November 29, 2011

S&P had an exciting day, downgrading HSB preferreds as well as a few other important names:

Bank of America Corp. (BAC), Goldman Sachs Group Inc. (GS) and Citigroup Inc. had long-term credit grades reduced to A- from A by Standard & Poor’s after the ratings firm revised criteria for dozens of the world’s biggest lenders.

S&P made the same cut to Morgan Stanley and Bank of America’s Merrill Lynch unit today. JPMorgan Chase & Co. (JPM) was reduced one level to A from A+. S&P upgraded Bank of China Ltd. (3988) and China Construction Bank Corp. to A from A- and maintained the A rating on Industrial & Commercial Bank of China Ltd. (1398), giving all three lenders higher grades than most big U.S. banks.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 21bp, FixedResets down 9bp and DeemedRetractibles off 9bp. Volatility was good, volume was average.

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 -0.0977 % 2,102.3
FixedFloater 4.92 % 4.66 % 28,947 17.06 1 0.1036 % 3,134.0
Floater 3.42 % 3.44 % 149,340 18.60 2 -0.0977 % 2,269.9
OpRet 4.96 % 0.72 % 49,208 1.46 7 -0.1646 % 2,478.8
SplitShare 5.82 % 6.58 % 57,299 5.14 3 -0.4786 % 2,523.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1646 % 2,266.6
Perpetual-Premium 5.57 % 2.51 % 99,834 0.11 13 0.1894 % 2,154.9
Perpetual-Discount 5.31 % 5.17 % 103,577 14.67 17 0.2082 % 2,296.5
FixedReset 5.11 % 3.02 % 214,104 2.46 64 -0.0941 % 2,338.8
Deemed-Retractible 5.06 % 4.44 % 196,609 3.85 46 -0.0900 % 2,214.6
Performance Highlights
Issue Index Change Notes
MFC.PR.B Deemed-Retractible -1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 6.37 %
CIU.PR.A Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-29
Maturity Price : 23.66
Evaluated at bid price : 24.14
Bid-YTW : 4.76 %
GWO.PR.N FixedReset -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.67
Bid-YTW : 3.86 %
GWO.PR.M Deemed-Retractible -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.79
Bid-YTW : 5.55 %
MFC.PR.C Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 6.64 %
SLF.PR.E Deemed-Retractible -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.92
Bid-YTW : 6.72 %
SLF.PR.G FixedReset -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 4.15 %
POW.PR.D Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-29
Maturity Price : 24.19
Evaluated at bid price : 24.66
Bid-YTW : 5.11 %
GWO.PR.H Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.87
Bid-YTW : 5.57 %
BAM.PR.M Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-29
Maturity Price : 23.24
Evaluated at bid price : 23.71
Bid-YTW : 5.06 %
Volume Highlights
Issue Index Shares
Traded
Notes
ENB.PR.D FixedReset 303,480 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-29
Maturity Price : 23.13
Evaluated at bid price : 25.10
Bid-YTW : 3.74 %
CM.PR.G Perpetual-Discount 79,262 Desjardins crossed 40,000 at 24.90.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-29
Maturity Price : 24.57
Evaluated at bid price : 24.90
Bid-YTW : 5.47 %
RY.PR.P FixedReset 58,501 RBC crossed 30,000 at 27.00; Scotia crossed 25,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 2.78 %
CM.PR.E Perpetual-Discount 43,057 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-29
Maturity Price : 24.70
Evaluated at bid price : 25.00
Bid-YTW : 5.65 %
CU.PR.C FixedReset 37,942 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-29
Maturity Price : 23.26
Evaluated at bid price : 25.40
Bid-YTW : 3.69 %
MFC.PR.C Deemed-Retractible 27,431 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 6.64 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.R FixedReset Quote: 26.01 – 26.70
Spot Rate : 0.6900
Average : 0.4374

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-29
Maturity Price : 23.49
Evaluated at bid price : 26.01
Bid-YTW : 3.86 %

GWO.PR.G Deemed-Retractible Quote: 24.70 – 25.23
Spot Rate : 0.5300
Average : 0.3770

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.50 %

RY.PR.H Deemed-Retractible Quote: 26.51 – 26.92
Spot Rate : 0.4100
Average : 0.2785

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-24
Maturity Price : 26.00
Evaluated at bid price : 26.51
Bid-YTW : 4.12 %

CIU.PR.A Perpetual-Discount Quote: 24.14 – 24.60
Spot Rate : 0.4600
Average : 0.3405

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-29
Maturity Price : 23.66
Evaluated at bid price : 24.14
Bid-YTW : 4.76 %

BMO.PR.N FixedReset Quote: 27.01 – 27.43
Spot Rate : 0.4200
Average : 0.3084

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-25
Maturity Price : 25.00
Evaluated at bid price : 27.01
Bid-YTW : 2.83 %

GWO.PR.N FixedReset Quote: 23.67 – 23.95
Spot Rate : 0.2800
Average : 0.1689

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.67
Bid-YTW : 3.86 %

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