PrefBlog

With all the tumult of the past year, I thought it was high time to show a new portfolio analysis of CPD. Holdings were recovered from the CPD information page as of February 25 and converted into HIMIPref™ format. Cash was not included in the HIMIPref™ transcription – these analyses are for the securities only.

Sectoral distribution of the CPD portfolio on February 26 was as follows:

The calculation of overall yield may be criticized, since it is merely a weighted average of the yield for each issue. Thus, when considering WN.PR.A, the average will reflect the calculated YTW of -17.44% as if it was in effect for as long as every other calculated yield, which is simply wrong. A proper overall yield calculation would take the cashflows of each instrument in the portfolio and calculate the yield based on all these cashflows together, but I don’t know anybody who does that. HIMIPref™ can prepare a table of these cashflows, but I see no point in doing so.

The weighted average is 3.94%, as indicated on the table. The weighted average if all the negative YTWs (there are eight of them) are set to zero is 4.11%. The weighted average if all the issues with a negative YTW are ignored completely is 4.23%. So take your pick.

A wrinkle to the division into sub-indices is the fact that some issues are classed here as FixedResets, even though for analytical purposes they are classified as Straights – this is due to the fact that these particular issues reset with a floor rate which is (given the current level of the GOC 5-Year bond) currently expected to be effective.

For CPD the total portfolio is 68.5% “Floating”, which means the rates will reset periodically based upon the GOC-5, T-Bill or Canada Prime levels.

Credit distribution is:

Liquidity Distribution is:

The distribution of Issue Reset Spreads is:

Distribution of Floating Rate Start Dates is shown in the table below. This is the date of the next adjustment to the dividend rate, if the issue is currently paying a fixed rate for a limited time; which in practice is successive terms of 5 years. Issues that adjust quarterly are considered “Currently Floating”.

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 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 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 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

S&P/TSX Preferred Share Laddered Index

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.

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:

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:

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.

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

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.

There were the following intra-month changes:

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

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:

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.

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

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.