May 11, 2009

About a year ago, there were wild claims being made (e.g., Naked Capitalism) that grading US municipalities on a global scale would bring about Nirvana and the end of useless and expensive municipal bond insurance. It turns out – surprise, surprise – that despite the changes, there are still credit differences between municipalities and the weaker credits still need insurance to flog their bonds:

An early contender to replace them, Warren Buffett’s Berkshire Hathaway Assurance Corp., was downgraded to Aa1 by Moody’s Investors Service in April. The billionaire investor in February called tax-exempt bond guarantees “a dangerous business.” His firm insured $3.3 billion in issues last year, ranking third in the industry.

Buffett’s warning isn’t stopping Macquarie Group Ltd., Australia’s biggest securities firm, from backing a new guarantor: Municipal and Infrastructure Assurance Corp. plans to sell its first policy by July, said Richard E. Kolman, the New York-based startup’s executive vice chairman.

“It is surprising to find that municipal bond insurance is anything but moribund in the early going in 2009,” wrote Philip J. Fischer, a Merrill Lynch & Co. municipal strategist in New York, in an April 6 report.

The overall market price changes were minimal today, although volume continued strong. It was most interesting to see that FixedResets were shut out of the volume-leaders table … that hasn’t happened in a while!

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 0.4548 % 1,056.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4548 % 1,708.4
Floater 3.57 % 4.32 % 75,787 16.73 3 0.4548 % 1,319.8
OpRet 5.07 % 4.23 % 134,065 3.66 15 -0.0425 % 2,146.7
SplitShare 6.01 % 7.15 % 46,712 4.26 3 1.1971 % 1,785.7
Interest-Bearing 6.00 % 6.73 % 27,975 0.62 1 0.4016 % 1,987.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0259 % 1,687.4
Perpetual-Discount 6.48 % 6.56 % 151,446 13.14 71 0.0259 % 1,554.1
FixedReset 5.75 % 4.96 % 511,158 4.52 36 0.1452 % 1,969.9
Performance Highlights
Issue Index Change Notes
BMO.PR.H Perpetual-Discount -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 21.63
Evaluated at bid price : 21.63
Bid-YTW : 6.15 %
POW.PR.D Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 6.70 %
BAM.PR.J OpRet -1.67 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 21.14
Bid-YTW : 8.01 %
PWF.PR.F Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.75 %
CM.PR.J Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.65 %
BMO.PR.O FixedReset -1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-24
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 5.39 %
POW.PR.A Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 6.92 %
BMO.PR.J Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 6.14 %
TRI.PR.B Floater 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 2.69 %
PWF.PR.E Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.60 %
TD.PR.I FixedReset 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-30
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 4.90 %
NA.PR.N FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 25.34
Evaluated at bid price : 25.39
Bid-YTW : 4.17 %
BMO.PR.K Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.31 %
CM.PR.A OpRet 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2009-06-10
Maturity Price : 25.50
Evaluated at bid price : 25.86
Bid-YTW : -9.75 %
HSB.PR.C Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 6.64 %
CM.PR.G Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 6.87 %
TD.PR.Y FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 24.43
Evaluated at bid price : 24.48
Bid-YTW : 4.01 %
GWO.PR.H Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 6.70 %
MFC.PR.C Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 6.42 %
PWF.PR.G Perpetual-Discount 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 6.69 %
GWO.PR.G Perpetual-Discount 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 6.91 %
BNA.PR.C SplitShare 3.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 14.00
Bid-YTW : 12.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.M OpRet 201,300 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-10-30
Maturity Price : 25.00
Evaluated at bid price : 25.91
Bid-YTW : 3.86 %
CM.PR.A OpRet 144,676 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2009-06-10
Maturity Price : 25.50
Evaluated at bid price : 25.86
Bid-YTW : -9.75 %
MFC.PR.B Perpetual-Discount 110,096 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 6.53 %
BNS.PR.N Perpetual-Discount 108,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 21.35
Evaluated at bid price : 21.66
Bid-YTW : 6.10 %
GWO.PR.G Perpetual-Discount 64,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 6.91 %
RY.PR.D Perpetual-Discount 63,890 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-11
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 6.26 %
There were 34 other index-included issues trading in excess of 10,000 shares.

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