20110909 weekly

8/4/2019 20110909 weekly

http://slidepdf.com/reader/full/20110909-weekly 1/8

Markets for the Week ending

9-Sep-2011 1.00 0.09 1.50 0.50 - 0.10 4.75 2.25 21.50

2-Sep-2011 1.00 0.08 1.50 0.50 - 0.10 4.75 2.25 21.50

30-Jun-2011 1.00 0.07 1.25 0.50 0.25 0.10 4.75 2.25 21.50

31-Dec-2010 1.00 0.13 1.00 0.50 0.25 0.10 4.75 2.25 18.50

weekly change - 0.01 - - - - - - -

YTD change - (0.04) 0.50 - (0.25) - - - 3.00

1yr forward (OIS) (0.33) (0.04) (0.34) (0.13) 0.03 (1.24)

9-Sep-2011 0.79 1.29 2.11 2.81 2.11 0.01 0.17 0.80 1.92

2-Sep-2011 0.95 1.48 2.30 2.96 2.18 0.02 0.20 0.86 1.99

30-Jun-2011 1.59 2.33 3.11 3.55 2.52 0.02 0.46 1.76 3.16

31-Dec-2010 1.68 2.42 3.12 3.53 2.41 0.13 0.60 2.01 3.30

52-week closing high 1.94 2.90 3.50 3.87 2.70 0.17 0.85 2.40 3.74

52-week closing low 0.79 1.29 2.11 2.81 2.11 (0.01) 0.17 0.80 1.92 weekly change (0.17) (0.19) (0.19) (0.15) (0.07) (0.01) (0.03) (0.06) (0.07)

QTD change (0.81) (1.04) (1.00) (0.74) (0.41) (0.01) (0.29) (0.96) (1.24)

YTD change (0.90) (1.13) (1.01) (0.72) (0.31) (0.12) (0.43) (1.20) (1.38)

change from 52wk high (1.16) (1.61) (1.39) (1.06) (0.60) (0.16) (0.68) (1.60) (1.82)

change from 52wk low - - - - - 0.02 - - -

US 3mth

Monetary Policy

North American

Bond Yields GoC 2yr GoC 5yr GoC 10yr GoC 30yr RRB BEIR

September 9,

Royal Bank

of Australia

China

Rediscount

Rate Braz

Bank of

Canada

U.S. Federal

Reserve

European

Central Bank

Bank of

England

Swiss Bank

Rate

Bank of

Japan

US 2yr US 5yr

China

Reserve

Requirement

US 10yr

9-Sep-2011 0.90 0.93 1.03 1.03 0.88 0.90 1.03 1.01 2.71

2-Sep-2011 0.88 0.91 1.01 1.01 0.86 0.88 1.00 0.98 2.60 30-Jun-2011 0.73 0.81 0.82 0.87 0.76 0.76 0.86 0.84 2.29

31-Dec-2010 0.67 0.80 0.78 0.87 0.74 0.73 0.87 0.85 2.15


52-week closing low 0.64 0.73 0.72 0.79 0.65 0.65 0.78 0.77 2.03

weekly change 0.02 0.02 0.03 0.02 0.02 0.02 0.02 0.02 0.11

QTD change 0.17 0.12 0.22 0.15 0.12 0.14 0.16 0.17 0.42

YTD change 0.23 0.13 0.25 0.15 0.15 0.17 0.16 0.16 0.57

change from 52wk high - (0.02) - - (0.01) (0.01) - - (0.07)

change from 52wk low 0.26 0.20 0.31 0.24 0.23 0.25 0.25 0.24 0.68

9-Sep-2011 1.01 2.26 1.77 2.48 5.41 5.16 11.14 20.56 1.01

2-Sep-2011 0.98 2.44 2.01 2.76 5.28 5.12 10.27 18.28 1.03

30-Jun-2011 1.73 3.38 3.03 3.41 4.88 5.45 10.90 16.34 1.14

31-Dec-2010 1.72 3.40 2.96 3.36 4.82 5.45 6.60 12.47 1.13


52-week closing low 0.87 2.26 1.77 2.48 3.73 3.98 5.53 8.78 0.85

weekly change 0.02 (0.18) (0.24) (0.28) 0.12 0.03 0.87 2.27 (0.03)

QTD change (0.73) (1.12) (1.25) (0.93) 0.53 (0.29) 0.24 4.22 (0.14)

YTD change (0.71) (1.14) (1.19) (0.88) 0.59 (0.30) 4.54 8.08 (0.12)

long MB long NB long NS

Co

International 10yr Rates Swiss UK Germany France Italy Spain Portugal

Credit Spreads 10yr Ontario long Ontario 10yr Quebec long Quebec long BC

Greece A

Moody's

Corp Avg -

US 10s

Japan

change from 52wk high (1.15) (1.62) (1.72) (1.30) (0.79) (1.16) (2.25) - (0.35) change from 52wk low 0.14 - - - 1.68 1.17 5.61 11.77 0.16

8/4/2019 20110909 weekly



9-Sep-2011 50 80 84 180 467 413 1,136 3,400 111

2-Sep-2011 52 76 78 172 397 391 976 2,331 105

30-Jun-2011 50 61 43 80 171 270 745 1,952 91

31-Dec-2010 42 72 58 101 238 350 500 1,074 72

52-week closing high 65 88 87 187 467 430 1,208 3,400 118

52-week closing low 36 48 32 62 127 197 320 666 53

weekly change 0 4 6 9 69 21 161 1,069 6

QTD change 0 19 41 100 296 143 391 1,447 20

YTD change 8 8 26 79 228 63 637 2,326 38

change from 52wk high (15) (8) (3) (7) - (17) (72) - (7)

change from 52wk low 14 32 53 118 340 216 816 2,734 58

9-Sep-2011 39 0.33 0.26 0.07 0.83 2,862 2,073 1,838 4,195

2-Sep-2011 34 0.31 0.24 0.07 0.71 2,857 2,073 1,740 4,243 30-Jun-2011 17 0.23 0.13 0.11 0.20 2,869 1,972 1,413 4,608

31-Dec-2010 18 0.18 0.12 0.06 0.41 2,423 2,004 1,773 4,745

52-week closing high 48 0.33 0.26 0.12 0.83 2,882 2,077 2,995 4,971

52-week closing low 15 0.13 0.10 - 0.14 2,298 1,866 1,043 3,986

weekly change 5 0.02 0.01 0.00 0.12 5 - 5.6% -1.1%

QTD chan e 22 0.10 0.13 0.03 0.63 7 101 30.1% -9.0%

LIBOR-OIS

Euribor -

EUR swap

Fed balance

sheet

ECB balance

sheet Baltic Dry

Blo

G

September 9,

Germany France Italy Spain Portugal GreeceGlobal 5yr CDS U.S. U.K.

Risk VIX TED OIS-Tbill

Japan

S&P ASX

200 index

. . . . . .

YTD change 21 0.15 0.14 0.02 0.42 439 69 3.7% -11.6%

change from 52wk high (9) - - (0.05) - (20) (4) -38.6% -15.6%

change from 52wk low 24 0.20 0.16 0.07 0.69 564 207 76.2% 5.2%

9-Sep-2011 0.997 77.19 1.37 1.59 0.88 77.61 1.047 6.39 118.4

2-Sep-2011 0.985 74.76 1.42 1.62 0.79 76.80 1.065 6.38 119.6

30-Jun-2011 0.963 74.30 1.45 1.61 0.84 80.56 1.072 6.46 118.9

31-Dec-2010 0.998 79.03 1.34 1.56 0.94 81.12 1.023 6.61 116.5


52-week closing low 0.943 72.93 1.27 1.54 0.72 76.55 0.927 6.38 113.0

weekly change 0.01 2.44 (0.05) (0.03) 0.10 0.81 (0.02) 0.01 (1.25)

QTD change 0.03 2.89 (0.08) (0.02) 0.04 (2.95) (0.03) (0.08) (0.46)

YTD change (0.00) (1.84) 0.03 0.03 (0.05) (3.51) 0.02 (0.22) 1.93

9-Sep-2011 334.2 87.24 87.24 1,856 41.47 409.8 1,016 3.92 3.67

2-Sep-2011 338.1 86.45 86.45 1,883 43.25 416.4 1,020 3.87 3.63

30-Jun-2011 338.1 95.42 96.50 1,500 34.69 427.8 1,091 4.37 3.57

31-Dec-2010 332.8 91.38 94.42 1,421 30.91 448.2 1,177 4.41 3.05

52-week closing high 370.6 113.93 114.82 1,900 48.44 466.5 1,362 4.85 3.97

52-week closing low 275.1 72.66 79.67 1,246 19.89 347.2 978 3.29 2.68

weekly change -1.1% 0.9% 0.9% -1.4% -4.1% -1.6% -0.4% 1.1% 1.3%

yuan (¥) /

US$

C$ EEx

Commodities

CRB US

Spot Raw

Industrials

WTI Crude

Oil Spot

Price Oil Futures Gold Silver Copper Nickel Natural Gas CR

US$ / euro

(€)

US$ / GBP

(£) CH₣ / US$yen (¥) /

US$ US$ / AU$

Bloomberg /JPM Asia-$

index

US Regular

Average Gas

Price

Currencies C$ / US$ US$ index

QTD change -1.1% -8.6% -9.6% 23.7% 19.5% -4.2% -6.9% -10.5% 2.8% YTD change 0.4% -4.5% -7.6% 30.6% 34.2% -8.6% -13.7% -11.1% 20.4%

8/4/2019 20110909 weekly



9-Sep-2011 12,388 706 1,154 10,992 2,468 36.2 639 674 569

2-Sep-2011 12,602 719 1,174 11,240 2,480 37.0 649 683 580

30-Jun-2011 13,301 764 1,321 12,414 2,774 48.3 734 827 669

31-Dec-2010 13,443 769 1,258 11,578 2,653 52.2 697 784 639

52-week closing high 14,271 819 1,364 12,811 2,874 55.6 758 865 694

52-week closing low 11,671 666 1,110 10,463 2,242 35.1 611 636 552

weekly change -1.7% -1.8% -1.7% -2.2% -0.5% -2.1% -1.6% -1.4% -1.7%

QTD change -6.9% -7.6% -12.6% -11.5% -11.0% -25.0% -13.0% -18.5% -14.9%

YTD change -7.9% -8.2% -8.2% -5.1% -7.0% -30.6% -8.3% -14.0% -10.9%

change from 52wk high -13.2% -13.8% -15.4% -14.2% -14.1% -34.9% -15.8% -22.1% -17.9%

change from 52wk low 6.1% 5.9% 4.0% 5.1% 10.1% 3.2% 4.6% 5.9% 3.2%

9-Sep-2011 3,880 4,553 5,496 4,416 1,818 5,215 5,190 14,020 8,738

2-Sep-2011 4,016 4,816 5,901 4,547 1,870 5,292 5,538 15,061 8,951 30-Jun-2011 4,531 5,505 7,004 4,842 2,083 5,946 7,376 20,187 9,816

31-Dec-2010 4,290 5,226 6,391 4,938 2,062 5,900 6,914 20,173 10,229

52-week closing high 4,707 5,776 7,401 5,136 2,177 6,091 7,528 23,178 10,858

52-week closing low 3,793 4,553 5,496 4,338 1,767 5,007 5,190 14,020 8,591

weekly change -3.4% -5.4% -6.9% -2.9% -2.8% -1.5% -6.3% -6.9% -2.4%

TD chan e -14.4% -17.3% -21.5% -8.8% -12.7% -12.3% -29.6% -30.5% -11.0%

FTSE MIB 40 S

KBW Bank

index

Russell

Large-Cap

Russell

Small-Cap

La

International

Equities MSCI World

September 9,

North American

Equities S&P/TSX S&P/TSX 60 S&P 500

Dow Jones

Industrials Nasdaq

MSCI EAFE

MSCI

Europe

MSCI Pacific

Rim

MSCI

Emerging

Markets FTSE 100 DAX 30 Nikkei 225

Russell

Large-Cap

Value

- . - . - . - . - . - . - . - . - .

YTD change -9.6% -12.9% -14.0% -10.6% -11.8% -11.6% -24.9% -30.5% -14.6%

change from 52wk high -17.6% -21.2% -25.7% -14.0% -16.5% -14.4% -31.1% -39.5% -19.5%

change from 52wk low 2.3% 0.0% 0.0% 1.8% 2.9% 4.1% 0.0% 0.0% 1.7%

9-Sep-2011 2,671 4,053 1,196 888 1,665 1,544 634 150 928

2-Sep-2011 2,758 4,015 1,232 906 1,667 1,587 657 152 945

30-Jun-2011 3,085 3,689 1,423 1,069 1,739 1,737 761 159 933

31-Dec-2010 3,140 4,101 1,297 1,095 1,674 1,666 488 230 844

52-week closing high 3,504 4,208 1,431 1,139 1,797 1,812 809 271 949

52-week closing low 2,596 3,438 1,192 874 1,571 1,509 442 129 825

weekly change -3.2% 1.0% -2.9% -1.9% -0.1% -2.7% -3.6% -1.3% -1.8%

QTD change -13.4% 9.9% -15.9% -16.9% -4.3% -11.1% -16.7% -5.9% -0.5%

YTD change -14.9% -1.2% -7.8% -18.9% -0.6% -7.3% 29.9% -34.9% 10.0%

9-Sep-2011 479 208 260 279 309 164 369 376 119

2-Sep-2011 489 213 266 284 313 169 374 378 121

30-Jun-2011 559 246 322 318 323 207 411 411 134

31-Dec-2010 507 240 301 296 304 215 365 405 129

52-week closing high 598 255 335 329 334 231 421 439 136

52-week closing low 404 198 251 254 284 161 344 345 115

weekly change -2.1% -2.4% -2.4% -1.9% -1.3% -2.6% -1.4% -0.5% -1.6%

Financials Healthcare Tech

S&P/TSX sectors Healthcare Tech

S&P 500 sectors Energy Materials Industrials Cons Disc

Cons

Staples

Energy Materials Industrials Cons Disc

Cons

Staples Financials Telecom

Telecom

QTD change -14.3% -15.4% -19.3% -12.3% -4.3% -20.6% -10.3% -8.5% -11.3% YTD change -5.4% -13.2% -13.8% -5.6% 1.8% -23.5% 1.0% -7.1% -7.4%

8/4/2019 20110909 weekly


Markets for the Week ending September 9, 2011

1.0

1.5

2.0

Bank of Canada U.S. Federal Reserve European Central Bank

‐

0.5

1.0

11‐Sep 11‐Nov 11‐Jan 11‐Mar 11‐May 11‐Jul 11‐Se

4.0

GoC 2yr GoC 5yr GoC 10yr GoC 30yr

2.0

3.0

4.0

GoC 2yr GoC 5yr GoC 10yr GoC 30yr

‐

1.0

.

28‐Feb 31‐Mar 30‐Apr 31‐May 30‐Jun 31‐Jul 31‐Aug

4.0

5.0

Germany (2yr) France (2yr) Italy (2yr) Spain (2yr)

‐

1.0

2.0

3.0

4.0


Germany 2yr France 2yr Ita y 2yr Spain 2yr

60


‐

20

40

60

Swiss (2yr) Portugal (2yr) Greece (2yr)

2.3

2.4

2.5

2.6

GoC 10yr

‐


2.0

2.1

2.2

2.3

2.4

9‐Aug 16‐Aug 23‐Aug 30‐Aug 6‐Sep

8/4/2019 20110909 weekly


Markets for the Week ending September 9, 2011

13,000

14,000

15,000

1,300

1,400

1,500

S&P 500 S&P/TSX

10,000

11,000

12,000

13,000

1,000

1,100

1,200

1,300

‐ ‐ ‐ ‐ ‐ ‐ ‐

12,500

13,000

S&P/TSX

10,0001,000

11‐Sep 11‐Nov 11‐Jan 11‐Mar 11‐May 11‐Jul 11‐Sep

11,500

12,000

12,500


1,200

1,225

1,250

S&P 500

11,500


1,100

1,125

1,150

1,175

,

‐ ‐ ‐ ‐ ‐

101.5

102.0

102.5

103.0

US$ / C$

1,100


100.0

100.5

101.0

101.5


8/4/2019 20110909 weekly


Weekly Recap

Monday September 5

- Septembers to remember: Dow down 15% in Sept 1930; down 31% in Sept 1931; up 12% in 1939; average since 1928: -1.3%, worst mo

of the year, historically

- North American markets closed for Labour Day; European markets wish they were; DAX down 5.3%; CAC down 4.7%; FTSE down 3.6%

- HSBC China Services PMI reading fell to 50.6, the lowest level since the series began in November 2005

Tuesday September 6

- Bonds rally through the intra-day yield troughs set on August 18, with UST10 as low as 1.90% and Canadian 10s & bonds to 2.22 & 2.89

- RBA on hold; the ECB took note of the Swiss National Bank’s decision to “no longer tolerate a EUR/CHF exchange rate below... CHF 1.2

but indicates the SNB is on its own: “the Governing Council takes note of this decision, which has been taken by the [SNB] under its own

responsibility” – as the SNB tries to defend this line in the sand, they’ll end up printing a lot of francs to buy a lot of Bunds and OATs

- Euro zone governments have no plans to inject any further capital into banks over and above the money earmarked for the financial sec

in the emergency loan programmes to Greece, Ireland and Portugal, sources said; Stoxx Europe 600 index falls to 2-year low

- Big protest in Rome against austerity; Italian PM Berlusconi calls for vote of confidence on its amended austerity plan

- ISM Non-manufacturing better than expected at 53.3

Wednesday September 7

- German Constitutional Court ruled on a constitutional complaint filed by a group with regard to the country’s participation in bailout of oth

EZ members (seeking to obtain greater Parliamentary involvement in decisions). The Court ruled in favour of the EFSF, rejecting the

lawsuits against rescue packages; BUT, German govt must seek Parliament’s budget committee’s approval for future EFSF commitmen

not only does it thus seems reasonable to assume that a bigger say for German parliament in future bailouts could lead other parliament

get the same, but the Court decision also means Eurobonds or a supra-national fiscal agent would violated the German constitution

- Bank of Japan announces no new measures (such as further inter-yen-tion); Swedish Riksbank cropped GDP forecast but no rate chang

- Bank of Canada expects net exports to be “major source of weakness”, especially due to “persistent strength” of C$; given that “several

downside risks... have been materialized”, “the need to withdraw monetary stimulus has diminished”; doesn’t signal cut but no hikes

- Gold falls as much as 4%, so though stock markets up around the world, TSX lagging

Thursday September 8

- BoKorea & BoE hold steady; ECB shifts from hawkish to neutral, providing some support for European stocks, which had started down- Japanese machine tool orders down 8.2% in July, wiping out June’s big gain and then some

- Bernanke speech a non-event --- and thus manages to disappoint markets;

- Canadian bonds rally all day, with yields approaching Tuesday’s lows

- NFL season kicks-off with a shoot-out; that followed Obama’s speech, in which he managed to beat the whisper #s, announcing a $447

billion jobs plan, and which provides an upside risk to the economic outlook, provided he can get it passed (which is clearly why the plan

heavily skewed towards tax cuts, whereas the tab for infrastructure spending and state aid is a modest $140B); in any case, will Democr

be fully on-board with a plan that’s mostly tax cuts? (Do payroll tax cuts actually stimulate job growth?) Will Republicans be on-side with

fiscal stimulus, even in the form of tax cuts, if it increases deficit? (And if the “American Jobs Act” is principally designed to save the job

one particular person, that of the president?)

Friday September 9- Japanese Q2 GDP was marked down as expected, to -2.2% annualized, lowering the YoY rate to -1.1% on real and -3.3% on nominal G

- ECB holds €172.9 billion in its deposit facility, up €7B overnight; more and more European banks would rather hold money at ECB than

each other

- Canadian employment data --- jobs unexpectedly declined in August, with 5,500 more part-time jobs lost than full-time jobs gained; hour

worked were up for the 2nd straight month, but the unemployment rate was also up a touch to 7.3%; housing starts declined to 185k

- US wholesale inventories up; inventories-to-sales ratio

- Obama’s speech, though excellent, was not enough of a positive surprise to get the stock market to even start the day up;

- Greek default concerns and worries about needing to invoke Germany’s plan B (shoring up its banks in case of Greek default) prompt st

markets to slide and bond yields to set new lows;

- German FDP party will seek a referendum on the ESM/EFSF

- Jurgen Stark resigns from ECB with 3 years left on his term; rats leaving a ship is a bad sign --- is it similar with hawks?

8/4/2019 20110909 weekly


Non-Mainstream News and Views

Quote of the Week:“It is obvious that many organizations will not survive in the event of having to reassess their portfolios of sovereign debt at market priceJosef Ackermann, CEO of Deutschebank.

John Hempton of Bronte Capital on risk management and sounding crazy, with reference to Sino Forest.http://brontecapital.blogspot.com/2011/09/risk-management-and-sounding-crazy.html

Paul Krugman on how the beatings must continue until morale improves in Europe.http://krugman.blogs.nytimes.com/2011/09/05/the-beatings-must-continue/?smid=tw-NytimesKrugman&seid=auto

John Hussman on “whom will our leaders defend? One choice is to defend bondholders... the alternative is.. the public.”http://www.hussmanfunds.com/wmc/wmc110905.htm

Chris Whalen on the dilemma of refinancing housing loans... the path ahead is clear.“The GSEs and large banks are still hiding losses on their books and subsidizing these losses by preventing consumers fromrefinancing their mortgages. It remains only to recognize these losses, restructure solvent institutions and get on with the

business of recovery and growth by refinancing eligible home owners.”http://blogs.reuters.com/christopher-whalen/2011/09/06/profiles-in-competence-jesse-jones-leo-crowley/

Martin Wolf: “Fiscal deficits are helpful... in a balance-sheet contraction, not because they return the economy swiftly to heabut because they promote the painfully slow healing.... If the fiscal deficit is to be sharply reduced, the surpluses in the rest othe economy must also fall. The question is how that is to be compatible with rapid deleveraging and expanded spending. Inmy view, it cannot be. A more likely outcome, in present circumstances, is mass default, shrinking profits, damaged banks ana renewed slump. That is what would happen if today’s contained depression ceased to be contained.... It is becoming ever clearer that the developed world is making Japan’s mistake of premature retrenchment during a balance-sheet depression, bon a more dangerous – far more global – scale.”http://www.ft.com/intl/cms/s/0/9cbe577a-d872-11e0-8f0a-00144feabdc0.html#axzz1XHLVqOal

Ed Harrison on why a breakup of the eurozone is now likely, after the decision by the German Constitutional Court:http://www.creditwritedowns.com/2011/09/eurozone-breakup-likely.html

Other fare:Goodbye to all that: reflections of a GOP operative who left the cult. Mike Lofgren.http://www.truth-out.org/goodbye-all-reflections-gop-operative-who-left-cult/1314907779#%5B3%5D

People don’t realize how fragile democracy is. James Fallows.http://www.theatlantic.com/politics/archive/2011/09/people-dont-realize-how-fragile-democracy-really-is/244559/

http://brontecapital.blogspot.com/2011/09/risk-management-and-sounding-crazy.html



http://krugman.blogs.nytimes.com/2011/09/05/the-beatings-must-continue/?smid=tw-NytimesKrugman&seid=auto


http://www.hussmanfunds.com/wmc/wmc110905.htm


http://blogs.reuters.com/christopher-whalen/2011/09/06/profiles-in-competence-jesse-jones-leo-crowley

http://www.ft.com/intl/cms/s/0/9cbe577a-d872-11e0-8f0a-00144feabdc0.html#axzz1XHLVqOal


http://www.creditwritedowns.com/2011/09/eurozone-breakup-likely.html


http://www.truth-out.org/goodbye-all-reflections-gop-operative-who-left-cult/1314907779#%5B3%5D



http://www.theatlantic.com/politics/archive/2011/09/people-dont-realize-how-fragile-democracy-really-is/244559






http://blogs.reuters.com/christopher-whalen/2011/09/06/profiles-in-competence-jesse-jones-leo-crowley




8/4/2019 20110909 weekly


What is this a chart of?

The yield on one-year Greek sovereign debt.

Ouch.

Seems Greek banks unwilling to buy Greek T-bills.

The 6th instalment of “bailout” money (i.e. loan extensions) of 8 billion euros, which is pending approval in a number of parliaments, will

necessary for Greece to pay its bills in October.

Documents

20110909 weekly