According to the chatterati, credit rating agencies are heroes this week:
At a House subcommittee hearing yesterday, U.S. financial regulators acknowledged that the rating companies lately have been doing a better job. Alarmed by Greece’s unsustainable borrowing, the companies have slashed Greek debt to below investment grade. Troubles in Ireland, Portugal and Spain aren’t as severe, but those countries are under appropriately close scrutiny by rating services. Even the U.S. has been tagged for a downgrade if it can’t sort out its debt-ceiling and spending problems — and maybe even if it does.
It was a quiet, slightly negative day for the Canadian preferred share market, with PerpetualDiscounts up 2bp, FixedResets losing 6bp and DeemedRetractibles down 3bp. Big volume continued for BNS.PR.Z, but was otherwise volume was only average.
| 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 | -0.0942 % | 2,449.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0942 % | 3,683.9 |
| Floater | 2.48 % | 2.24 % | 35,654 | 21.68 | 4 | -0.0942 % | 2,644.7 |
| OpRet | 4.84 % | 1.74 % | 56,737 | 0.17 | 9 | 0.1965 % | 2,457.7 |
| SplitShare | 5.24 % | 2.23 % | 52,602 | 0.58 | 6 | 0.0265 % | 2,511.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1965 % | 2,247.4 |
| Perpetual-Premium | 5.68 % | 4.83 % | 132,372 | 0.81 | 13 | -0.1535 % | 2,094.1 |
| Perpetual-Discount | 5.41 % | 5.41 % | 110,846 | 14.76 | 17 | 0.0222 % | 2,215.2 |
| FixedReset | 5.15 % | 3.11 % | 217,641 | 2.63 | 58 | -0.0551 % | 2,326.1 |
| Deemed-Retractible | 5.06 % | 4.67 % | 275,572 | 7.82 | 47 | -0.0271 % | 2,177.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.O | Perpetual-Premium | -1.16 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 5.49 % |
| SLF.PR.G | FixedReset | -1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.56 Bid-YTW : 3.61 % |
| PWF.PR.F | Perpetual-Discount | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-07-28 Maturity Price : 24.18 Evaluated at bid price : 24.44 Bid-YTW : 5.39 % |
| FTS.PR.E | OpRet | 1.26 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-06-01 Maturity Price : 25.75 Evaluated at bid price : 27.35 Bid-YTW : 1.74 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.Z | FixedReset | 901,885 | TD crossed two blocks of 100,000 each and one of 30,000, all at 24.25. RBC crossed blocks of 500,000 shares, 112,000 and 50,000, all at 24.25. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 3.90 % |
| BNS.PR.T | FixedReset | 108,993 | RBC crossed 100,000 at 27.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-25 Maturity Price : 25.00 Evaluated at bid price : 27.17 Bid-YTW : 2.94 % |
| BNS.PR.P | FixedReset | 80,961 | Nesbitt crossed blocks of 50,000 and 26,000, both at 26.05. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 2.99 % |
| CM.PR.K | FixedReset | 80,960 | RBC crossed 18,300 at 27.00; Nesbitt crossed 50,000 at 26.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.90 Bid-YTW : 2.70 % |
| TD.PR.N | OpRet | 80,275 | Desjardins crossed blocks of 60,000 and 15,000, both at 25.55. YTW SCENARIO Maturity Type : Call Maturity Date : 2011-08-27 Maturity Price : 25.50 Evaluated at bid price : 25.61 Bid-YTW : -1.18 % |
| SLF.PR.C | Deemed-Retractible | 78,904 | Desjardins crossed 75,000 at 22.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.09 Bid-YTW : 6.04 % |
| There were 34 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IAG.PR.C | FixedReset | Quote: 26.95 – 27.27 Spot Rate : 0.3200 Average : 0.2020 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 24.90 – 25.49 Spot Rate : 0.5900 Average : 0.4754 YTW SCENARIO |
| POW.PR.C | Perpetual-Discount | Quote: 25.06 – 25.43 Spot Rate : 0.3700 Average : 0.2581 YTW SCENARIO |
| POW.PR.D | Perpetual-Discount | Quote: 23.87 – 24.24 Spot Rate : 0.3700 Average : 0.2691 YTW SCENARIO |
| IAG.PR.E | Deemed-Retractible | Quote: 25.92 – 26.25 Spot Rate : 0.3300 Average : 0.2353 YTW SCENARIO |
| FTS.PR.H | FixedReset | Quote: 25.35 – 25.80 Spot Rate : 0.4500 Average : 0.3671 YTW SCENARIO |
RE: The Rating Agencies
Isn’t it ironic that the organizations that were placed under the microscope for their blunders during the economic crisis, are now being pandered to by the politicians that publicly discredited them. The RA’s must be thinking: revenge is sweet.
Because they’re so big and so good at what they do, people tend to expect perfection – and get very upset when things don’t go precisely according to plan. The US has the same problem in war-time when there are civilian casualties.
At some point, I would like to see some really solid research done about the actual performance of all the sub-prime debt, because prices were a lot more volatile than the underlying cash-flows. We’ll have to wait a few years though, because so many of the pools are still outstanding.