Connecticut is claiming that its pension fund portfolio managers are a pack of incompetent time-servers:
Connecticut plans to join Ohio in suing Standard & Poor’s, Moody’s Corp. and Fitch Ratings for their “negligent, reckless and incompetent work” in grading investments made by state pension funds, according to Attorney General Richard Blumenthal.
Connecticut and “a number of other states” are preparing legal action against the credit-rating companies, Blumenthal said today in a Bloomberg Television interview. Ohio Attorney General Richard Cordray sued the debt raters this month on behalf of five Ohio public employee retirement and pension funds, saying “improper” ratings cost the funds more than $457 million.
Geez, you know, sometimes I think I’d like to be a portfolio manager at a big firm. Nothing to do all day but suck arse and pass the blame …
The PerpetualDiscount winning streak came to an end today, albeit just barely. Its last down day was October 28, as it then rose for nineteen consecutive days, gaining 2.99% as yields fell from 6.05% to 5.88% (quick check: 299bp total return with 6.05% yield for 27 days including weekends implies price change of 299-45 = 254bp, on 17bp yield change, implies Modified Duration of 14.94 years, which in turn implies a yield of 6.69%. Well … close enough. I’m ignoring convexity and discussing an index, after all).
Anyway, PerpetualDiscounts now yield 5.90%, equivalent to 8.26% interest at the standard equivalency factor of 1.4x. Long Corporates now yield about 5.9%, so the pre-tax interest-equivalent spread (also called the seniority spread, around here, anyway) is now about 235bp, a modest but welcome tightening from the 240bp reported on November 19.
| 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 | 0.1094 % | 1,509.4 |
| FixedFloater | 6.06 % | 4.17 % | 42,240 | 18.58 | 1 | 0.2793 % | 2,571.6 |
| Floater | 2.58 % | 3.02 % | 92,864 | 19.63 | 3 | 0.1094 % | 1,885.6 |
| OpRet | 4.80 % | -7.86 % | 123,040 | 0.09 | 14 | 0.1337 % | 2,309.5 |
| SplitShare | 6.34 % | -7.34 % | 321,361 | 0.08 | 2 | 0.2190 % | 2,119.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1337 % | 2,111.8 |
| Perpetual-Premium | 5.88 % | 5.55 % | 124,199 | 2.39 | 4 | 0.0000 % | 1,870.9 |
| Perpetual-Discount | 5.83 % | 5.90 % | 184,213 | 14.02 | 70 | -0.0091 % | 1,780.8 |
| FixedReset | 5.45 % | 3.85 % | 389,623 | 3.92 | 41 | 0.1007 % | 2,144.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.E | FixedReset | -1.44 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 26.61 Bid-YTW : 4.09 % |
| MFC.PR.C | Perpetual-Discount | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-25 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 5.96 % |
| SLF.PR.C | Perpetual-Discount | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-25 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 5.95 % |
| POW.PR.D | Perpetual-Discount | 1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-25 Maturity Price : 21.52 Evaluated at bid price : 21.52 Bid-YTW : 5.90 % |
| MFC.PR.A | OpRet | 1.74 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2010-07-19 Maturity Price : 26.25 Evaluated at bid price : 26.35 Bid-YTW : 2.93 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.D | FixedReset | 168,431 | Nesbitt crossed 100,000 at 27.70; Scotia crossed 26,900 at the same price; TD crossed 11,000 at the same price again. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 27.70 Bid-YTW : 3.98 % |
| BNS.PR.N | Perpetual-Discount | 82,790 | RBC crossed 75,700 at 23.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-25 Maturity Price : 23.18 Evaluated at bid price : 23.35 Bid-YTW : 5.68 % |
| CM.PR.D | Perpetual-Discount | 72,100 | RBC crossed 63,300 at 24.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-25 Maturity Price : 23.96 Evaluated at bid price : 24.29 Bid-YTW : 5.97 % |
| TRP.PR.A | FixedReset | 58,355 | Nesbitt sold 10,000 to anonymous at 25.80. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.79 Bid-YTW : 4.08 % |
| BMO.PR.J | Perpetual-Discount | 53,395 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-25 Maturity Price : 20.14 Evaluated at bid price : 20.14 Bid-YTW : 5.62 % |
| ELF.PR.F | Perpetual-Discount | 51,400 | Scotia crossed 50,000 at 20.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-25 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.72 % |
| There were 36 other index-included issues trading in excess of 10,000 shares. | |||