Towers Watson has released a series of promotional reports:Pension Finance Watch:
Long bond yields plunged in August, pushing liability values up dramatically. Equity values also declined significantly during the month. This rather unfortunate combination of capital market events means bad news for pension plan funded ratios. The Towers Watson Pension Index declined by 7.4% for the month to 60.0. This is the lowest recorded funded ratio in our data series extending back to 1990.
Research conducted by Pensions & Investments and Towers Watson has found that total assets of the world’s largest 300 pension funds grew by over 8% in 2009, to US$11.3 trillion, up by around US$1 trillion from last year’s figure.
Some cheerful news from the States: the California 2010 Debt Affordability Report:
Because debt service is considered a fixed part of a State’s budget, credit analysts compare a state’s General Fund-supported debt service to its General Fund revenues as a measure of the state’s fiscal flexibility. California’s ratio of debt service to General Fund revenues was 6.69 percent in 2009-10, based on $5.790 billion in GO, lease revenue and Proposition 1A Receivables debt service payments versus $86.521 billion in General Fund revenues. This ratio is projected to be 7.17 percent in 2010-11, based on $6.558 billion5 in debt service payments versus $91.451 billion in General Fund revenues as projected by the Department of Finance.
The EU has an interesting approach to their sovereign debt crisis: make rating sovereigns a risky business:
Ministers are “ready to discuss” fines for ratings companies who mislead investors with poor quality ratings for securities, Swedish Finance Minister Anders Borg said in Brussels, while Didier Reynders, the Belgian finance minister, said “we do need a regulation on that, it’s very clear.”
…
“Concern has been expressed on whether the ratings of sovereign debt are necessary at all given the fact that there is already a large degree of transparency in the markets as regards the situation of government finance,” according to the commission document, dated Sept. 15.The European Union approved rules for credit-rating companies last year, requiring them to adhere to a code of conduct to reduce conflicts of interest between issuers and rating firms.
These are the guys, remember, who were willfully blind to the falsification of Greek debt data. as discussed on March 1.
The Canadian preferred share market started the quarter with another day of mixed results on heavy volume, as PerpetualDiscounts gained 24bp and FixedResets lost 9bp.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5919 % | 2,156.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5919 % | 3,267.2 |
| Floater | 2.90 % | 3.25 % | 79,463 | 19.14 | 3 | 0.5919 % | 2,328.7 |
| OpRet | 4.90 % | 2.98 % | 76,077 | 0.16 | 9 | -0.1203 % | 2,368.8 |
| SplitShare | 5.94 % | -30.82 % | 67,322 | 0.09 | 2 | 0.4730 % | 2,371.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1203 % | 2,166.1 |
| Perpetual-Premium | 5.71 % | 5.25 % | 124,356 | 5.32 | 19 | 0.1115 % | 1,996.8 |
| Perpetual-Discount | 5.49 % | 5.50 % | 208,895 | 14.62 | 58 | 0.2352 % | 1,983.5 |
| FixedReset | 5.28 % | 3.22 % | 319,704 | 3.30 | 47 | -0.0908 % | 2,258.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.I | OpRet | -1.52 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2010-10-31 Maturity Price : 25.50 Evaluated at bid price : 25.92 Bid-YTW : -13.83 % |
| GWO.PR.J | FixedReset | -1.30 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.65 Bid-YTW : 3.90 % |
| ELF.PR.G | Perpetual-Discount | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-10-01 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 5.96 % |
| NA.PR.L | Perpetual-Discount | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-10-01 Maturity Price : 22.93 Evaluated at bid price : 23.15 Bid-YTW : 5.30 % |
| PWF.PR.P | FixedReset | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-10-01 Maturity Price : 23.47 Evaluated at bid price : 26.15 Bid-YTW : 3.56 % |
| BAM.PR.K | Floater | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-10-01 Maturity Price : 16.21 Evaluated at bid price : 16.21 Bid-YTW : 3.25 % |
| GWO.PR.I | Perpetual-Discount | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-10-01 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 5.55 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.B | Perpetual-Discount | 285,995 | Nesbitt crossed blocks of 160,000 and 98,600, both at 20.02. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-10-01 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 5.89 % |
| CL.PR.B | Perpetual-Premium | 116,560 | Nesbitt crossed 108,200 at 25.40. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-10-31 Maturity Price : 25.25 Evaluated at bid price : 25.40 Bid-YTW : -0.83 % |
| TD.PR.G | FixedReset | 108,265 | RBC crossed 60,000 at 28.00 and bought 15,000 from TD at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.95 Bid-YTW : 3.16 % |
| TRP.PR.A | FixedReset | 82,943 | RBC crossed blocks of 13,300 and 48,100, both at 26.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.22 Bid-YTW : 3.40 % |
| TRP.PR.C | FixedReset | 59,435 | RBC crossed two blocks of 20,000 each, both at 25.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-10-01 Maturity Price : 25.47 Evaluated at bid price : 25.52 Bid-YTW : 3.81 % |
| BNS.PR.N | Perpetual-Discount | 57,300 | Nesbitt crossed blocks of 15,000 and 32,900, both at 24.52. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-10-01 Maturity Price : 24.27 Evaluated at bid price : 24.50 Bid-YTW : 5.35 % |
| There were 47 other index-included issues trading in excess of 10,000 shares. | |||