PrefBlog

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

There is still a negative total return over one year – even for Floaters, despite their astonishing rise in the past three months:

Click for big

Claymore has published NAV and distribution data for its exchange traded fund (CPD) and I have derived the following table:

The DPS.UN NAV for May 27 has been published so we may calculate the May returns (approximately!) for this closed end fund.

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

I spent the latter part of the month hoping that CU.PR.B was going to make the leap from PerpetualDiscount to PerpetualPremium, but it fell just shy, closing May 29 at 24.90-99, 13×3. Maybe next month!

But on a brighter note, we now have an issue in the FixedFloater index!

There were the following intra-month changes:

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

The recent rally has been most welcome, but we’re still a long way from where we were:

Claymore has published NAV and distribution data for its exchange traded fund (CPD) and I have derived the following table:

The DPS.UN NAV for April 29 has been published so we may calculate the March returns (approximately!) for this closed end fund.

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

To my chagrin, there are now only two issues left in the SplitShare index, all from BAM Split Corp.: BNA.PR.A and BNA.PR.C.

There were the following intra-month changes:

HSB.PR.E is one of those issues which are sent to try us. It was announced on March 23 with an anticipated closing date of March 31. I assumed it had settled – albeit without trading – and added it to the index for March 31. However, the issue had not settled; there were problems due to the downgrade by S&P. A new term sheet was released and the issue settled on April 8.

Update: The SplitShares index is now comprised of BNA.PR.A, BNA.PR.C & CGI.PR.B.

I have graphed the performance of the HIMIPref™ indices back to August 29 … remember that these are Total Return indices, not Price Indices.

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

Claymore has published NAV and distribution data for its exchange traded fund (CPD) and I have derived the following table:

The DPS.UN NAV for April 1 has been published so we may calculate the March returns (approximately!) for this closed end fund.

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

To my chagrin, there are now only three issues left in the SplitShare index, all from BAM Split Corp.: BNA.PR.A, BNA.PR.B and BNA.PR.C.

There were the following intra-month changes:

HSB.PR.E is one of those issues which are sent to try us. It was announced on March 23 with an anticipated closing date of March 31. I have seen nothing to indicate that it didn’t close, but while HSBC Canada may well have received their cheque for $175-250-million, not a single share changed hands on the exchange. With any luck, we’ll see a trade or two tomorrow.

I got curious about this.

The averageTradingValue for an individual issue is calculated as volume-average * flatBidPrice-Average

where

volume – average Report Summary
The volume-average attribute is calculated from volume-spot and the instrumentVolumeInfoDecay parameter using an adjusted exponential moving average. First, if the spot data exceeds the existing average by a factor of more than volumeAveragingCap then the calculation is performed as if the new data was equal to the product of the existing average and the cap factor. This ensures that volume spikes will not affect the system’s perception of the issue’s liquidity – spikes may occur, for instance, when a major shareholder sells a major block. Secondly, if existing average exceeds the spot data by a factor of more than this same volumeAveragingCap, then the damping factor used in the calculation will not be instrumentVolumeInfoDecay, but rather the square of this number. This helps avoid the system assuming greater liquidity in an issue than will otherwise be the case when volume is declining precipituously – immediately after issue, for instance, or after accumulation of a significant block by a “buy-and-hold” investor.

The volume figures for the HIMIPref™ indices are reported as the median averageTradingVolume for the index, where the median is calculated by ordering the constituent issues by averageTradingVolume and taking the median by constituent issue weight; e.g., half the index by weight will have a greater averageTradingValue, half will have less.

The reported volume for the FixedReset index has been boosted by the flood of new issues; a new issue’s AverageTradingValue is set by default to $2.5-million, which will usually increase a bit in the period immediately after issue and then decay until it reaches an equilibrium figure. These new issues, with the large AverageTradingValues, have influenced the reported average greatly by two mechanisms:

• the median issue has almost always not reached equilibrium on calculation date
• the issue chosen as the median has generally been in the middle of a gap, resulting in jumps when the weight of new issues changes the median

So, anyway, I thought I’d plot the reported figures and compare them with a mature market, PerpetualDiscounts. The influence of the tax-loss-selling-end-of-the-universe frenzy can be clearly seen in the latter plot.

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

Claymore has published NAV and distribution data for its exchange traded fund (CPD) and I have derived the following table:

The DPS.UN NAV for February 25 has been published so we may calculate the February returns (approximately!) for this closed end fund.

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