October 4, 2007

There was a report today of another sub-prime winner:

Harbinger Capital Partners, the hedge fund firm run by former Barclays Capital trader Philip Falcone, generated returns of more than 65 percent this year, helped by bets against subprime-mortgage bonds and gains on commodities.Harbinger’s $2.5 billion Special Situations fund increased 9.9 percent last month and more than 100 percent in 2007, said two of the firm’s investors. The $11 billion Harbinger Capital Partners fund rose 5.4 percent last month and 65 percent this year.

Lucky or smart? Does it matter?

The Fed released Commercial Paper Outstandings today; it would appear the situation is normalizing rapidly. ABCP outstanding was down about $6-billion on the week, a nice chunk of change but relatively small in the context of the $906-billion total outstanding. Quality spreads, while still high compared to the last six years, are in decline.

The following posts were either written or updated today:

… which should go a long way towards explaining the brevity of today’s round-up!

There are some very thoughtful essays regarding the Northern Rock bail-out in the WSG Economics Blog and the Economist. There’s another link to an Economist article about the funding gap in British banking … there is an increased reliance on commercial paper, as opposed to deposits, to fund bank loans:


Meanwhile, the preferred share market showed a little stability today. There were some rather violent individual moves, but most of these were reversals of previous silliness.

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 4.67% 4.61% 835,153 16.04 1 0.0000% 1,043.7
Fixed-Floater 4.89% 4.76% 102,176 15.82 7 +0.2812% 1,036.3
Floater 4.50% 2.84% 78,528 10.72 3 +0.0275% 1,044.2
Op. Retract 4.85% 4.04% 78,762 3.16 15 +0.0129% 1,028.5
Split-Share 5.13% 4.78% 86,372 4.06 15 +0.0997% 1,047.7
Interest Bearing 6.33% 6.40% 55,359 3.63 3 +0.1539% 1,045.3
Perpetual-Premium 5.62% 5.38% 96,670 8.30 17 +0.2682% 1,018.1
Perpetual-Discount 5.32% 5.35% 211,463 14.90 45 +0.0100% 945.7
Major Price Changes
Issue Index Change Notes
MFC.PR.C PerpetualDiscount -1.5730% Now with a pre-tax bid-YTW of 5.18% based on a bid of 21.90 and a limitMaturity.
BAM.PR.J OpRet -1.3514% Now with a pre-tax bid-YTW of 5.17% based on a bid of 25.55 and a softMaturity 2018-3-30 at 25.00.
RY.PR.C PerpetualDiscount -1.0816% Now with a pre-tax bid-YTW of 5.31% based on a bid of 21.95 and a limitMaturity.
ELF.PR.G PerpetualDiscount +1.1848% Now with a pre-tax bid-YTW of 5.59% based on a bid of 21.35 and a limitMaturity.
PWF.PR.I PerpetualPremium +1.4769% This has just gone ex-dividend for $0.375, so expect to see a drop in trading price on October 5. Now with a pre-tax bid-YTW of 5.21% based on a bid of 26.11 and a call 2012-5-30 at 25.00.
POW.PR.C PerpetualPremium (for now!) +2.0483% Now with a pre-tax bid-YTW of 5.84% based on a bid of 24.91 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
BCE.PR.Z FixFloat 153,168  
BAM.PR.N PerpetualDiscount 115,690 Now with a pre-tax bid-YTW of 6.03% based on a bid of 19.85 and a limitMaturity.
GWO.PR.E OpRet 105,732 Now with a pre-tax bid-YTW of 3.62% based on a bid of 25.91 and a call 2009-4-30 at 26.00.
RY.PR.K OpRet 84,864 Scotia crossed 25,000 at 25.15. Now with a pre-tax bid-YTW of 4.87% based on a bid of 25.10 and a softMaturity 2008-8-23 at 25.00.
GWO.PR.I PerpetualDiscount 62,980 Scotia crossed 50,000 at 21.60. Now with a pre-tax bid-YTW of 5.23% based on a bid of 21.60 and a limitMaturity.

There were eleven other index-included $25.00-equivalent issues trading over 10,000 shares today.

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