big volume. Could this downward momentum be caused by margin calls…forced selling…or panicking investors and their advisors?

I’m ready to pull the sell trigger myself….Clients will be in disbelief with Dec 31st statements.

Well … I still like the tax-loss-selling hypothesis. It fits with the season, volume and direction. Margin calls and forced selling, not so much, because I don’t think a lot of prefs are bought on margin, or are held in margin accounts that are levered to the max (I could be wrong. It would be interesting to see some figures). Panicking clients? I would think that any client with the guts to hang in this long will consider recent declines to be a mere bagatelle, but panicking advisors sounds more possible. There will be a fair number of clients who haven’t received a statement since September and things …. are a little different now.

There were one hundred and twelve other index-included $25-pv-equivalent issues trading over 10,000 shares today.

Ha-ha! Gone fishin’!

Toronto Stock Exchange and TSX Venture Exchange will not resume trading today due to continuing technical issues with its data feeds.

The market will be put into a Pre-Open state from 3:00PM to 5:00PM to allow participants the option of cancelling, adding or changing orders.

The company intends to open the exchanges tomorrow morning.

Additional information on the nature of the problem will be provided when the investigation is complete.

and:

TMX Group technology team has isolated the issue that resulted in the halt of trading on Toronto Stock Exchange and TSX Venture Exchange. Remedial action was taken to restore all data feeds at 3:41PM, and the company confirms that the Exchanges will open on Thursday, December 18, 2008 as per normal.

Initial findings indicate a network firmware issue resulted in complications with data sequencing, which impacted the delivery of the Level 1 data feeds.

Next step, quantitative easing! The FOMC announced:

The Federal Open Market Committee decided today to establish a target range for the federal funds rate of 0 to 1/4 percent.
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As previously announced, over the next few quarters the Federal Reserve will purchase large quantities of agency debt and mortgage-backed securities to provide support to the mortgage and housing markets, and it stands ready to expand its purchases of agency debt and mortgage-backed securities as conditions warrant. The Committee is also evaluating the potential benefits of purchasing longer-term Treasury securities. Early next year, the Federal Reserve will also implement the Term Asset-Backed Securities Loan Facility to facilitate the extension of credit to households and small businesses.
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In a related action, the Board of Governors unanimously approved a 75-basis-point decrease in the discount rate to 1/2 percent. In taking this action, the Board approved the requests submitted by the Boards of Directors of the Federal Reserve Banks of New York, Cleveland, Richmond, Atlanta, Minneapolis, and San Francisco. The Board also established interest rates on required and excess reserve balances of 1/4 percent.

The Fed also announced:

The federal banking and thrift regulatory agencies today approved a final rule that would permit a banking organization to reduce the amount of goodwill it must deduct from tier 1 capital by any associated deferred tax liability.
Under the final rule, the regulatory capital deduction for goodwill would be equal to the maximum capital reduction that could occur as a result of a complete write-off of the goodwill under generally accepted accounting principles (GAAP). The final rule is in substance the same as the proposal issued in September. The final rule will be effective 30 days after publication in the Federal Register. However, banking organizations may adopt its provisions for purposes of regulatory capital reporting for the period ending December 31, 2008.

The final rule was approved by the Federal Reserve Board, Federal Deposit Insurance Corporation, Office of the Comptroller of the Currency, and Office of Thrift Supervision. The draft Federal Register notice is attached.

The uninformed reporting of this rule change was discussed by PrefBlog when the rule was proposed.

In a sign of the times, redemptions on a real-estate seg fund have been suspended:

The Great-West Life Assurance Company today announced a temporary moratorium on redemptions from its Canadian Real Estate Investment Fund No. 1 effective close of business (4:00 p.m. EST) December 15, 2008.

The Great-West Life Real Estate Fund is a Segregated Fund which holds a diversified portfolio of high-quality income producing properties. Given the current economic environment, redemption requests have recently increased. Real estate assets are generally less liquid than other major asset classes and cannot be rapidly liquidated. Therefore, in accordance with the terms of
the Information Folder governing the Fund, it has been determined that a temporary moratorium on redemptions is necessary to ensure equitable treatment for all investors in the Fund.

I have a good illustration of why preferreds in general and BAM in particular are down so much this year. It’s in a post on Financial Webring Forum:

I am continuously amazed at the prices for BAM retractables. Forgetting the dividend for a moment, the O series are priced to return a 52% capital gain by August 2013 (assuming a $25 payout). That’s 9.4% annualized, and that’s just the capital gain. The YTW which James calculated yesterday is 16.65% based on a price of $16.

That’s ifBrookfield Assets Management can pay up in 2013, right ? And if Brookfield is still in business in 2013.

I hate to sound like the voice of doom, but these days anything can happen, and often does.

Voice of doom? Voice of ignorance is more like it. Look at that post: ZERO discussion, ZERO analysis, ZERO accountability. The quoted poster has a bright future ahead of him in the financial services industry, because he’s got the sales pitch down pat.

If somebody does an analysis of BAM and doesn’t like it, that’s fine. Maybe they’ve got too much exposure to real estate. Maybe they’ve got too much debt. Maybe … you name it, we can think about it and discuss it.

On the other hand, maybe somebody does an analysis of BAM, takes a view on what yield it should have, compares it to the yields available elsewhere with similar risk profile, and says Holy Smokes! Buy! Maybe the exposure to real-estate isn’t the totality of the company. Maybe the real-estate assets can be jettisoned (BAM has, effectively, a put on BPO. BPO has a put on the individual properties) with damage done, to be sure, but not life-threatening. Maybe since all that debt is secured by individual properties with no recourse and with well staggered maturities, it’s not as scary as it looks at first. Maybe … you name it, we can discuss it.

And if you like it, you can plunk a little money down (not too much because you might be wrong) and if you’ve done your homework properly you’ll make a good return – not necessarily on every investment, but on the totality of your portfolio.

Because, contrary to the ravings of efficient market zealots, the market is not efficient. The market is not comprised solely of highly intelligent people who work hard. The market is comprised of guys like the Mr. Voice of Doom quoted above – and poor performance does not weed them out. They just come back with a new line of patter and a new client list. Markets are moved by salesmen, not analysts.

Another down day on very heavy volume – but PerpetualDiscounts are still a little ahead on the month-to-date. SplitShares seem to be hesitantly recovering, and BNA activity appears to be dominated by retractors.

There were ninety-five index-included $25-pv-equivalent issues trading over 10,000 shares today

A House of Congress committee head announced today that he wants the heart of the financial world to move to Dubai:

Credit-default swap clearing would become mandatory under legislation slated to be introduced next month by House of Representatives Agriculture Committee Chairman Collin Peterson.

Peterson of Minnesota, the Democratic chairman of the committee, said in an interview today he had Republican support to proceed with a comprehensive bill. The committee oversees the Commodity Futures Trading Commission and the U.S. futures exchanges it regulates.
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“It’s hard for me to understand what useful purpose these things are serving,” Peterson said, referring to CDS contracts. “I’m not out to get Wall Street, but what’s gone on there is jeopardizing the entire global economy.”

Apparently the current moves to reduce systemic risk aren’t good enough, which is one in the eye for the Treasury Secretary designate.

it has been reported that Royal Bank placed client money with Madoff:

Royal Bank of Canada (TSX: RY.TO) says some of its clients have less than $50 million in exposure to alleged US$50-billion Ponzi scheme run by Wall Street investment manager Bernard Madoff.

In a statement issued Monday, the bank said it doesn’t have any direct exposure to the investments, which has left the U.S. financial industry reeling.

I will admit I look forward with some fascination to the various determinations of due-diligence with respect to the Madoff funds.

The market was down again today on continued high volume.

There were seventy-eight index-included $25-pv-equivalent issues trading over 10,000 shares today

Volume continued heavy today, but should start slowing next week. Still, the deadline for tax-loss selling is Wednesday Dec 24, so we shall see!

PerpetualDiscounts now yield an average of 6.99% 7.99% pre-tax, equivalent to 9.79% 11.19% pre-tax interest at the standard 1.4x conversion factor. Long corporates are at 7.60%, so the Pre-Tax Interest-Equivalent spread is now 219bp 359bp.

Many thanks to Assiduous Reader Chris, who points out in the comments below that I am an idiot.

There were seventy-four index-included $25-pv-equivalent issues trading over 10,000 shares today

JPMorgan, or one of their clients, wants to make a big bet on Collatteralized Loan Obligations:

JPMorgan Chase & Co., the largest U.S. bank, is seeking as much as $780 million of AAA rated portions of collateralized loan obligations, according to a list of securities the company circulated to traders and investors.
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New York-based JPMorgan, which has received capital from the government and has obtained loans from the Federal Reserve, told traders it may be willing to accept yields of about 4 percentage points more than the three-month London interbank offered rate for dollars, three of the people said. That’s less than the spread of 5 percentage points that the securities typically trade at, according to JPMorgan’s research department.
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The purchase may aid the $475 billion CLO market, where prices began falling after the July 2007 collapse of two Bear Stearns Cos. hedge funds that owned collateralized debt obligations.

CLOs, which are a type of CDO, repackage loans used to fund leveraged buyouts and other non-investment-grade, or junk, rated companies into new securities with varying ratings.

The world has gone mad and it has been a week of what Portfolio.com calls a trend of “Rich white men throwing it all away for nothing.”.

And they didn’t even mention the Sextant thing! The OSC has alleged:

15. At November 28, 2008, approximately 5% of the assets of the Sextant Fund were invested in a portfolio of cash, stocks and futures contracts, including stocks of private companies. The portfolio is held in accounts with Newedge Canada Inc. (“Newedge”), the custodian and prime broker for the Sextant Fund.

16. The balance of the assets in the Sextant Fund are invested in two private Luxembourg companies: Iceland Glacier Products S.a.r.l. (“IGP”) and Iceland Global Water 2 Partners SCA (“IGW”).

17. At November 28, 2008, 92% of the assets of the Sextant Fund were invested in IGP and 2.5% of the assets were invested in IGW. These investments are not recorded or valued on Newedge’s books and records.

18. IGP and IGW both purportedly own rights to glaciers in Iceland and intend to use those rights for the purpose of developing and selling bottled water. Neither IGP or IGW have earned any revenue and there are no indications that they will do so in the immediate future. Neither is currently operating.

19. Despite having earned no revenue and having no immediate prospect of doing so, IGP’s shares have purportedly increased in value from an initial average cost of €0.226 to €2.45, or approximately 984% since initial investment by the Sextant Fund. This has contributed to the increase in value of the Sextant Fund by 730.7% over the less than three years between its inception in February 2006 and November 28, 2008.

20. There are no third party valuation reports that support the monthly, material upward revisions in value of IGP, and therefore there is inadequate support for the claimed rate of return of the Sextant Fund.

21. Significant performance fees, in excess of $3 million dollars have flowed out of the Sextant Fund based entirely on its purported rate of return. Fees for the month of November 2008 alone were assessed at over $1.5 million.

22. IGP and IGW are owned almost entirely by the Sextant Fund, the Sextant Offshore Funds and Spork.

The Globe and Mail notes:

Mr. Spork also runs two offshore funds totalling $100-million (U.S.) – Sextant Strategic Hybrid2 Hedge Resource Fund Offshore Ltd. and Sextant Strategic Global Water Fund Offshore Ltd. – which do not have Canadian investors.

After his fund shot up 74 per cent in July alone, Mr. Spork was reluctant then to reveal how his commodities-focused strategy has been racking up stellar returns.

“We make our returns or business grow by having an edge that is not transparent,” Mr. Spork told The Globe and Mail at that time.

Just what the investors were receiving by way of disclosure is not clear. And I am not an expert in the exciting new field of glacier investing. But it seems to me that before I wrote a large cheque – especially to buy large ice-cubes – I would want to know a little more about the non-transparent edge.

Then today after the markets closed the SEC released allegations against Bernard Madoff:

alleged that Madoff yesterday informed two senior employees that his investment advisory business was a fraud. Madoff told these employees that he was “finished,” that he had “absolutely nothing,” that “it’s all just one big lie,” and that it was “basically, a giant Ponzi scheme.” The senior employees understood him to be saying that he had for years been paying returns to certain investors out of the principal received from other, different investors. Madoff admitted in this conversation that the firm was insolvent and had been for years, and that he estimated the losses from this fraud were at least $50 billion.
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According to regulatory filings, the Madoff firm had more than $17 billion in assets under management as of the beginning of 2008. It appears that virtually all assets of the advisory business are missing.

It’s not clear to me how the two figures cited are reconciled, but with numbers that big it doesn’t matter much does it? One wonders what his client list looked like and what the collateral damage tomorrow is going to be.

It’s not going to be the only headline, either! Carmakers won’t get bailed out:

Senate negotiations for a U.S. automaker bailout plan collapsed, in a blow to General Motors Corp. and Chrysler LLC, which may run out of cash early next year.

“It’s over with,” Majority Leader Harry Reid said on the Senate floor in Washington. “I dread looking at Wall Street tomorrow. It’s not going to be a pleasant sight.”
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Connecticut Democrat Christopher Dodd, who was involved in the negotiations, said the final unresolved issue was a Republican demand that unionized autoworkers accept a reduction in wages next year, rather than later, to match those of U.S. autoworkers who work for foreign-owned companies, such as Toyota Motor Corp.

“More than saddened, I’m worried this evening about what we’re doing with an iconic industry,” Dodd said. “In the midst of deeply troubling economic times we are going to add to that substantially.”

Accrued Interest has a post about negative yields on US T-Bills, asking:

So when I heard that there were T-Bill trades occurring above par, I was more stunned that Princess Leia aboard the Tantive IV. Who bought T-bills above par? Why would you enter into that trade with a certain loss when you can simply hold currency at no loss?

Currency? How currency? Put it in a bank, it’ll go bust. Put it under your mattress, you’ll get robbed. Put it into actual folding paper in a safe deposit box, you’ve got transaction costs out the wazoo, what with money laundering laws and safekeeping fees, not to mention a certain risk of your employees robbing you. How currency?

There are some good comments to that post. I’ll suggest that the commenter Oregon Guy has the right of it:

Say you have a $2,000,000 CD maturing. You can deposit the proceeds in a money market account with FDIC insurance, but the insurance won’t cover the $2,000,000 and you don’t want the bother of opening a plethora of accounts. Treasuries are bubble-priced, so you don’t want to go there. Corporates are shaky because defaults are high and you’re risk adverse. You can roll-over the CD, but that opens up the possibility of uninsured loss again.

I will suggest the additional mechanism of segmentation. There are a LOT of T-Bill funds out there, and a lot more private-manager mandates that will only allow T-Bills. They HAVE to buy bills – they don’t even have the currency option.

Volume continued heavy today, but the market was down this time.

There were seventy-eight index-included $25-pv-equivalent issues trading over 10,000 shares today

This is funny. Goldman is being criticized for advising shorting municipal credit (via credit default swaps):

It’s “disturbing” to advise investors to bet against the financial health of a state whose bonds Goldman helps sell, Assemblyman Gary S. Schaer, a Democrat who chairs the Financial Institutions and Insurance Committee, said last week in a letter to Chief Executive Officer Lloyd C. Blankfein.

“New Jersey needs to maximize its presence in the credit markets, not to see its presence undermined.” Schaer wrote.
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As part of a September presentation to institutional investors on “Best Long and Short Risk Strategies,” Goldman recommended buying credit-default swaps on “a basket of liquid State General Obligation credits with current and worsening fiscal outlooks,” including California, Florida, Nevada, Ohio, Wisconsin and Michigan.

The firm also recommended the derivatives on states with “significant unfunded pension” and other retiree obligations, including Illinois, Connecticut, Hawaii, New Jersey, Massachusetts and Nevada.

The practice of betting against such states is “distasteful,” said Frank Hoadley, Wisconsin’s director of capital finance in Madison.

Didn’t we do the whole “analyst independence” thing a few years ago? However, the original Newark Star-Ledger story, while attempting to sell newspapers, is better balanced than Bloomberg’s efforts.

I do apologize … but I am YET AGAIN neglecting to present the price-movement and volume-highlight tables. At some point, perhaps, I will have caught up on other committments – but not tonight.

With all this rate-cutting, here’s a little bit of history for you: Four-Week US T-Bills were auctioned off at 0% today. A big fat zero, to three decimal places.

Preferred share volume remained heavy today (well … heavy for the preferred market, I mean!) while prices eased off after yesterday’s gains.

There were seventy-four index-included $25-pv-equivalent issues trading over 10,000 shares today

American pension funds begged for relief from having to top up their accounts:

Pension funds at Pfizer Inc., International Business Machines Corp., United Parcel Service Inc. and dozens of other companies have joined the parade of businesses seeking relief from Congress amid this year’s economic meltdown.

Instead of money, they want legislation to suspend a federal law that would make them pump billions of dollars into retirement plans to offset stock-market losses as many struggle to find enough cash just to stay in business. They’re pressing Congress to consider the issue this week before this year’s session adjourns.

It’s another difficult question of mark-to-market vs. whatever-other accounting! Frankly, I think the entire defined-benefit paradigm is dead – or if not dead, should be.

In a rather chilling development, specific bank credit decisions are being politicized:

Illinois Governor Rod Blagojevich said today the state would suspend its business with Bank of America Corp. until the lender restores credit to the shuttered Republic Windows & Doors company in Chicago where workers are staging a sit-in.

Blagojevich commented at a news conference after meeting with employees who have stayed at the factory since Dec. 5, when it closed after the bank canceled its line of credit. Illinois does “hundreds of millions of dollars” in business with the bank, he said.

Three-month US T-Bills are now trading at less than a beep:

The Treasury sold $27 billion in three-month bills at the lowest rate since it starting auctioning the securities in 1929 amid record demand for the safety of U.S. debt during the worst financial crisis since the Great Depression.

The bills were sold at a high discount rate of 0.005 percent, the Treasury said today in Washington. At last week’s auction, the bills drew a rate of 0.05 percent. The government received bids for the bills totaling more than triple the amount sold.

There is a report of another chapter in the BCE saga:

BCE Inc. told would-be acquirers that it received an auditor’s opinion showing the company would be solvent after the C$52 billion purchase by Ontario Teachers’ Pension Plan and a group of U.S. private-equity firms, according to two people briefed on the matter.

The opinion, delivered by PricewaterhouseCoopers LLP, is contrary to an analysis by rival accounting firm KPMG LLC.

Hmm … I wonder if the same deal can go the Supreme Court twice!

Sorry, folks! I’m just plain out of time, so there is no volume or price-change table today. I will point out though, that the SplitShare sector was on fire today, with strength pretty much across the board.

BCE gyrations continue:

Citigroup Inc. and Deutsche Bank AG, lead lenders on the C$52 billion ($42 billion) acquisition of BCE Inc., have indicated they are unwilling to fund an alternative proposal that would keep the phone company publicly traded, according to two people familiar with the matter.

Private-equity firms had proposed investing C$8 billion to C$10 billion in preferred securities in lieu of the original leveraged buyout. The alternative transaction hinged on financing from the banks backing the LBO, which are opposed, according to the people, who asked not to be named because the discussions are private.

Golly, there’s a surprise, eh? It may be that the entire proposal was simply lawsuit-avoidance grandstanding … but who knows? BCE denies the rumours:

issuing a statement in response to certain rumours reported in the media regarding a possible minority investment in the company by some or all of theinvestor group led by Teachers’ Private Capital, the private investment arm ofthe Ontario Teachers’ Pension Plan, and affiliates of Providence EquityPartners Inc., Madison Dearborn Partners, LLC, and Merrill Lynch GlobalPrivate Equity.

While it is BCE’s policy not to comment on rumours or speculation, in theinterest of its shareholders, BCE is today confirming that no such offer has been made to the company.

The company continues to work with KPMG and the Purchaser to seek tosatisfy all closing conditions under the June 29, 2007 Definitive Agreement,as amended.

The press release has “legal advice” written all over it. It is not clear to me just what the precise, legally justifiable, meaning of “no such offer has been made” really means. To my untrained eye, it could mean ‘They haven’t actually signed anything yet’.

There is continued muttering that Bernanke’s Big Mistake was Lehman:

The more than half a million U.S. jobs lost in November were the latest in a drumbeat of dire economic data that may have been triggered by the Federal Reserve’s decision in mid-September to allow Lehman Brothers Holdings Inc. to fail, economists and bankers said.

“It’s the collapse heard around the world,” said Ellen Zentner, a senior economist at Bank of Tokyo-Mitsubishi UFJ Ltd. in New York. “It’s probably one of the worst decisions the Fed ever made — to save everybody else but Lehman.”

Bernanke has said he won’t do it again. Assiduous Readers will remember my earlier remark:

The only mistake so far, I think, is allowing Lehman to fail … but neither I, nor any responsible commentator I know of, dreamed at the time that the bankruptcy would have such enormous systemic effects.

Across the Curve passes on some HSBC commentary on the jobs number. HSBC expects FOMC to cut to zero December 16.

Accrued Interest heaps scorn on the NY Port Authority for setting themselves up for a failed bond issue.

PerpetualDiscounts gained slightly as volume continued high. The weighted-average pre-tax bid-YTW of the PerpetualDiscount Index is now 8.01%, equivalent to 11.21% at the standard equivalency factor of 1.4x. This may be compared to long Corporates at 7.50%, implying a still-astonishing Pre-Tax Interest-Equivalent spread of 371bp.

There were sixty-eight index-included $25-pv-equivalent issues trading over 10,000 shares today