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:
- Whoosh! Market Adjustment Affects Fair Value of New Issues
- Early Commentary on Canadian ABCP
- Fed Regulation of US ABCP Liquidity Guarantees
- Query from a Reader: Time to Buy?
… 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.