September 3, 2008

The Bank of Canada held the overnight rate steady at 3.00%:

Global inflationary pressures remain elevated, with potential implications for import prices and the dynamics of inflation in Canada. While total CPI inflation has moved above 3 per cent, core inflation has stayed at 1.5 per cent as expected. The temporary factors affecting both of these measures should dissipate over the coming quarters, and the Bank continues to expect that total and core inflation will converge on 2 per cent in the second half of 2009. However, the recent decline in both spot and futures prices for energy means that the spike in total CPI inflation expected between now and the first quarter of 2009 will be lower than projected in July.

Although an argument can be made for a rate cut, it is not clear and compelling. Most of the world’s central banks are tightening or are thinking about it – just today, there are updates on the Fed, the BoE and Indonesia); I don’t think the BoC will swim against the tide without a clear and compelling reason.

The collapse of Ospraie’s flagship hedge fund was mentioned yesterday; there are some rumours that natural gas brought it down while others finger copper.

The Clear Channel LBO debt might be clearing:

Banks led by Deutsche Bank AG are seeking to sell $980 million of Clear Channel Communications Inc. bonds in the biggest sale of leveraged buyout debt since March.

The 10.75 percent, eight-year notes are scheduled to price early next week, said a person familiar with the transaction, who declined to be identified because terms aren’t set. The debt helped to finance the radio-station operator’s buyout by Bain Capital Partners LLC and Thomas H. Lee Partners LP.

… and, perhaps not entirely coincidentally, Blackrock is setting up another vulture fund:

BlackRock Inc., the biggest publicly traded U.S. asset manager, is seeking as much as $3 billion for a fund to buy loans that banks are selling for losses, said two investors with knowledge of the matter.

BlackRock Credit Investors II will invest in leveraged- buyout loans that banks are trying to unload after the collapse of the subprime-mortgage market drove investors away from all but the safest securities, the investors said. Last year, New York- based BlackRock raised $3 billion for its first such fund.

As all Assiduous Readers know, one of my macro-economic fears is that regulators will make all but the most plain-vanilla securities too risky to sell to the usual recipients of their back-dated largesse. This may be happening with municipalities and interest rate swaps:

JPMorgan Chase & Co., under investigation in a federal antitrust probe of derivative sales in the $2.6 trillion municipal bond market, will stop marketing products such as interest-rate swaps to municipalities, a spokeswoman said.

The bank will still arrange derivatives for non-profit organizations and sell commodity derivatives to municipalities, said JPMorgan spokeswoman Kristin Lemkau. Derivatives are contracts whose value is derived from tradeable securities, or linked to future changes in lending costs.

Geez, when the rules change on a backdated basis, people don’t want to play anymore, eh?

Another solid up-day for the PerpetualDiscounts.

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 4.59% 4.36% 63,349 16.40 6 +0.0068% 1,113.9
Floater 4.31% 4.37% 51,471 16.59 2 -0.3094% 908.1
Op. Retract 4.93% 4.29% 121,262 2.87 14 +0.0934% 1,055.4
Split-Share 5.33% 5.81% 53,211 4.35 14 +0.0587% 1,045.6
Interest Bearing 6.23% 6.60% 48,536 5.25 2 +0.5143% 1,132.1
Perpetual-Premium 6.16% 5.46% 60,684 2.23 1 0.0000% 1,006.9
Perpetual-Discount 6.03% 6.09% 189,890 13.76 70 +0.1310% 883.6
Major Price Changes
Issue Index Change Notes
BAM.PR.K Floater -1.5971%  
MFC.PR.B PerpetualDiscount -1.4044% Now with a pre-tax bid-YTW of 5.73% based on a bid of 20.36 and a limitMaturity.
CIU.PR.A PerpetualDiscount -1.0363% Now with a pre-tax bid-YTW of 6.07% based on a bid of 19.10 and a limitMaturity.
MFC.PR.C PerpetualDiscount +1.0194% Now with a pre-tax bid-YTW of 5.70% based on a bid of 19.82 and a limitMaturity.
BSD.PR.A InterestBearing +1.0526% Asset coverage of 1.6+:1 as of August 29 according to Brookfield Funds. Now with a pre-tax bid-YTW of 6.78% based on a bid of 9.60 and a hardMaturity 2015-3-31 at 10.00.
BNS.PR.L PerpetualDiscount +1.1352% Now with a pre-tax bid-YTW of 5.82% based on a bid of 19.60 and a limitMaturity.
SBC.PR.A SplitShare +1.3972% Asset coverage of 2.0+:1 as of August 28, according to Brompton Group. Now with a pre-tax bid-YTW of 5.04% based on a bid of 10.16 and a hardMaturity 2012-11-30 at 10.00.
BMO.PR.K PerpetualDiscount +1.5406% Now with a pre-tax bid-YTW of 6.09% based on a bid of 21.75 and a limitMaturity.
PWF.PR.H PerpetualDiscount +2.5738% Now with a pre-tax bid-YTW of 5.98% based on a bid of 24.31 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
IGM.PR.A OpRet 51,994 CIBC crossed 45,000 at 26.50. Now with a pre-tax bid-YTW of 3.89% based on a bid of 26.28 and a call 2009-7-30 at 26.00.
CM.PR.P PerpetualDiscount 45,950 CIBC crossed 33,700 at 21.25. Now with a pre-tax bid-YTW of 6.59% based on a bid of 21.18 and a limitMaturity.
BMO.PR.L PerpetualDiscount 36,635 CIBC crossed 35,000 at 24.06. Now with a pre-tax bid-YTW of 6.07% based on a bid of 24.06 and a limitMaturity.
RY.PR.A PerpetualDiscount 28,700 TD crossed 10,000 at 18.60. Now with a pre-tax bid-YTW of 6.03% based on a bid of 18.62 and a limitMaturity.
TD.PR.O PerpetualDiscount 27,455 Now with a pre-tax bid-YTW of 5.80% based on a bid of 21.18 and a limitMaturity.

There were twenty other index-included $25-pv-equivalent issues trading over 10,000 shares today.

Leave a Reply

You must be logged in to post a comment.