September and the Third Quarter in Figures

September 30, 2011

It’s been a month and quarter for the ages.  Investors increasingly priced in a coming U.S. and European recession.  All the dire warnings that long-term interest rates will soar because of deficit spending and ensuing inflation could not have been more wrong, yet the thinking behind such predictions continues to control the policy agenda in most advanced economies. Ten-year yields fell more than 90 basis points during the quarter in Canada, Britain, Germany and the United States.  The German Dax plunged about 25% in the quarter, and all the other indices carried in this table fell by over 10%.  Foreign exchange volatility was also very pronounced.  In September, dollar/Swissie traded in a 19% high/low band between a Swissie high of 0.7708 per dollar and a low of 0.9182.  With risk aversion shooting up to levels not seen since late 2008, the dollar advanced at least 10% in the month against the franc as well as the kiwi and Australian dollar and recorded gains of more than 7.0% against the loonie and euro.  Commodities plunged in another sign that people are hunkering down for another recession.  Gold dropped 11.4% in the latest month but still managed to climb some 8% on net from its midyear level.  Oil prices declined 17% in the quarter.

10-Yr Yield 09/30/11 Chg vs End-Aug Chg vs End-Jun
U.S. 1.92% -32 Basis Points -124 Basis Points
Germany 1.89% -33 -113
Japan 1.03% -1 -11
U.K. 2.43% -9 -95
Canada 2.15% -25 -96
Switzerland 0.96% -18 -75
3-month euros   Chg vs End-Aug Chg vs End-Jun
U.S. 0.37% +4 Basis Points   +12 Basis Points
Euroland 1.55% -11   0
Japan 0.19% 0 -1
U.K. 0.95% +7 +12
Canada 1.20% +2 +3
Swiss 0.02% -16 -16
FX   Pct Chg in USD Pct Chg in USD
EUR/USD 1.3386 +7.4% +8.3%
USD/JPY 77.13 +0.7% -4.3%
USD/CHF 0.9083 +12.7% +8.0%
GBP/USD 1.5585 +4.2% +2.9%
AUD/USD 0.9663 +10.7% +10.9%
NZD/USD 0.7612 +12.1% +8.8%
USD/CAD 1.0500 +7.3% +8.9%
USD/CNY 6.3875 +0.1% -1.2%
Equities   Pct Change Pct Change
S&P 500 1131 -7.2% -14.4%
Nasdaq 2415 -6.4% -12.9%
Djia 10913 -6.0% -12.1%
Dax 5502 -4.9% -25.4%
Nikkei 8700 -2.8% -11.4%
Ftse 5128 -4.9% -13.8%
Canada TSE 11624 -9.0% -12.6%
Swiss SMI 5532 +0.1% -10.6%
Commodities   Pct Change Pct Change
Oil, $ per brl 79.20 -10.8% -17.0%
Gold, $ per oz 1620.40 -11.4% +7.9%

Copyright Larry Greenberg 2011.  All rights reserved.  No secondary distribution without express permission.

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