Moody’s notes that its accuracy ratio has declined:
Moody’s ratings performance has deteriorated sharply from the elevated levels seen in recent years. The deterioration is primarily driven by investment grade defaults that include multiple affiliates of Lehman Brothers and Washington Mutual. The one-year horizon “accuracy ratio” (AR) was 78.7% in the third quarter relative to 94.7% a year ago. This sharp decline in performance is similar to that observed in previous downturns that were marked by a sudden surge in the aggregate default rate. The investment grade default rate at 0.12%, while above its historical average of 0.05%, is currently below the 0.5% observed at the peak of the previous downturn in
2000-2002.
Accrued Interest takes exception to Moody’s negative views on the Financial Guarantee business.
What a day! The TXPR index was down 5.94% on the BCE news.
| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30. The Fixed-Reset index was added effective 2008-9-5 at that day’s closing value of 1,119.4 for the Fixed-Floater index. |
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| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | N/A | N/A | N/A | N/A | 0 | N/A | N/A |
| Fixed-Floater | 6.77% | 7.12% | 76,841 | 13.53 | 6 | -25.0084% | 776.5 |
| Floater | 9.15% | 9.39% | 57,533 | 9.94 | 2 | +1.7664% | 386.5 |
| Op. Retract | 5.46% | 8.02% | 137,799 | 3.87 | 15 | -0.8053% | 975.9 |
| Split-Share | 7.67% | 16.26% | 67,294 | 3.69 | 12 | +0.2993% | 804.8 |
| Interest Bearing | 9.26% | 19.99% | 59,358 | 2.99 | 3 | +3.7771% | 787.9 |
| Perpetual-Premium | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Perpetual-Discount | 8.49% | 8.63% | 185,439 | 10.80 | 71 | -0.8010% | 647.7 |
| Fixed-Reset | 6.07% | 5.68% | 968,924 | 14.14 | 12 | -1.3168% | 979.2 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.Z | FixFloat | -28.8889% | |
| BCE.PR.Y | Ratchet | -28.6423% | |
| BCE.PR.I | FixFloat | -28.2174% | |
| BCE.PR.G | FixFloat | -26.8603% | |
| BCE.PR.C | FixFloat | -24.5725% | |
| BCE.PR.R | FixFloat | -22.1333% | |
| BCE.PR.A | FixFloat | +4.7619% | |
| BAM.PR.J | OpRet | -11.3715% | Now with a pre-tax bid-YTW of 15.80% based on a bid of 12.86 and a softMaturity 2018-3-30 at 25.00. Closing quote of 12.86-52, 3×5. Day’s range of 12.85-50. |
| BNA.PR.C | SplitShare | -10.0000% | Asset coverage of 1.7-:1 based on BAM.A at 17.21 and 2.4 BAM.A / unit. Now with a pre-tax bid-YTW of 18.77% based on a bid of 9.00 and a hardMaturity 2019-1-10 at 25.00. Closing quote 9.00-9.69, 2×3. Day’s range of 9.00-10.00. |
| CIU.PR.A | PerpetualDiscount | -10.0000% | Now with a pre-tax bid-YTW of 8.32% based on a bid of 13.95 and a limitMaturity. Closing quote 13.95-00, 1×75. Day’s range of 14.00-15.25. |
| POW.PR.A | PerpetualDiscount | -9.9493% | Now with a pre-tax bid-YTW of 10.09% based on a bid of 14.21 and a limitMaturity. Closing quote 14.21-15.74 (!), 3×2. Day’s range of 13.82-15.75. |
| CL.PR.B | PerpetualDiscount | -6.6793% | Now with a pre-tax bid-YTW of 8.12% based on a bid of 19.70 and a limitMaturity. Closing quote 19.70-28, 3×3. Day’s range of 19.50-21.50 (!). |
| BNA.PR.B | SplitShare | -6.6250% | See BNA.PR.C, above. Now with a pre-tax bid-YTW of 13.95% based on a bid of 14.94 and a hardMaturity 2016-3-25 at 25.00. Closing quote of 14.94-15.99 (!), 4×1. Day’s range of 14.93-16.99 (!). |
| BNS.PR.Q | FixedReset | -6.4731% | |
| BNS.PR.P | FixedReset | -5.6180% | |
| PWF.PR.G | PerpetualDiscount | -5.5556% | Now with a pre-tax bid-YTW of 8.83% based on a bid of 17.00 and a limitMaturity. Closing quote 17.00-93, 1×12. Day’s range of 16.90-18.00. |
| LBS.PR.A | SplitShare | -5.5215% | Asset coverage of 1.3+:1 as of November 20, according to Brompton Group. Now with a pre-tax bid-YTW of 17.32% based on a bid of 6.16 and a hardMaturity 2013-11-29 at 10.00. Closing quote of 6.16-50, 35×2. Day’s range of 5.76-52. |
| BAM.PR.B | Floater | -5.0633% | |
| POW.PR.D | PerpetualDiscount | +5.4545% | Now with a pre-tax bid-YTW of 8.81% based on a bid of 14.50 and a limitMaturity. Closing quote 14.50-87, 6×3. Day’s range of 13.75-51. |
| FTN.PR.A | SplitShare | +6.5467% | Asset coverage of 1.7-:1 as of November 14, according to the company. Now with a pre-tax bid-YTW of 12.59% based on a bid of 6.69 and a hardMaturity 2015-12-1 at 10.00. Closing quote of 6.69-23, 32×5. Day’s range of 6.15-7.25. |
| FIG.PR.A | +7.3171% | InterestBearing | Asset coverage of 1.1-:1 as of November 25, according to the Capital unit NAV of 1.39 and 0.71 Capital Units per preferred. Now with a pre-tax bid-YTW of 15.43% based on a bid of 6.60 and a hardMaturity 2014-12-31 at 10.00. Closing quote of 6.60-74, 4×1. Day’s range of 6.12-60 |
| BAM.PR.K | Floater | +8.3333% | |
| LFE.PR.A | SplitShare | +12.1616% | Asset coverage of 1.6-:1 as of November 14 according to the company. Now with a pre-tax bid-YTW of 15.70% based on a bid of 7.00 and a hardMaturity 2012-12-1 at 10.00. Closing quote of 7.00-24, 189×1. Day’s range of 6.52-25. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| NSI.PR.C | Scraps (would be OpRet, but there are volume concerns) | 241,600 | Nesbitt crossed 39,200 at 25.05 the CIBC crossed blocks of 178,400 & 21,600 at the same price. Now with a pre-tax bid-YTW of 4.96% based on a bid of 25.00 and optionCertainty 2038-11-26 at 24.75. |
| CGI.PR.B | Scraps | 202,700 | CIBC crossed 192,000 at 22.70. Now with a pre-tax bid-YTW of 6.73% based on a bid of 22.70 and a softMaturity 2014-3-14 at 25.00. |
| L.PR.A | Scraps (would be OpRet but there are credit concerns) | 149,695 | TD crossed 137,400 at 21.80. Now with a pre-tax bid-YTW of 8.70% based on a bid of 21.76 and a softMaturity 2015-7-30 at 25.00 |
| SLF.PR.C | PerpetualDiscount | 121,050 | CIBC crossed 100,000 at 12.50. Now with a pre-tax bid-YTW of 8.88% based on a bid of 12.55 and a limitMaturity. |
| SLF.PR.D | PerpetualDiscount | 117,909 | CIBC crossed 100,000 at 12.40. Now with a pre-tax bid-YTW of 9.07% based on a bid of 12.30 and a limitMaturity. |
| WN.PR.B | Scraps (would be OpRet but there are credit concerns) | 112,200 | Desjardins crossed 50,000 at 25.10, then CIBC crossed 50,000 at the same price. Now with a pre-tax bid-YTW of 6.59% based on a bid of 25.00 and optionCertainty 2009-6-30 | TD.PR.M | OpRet | 101,710 | CIBC bought 97,500 from Desjardins at 25.36. Now with a pre-tax bid-YTW of 4.47% based on a bid of 25.36 and a softMaturity 2013-10-30 at 25.00. |
| TCA.PR.Y | PerpetualDiscount | 83,562 | National crossed 80,000 at 42.25. Now with a pre-tax bid-YTW of 6.84% based on a bid of 41.51 and a limitMaturity. |
| SBC.PR.A | SplitShare | 180,072 | DIBC crossed 103,600 at 7.10, Desjardins crossed 70,000 at 7.02. Now with a pre-tax bid-YTW of 15.84% based on a bid of 7.03 and a hardMaturity 2012-11-30. |
There were sixty other index-included $25-pv-equivalent issues trading over 10,000 shares today.