Hands up, everybody who didn’t see this coming! Suing CRAs is fashionable!
Today’s looniest financial story is surely that Italy’s state auditor, the Corte dei Conti, has opened an investigation into Standard & Poor’s, Moody’s and Fitch for downgrading Italy’s debt over the past couple of years. Loony first of all for the reasoning:
Notifying S&P that it was considering legal action, the Corte dei Conti wrote: “S&P never in its ratings pointed out Italy’s history, art or landscape which, as universally recognised, are the basis of its economic strength.”
But also for the size of the claim: “Standard & Poor’s revealed on Tuesday it had been notified by Corte dei Conti that credit rating agencies may have acted illegally and opened themselves up to damages of €234bn.”
It was another mildly poor day for the Canadian preferred share market, with PerpetualDiscounts off 6bp, FixedResets down 12bp and DeemedRetractibles losing 14bp. The surprisingly lengthy performance highlights table is dominated by losers. Volume was high.
| 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 | -0.8006 % | 2,306.2 |
| FixedFloater | 4.60 % | 3.85 % | 26,998 | 17.74 | 1 | 0.0000 % | 3,690.7 |
| Floater | 3.14 % | 3.24 % | 58,645 | 19.12 | 4 | -0.8006 % | 2,490.0 |
| OpRet | 4.60 % | 1.05 % | 72,148 | 0.31 | 3 | 0.0256 % | 2,682.1 |
| SplitShare | 4.86 % | 4.99 % | 64,406 | 4.36 | 5 | -0.0241 % | 3,014.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0256 % | 2,452.5 |
| Perpetual-Premium | 5.66 % | -0.65 % | 103,735 | 0.08 | 12 | -0.0412 % | 2,335.7 |
| Perpetual-Discount | 5.54 % | 5.58 % | 155,152 | 14.51 | 26 | -0.0609 % | 2,393.3 |
| FixedReset | 4.91 % | 3.66 % | 213,533 | 4.16 | 81 | -0.1208 % | 2,484.4 |
| Deemed-Retractible | 5.14 % | 4.14 % | 169,207 | 1.95 | 42 | -0.1446 % | 2,414.7 |
| FloatingReset | 2.67 % | 2.67 % | 186,859 | 7.18 | 6 | -0.1744 % | 2,432.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.N | FixedReset | -2.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.01 Bid-YTW : 4.45 % |
| BAM.PR.X | FixedReset | -2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-06 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 4.34 % |
| BNS.PR.Y | FixedReset | -1.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 3.66 % |
| SLF.PR.D | Deemed-Retractible | -1.37 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.82 Bid-YTW : 6.72 % |
| PWF.PR.A | Floater | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-06 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 2.87 % |
| PWF.PR.S | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-06 Maturity Price : 21.83 Evaluated at bid price : 22.15 Bid-YTW : 5.44 % |
| BNS.PR.Z | FixedReset | -1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.65 Bid-YTW : 3.93 % |
| SLF.PR.C | Deemed-Retractible | -1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.82 Bid-YTW : 6.72 % |
| SLF.PR.A | Deemed-Retractible | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.90 Bid-YTW : 6.44 % |
| BNS.PR.N | Deemed-Retractible | 1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-28 Maturity Price : 25.50 Evaluated at bid price : 25.77 Bid-YTW : 4.14 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.A | FloatingReset | 563,500 | Nesbitt crossed 550,300 at 25.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 2.55 % |
| BMO.PR.P | FixedReset | 255,907 | I think Jacob Securities crossed 248,700 at 25.67, but it’s not entirely clear. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.69 Bid-YTW : 2.48 % |
| RY.PR.I | FixedReset | 89,585 | Will reset at 3.52% YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.74 Bid-YTW : 3.65 % |
| RY.PR.Z | FixedReset | 80,620 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-06 Maturity Price : 23.14 Evaluated at bid price : 24.98 Bid-YTW : 3.71 % |
| TRP.PR.E | FixedReset | 78,500 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-06 Maturity Price : 23.05 Evaluated at bid price : 24.80 Bid-YTW : 3.94 % |
| TD.PR.I | FixedReset | 75,506 | RBC crossed 50,000 at 25.50 and bought 16,600 from TD at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.48 Bid-YTW : 2.48 % |
| There were 51 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.B | Deemed-Retractible | Quote: 21.44 – 21.78 Spot Rate : 0.3400 Average : 0.2452 YTW SCENARIO |
| CIU.PR.B | FixedReset | Quote: 25.21 – 25.51 Spot Rate : 0.3000 Average : 0.2129 YTW SCENARIO |
| BMO.PR.K | Deemed-Retractible | Quote: 25.56 – 25.80 Spot Rate : 0.2400 Average : 0.1643 YTW SCENARIO |
| SLF.PR.A | Deemed-Retractible | Quote: 21.90 – 22.12 Spot Rate : 0.2200 Average : 0.1493 YTW SCENARIO |
| HSB.PR.C | Deemed-Retractible | Quote: 25.25 – 25.49 Spot Rate : 0.2400 Average : 0.1757 YTW SCENARIO |
| GWO.PR.M | Deemed-Retractible | Quote: 25.52 – 25.75 Spot Rate : 0.2300 Average : 0.1668 YTW SCENARIO |