PrefBlog

Performance of the HIMIPref™ Indices for October, 2009, was:

PerpetualDiscounts had a poor month (although not as bad as October 2008, when they lost 8.16%!); FixedResets were basically unaffected by the decline. The pre-tax interest equivalent spread of PerpetualDiscounts over Long Corporates (which I also refer to as the Seniority Spread) closed the month at 250bp compared to the September 30 value of 215bp.

Meanwhile, Floaters continued their wild ride.

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Compositions of the passive funds were discussed in the September 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 $315,167,224 (advisor & common combined) in CPD assets, up $15-million on the month and a stunning increase from the $84,005,161 reported in the Dec 31/08 Annual Report

The DPS.UN NAV for October 28 has been published so we may calculate the approximate October returns.

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

Alas! Poor performance in October has nearly wiped out the PerpetualPremium index; there are only four ragged survivors – CL.PR.B, CU.PR.B, ENB.PR.A and NA.PR.M.

There were the following intra-month changes:

Performance of the HIMIPref™ Indices for September, 2009, was:

PerpetualDiscounts took a break from their string of gains, posting their first loss since February; FixedResets continued grinding away, unfazed by the recent plethora of new issues.

Meanwhile, Floaters continued their wild ride.

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

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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 $300,156,763 (advisor & common combined) in CPD assets, up nearly $25-million on the month and a stunning increase from the $84,005,161 reported in the Dec 31/08 Annual Report

The DPS.UN NAV for September has been published so we may calculate the approximate September returns. The Toronto Stock Exchange reports that the ex-dividend date for the current distribution was Sept. 28.

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

There were the following intra-month changes:

Performance of the HIMIPref™ Indices for Performance, 2009, was:

PerpetualDiscounts had a very good month, moving their trailing one-year performance decisively into the black, while the weaknesses of the FixedReset asset class (relatively recently issued at their call price with a near-term call for the issuer) started to make themselves apparent. At the median YTW of about 4%, expected monthly return is about 0.33% and they did better than that this month. I suspect that any significant future gains in index value will result from capture of new-issue concessions … but with forty member in the index that won’t amount to much, and the recent new issue announcements (BPO 6.75%+417, DC, 6.75%+410, WES Convertible, ETC, 7.25%+453) have been of relatively low credit quality.

I won’t make any bets on where the next preferred share market unhappiness is going to come from … but I’ll make a guess!

Meanwhile, Floaters continued their wild ride.

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Update Oopsy! I forgot to change the label for the y-axis in the above graph … total returns are normalized to 2008-08-29 = 100.0.

The calculation of the Median Average Trading Value for the FixedReset index is plagued by technical factors and cannot be considered the most reliable statistic in the world – but a downward trend as prior issues become seasoned and the flood of new issues turns to a trickle (which has both a technical effect and a real effect: a constant stream of new issues can keep an entire market liquid) is quite apparent. When they first appeared, I suspected that they would eventually become significantly less liquid than PerpetualDiscounts … not there yet, not even close, but we will see!

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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 $275,986,648 (advisor & common combined) in CPD assets, a stunning increase from the $84,005,161 reported in the Dec 31/08 Annual Report.

The DPS.UN NAV for August 26 has been published so we may calculate the approximate August returns.

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

The PerpetualPremium index is filling up nicely and now has twelve members! It disappeared at the October 2008 Rebalancing, when CL.PR.B fell below 25.00.

There were the following intra-month changes:

Performance of the HIMIPref™ Indices for July, 2009, was:

I believe the rather startling underperformance of CPD relative to DPS.UN is due to the former overweighting and the latter underweighting FixedReset issues which, while having (unsustainably!) strong results over the past three months, have underperformed PerpetualDiscounts. A measure of payback from the results for the period ending November, 2008 in which the relative performance of these two preferred share classes was … somewhat different!

Index performance over the trailing year is starting to look a little more normal – quite a feat when you consider that it includes the wild October-January period! Normal, that is, except for FloatingRate issues:

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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 was hurt by its July rebalancing, a phenomenon that I have remarked on previously. Assiduous Readers will recall that the July Rebalancing added (net) ten Fixed Resets vs a deletion of (net) six PerpetualDiscounts effective “at the open July 20”. Taking this as equivalent to the close on Friday July 17, let’s take a quick peek at how that particular decision has worked out.

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Claymore currently holds $224,222,293 in CPD assets, a stunning increase from the $84,005,161 reported in the Dec 31/08 Annual Report. It may well be that CPD’s migration towards liquidity at all cost (as defined by the TXPR index) has an entirely valid rationale … but it sure ain’t doing returns much good! I will note that July’s index churn is nothing new considering that the portfolio has been churned on every semi-annual rebalancing since inception; so one cannot draw a straight line between the near-tripling of assets and the July rebalancing.

The DPS.UN NAV for July 29 has been published so we may calculate the approximate July returns – which is kind of a nightmare this month because it includes the June distribution. First, it is necessary to look at CPD for the period June 24-26 …

This figure is required in order to estimate the NAV for DPS.UN on June 26.

Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for May and June

At long last, the PerpetualPremium index has members again! It disappeared at the October 2008 Rebalancing, when CL.PR.B fell below 25.00. That issue nearly made it back into premium territory this month, but the bid at the close was exactly 25.00 … and when that happens, the issue in question doesn’t move.

There were the following intra-month changes:

Performance of the HIMIPref™ Indices for June, 2009, was:

The major indices have managed to stagger into the black over the trailing 12-month period. Full speed ahead!

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And yes, what you see is true: PerpetualDiscounts have outperformed FixedResets over the past twelve months. June 2008, now dropped from the trailing year’s return was a horrible, horrible month for them.

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:

The DPS.UN NAV for June 24 has been published so we may calculate the June returns (approximately!) for this closed end fund. I am rather annoyed that this calculation will not include the distribution with the June 26 ex-Date!

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

CU.PR.B continued its teasing ways, closing at precisely 25.00 bid on June 30 … when the bid is exactly 25.00, I do not move the issue between Premium and Discount, regardless of which direction this might be. Maybe next month!

Sadly, the lack of volume in STW.PR.A (which is due to mature soon anyway) means there are no members of the InterestBearing index.

There were the following intra-month changes: