US ABCP outstanding declined another $9-billion (slightly more than 1% of the total) in the last week of October, in a continued indication that the unwinding process is proceeding in at least a somewhat orderly fashion. To me, the highlight for the four weeks ending October 31 is that domestic non-financial CP outstanding is down by $12.9-billion while domestic financial CP outstanding is up $52.6-billion; for the month, ABCP outstanding is down $31.5-billion. These numbers suggest – and only suggest, since I haven’t dug very deeply into these numbers! – that re-intermediation is happening big-time in the States, with non-Bank issuers being gradually shut-out or priced out of the market – which is in line with theory.
Naked Capitalism today continued its search for nefarious intent regarding the Super-Conduit. There is little new information. The thing I don’t like about such conspiracy theories is that they depend on people being stupid – or, at the very least, the ringleaders of the plot assuming that investors are stupid. I’m not about to defend the 100% accuracy and rational judgement of the market place (hah!) but I’m not going to assume stupidity until I’ve looked at everything else. And, as I’ve stated many times before, it makes sense if it’s a vulture fund.
Otherwise, you’re asking me to believe that these major banks are going to provide backstop liquidity for a grossly undercapitalized SIV. Or that two major banks are going to help bail out a competitor out of the kindness of their hearts. Or that three major banks have mutual funds in danger of breaking the buck and are willing to risk their existence to avoid it. I won’t say that any of these hypotheses is impossible … but I want something more than “Big Capital is Evil” before I take them seriously.
Preferreds had a very good day today, with volume continuing high and a solid move upwards in the perpetual sector. Turning point? Bear trap? Random noise? I’ll let you know in a month or so.
| 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 | 4.95% | 4.93% | 223,070 | 15.59 | 2 | -0.3248% | 1,045.8 |
| Fixed-Floater | 4.86% | 4.82% | 89,542 | 14.26 | 8 | +0.3463% | 1,044.7 |
| Floater | 4.50% | 3.85% | 63,553 | 10.72 | 3 | +0.4839% | 1,044.4 |
| Op. Retract | 4.88% | 3.72% | 75,688 | 3.34 | 16 | -0.0015% | 1,026.5 |
| Split-Share | 5.18% | 5.04% | 87,719 | 4.21 | 15 | -0.2068% | 1,041.1 |
| Interest Bearing | 6.24% | 6.27% | 61,176 | 3.59 | 4 | -0.1006% | 1,060.9 |
| Perpetual-Premium | 5.83% | 5.55% | 79,767 | 5.41 | 11 | +0.1247% | 1,008.1 |
| Perpetual-Discount | 5.56% | 5.59% | 339,972 | 14.51 | 55 | +0.3712% | 908.33 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BNA.PR.C | SplitShare | -1.7094% | Asset coverage of 3.8+:1 as of July 31, according to the company. Now with a pre-tax bid-YTW of 6.68% based on a bid of 20.70 and a hardMaturity 2019-1-10 at 25.00. |
| POW.PR.D | PerpetualDiscount | -1.4912% | Now with a pre-tax bid-YTW of 5.79% based on a bid of 21.80 and a limitMaturity. |
| FFN.PR.A | SplitShare | -1.2621% | Now with a pre-tax bid-YTW of 4.99% based on a bid of 10.17 and a hardMaturity 2014-12-1 at 10.00. |
| BAM.PR.K | Floater | +1.0638% | |
| W.PR.H | PerpetualDiscount | +1.0638% | Now with a pre-tax bid-YTW of 5.79% based on a bid of 23.75 and a limitMaturity. |
| CL.PR.B | PerpetualPremium | +1.1503% | Now with a pre-tax bid-YTW of 5.81% based on a bid of 25.50 and a call 2011-1-30 at 25.00. |
| NA.PR.L | PerpetualDiscount | +1.1905% | Now with a pre-tax bid-YTW of 5.73% based on a bid of 21.25 and a limitMaturity. |
| SLF.PR.B | PerpetualDiscount | +1.3423% | Now with a pre-tax bid-YTW of 5.36% based on a bid of 22.65 and a limitMaturity. |
| PWF.PR.L | PerpetualDiscount | +1.3453% | Now with a pre-tax bid-YTW of 5.67% based on a bid of 22.60 and a limitMaturity. |
| SLF.PR.C | PerpetualDiscount | +1.3645% | Now with a pre-tax bid-YTW of 5.42% based on a bid of 20.80 and a limitMaturity. |
| CM.PR.I | PerpetualDiscount | +1.4184% | Now with a pre-tax bid-YTW of 5.52% based on a bid of 21.45 and a limitMaturity. |
| BNS.PR.K | PerpetualDiscount | +1.4235% | Now with a pre-tax bid-YTW of 5.29% based on a bid of 22.80 and a limitMaturity. |
| ELF.PR.G | PerpetualDiscount | +1.5736% | Now with a pre-tax bid-YTW of 6.00% based on a bid of 20.01 and a limitMaturity. |
| MFC.PR.C | PerpetualDiscount | +1.5992% | Now with a pre-tax bid-YTW of 5.26% based on a bid of 21.60 and a limitMaturity. |
| ENB.PR.A | PerpetualDiscount | +1.6010% | Now with a pre-tax bid-YTW of 5.65% based on a bid of 24.75 and a limitMaturity. |
| SLF.PR.E | PerpetualDiscount | +1.7370% | Now with a pre-tax bid-YTW of 5.56% based on a bid of 20.50 and a limitMaturity. |
| BCE.PR.G | FixFloat | +1.8174% | |
| GWO.PR.H | PerpetualDiscount | +1.8563% | Now with a pre-tax bid-YTW of 5.74% based on a bid of 21.40 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BNS.PR.K | PerpetualDiscount | 286,976 | Now with a pre-tax bid-YTW of 5.29% based on a bid of 22.80 and a limitMaturity. |
| GWO.PR.I | PerpetualDiscount | 220,770 | Now with a pre-tax bid-YTW of 5.68% based on a bid of 20.06 and a limitMaturity. |
| BNS.PR.L | PerpetualDiscount | 216,500 | Now with a pre-tax bid-YTW of 5.41% based on a bid of 20.95 and a limitMaturity. |
| CM.PR.I | PerpetualDiscount | 184,950 | Now with a pre-tax bid-YTW of 5.52% based on a bid of 21.45 and a limitMaturity. |
| TD.PR.P | PerpetualDiscount | 75,785 | New issue settled today. Now with a pre-tax bid-YTW of 5.36% based on a bid of 24.60 and a limitMaturity. |
There were twenty-nine other index-included $25.00-equivalent issues trading over 10,000 shares today.