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 |
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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 | -0.0977 % | 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 |
GWO.PR.G | Deemed-Retractible | Quote: 24.70 – 25.23 Spot Rate : 0.5300 Average : 0.3770 YTW SCENARIO |
RY.PR.H | Deemed-Retractible | Quote: 26.51 – 26.92 Spot Rate : 0.4100 Average : 0.2785 YTW SCENARIO |
CIU.PR.A | Perpetual-Discount | Quote: 24.14 – 24.60 Spot Rate : 0.4600 Average : 0.3405 YTW SCENARIO |
BMO.PR.N | FixedReset | Quote: 27.01 – 27.43 Spot Rate : 0.4200 Average : 0.3084 YTW SCENARIO |
GWO.PR.N | FixedReset | Quote: 23.67 – 23.95 Spot Rate : 0.2800 Average : 0.1689 YTW SCENARIO |