Archive for the ‘Index Construction / Reporting’ Category

16Q2 TXPR Revision

Friday, April 1st, 2016

S&P Dow Jones Indices Canadian Index Operations has announced:

the following index changes as a result of the quarterly S&P/TSX Preferred Share Index Review. These changes will be effective at the open on Monday, April 18, 2016.

S&P/TSX PREFERRED SHARE INDEX – ADDITIONS
Symbol Issue Name CUSIP
BNS.PR.G BANK OF NOVA SCOTIA PR SER 36 064151 20 2
BIP.PR.B BROOKFIELD INFRASTRUCTURE PARTNR LP A PR SR 3 G16252 14 3
BPO.PR.H BROOKFIELD OFFICE PROP INC. CL AAA PR SER ‘H’ 112900 80 8
BPO.PR.K BROOKFIELD OFFICE PROP INC. CL AAA PR SER ‘K’ 112900 86 5
EML.PR.A EMPIRE LIFE INSURANCE COMPANY (THE) SER 1 PR 291839 20 7
LB.PR.J LAURENTIAN BANK OF CANADA CL’A’ PR SER 15 51925D 79 1
MFC.PR.O MANULIFE FINANCIAL CORP NN-CM CL 1 PR SER 21 56501R 65 0
NA.PR.X NATIONAL BANK OF CANADA 5-YR 1ST PR SER ’34’ 633067 26 9
PPL.PR.K PEMBINA PIPELINE CORPORATION CL ‘A’ PR SER 11 706327 87 1
RY.PR.R ROYAL BANK OF CANADA 1ST PR SER BM 78013N 27 4
TD.PF.G TORONTO-DOMINION BANK(THE)CL ‘A’1ST PR SER 12 891145 57 5
W.PR.K WESTCOAST ENERGY INC. 5-YR 1ST PR SER ’10’ 95751D 84 7

S&P/TSX PREFERRED SHARE INDEX – DELETIONS
Symbol Issue Name CUSIP
AQN.PR.D ALGONQUIN POWER & UTILITIES CORP. SER ‘D’ PR 015857 50 1
BCE.PR.A BCE INC. 1ST PR SERIES ‘AA’ 05534B 79 4
CU.PR.F CANADIAN UTILITIES LIMITED 2ND PR SER ‘CC’ 136717 65 9
POW.PR.D POWER CORPORATION OF CANADA 5.00% SER ‘D’ PR 739239 86 1
SLF.PR.G SUN LIFE FINANCIAL INC. CLASS ‘A’ PR SER 8R 866796 88 1
TD.PR.Z TORONTO-DOMINION BANK(THE) FLTG RT PR SER Z 891145 71 6

TXPR / TXPL Quarterly Rebalancing: April 2015

Thursday, April 2nd, 2015

S&P Dow Jones Indices Canadian Index Operations has announced:

the following index changes as a result of the quarterly S&P/TSX Preferred Share Index and S&P/TSX Preferred Share Laddered Index Reviews. These changes will be effective at the open on Monday, April 20, 2015.

S&P/TSX Preferred Share Index
ADDITIONS
Symbol Issue Name CUSIP
BIP.PR.A BROOKFIELD INFRASTRUCTURE 4.50% CL A PR SERIES 1 G16252 12 7
CM.PR.Q CIBC 3.60% CLASS A PR SERIES 43 136069 39 0
FFH.PR.M FAIRFAX FINANCIAL HLDG 4.75% PR SERIES M 303901 79 7
HSB.PR.C HSBC BANK CANADA CL 1 NON-CUMULATIVE SER C PR 40427H 50 9
HSE.PR.E HUSKY ENERGY INC 4.50% PR SERIES 5 448055 60 8
LB.PR.F LAURENTIAN BANK OF CANADA PR’A’ SERIES 11 51925D 84 1
RY.PR.J ROYAL BANK OF CANADA 1ST PR NVCC SER ‘BD’ 78012Q 11 2
RY.PR.M ROYAL BANK OF CANADA 1ST PR NVCC SER ‘BF’ 78012T 47 0
TD.PF.D TORONTO-DOMINION BANK CLASS A 1ST PR SER 7 891145 63 3
TRP.PR.F TRANSCANADA CORPORATION 1ST PR SERIES ‘2’ 89353D 30 5
TRP.PR.G TRANSCANADA CORPORATION 1ST PR SERIES ’11’ 89353D 84 2
DELETIONS
Symbol Issue Name CUSIP
CU.PR.E CANADIAN UTILITIES LIMITED 2ND PR SER ‘BB’ 136717 66 7
FTS.PR.F FORTIS INC. 1ST PR SERIES ‘F’ 349553 86 7
POW.PR.A POWER CORPORATION OF CANADA 5.60% SER ‘A’ PR 739239 88 7
PWF.PR.L POWER FINANCIAL CORP. 5.10% SERIES ‘L’ 1ST PR 73927C 82 9
S&P/TSX Preferred Share Laddered Index
ADDITIONS
Symbol Issue Name CUSIP
BIP.PR.A BROOKFIELD INFRASTRUCTURE 4.50% CL A PR SERIES 1 G16252 12 7
CM.PR.Q CIBC 3.60% CLASS A PR SERIES 43 136069 39 0
FFH.PR.M FAIRFAX FINANCIAL HLDG 4.75% PR SERIES M 303901 79 7
HSE.PR.E HUSKY ENERGY INC 4.50% PR SERIES 5 448055 60 8
RY.PR.J ROYAL BANK OF CANADA 1ST PR NVCC SER ‘BD’ 78012Q 11 2
RY.PR.M ROYAL BANK OF CANADA 1ST PR NVCC SER ‘BF’ 78012T 47 0
TD.PF.D TORONTO-DOMINION BANK CLASS A 1ST PR SER 7 891145 63 3
TRP.PR.G TRANSCANADA CORPORATION 1ST PR SERIES ’11’ 89353D 84 2
DELETIONS
Symbol Issue Name CUSIP
GMP.PR.B GMP CAPITAL INC. 5-YR RST SER ‘B’ PR 380134 20 5

TXPR / TXPL Quarterly Rebalancing: January 2015

Monday, January 12th, 2015

S&P Dow Jones Indices Canadian Index Operations has announcedthe following index changes as a result of the quarterly S&P/TSX Preferred Share Index and S&P/TSX Preferred Share Laddered Index Reviews. These changes will be effective at the open on Monday, January 19, 2015.

S&P/TSX Preferred Share Index

ADDITIONS

Symbol

Issue Name

CUSIP

BAM.PF.G

BROOKFIELD ASSET MANAGEMENT INC CL A PR SR 42

112585 51 8

BPO.PR.A

BROOKFIELD OFFICE PROP INC CL AAA PR SER ‘AA’

112900 68 3

CM.PR.P

CIBC 3.75% CLASS A PREFERRED SERIES 41

136069 42 4

HSE.PR.C

HUSKY ENERGY INC 4.50% PREFERRED SERIES 3

448055 40 0

MFC.PR.N

MANULIFE FINANCIAL 3.80% CLASS 1 PREFERRED SERIES 19

56501R 67 6

NA.PR.W

NATIONAL BANK OF CANADA 1ST PR SERIES ’32’

633067 28 5

TD.PF.C

TD BANK CLASS A 1ST PREFERRED SERIES 5

891145 65 8

DELETIONS

Symbol

Issue Name

CUSIP

BMO.PR.R

BANK OF MONTREAL FLTG RATE CL ‘B’ PR SER 17

063671 77 0

BNS.PR.A

BANK OF NOVA SCOTIA (THE) PR SERIES ’19’

064149 73 5

BNS.PR.R

BANK OF NOVA SCOTIA (THE)5-YR RESET PR SER 22

064149 69 3

GWO.PR.M

GREAT-WEST LIFECO INC. 5.80% 1ST PR SERIES M

39138C 81 7

L.PR.A

LOBLAW COMPANIES LIMITED 2ND PR SERIES ‘A’

539481 60 6

PWF.PR.I

POWER FINANCIAL CORP. 6% SERIES ‘I’ 1ST PR

73927C 84 5

RY.PR.C

ROYAL BANK OF CANADA 1ST PR SERIES ‘AC’

780102 60 4

TRI.PR.B

THOMSON REUTERS CORPORATION FLTG RATE PR II

884903 30 3

TD.PR.T

TORONTO-DOMINION BANK(THE) FLTG RT PR SER T

891145 72 4

W.PR.H

WESTCOAST ENERGY INC. 5.50% 1ST PR SERIES ‘7’

95751D 88 8

S&P/TSX Preferred Share Laddered Index

ADDITIONS

Symbol

Issue Name

CUSIP

BAM.PF.G

BROOKFIELD ASSET MANAGEMENT INC CL A PR SR 42

112585 51 8

BAM.PF.E

BROOKFIELD ASSET MANAGEMNT INC CL A PR SER 38

112585 55 9

BPO.PR.A

BROOKFIELD OFFICE PROP INC CL AAA PR SER ‘AA’

112900 68 3

CM.PR.P

CIBC 3.75% CLASS A PREFERRED SERIES 41

136069 42 4

EMA.PR.F

EMERA INCORPORATED PR SERIES ‘F’

290876 80 4

ENB.PF.C

ENBRIDGE INC. PR SER ’11’

29250N 59 2

ENB.PF.E

ENBRIDGE INC. PR SER ’13’

29250N 57 6

ENB.PF.G

ENBRIDGE INC. PR SER ’15’

29250N 55 0

HSE.PR.C

HUSKY ENERGY INC. 4.50% PREFERRED SERIES 3

448055 40 0

MFC.PR.N

MANULIFE FINANCIAL 3.80% CLASS 1 PREFERRED SERIES 19

56501R 67 6

NA.PR.W

NATIONAL BANK OF CANADA 1ST PR SERIES ’32’

633067 28 5

TD.PF.C

TD BANK CLASS A 1ST PREFERRED SERIES 5

891145 65 8

TXPR / TXPL 14Q2 Rebalancing Changes Announced

Friday, April 4th, 2014

S&P Dow Jones Indices Canadian Index Operations has announced:

the following index changes as a result of the quarterly S&P/TSX Preferred Share Index and S&P/TSX Preferred Share Laddered Index Reviews. These changes will be effective at the open on Monday, April 21, 2014.

S&P/TSX Preferred Share Index

ADDITIONS

Symbol
Issue Name CUSIP
AIM.PR.C AIMIA INC. CUMULATIVE RESET SERIES ‘3’ PR 00900Q 40 0
BAM.PF.E BROOKFIELD ASSET MANAGEMNT INC CL A PR SER 38 112585 55 9
CWB.PR.B CANADIAN WESTERN BANK 5-YR RESET PR SER ‘5’ 136765 50 0
ENB.PF.A ENBRIDGE INC. PR SER ‘9’ 29250N 62 6
IAG.PR.F INDUSTRIAL ALLIANCE INS & FIN SERV 5.90% PR F 455871 50 9
MFC.PR.L MANULIFE FINANCIAL CORP. CL 1 PR SER ’15’ 56501R 72 6
NA.PR.L NATIONAL BANK OF CANADA 1ST PR SERIES ’16’ 633067 51 7
NA.PR.S NATIONAL BANK OF CANADA 5-YR 1ST PR SER ’30’ 633067 31 9
PPL.PR.E PEMBINA PIPELINE CORPORATION CL ‘A’ PR SER 5 706327 11 1
RY.PR.Z ROYAL BANK OF CANADA 1ST PR NON-CUM SER ‘AZ’ 78012G 41 1
TRP.PR.E TRANSCANADA CORPORATION 1ST PR SERIES ‘9’ 89353D 86 7

DELETIONS

Symbol
Issue Name CUSIP
ELF.PR.H E-L FINANCIAL CORP. 5.50% 1ST PR SERIES ‘3’ 26857Q 50 7
FTS.PR.E FORTIS INC. 1ST PR SERIES ‘E’ 349553 80 0
TCL.PR.D TRANSCONTINENTAL INC. 1ST PR SERIES ‘D’ 893578 30 2
VNR.PR.A VALENER INC. SERIES ‘A’ PR 91912H 20 7

S&P/TSX Preferred Share Laddered Index

ADDITIONS

Symbol
Issue Name CUSIP
AIM.PR.C AIMIA INC. CUMULATIVE RESET SERIES ‘3’ PR 00900Q 40 0
CWB.PR.B CANADIAN WESTERN BANK 5-YR RESET PR SER ‘5’ 136765 50 0
ENB.PF.A ENBRIDGE INC. PR SER ‘9’ 29250N 62 6
MFC.PR.L MANULIFE FINANCIAL CORP. CL 1 PR SER ’15’ 56501R 72 6
NA.PR.S NATIONAL BANK OF CANADA 5-YR 1ST PR SER ’30’ 633067 31 9
PPL.PR.E PEMBINA PIPELINE CORPORATION CL ‘A’ PR SER 5 706327 11 1
RY.PR.Z ROYAL BANK OF CANADA 1ST PR NON-CUM SER ‘AZ’ 78012G 41 1
TRP.PR.E TRANSCANADA CORPORATION 1ST PR SERIES ‘9’ 89353D 86 7

TXPR / TXPL 14Q1 Rebalancing Changes Announced

Friday, January 10th, 2014

S&P Dow Jones Indices Canadian Index Operations has announced:

the following index changes as a result of the quarterly S&P/TSX Preferred Share Index and S&P/TSX Venture Select Index Reviews. These changes will be effective at the open on Monday, January 20, 2014.

TXPR
Additions
ALA.PR.E
BMO.PR.N
BNS.PR.B
ENB.PR.J
PPL.PR.C
PWF.PR.T
TD.PR.Z
VSN.PR.C
Deletion
IGM.PR.B
TXPL
Additions
ALA.PR.E
BAM.PF.B
BRF.PR.C
ENB.PR.J
ENB.PR.P
ENB.PR.T
ENB.PR.Y
FTS.PR.K
PPL.PR.C
PWF.PR.T
TRP.PR.D
VSN.PR.C
Deletions
None

HIMIPref™ Index Performance: January 2011

Friday, February 11th, 2011

This is grossly abbreviated. My apologies, but since the OSFI announcement on extant Tier 1 Capital, time has been at a premium.

Performance of the HIMIPref™ Indices for January, 2011, was:

Total Return
Index Performance
January 2011
Three Months
to
January 31, 2011
Ratchet +4.03% *** +9.80% ***
FixFloat +3.76% ** +9.24% **
Floater +4.03% +9.80%
OpRet -0.35% +0.62%
SplitShare +0.78% +2.91%
Interest -0.35%**** +0.62%****
PerpetualPremium +0.81% +0.99%
PerpetualDiscount +2.96% +3.21%
FixedReset -0.11% -0.32%
** The last member of the FixedFloater index was transferred to Scraps at the June, 2010, rebalancing; subsequent performance figures are set equal to the Floater index. The index was repopulated at the October, 2010, rebalancing
*** The last member of the RatchetRate index was transferred to Scraps at the July, 2010, rebalancing; subsequent performance figures are set equal to the Floater index
**** The last member of the InterestBearing index was transferred to Scraps at the June, 2009, rebalancing; subsequent performance figures are set equal to the OperatingRetractible index
Passive Funds (see below for calculations)
CPD +0.87% +1.09%
DPS.UN +1.21% +2.24%
Index
BMO-CM 50 +1.62% +2.24%
TXPR Total Return +0.87% +1.17%

The pre-tax interest equivalent spread of PerpetualDiscounts over Long Corporates (which I also refer to as the Seniority Spread) ended the month at 190bp, a significant decline from the 225bp reported at year-end. The decline may be attribute with a fair level of confidence to speculation (ultimately proved correct) that OSFI would not grandfather extant Tier 1 Capital.

Claymore has published NAV and distribution data (problems with the page in IE8 can be kludged by using compatibility view) for its exchange traded fund (CPD) and I have derived the following table:

CPD Return, 1- & 3-month, to January 31, 2011
Date NAV Distribution Return for Sub-Period Monthly Return
October 29, 2010 17.24      
November 25 17.25 0.069 +0.46% +0.23%
November 30 17.21   -0.23%
December 24 17.09 0.069 -0.30% -0.01%
December 31, 2010 17.14   +0.29%
January 26, 2011 17.20 0.069 +0.75% +0.87%
January 31, 2011 17.22   +0.12%
Quarterly Return +1.20%

Claymore currently holds $623,497,812 (advisor & common combined) in CPD assets, up about $27-million (4.50%) from the $596,621,272 reported at December month-end.

The DPS.UN NAV for February 2 has been published so we may calculate the approximate January returns.

DPS.UN NAV Return, January-ish 2011
Date NAV Distribution Return for sub-period Return for period
December 29 21.01    
February 2 21.352     +1.63%
Estimated December Ending Stub -0.29% *****
Estimated February Beginning Stub -0.12% *
Estimated January Return +1.21% ******
*CPD had a NAVPU of 17.22 on January 31 and 17.24 on February 2, therefore the return for the period was +0.12%. The return for DPS.UN in this period is presumed to be equal.
*****CPD had a NAVPU of 17.09 on December 29 and 17.14 on December 31, hence the total return for the period for CPD was +0.29%. The return for DPS.UN in this period is presumed to be equal.
**** The estimated January return for DPS.UN’s NAV is therefore the product of three period returns, +1.63%, -0.29%, -0.12%, to arrive at an estimate for the calendar month of +1.21%

Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for November and December:

DPS.UN NAV Returns, three-month-ish to end-December-ish, 2010
November-ish +0.88%
December-ish +0.14%
January-ish +1.21%
Three-months-ish +2.24%

Sentry Select is now publishing performance data for DPS.UN, but this appears to be price-based, rather than NAV-based. I will continue to report NAV-based figures.

HIMIPref™ Rebalancing: January 2011

Wednesday, February 2nd, 2011
HIMI Index Changes, January 31, 2011
Issue From To Because
TD.PR.P PerpetualPremium PerpetualDiscount Price
PWF.PR.H PerpetualPremium PerpetualDiscount Price
TCA.PR.Y PerpetualDiscount PerpetualPremium Price
TCA.PR.X PerpetualDiscount PerpetualPremium Price
GWO.PR.M PerpetualDiscount PerpetualPremium Price
CM.PR.P PerpetualDiscount PerpetualPremium Price
CM.PR.E PerpetualDiscount PerpetualPremium Price
GWO.PR.L PerpetualDiscount PerpetualPremium Price
IGM.PR.B PerpetualDiscount PerpetualPremium Price
BNS.PR.N PerpetualDiscount PerpetualPremium Price

There were the following intra-month changes:

HIMI Index Changes during January 2011
Issue Action Index Because
CL.PR.B Delete PerpetualDiscount Redeemed
FN.PR.A Add Scraps New Issue
REI.PR.A Add Scraps New Issue
NPP.PR.A Delete Scraps Ticker Change
NPI.PR.A Add Scraps Ticker Change

HIMIPref™ Index Performance: December 2010

Thursday, January 6th, 2011

Performance of the HIMIPref™ Indices for December, 2010, was:

Total Return
Index Performance
December 2010
Three Months
to
December 30, 2010
Ratchet +2.00% *** +7.46% ***
FixFloat -0.35% ** +7.19% **
Floater +2.00% +7.46%
OpRet +0.68% +1.10%
SplitShare -0.84% +3.65%
Interest +0.68%**** +1.10%****
PerpetualPremium +0.50% +1.25%
PerpetualDiscount -0.47% +2.55%
FixedReset +0.03% +0.49%
** The last member of the FixedFloater index was transferred to Scraps at the June, 2010, rebalancing; subsequent performance figures are set equal to the Floater index. The index was repopulated at the October, 2010, rebalancing
*** The last member of the RatchetRate index was transferred to Scraps at the July, 2010, rebalancing; subsequent performance figures are set equal to the Floater index
**** The last member of the InterestBearing index was transferred to Scraps at the June, 2009, rebalancing; subsequent performance figures are set equal to the OperatingRetractible index
Passive Funds (see below for calculations)
CPD -0.01% +1.44%
DPS.UN +0.14% +1.19%
Index
BMO-CM 50 -0.04% +2.64%
TXPR Total Return 0.00% +1.86%

The pre-tax interest equivalent spread of PerpetualDiscounts over Long Corporates (which I also refer to as the Seniority Spread) ended the year at 225bp, a slight increase from the 220bp reported at November month end. Long corporate yields remained constant 5.4% during the period (albeit with interesting things happening in the interim) while PerpetualDiscounts increased slightly to 5.48% from 5.41% dividend yield. I would be happier with long corporates in the 6.00-6.25% range with a seniority spread in the range of 100-150bp, but what do I know? The market has never shown any particular interest in my happiness.

The wild ride of long corporates during the month is illustrated by the BMO Long Corporate Bond Index ETF tracking error chart:


Click for Big

Charts related to the Seniority Spread and the Bozo Spread (PerpetualDiscount Current Yield less FixedReset Current Yield) are published in PrefLetter.

The trailing year returns are starting to look a bit more normal.


Click for big

Floaters have had a wild ride; the latest decline is presumably due to the idea that the BoC will be slower rather than faster in hiking the overnight rate. I’m going to keep publishing updates of this graph until the one-year trailing return for the sector no longer looks so gigantic:


Click for big

Volumes are on their way back up Volume may be under-reported due to the influence of Alternative Trading Systems (as discussed in the November PrefLetter), but I am biding my time before incorporating ATS volumes into the calculations, to see if the effect is transient or not. The droop at year end is quite pronounced.



Click for big

Compositions of the passive funds were discussed in the September, 2010, edition of PrefLetter.

Claymore has published NAV and distribution data (problems with the page in IE8 can be kludged by using compatibility view) for its exchange traded fund (CPD) and I have derived the following table:

CPD Return, 1- & 3-month, to December 30, 2010
Date NAV Distribution Return for Sub-Period Monthly Return
September 30 17.07      
October 26 17.21 0.069 +1.22% +1.40%
October 29, 2010 17.24   +0.17%
November 25 17.25 0.069 +0.46% +0.23%
November 30 17.21   -0.23%
December 24 17.09 0.069 -0.30% -0.01%
December 31 17.14   +0.29%
Quarterly Return +1.44%

Claymore currently holds $596,621,272 (advisor & common combined) in CPD assets, up about $14-million (2.47%) from the $582,195,003 reported at November month-end and up about $223-million (+59.64%) from the $373,729,364 reported at year-end 2009. Their tracking error does not seem to be affecting their ability to gather assets!

The DPS.UN NAV for December 29 has been published so we may calculate the approximate December returns.

DPS.UN NAV Return, December-ish 2010
Date NAV Distribution Return for sub-period Return for period
December 1 21.33      
December 29 21.01 0.30   -0.09%
Estimated December Beginning Stub *
Estimated December Ending Stub +0.29% *****
Estimated December Return +0.14% ******
**CPD had a NAVPU of 17.21 on November 30 and 17.20 on December 1, therefore the return for the day was -0.06%. The return for DPS.UN in this period is presumed to be equal.
*****CPD had a NAVPU of 17.09 on December 29 and 17.14 on December 31, hence the total return for the period for CPD was +0.29%. The return for DPS.UN in this period is presumed to be equal.
**** The estimated December return for DPS.UN’s NAV is therefore the product of three period returns, -0.06%, -0.09%, +0.29% to arrive at an estimate for the calendar month of +0.14%

Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for October and November:

DPS.UN NAV Returns, three-month-ish to end-December-ish, 2010
October-ish +0.17%
November-ish +0.88%
December-ish +0.14%
Three-months-ish +1.19%

Sentry Select is now publishing performance data for DPS.UN, but this appears to be price-based, rather than NAV-based. I will continue to report NAV-based figures.

HIMIPref™ Index Rebalancing: December 2010

Sunday, January 2nd, 2011
HIMI Index Changes, December 31, 2010
Issue From To Because
TD.PR.P PerpetualDiscount PerpetualPremium Price
GWO.PR.L PerpetualPremium PerpetualDiscount Price
CM.PR.P PerpetualPremium PerpetualDiscount Price
CM.PR.E PerpetualPremium PerpetualDiscount Price
IGM.PR.B PerpetualPremium PerpetualDiscount Price
GWO.PR.M PerpetualPremium PerpetualDiscount Price
GWO.PR.M PerpetualPremium PerpetualDiscount Price
CL.PR.B PerpetualPremium PerpetualDiscount Price
TCA.PR.Y PerpetualPremium PerpetualDiscount Price
TCA.PR.X PerpetualPremium PerpetualDiscount Price

Note that CL.PR.B has been called for redemption.

There were the following intra-month changes:

HIMI Index Changes during December 2010
Issue Action Index Because
CIU.PR.C Add FixedReset New Issue
BNA.PR.E Add SplitShare New Issue
TA.PR.D Add Scraps New Issue
CPX.PR.A Add Scraps New Issue
EN.PR.A Delete Scraps Redeemed
DGS.PR.A Add
(Backdate to 2007-12-3)
Scraps Got Bigger

HIMIPre™ Index Performance: November 2010

Thursday, December 2nd, 2010

Performance of the HIMIPref™ Indices for November, 2010, was:

Total Return
Index Performance
November 2010
Three Months
to
November 30, 2010
Ratchet +3.81% *** +11.02% ***
FixFloat +5.65% ** +13.36% **
Floater +3.48% +11.02%
OpRet +0.29% +1.25%
SplitShare +2.98% +6.79%
Interest +0.29%**** +1.25%****
PerpetualPremium -0.32% +2.01
PerpetualDiscount +0.71% +6.91%
FixedReset -0.25% +0.77%
** The last member of the FixedFloater index was transferred to Scraps at the June, 2010, rebalancing; subsequent performance figures are set equal to the Floater index. The index was repopulated at the October, 2010, rebalancing
*** The last member of the RatchetRate index was transferred to Scraps at the July, 2010, rebalancing; subsequent performance figures are set equal to the Floater index
**** The last member of the InterestBearing index was transferred to Scraps at the June, 2009, rebalancing; subsequent performance figures are set equal to the OperatingRetractible index
Initial index values have been used until I run the precise index computations. Final values are not expected to be materially different
Passive Funds (see below for calculations)
CPD +0.23% +3.81%
DPS.UN +0.88% +5.49%
Index
BMO-CM 50 +0.65% +5.15%
TXPR Total Return +0.30% +4.13%

CPD still has a problem with tracking error – based on its management fee, the monthly tracking error is expected to be 4bp, but this month they came in at 7bp (which was nevertheless an improvement from recent values). The difference may not seem like much, but when these figures are annualized …

The pre-tax interest equivalent spread of PerpetualDiscounts over Long Corporates (which I also refer to as the Seniority Spread) ended the month at 220bp, a significant decline from the 235bp reported at October month end. Long corporate yields increased to 5.4% from 5.2% during the period while PerpetualDiscounts remained constant at 5.41% dividend yield, equivalent to 7.57% interest at the standard conversion factor of 1.4x. I would be happier with long corporates in the 6.00-6.25% range with a seniority spread in the range of 100-150bp, but what do I know? The market has never shown any particular interest in my happiness.

The increase in Long Corporate yields was most pronounced in the first part of the month:


Click for Big

Charts related to the Seniority Spread and the Bozo Spread (PerpetualDiscount Current Yield less FixedReset Current Yield) are published in PrefLetter.

The trailing year returns are starting to look a bit more normal.


Click for big

Floaters have had a wild ride; the latest decline is presumably due to the idea that the BoC will be slower rather than faster in hiking the overnight rate. I’m going to keep publishing updates of this graph until the one-year trailing return for the sector no longer looks so gigantic:


Click for big

Volumes are on their way back up Volume may be under-reported due to the influence of Alternative Trading Systems (as discussed in the November PrefLetter), but I am biding my time before incorporating ATS volumes into the calculations, to see if the effect is transient or not.


Click for big

Compositions of the passive funds were discussed in the September, 2010, edition of PrefLetter.

Claymore has published NAV and distribution data (problems with the page in IE8 can be kludged by using compatibility view) for its exchange traded fund (CPD) and I have derived the following table:

CPD Return, 1- & 3-month, to November 30, 2010
Date NAV Distribution Return for Sub-Period Monthly Return
August 31 16.78    
September 27 17.12 0.069 +2.44% +2.14%
September 30 17.07   -0.29%
October 26 17.21 0.069 +1.22% +1.40%
October 29, 2010 17.24   +0.17%
November 25 17.25 0.069 +0.46% +0.23%
November 30 17.21   -0.23%
Quarterly Return +3.81%

Claymore currently holds $582,195,003 (advisor & common combined) in CPD assets, up about $23-million (4.03%) from the $559,641,405 reported at August month-end and up about $208-million (55.78%) from the $373,729,364 reported at year-end. Their tracking error does not seem to be affecting their ability to gather assets!

The DPS.UN NAV for December 1 has been published so we may calculate the approximate November returns.

DPS.UN NAV Return, November-ish 2010
Date NAV Distribution Return for sub-period Return for period
October 27 21.12   0.00%  
December 1 21.33     +0.99%
Estimated October Ending Stub -0.17% *****
Estimated December Beginning Stub *
Estimated November Return +0.88% ******
*CPD had a NAVPU of 16.82 on September 1 and 16.78 on August 31, hence the total return for the period for CPD was +0.24%. The return for DPS.UN in this period is presumed to be equal.
**CPD had a NAVPU of 17.21 on November 30 and 17.20 on December 1, therefore the return for the day was -0.06%. The return for DPS.UN in this period is presumed to be equal.
*****CPD had a NAVPU of 17.21 on October 27 and 17.24 on October 29, hence the total return for the period for CPD was +0.17%. The return for DPS.UN in this period is presumed to be equal.
**** The estimated November return for DPS.UN’s NAV is therefore the product of three period returns, +0.99%, -0.17%, +0.06% to arrive at an estimate for the calendar month of +0.88%

Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for September & October:

DPS.UN NAV Returns, three-month-ish to end-November-ish, 2010
September-ish +4.39%
October-ish +0.17%
November-ish +0.88%
Three-months-ish +5.49%

Sentry Select is now publishing performance data for DPS.UN, but this appears to be price-based, rather than NAV-based. I will continue to report NAV-based figures.