US Municipal defaults are not at record levels, but still high:
Municipal bond defaults soared past $4 billion for the year through the end of September, driven partly by the bursting of the real estate bubble, according to the Distressed Debt Securities Newsletter.
There were 137 defaults totaling $4.2 billion in the period, including more than $1 billion in the third quarter, according to the Miami Lakes, Florida-based newsletter. The pace trails the 12-month record of 2008, when there were 150 defaults totaling $7.8 billion, including a $3.8 billion sewer bond issue by Jefferson County, Alabama, according to the newsletter.
One is tempted to call this a good day, with PerpetualDiscounts losing only 7bp, while FixedResets lost 11bp! Volume was very good, with over 50 issues trading in excess of 10,000 shares and seven issues trading in excess of 100,000 shares – only four of them FixedResets. Some good volatility as well, with a fair number of names in the performance highlights.
PerpetualDiscounts closed yielding 6.01%, equivalent to 8.41% interest at the standard equivalency factor of 1.4x. Long Corporates are close as dammit to 6.0% so the pre-tax interest-equivalent spread is now about 240bp, a slight increase from the 235bp recorded October 7.
| 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 | -0.2441 % | 1,483.3 |
| FixedFloater | 5.96 % | 4.10 % | 44,524 | 18.73 | 1 | -2.6133 % | 2,616.0 |
| Floater | 2.63 % | 3.04 % | 109,730 | 19.63 | 3 | -0.2441 % | 1,853.1 |
| OpRet | 4.90 % | -3.98 % | 126,357 | 0.09 | 15 | 0.0360 % | 2,280.3 |
| SplitShare | 6.44 % | 6.50 % | 626,833 | 3.97 | 2 | 0.0222 % | 2,054.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0360 % | 2,085.1 |
| Perpetual-Premium | 5.91 % | 5.93 % | 147,438 | 13.95 | 11 | 0.1178 % | 1,848.4 |
| Perpetual-Discount | 5.93 % | 6.01 % | 222,950 | 13.94 | 62 | -0.0737 % | 1,746.5 |
| FixedReset | 5.52 % | 4.20 % | 462,475 | 4.03 | 41 | -0.1126 % | 2,105.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.G | FixedFloater | -2.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-14 Maturity Price : 25.00 Evaluated at bid price : 18.26 Bid-YTW : 4.10 % |
| CM.PR.G | Perpetual-Discount | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-14 Maturity Price : 22.13 Evaluated at bid price : 22.27 Bid-YTW : 6.08 % |
| ELF.PR.G | Perpetual-Discount | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-14 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 6.68 % |
| GWO.PR.I | Perpetual-Discount | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-14 Maturity Price : 18.52 Evaluated at bid price : 18.52 Bid-YTW : 6.14 % |
| GWO.PR.G | Perpetual-Discount | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-14 Maturity Price : 21.33 Evaluated at bid price : 21.33 Bid-YTW : 6.16 % |
| NA.PR.O | FixedReset | -1.35 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-17 Maturity Price : 25.00 Evaluated at bid price : 27.13 Bid-YTW : 4.39 % |
| NA.PR.P | FixedReset | -1.34 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-17 Maturity Price : 25.00 Evaluated at bid price : 27.15 Bid-YTW : 4.38 % |
| PWF.PR.F | Perpetual-Discount | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-14 Maturity Price : 21.56 Evaluated at bid price : 21.56 Bid-YTW : 6.11 % |
| IGM.PR.A | OpRet | 1.04 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2009-11-13 Maturity Price : 26.00 Evaluated at bid price : 27.22 Bid-YTW : -42.48 % |
| SLF.PR.A | Perpetual-Discount | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-14 Maturity Price : 19.88 Evaluated at bid price : 19.88 Bid-YTW : 6.03 % |
| HSB.PR.D | Perpetual-Discount | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-14 Maturity Price : 21.37 Evaluated at bid price : 21.65 Bid-YTW : 5.82 % |
| POW.PR.D | Perpetual-Discount | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-14 Maturity Price : 20.82 Evaluated at bid price : 20.82 Bid-YTW : 6.05 % |
| PWF.PR.L | Perpetual-Discount | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-14 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 6.07 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.G | FixedReset | 423,315 | TD crossed two blocks of 200,000 each at 27.33. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.31 Bid-YTW : 4.05 % |
| BAM.PR.K | Floater | 219,700 | RBC crossed 200,000 at 13.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-14 Maturity Price : 12.95 Evaluated at bid price : 12.95 Bid-YTW : 3.06 % |
| RY.PR.R | FixedReset | 212,866 | Nesbitt crossed 200,000 at 27.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.64 Bid-YTW : 3.89 % |
| PWF.PR.L | Perpetual-Discount | 172,766 | National crossed 100,000 at 21.15, then RBC crossed 67,000 at 21.18. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-14 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 6.07 % |
| TRP.PR.A | FixedReset | 114,305 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 4.46 % |
| PWF.PR.I | Perpetual-Premium | 109,916 | National crossed 100,000 at 25.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-05-30 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 6.01 % |
| PWF.PR.M | FixedReset | 100,900 | Nesbitt crossed 100,000 at 26.80. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-02 Maturity Price : 25.00 Evaluated at bid price : 26.80 Bid-YTW : 4.14 % |
| There were 50 other index-included issues trading in excess of 10,000 shares. | |||