{"id":17072,"date":"2011-11-18T23:29:49","date_gmt":"2011-11-19T03:29:49","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17072"},"modified":"2011-11-18T23:29:49","modified_gmt":"2011-11-19T03:29:49","slug":"november-18-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17072","title":{"rendered":"November 18, 2011"},"content":{"rendered":"

There has been an interesting paper published by John (Xuefeng) Jiang, Mary Harris Stanford and Yuan Xie titled Does it Matter Who Pays for Bond Ratings? Historical Evidence<\/a>:<\/p>\n

We test whether Standard and Poor\u2019s (S&P) assigns higher bond ratings after it switches from investor-pay to issuer-pay fees in 1974. Using Moody\u2019s rating for the same bond as a benchmark, we find that when S&P charges investors and Moody\u2019s charges issuers, S&P\u2019s ratings are lower than Moody\u2019s. Once S&P adopts issuer-pay, its ratings increase and no longer differ from Moody\u2019s. More importantly, S&P only assigns higher ratings for bonds that are subject to greater conflicts of interest, measured by higher expected rating fees or lower credit quality. These findings suggest that the issuer-pay model leads to higher ratings.<\/p><\/blockquote>\n

It was a mildly good day for the Canadian preferred share market, with PerpetualDiscounts up 2bp, FixedResets gaining 4bp and DeemedRetractibles winning 10bp. There were only four entries on the Performance Highlights table, but they were all winners. Volume was extremely low.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0643 %<\/td>\n2,131.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.81 %<\/td>\n4.52 %<\/td>\n28,695<\/td>\n17.25<\/td>\n1<\/td>\n0.0000 %<\/td>\n3,203.7<\/td>\n<\/tr>\n
Floater<\/td>\n3.38 %<\/td>\n3.39 %<\/td>\n156,508<\/td>\n18.72<\/td>\n2<\/td>\n-0.0643 %<\/td>\n2,301.0<\/td>\n<\/tr>\n
OpRet<\/td>\n4.94 %<\/td>\n1.98 %<\/td>\n51,820<\/td>\n1.49<\/td>\n7<\/td>\n0.0493 %<\/td>\n2,489.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.78 %<\/td>\n6.33 %<\/td>\n55,707<\/td>\n5.18<\/td>\n3<\/td>\n0.6955 %<\/td>\n2,537.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0493 %<\/td>\n2,276.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.57 %<\/td>\n-0.61 %<\/td>\n102,124<\/td>\n0.13<\/td>\n13<\/td>\n0.0225 %<\/td>\n2,157.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.30 %<\/td>\n5.31 %<\/td>\n101,968<\/td>\n14.77<\/td>\n17<\/td>\n0.0169 %<\/td>\n2,299.1<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.10 %<\/td>\n2.96 %<\/td>\n225,466<\/td>\n2.49<\/td>\n63<\/td>\n0.0375 %<\/td>\n2,351.1<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.03 %<\/td>\n4.40 %<\/td>\n206,159<\/td>\n3.65<\/td>\n46<\/td>\n0.1035 %<\/td>\n2,223.0<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-18
\nMaturity Price : 22.80
\nEvaluated at bid price : 23.09
\nBid-YTW : 5.80 %<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nDeemed-Retractible<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.55
\nBid-YTW : 4.75 %<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.59
\nBid-YTW : 6.79 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nDeemed-Retractible<\/td>\n1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.46
\nBid-YTW : 6.54 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
SLF.PR.I<\/td>\nFixedReset<\/td>\n54,750<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.63
\nBid-YTW : 4.39 %<\/td>\n<\/tr>\n
RY.PR.R<\/td>\nFixedReset<\/td>\n53,400<\/td>\nScotia crossed 50,000 at 27.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.00
\nBid-YTW : 2.57 %<\/td>\n<\/tr>\n
ENB.PR.B<\/td>\nFixedReset<\/td>\n40,059<\/td>\nRBC crossed 12,000 at 25.40.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-18
\nMaturity Price : 23.26
\nEvaluated at bid price : 25.40
\nBid-YTW : 3.68 %<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetual-Discount<\/td>\n32,876<\/td>\nTD crossed 10,000 at 25.05.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-18
\nMaturity Price : 24.73
\nEvaluated at bid price : 25.04
\nBid-YTW : 5.63 %<\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetual-Discount<\/td>\n32,725<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-18
\nMaturity Price : 24.52
\nEvaluated at bid price : 24.85
\nBid-YTW : 5.47 %<\/td>\n<\/tr>\n
RY.PR.Y<\/td>\nFixedReset<\/td>\n31,621<\/td>\nScotia crossed 25,000 at 27.40.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-11-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.45
\nBid-YTW : 2.68 %<\/td>\n<\/tr>\n
There were 15 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
BMO.PR.P<\/td>\nFixedReset<\/td>\nQuote: 26.87 – 27.18
\nSpot Rate : 0.3100
\nAverage : 0.1843<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.87
\nBid-YTW : 2.97 %<\/td>\n<\/tr>\n

BAM.PR.K<\/td>\nFloater<\/td>\nQuote: 15.50 – 15.94
\nSpot Rate : 0.4400
\nAverage : 0.3345<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-18
\nMaturity Price : 15.50
\nEvaluated at bid price : 15.50
\nBid-YTW : 3.42 %<\/td>\n<\/tr>\n

ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.09 – 23.43
\nSpot Rate : 0.3400
\nAverage : 0.2540<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-18
\nMaturity Price : 22.80
\nEvaluated at bid price : 23.09
\nBid-YTW : 5.80 %<\/td>\n<\/tr>\n

POW.PR.D<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.70 – 24.97
\nSpot Rate : 0.2700
\nAverage : 0.1849<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-18
\nMaturity Price : 24.40
\nEvaluated at bid price : 24.70
\nBid-YTW : 5.11 %<\/td>\n<\/tr>\n

IAG.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.05 – 26.35
\nSpot Rate : 0.3000
\nAverage : 0.2164<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.05
\nBid-YTW : 5.50 %<\/td>\n<\/tr>\n

FTS.PR.G<\/td>\nFixedReset<\/td>\nQuote: 25.70 – 25.97
\nSpot Rate : 0.2700
\nAverage : 0.2111<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-18
\nMaturity Price : 23.88
\nEvaluated at bid price : 25.70
\nBid-YTW : 3.44 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

There has been an interesting paper published by John (Xuefeng) Jiang, Mary Harris Stanford and Yuan Xie titled Does it Matter Who Pays for Bond Ratings? Historical Evidence: We test whether Standard and Poor\u2019s (S&P) …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-17072","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17072","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=17072"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17072\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17072"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17072"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17072"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}