October 29, 2009

The CIT restructuring continues to encourage speculation:

Since CIT Chief Executive Officer Jeffrey Peek started a $30 billion debt swap Oct. 1, the company’s notes due Nov. 3 have dropped 13 cents to 67 cents on the dollar, according to Trace, the bond-price reporting system of the Financial Industry Regulatory Authority. Holders of the $500 million in notes are being offered 90 cents on the dollar in new debt and equity in an out-of-court exchange. They would get 70 cents on the dollar in bonds and new stock in a pre-packaged bankruptcy.

The CIT notes due Nov. 3 fell 2.5 cents to 67 cents on the dollar yesterday, Trace data show.

The cost to protect CIT debt against default for five years has risen 4.7 percentage points to 38.7 percent upfront since Sept. 30, according to CMA DataVision.

It was a mild day for the Canadian preferred share market, with PerpetualDiscounts gaining 1bp, while FixedResets gained 2bp. Volume was steady.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
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 0.0000 % 1,477.4
FixedFloater 6.69 % 4.74 % 47,663 17.89 1 -1.4554 % 2,328.1
Floater 2.64 % 3.09 % 103,575 19.48 3 0.0000 % 1,845.7
OpRet 4.87 % -6.52 % 115,996 0.09 15 0.0281 % 2,294.1
SplitShare 6.41 % 6.37 % 461,873 3.93 2 0.3548 % 2,063.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0281 % 2,097.7
Perpetual-Premium 5.90 % 5.90 % 139,747 13.78 11 -0.1283 % 1,854.4
Perpetual-Discount 6.00 % 6.05 % 207,650 13.82 63 0.0102 % 1,729.4
FixedReset 5.53 % 4.28 % 443,397 4.00 41 0.0219 % 2,104.4
Performance Highlights
Issue Index Change Notes
HSB.PR.D Perpetual-Discount -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-10-29
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.00 %
POW.PR.B Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-10-29
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 6.37 %
BAM.PR.G FixedFloater -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-10-29
Maturity Price : 25.00
Evaluated at bid price : 16.25
Bid-YTW : 4.74 %
PWF.PR.M FixedReset -1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-02
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.48 %
RY.PR.G Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-10-29
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 5.88 %
BNS.PR.Q FixedReset -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.34 %
PWF.PR.L Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-10-29
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 6.17 %
TD.PR.O Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-10-29
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 5.83 %
CIU.PR.A Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-10-29
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 6.09 %
GWO.PR.L Perpetual-Discount 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-10-29
Maturity Price : 23.30
Evaluated at bid price : 23.45
Bid-YTW : 6.09 %
MFC.PR.A OpRet 1.78 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2015-12-18
Maturity Price : 25.00
Evaluated at bid price : 26.31
Bid-YTW : 3.25 %
BNS.PR.P FixedReset 2.42 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.X FixedReset 48,022 TD bought 10,000 from National at 27.21.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 27.22
Bid-YTW : 4.17 %
SLF.PR.F FixedReset 36,250 RBC crossed 33,100 at 27.05.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-30
Maturity Price : 25.00
Evaluated at bid price : 26.98
Bid-YTW : 4.31 %
SLF.PR.B Perpetual-Discount 35,419 RBC crossed 22,900 at 19.88.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-10-29
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 6.12 %
CM.PR.H Perpetual-Discount 28,537 RBC crossed 17,700 at 20.04.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-10-29
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.06 %
RY.PR.B Perpetual-Discount 27,963 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-10-29
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 5.85 %
RY.PR.E Perpetual-Discount 27,875 RBC crossed 15,000 at 19.40.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-10-29
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 5.83 %
There were 37 other index-included issues trading in excess of 10,000 shares.

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