Another normal day! At this rate, I’m going to have to make notes when preparing remarks about ‘What happened in August’!
The Fed made it clear that it will accept ABCP at the discount window. This will aid in delevering the financial system since it makes it easier for the banks to buy, or to lend against, the ABCP that has been issued in an attempt to avoid the banks. The latter process is referred to as disintermediation; I’m not sure what to call the process of reversal.
In related news, two Canadian sub-prime lenders have tightened their standards, citing inability to fund the loans at a decent price.
There was good economic news in the US (especially durable goods orders) … but that was for July! Considerable uncertainty remains over how the recent events will affect the real economy.
Brad Setser speculates, based on foreign official reserves held in custody at the Fed, that private investment in emerging economies is being reduced – funds reducing risk, funds meeting margin calls.
On the other hand … US equities capped a fine week with a good gain and Canadian equities did even better. So who knows? Markets will do what markets want to do when they want to do it.
But in signs that many, anyway, are calming down after the panic the US bond curve flattened and
Benchmark 10-year notes rose as traders said corporate bond sales created demand for long-term products sold earlier as hedges.
So in general, it would appear that term is being extended (even if merely via intermediaries), which is a Good Thing. Canadas flattened a lot with the 2-10 spread moving to 12.1bp from 19.1bp.
A quiet, directionless day in pref land.
| 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 | 4.79% | 4.84% | 22,997 | 15.85 | 1 | -0.5317% | 1,040.3 |
| Fixed-Floater | 4.99% | 4.83% | 113,133 | 15.82 | 8 | +0.1763% | 1,020.5 |
| Floater | 4.93% | -0.05% | 73,449 | 7.94 | 4 | +0.4314% | 1,036.8 |
| Op. Retract | 4.84% | 3.98% | 80,515 | 3.11 | 16 | -0.0284% | 1,022.1 |
| Split-Share | 5.09% | 4.95% | 97,214 | 4.20 | 15 | +0.0356% | 1,040.3 |
| Interest Bearing | 6.23% | 6.70% | 66,037 | 4.58 | 3 | -0.3730% | 1,035.8 |
| Perpetual-Premium | 5.53% | 5.18% | 94,698 | 5.78 | 24 | -0.0209% | 1,023.5 |
| Perpetual-Discount | 5.12% | 5.16% | 274,490 | 15.23 | 39 | +0.0259% | 969.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| NA.PR.L | PerpetualDiscount | -1.3389% | Now with a pre-tax bid-YTW of 5.17% based on a bid of 23.58 and a limitMaturity. |
| IAG.PR.A | PerpetualDiscount | -1.3043% | Now with a pre-tax bid-YTW of 5.14% based on a bid of 22.70 and a limitMaturity. |
| BAM.PR.K | Floater | +1.0526% | |
| PWF.PR.K | PerpetualDiscount | +1.8400% | Now with a pre-tax bid-YTW of 5.24% based on a bid of 23.80 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BMO.PR.J | PerpetualDiscount | 36,000 | Now with a pre-tax bid-YTW of 5.04% based on a bid of 22.42 and a limitMaturity. |
| GWO.PR.E | OpRet | 27,045 | Now with a pre-tax bid-YTW of 4.12% based on a bid of 25.70 and a call 2011-4-30 at 25.00. |
| CM.PR.H | PerpetualDiscount | 12,930 | Now with a pre-tax bid-YTW of 5.10% based on a bid of 23.73 and a limitMaturity. |
| RY.PR.C | PerpetualDiscount | 12,800 | Now with a pre-tax bid-YTW of 5.02% based on a bid of 23.02 and a limitMaturity. |
| SLF.PR.C | PerpetualDiscount | 12,240 | Now with a pre-tax bid-YTW of 5.01% based on a bid of 22.20 and a limitMaturity. |
There was ONE other $25-equivalent index-included issues trading over 10,000 shares today.