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.