September 2, 2009

The Boston Fed has prepared a foreclosure & house-price graphic for Massachussets:

This interactive graphic, showing changing patterns in foreclosure
rates and subprime mortgage originations across Massachusetts cities and towns since 1990 and their association with house-price changes, has been updated with 2008 data and enhanced with a new set of maps displaying the changing pattern of house-price changes from 1990 to 2008.

The slow pullback in the preferred share market continued, with PerpetualDiscounts losing 17bp and FixedResets down 7bp on the day. PerpetualDiscounts closed yielding 5.73%, equivalent to 8.02% interest at the standard equivalency factor of 1.4x. Long corporates now yield about 5.9%, so the pre-tax interest-equivalent spread is now roughly 210bp, up 10bp from August 31.

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 -0.4003 % 1,440.8
FixedFloater 5.88 % 4.14 % 60,667 18.41 1 -2.6316 % 2,612.5
Floater 2.53 % 2.15 % 32,514 22.07 4 -0.4003 % 1,800.0
OpRet 4.86 % -11.31 % 128,074 0.09 15 -0.1249 % 2,279.0
SplitShare 6.44 % 6.60 % 1,204,317 4.08 2 -0.4204 % 2,052.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1249 % 2,084.0
Perpetual-Premium 5.76 % 5.43 % 153,077 2.59 12 -0.5180 % 1,880.2
Perpetual-Discount 5.69 % 5.73 % 192,819 14.33 59 -0.1668 % 1,806.1
FixedReset 5.50 % 4.06 % 476,566 4.10 40 -0.0748 % 2,103.6
Performance Highlights
Issue Index Change Notes
BAM.PR.G FixedFloater -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-02
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 4.14 %
GWO.PR.G Perpetual-Discount -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-02
Maturity Price : 22.27
Evaluated at bid price : 22.42
Bid-YTW : 5.80 %
ENB.PR.A Perpetual-Premium -2.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2009-10-02
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 2.77 %
SLF.PR.D Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-02
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 5.77 %
BAM.PR.I OpRet -1.46 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-12-30
Maturity Price : 25.00
Evaluated at bid price : 25.64
Bid-YTW : 5.12 %
BMO.PR.J Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-02
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.49 %
RY.PR.W Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-02
Maturity Price : 22.34
Evaluated at bid price : 22.50
Bid-YTW : 5.48 %
RY.PR.H Perpetual-Premium -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-23
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 5.36 %
BAM.PR.K Floater -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-02
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 3.21 %
TD.PR.Q Perpetual-Premium -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-02
Maturity Price : 24.81
Evaluated at bid price : 25.04
Bid-YTW : 5.65 %
W.PR.J Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-02
Maturity Price : 23.86
Evaluated at bid price : 24.11
Bid-YTW : 5.89 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.P FixedReset 105,025 RBC crossed 100,000 at 26.04.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 3.87 %
BNS.PR.O Perpetual-Premium 65,030 RBC crossed 62,000 at 25.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-26
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.63 %
MFC.PR.E FixedReset 63,160 RBC crossed 50,000 at 26.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-19
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.27 %
BAM.PR.N Perpetual-Discount 58,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-02
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 6.64 %
RY.PR.Y FixedReset 38,670 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-24
Maturity Price : 25.00
Evaluated at bid price : 27.55
Bid-YTW : 4.03 %
BAM.PR.B Floater 32,265 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-02
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 3.21 %
There were 34 other index-included issues trading in excess of 10,000 shares.

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