The Fed has released its financial statements and Bloomberg notes:
its most detailed breakdown to date on the types of assets it accepted from Bear Stearns Cos. a year ago and the cause of losses on the portfolio.
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The biggest losses in the $25.7 billion portfolio of Bear Stearns assets as of the end of last year came from commercial and residential mortgages.
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The Fed wrote down the value of commercial mortgage holdings by 28 percent to $5.6 billion and residential loans by 38 percent to $937 million as of Dec. 31, the central bank said in a report today.
The Fed refers to table 4 in the the current H.4.1 report:
| Account name | Apr 15, 2009 |
| Portfolio holdings of Maiden Lane LLC (1) | 26,439 |
| Outstanding principal amount of loan extended by the Federal Reserve Bank of New York (2) | 28,820 |
| Accrued interest payable to the Federal Reserve Bank of New York (2) | 309 |
| Outstanding principal amount and accrued interest on loan payable to JPMorgan Chase & Co. (3) | 1,205 |
| 1. Fair value. Fair value reflects an estimate of the price that would be received upon selling an asset if the transaction were to be conducted in an orderly market on the measurement date. Revalued quarterly. This table reflects valuations as of December 31, 2008. Any assets purchased after this valuation date are initially recorded at cost until their estimated fair value as of the purchase date becomes available.
2. Book value. This amount was eliminated when preparing the Federal Reserve Bank of New York’s statement of condition consistent with consolidation under generally accepted accounting principles. Refer to the note on consolidation accompanying table 10. 3. Book value. The fair value of these obligations is included in other liabilities and capital in table 1 and in other liabilities and accrued dividends in table 9 and table 10. |
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The unconsolidated financials of Maiden Lane have been published. The losses have been divided up as: $3.4-billion Fed; $1.2-billion JPM. That wipes out JPM’s subordinated loan to Maiden Lane, assuming there is no recovery.
PerpetualDiscounts fell slightly today, but FixedResets continued to impress on a day reduced, but still rather good, volume. The former now yield an average of 6.84%, equivalent to 9.58% interest at the standard equivalency factor of 1.4x, while long corporates now yield 7.4%; thus, the pre-tax interest-equivalent spread is 218bp; in what we may call the “Credit-Crisis-but-not-Apocalyptic-Panic” zone.
| 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 | 2.5176 % | 976.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 2.5176 % | 1,578.7 |
| Floater | 4.50 % | 4.53 % | 69,119 | 16.36 | 2 | 2.5176 % | 1,219.5 |
| OpRet | 5.09 % | 4.08 % | 145,028 | 3.86 | 15 | 0.2141 % | 2,138.8 |
| SplitShare | 6.65 % | 8.41 % | 47,344 | 5.63 | 3 | 0.0171 % | 1,738.3 |
| Interest-Bearing | 6.12 % | 9.17 % | 26,412 | 0.66 | 1 | 0.0000 % | 1,949.5 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1585 % | 1,630.9 |
| Perpetual-Discount | 6.70 % | 6.84 % | 145,283 | 12.79 | 71 | -0.1585 % | 1,502.0 |
| FixedReset | 5.91 % | 5.22 % | 662,652 | 4.56 | 35 | 0.3743 % | 1,910.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.E | Perpetual-Discount | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 15.91 Evaluated at bid price : 15.91 Bid-YTW : 7.17 % |
| CM.PR.I | Perpetual-Discount | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 6.90 % |
| HSB.PR.C | Perpetual-Discount | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 18.78 Evaluated at bid price : 18.78 Bid-YTW : 6.88 % |
| RY.PR.B | Perpetual-Discount | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 6.35 % |
| CIU.PR.A | Perpetual-Discount | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 18.02 Evaluated at bid price : 18.02 Bid-YTW : 6.50 % |
| BMO.PR.J | Perpetual-Discount | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 18.03 Evaluated at bid price : 18.03 Bid-YTW : 6.36 % |
| MFC.PR.C | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 16.61 Evaluated at bid price : 16.61 Bid-YTW : 6.88 % |
| HSB.PR.D | Perpetual-Discount | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 7.20 % |
| CM.PR.P | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 19.98 Evaluated at bid price : 19.98 Bid-YTW : 6.93 % |
| W.PR.H | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 20.06 Evaluated at bid price : 20.06 Bid-YTW : 6.93 % |
| BNA.PR.C | SplitShare | -1.00 % | Asset coverage of 1.7+:1 as of March 31 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 12.85 Bid-YTW : 13.74 % |
| CM.PR.L | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 26.11 Bid-YTW : 5.50 % |
| CM.PR.K | FixedReset | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 23.72 Evaluated at bid price : 23.76 Bid-YTW : 4.58 % |
| RY.PR.P | FixedReset | 1.16 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.06 Bid-YTW : 5.17 % |
| RY.PR.I | FixedReset | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 23.92 Evaluated at bid price : 23.96 Bid-YTW : 4.18 % |
| BAM.PR.O | OpRet | 1.24 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 6.68 % |
| POW.PR.C | Perpetual-Discount | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 7.06 % |
| POW.PR.B | Perpetual-Discount | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 19.06 Evaluated at bid price : 19.06 Bid-YTW : 7.09 % |
| TD.PR.Y | FixedReset | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 23.24 Evaluated at bid price : 23.30 Bid-YTW : 4.12 % |
| 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 : 21.35 Bid-YTW : 7.80 % |
| W.PR.J | Perpetual-Discount | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 6.88 % |
| BAM.PR.B | Floater | 2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 8.75 Evaluated at bid price : 8.75 Bid-YTW : 4.54 % |
| BAM.PR.K | Floater | 2.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 8.76 Evaluated at bid price : 8.76 Bid-YTW : 4.53 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.D | FixedReset | 42,568 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 25.76 Bid-YTW : 6.15 % |
| GWO.PR.I | Perpetual-Discount | 30,850 | TD crossed 10,000 at 16.10, then another 13,900 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 7.11 % |
| TD.PR.K | FixedReset | 28,975 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 5.57 % |
| TD.PR.E | FixedReset | 25,130 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 26.15 Bid-YTW : 5.22 % |
| RY.PR.X | FixedReset | 24,124 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 5.63 % |
| GWO.PR.G | Perpetual-Discount | 22,854 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-23 Maturity Price : 18.54 Evaluated at bid price : 18.54 Bid-YTW : 7.11 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||