May 17, 2012

Fitch downgraded Greece:

Greece’s credit rating was downgraded one level by Fitch Ratings on “heightened risk” that the country will not be able to sustain its membership of the euro area after inconclusive elections left the country without a stable government.

Greece was cut to CCC from B- by Fitch, according to an e- mailed statement today in London. The country’s ceiling was revised to B-, Fitch said in the statement.

“The strong showing of ‘anti-austerity’ parties in the May 6 parliamentary elections and subsequent failure to form a government underscores the lack of public and political support for” the country’s bailout from the European Union and the International Monetary Fund, Fitch said in the statement.

Moody’s downgraded a swathe of Spanish banks:

Banco Santander (SAN) SA and Banco Bilbao Vizcaya Argentaria SA, Spain’s biggest lenders, were cut three levels by Moody’s Investors Service, which cited a recession and mounting loan losses in downgrading 16 of the nation’s banks.

Nine firms were cut three notches and seven were kept on review for further reductions, Moody’s said yesterday in a statement. Santander’s U.K.-based subsidiary also was cut.

The moves followed Moody’s May 14 downgrade of 26 Italian banks and its Feb. 13 cut of Spain’s sovereign debt. The main drivers for the Spanish bank downgrades were a surge in soured loans, the recession, restricted funding access and the reduced ability of the government to support lenders as its own creditworthiness diminishes, Moody’s said.

Nexen, proud issuer of NXY.PR.A was confirmed at Pfd-3 by DBRS:

DBRS has today confirmed the ratings of Nexen Inc.’s (Nexen or the Company) Long-Term Unsecured Debt at BBB, Subordinated Unsecured Notes at BBB (low) and Preferred Shares at Pfd-3, all with Stable trends. The rating confirmations reflect the Company’s adequate credit metrics and potential future reserve and production growth profile.

Nexen’s financial profile continued to improve in 2011 and Q1 2012, mainly attributable to top-of-cycle oil prices and execution on its aggressive debt reduction strategy. Nexen has used proceeds of asset sales to reduce its debt-to-capital ratio to 33% at March 31, 2012, down from 49% at year-end 2009. Nexen’s debt-to-cash flow ratios have decreased substantially, from 2.64 times (x) in 2010 to 1.93x in the 12 months ending March 31, 2012. Continued improvement will depend largely on Nexen’s ability to successfully ramp-up production at Long Lake, and to ensure reliability of production at Buzzard. Going forward, DBRS expects Nexen to continue to manage its debt levels in a manner consistent with its BBB rating category.

It was an uneventful day for the Canadian preferred share market,with PerpetualPremiums down 1bp, FixedResets up 4bp and DeemedRetractibles gaining 2bp. Lots of volatility, heavily skewed to the downside. 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 0.9444 % 2,498.8
FixedFloater 4.38 % 3.75 % 30,310 17.81 1 0.0924 % 3,596.1
Floater 2.89 % 2.91 % 55,079 19.92 3 0.9444 % 2,698.0
OpRet 4.78 % 2.75 % 52,878 1.08 5 0.0154 % 2,512.8
SplitShare 5.25 % -5.95 % 56,146 0.58 4 0.4516 % 2,717.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0154 % 2,297.7
Perpetual-Premium 5.45 % 1.64 % 78,355 0.65 25 -0.0133 % 2,229.7
Perpetual-Discount 5.09 % 5.07 % 87,897 15.22 8 -0.0876 % 2,438.3
FixedReset 5.05 % 2.97 % 175,097 2.13 68 0.0396 % 2,400.7
Deemed-Retractible 4.95 % 3.49 % 177,181 0.99 45 0.0183 % 2,330.0
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-17
Maturity Price : 23.43
Evaluated at bid price : 25.53
Bid-YTW : 3.26 %
PWF.PR.O Perpetual-Premium -1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 5.11 %
GWO.PR.I Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.64
Bid-YTW : 5.33 %
FTS.PR.F Perpetual-Premium -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-17
Maturity Price : 24.39
Evaluated at bid price : 24.72
Bid-YTW : 4.95 %
SLF.PR.H FixedReset -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 4.06 %
MFC.PR.C Deemed-Retractible -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.17
Bid-YTW : 5.46 %
TCA.PR.X Perpetual-Premium 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-15
Maturity Price : 50.00
Evaluated at bid price : 52.90
Bid-YTW : 1.64 %
TRP.PR.C FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-17
Maturity Price : 23.64
Evaluated at bid price : 26.22
Bid-YTW : 2.93 %
BNA.PR.E SplitShare 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 24.88
Bid-YTW : 4.92 %
BAM.PR.K Floater 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-17
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 2.88 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.I FixedReset 111,780 National crossed 100,000 at 26.89.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.89
Bid-YTW : 2.85 %
ENB.PR.H FixedReset 73,797 Nesbitt crossed 53,800 at 25.53.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-17
Maturity Price : 23.25
Evaluated at bid price : 25.50
Bid-YTW : 3.54 %
RY.PR.Y FixedReset 55,170 RBC crossed 23,100 at 26.86.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-11-24
Maturity Price : 25.00
Evaluated at bid price : 26.81
Bid-YTW : 3.07 %
ENB.PR.D FixedReset 46,991 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 3.67 %
HSB.PR.C Deemed-Retractible 41,878 Scotia crossed 16,600 at 25.75; RBC crossed 16,300 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-30
Maturity Price : 25.50
Evaluated at bid price : 25.80
Bid-YTW : 0.46 %
TD.PR.O Deemed-Retractible 39,365 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-16
Maturity Price : 25.75
Evaluated at bid price : 26.13
Bid-YTW : -10.21 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 18.34 – 19.00
Spot Rate : 0.6600
Average : 0.4667

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-17
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 2.88 %

TCA.PR.Y Perpetual-Premium Quote: 52.50 – 52.99
Spot Rate : 0.4900
Average : 0.3218

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-05
Maturity Price : 50.00
Evaluated at bid price : 52.50
Bid-YTW : 2.87 %

FTS.PR.F Perpetual-Premium Quote: 24.72 – 25.20
Spot Rate : 0.4800
Average : 0.3391

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-17
Maturity Price : 24.39
Evaluated at bid price : 24.72
Bid-YTW : 4.95 %

FTS.PR.E OpRet Quote: 26.65 – 27.12
Spot Rate : 0.4700
Average : 0.3302

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-06-01
Maturity Price : 25.75
Evaluated at bid price : 26.65
Bid-YTW : 1.20 %

IGM.PR.B Perpetual-Premium Quote: 25.73 – 26.30
Spot Rate : 0.5700
Average : 0.4311

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 5.45 %

RY.PR.H Deemed-Retractible Quote: 26.61 – 27.03
Spot Rate : 0.4200
Average : 0.2811

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-24
Maturity Price : 26.00
Evaluated at bid price : 26.61
Bid-YTW : 2.96 %

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