Menzie Chinn of Econbrowser passes along a very gloomy paper on the interaction of recessions, credit contractions, housing price declines and stock market declines:
In particular, we show that recessions associated with credit crunches and house price busts are deeper and last longer than other recessions are.
Citigroup has agreed to a plan to bail-out holders of Auction Rate Securities:
Cuomo accused Citigroup of fraud in an Aug. 1 letter, claiming the firm should have told clients the auction-rate market survived between August 2007 and February 2008 only because of bidding from the bank. The letter demanded Citigroup buy back investors’ holdings in the “immediate future,” reimburse their damages and pay a “significant” fine.
Total craziness. If the politicians and the bureaucrats really think they’re helping the capital markets in the long-term with this sort of nonsense, their successors will have another think coming. All that is accomplished by this sort of thing is the creation of an aversion for anything but the plainest of vanilla offerings from the big investment banks. If any retail-scum investor actually wishes to buy things like this in the future – too bad! It will be too risky for the bank to sell it to you.
| 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 | N/A | N/A | N/A | N/A | 0 | N/A | N/A |
| Fixed-Floater | 4.65% | 4.37% | 58,346 | 16.45 | 7 | +0.4065% | 1,097.8 |
| Floater | 4.12% | 4.15% | 53,960 | 17.07 | 3 | 0.0000% | 895.6 |
| Op. Retract | 4.98% | 4.18% | 121,836 | 2.77 | 17 | +0.1618% | 1,044.4 |
| Split-Share | 5.36% | 6.06% | 58,123 | 4.46 | 14 | -0.0842% | 1,033.7 |
| Interest Bearing | 6.25% | 6.70% | 49,427 | 5.27 | 2 | +0.4100% | 1,119.7 |
| Perpetual-Premium | 6.19% | 6.13% | 68,898 | 2.27 | 1 | +0.0396% | 988.1 |
| Perpetual-Discount | 6.20% | 6.25% | 205,166 | 13.56 | 67 | +0.3491% | 857.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| NA.PR.L | PerpetualDiscount | -1.1640% | Now with a pre-tax bid-YTW of 6.53% based on a bid of 18.68 and a limitMaturity. |
| FFN.PR.A | SplitShare | -1.1134% | Asset coverage of 1.8+:1 as of July 31 according to the company. Now with a pre-tax bid-YTW of 5.74% based on a bid of 9.77 and a hardMaturity 2014-12-1 at 10.00. |
| GWO.PR.H | PerpetualDiscount | +1.0000% | Now with a pre-tax bid-YTW of 6.09% based on a bid of 20.20 and a limitMaturity. |
| CM.PR.J | PerpetualDiscount | +1.0733% | Now with a pre-tax bid-YTW of 6.71% based on a bid of 16.95 and a limitMaturity. |
| BCE.PR.G | FixFloat | +1.1642% | |
| GWO.PR.I | PerpetualDiscount | +1.2221% | Now with a pre-tax bid-YTW of 5.99% based on a bid of 19.05 and a limitMaturity. |
| CM.PR.P | PerpetualDiscount | +1.2270% | Now with a pre-tax bid-YTW of 6.74% based on a bid of 20.62 and a limitMaturity. |
| BAM.PR.J | OpRet | +1.2976% | Now with a pre-tax bid-YTW of 6.41% based on a bid of 23.42 and a softMaturity 2018-3-30 at 25.00. Compare with BAM.PR.H (6.47% to 2012-3-30), BAM.PR.I (6.77% to 2013-12-30) and BAM.PR.O (7.30% to 2013-6-30). |
| CM.PR.G | PerpetualDiscount | +1.3020% | Now with a pre-tax bid-YTW of 6.74% based on a bid of 20.23 and a limitMaturity. |
| CM.PR.I | PerpetualDiscount | +1.3264% | Now with a pre-tax bid-YTW of 6.76% based on a bid of 17.57 and a limitMaturity. |
| BNS.PR.K | PerpetualDiscount | +2.3891% | Now with a pre-tax bid-YTW of 5.77% based on a bid of 21.00 and a limitMaturity. |
| POW.PR.D | PerpetualDiscount | +2.6620% | Now with a pre-tax bid-YTW of 6.19% based on a bid of 20.44 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.G | PerpetualDiscount | 54,635 | RBC crossed 50,000 at 18.31. Now with a pre-tax bid-YTW of 6.17% based on a bid of 18.30 and a limitMaturity. |
| MFC.PR.C | PerpetualDiscount | 51,700 | RBC crossed 50,000 at 19.40. Now with a pre-tax bid-YTW of 5.93% based on a bid of 19.28 and a limitMaturity. |
| RY.PR.W | PerpetualDiscount | 45,000 | National crossed 34,400 at 19.75. Now with a pre-tax bid-YTW of 6.23% based on a bid of 19.75 and a limitMaturity. |
| SLF.PR.A | PerpetualDiscount | 35,300 | Now with a pre-tax bid-YTW of 6.37% based on a bid of 18.94 and a limitMaturity. |
| BCE.PR.G | FixFloat | 35,300 | RBC crossed 30,000 at 24.33. |
There were eightteen other index-included $25-pv-equivalent issues trading over 10,000 shares today.