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HIMIPref™ Index Rebalancing: February 2009

Monday, March 2nd, 2009
HIMI Index Changes, February, 2009
Issue From To Because
BCE.PR.Y Ratchet Scraps Credit
FAL.PR.B Ratchet Scraps Volume
BCE.PR.A FixFloat Scraps Credit
BCE.PR.C FixFloat Scraps Credit
BCE.PR.F FixFloat Scraps Credit
BCE.PR.G FixFloat Scraps Credit
BCE.PR.I FixFloat Scraps Credit
BCE.PR.R FixFloat Scraps Credit
BCE.PR.Z FixFloat Scraps Credit
TRI.PR.B Floater Scraps Volume
ALB.PR.A SplitShare Scraps Credit
DF.PR.A SplitShare Scraps Credit
FBS.PR.B SplitShare Scraps Credit
FFN.PR.A SplitShare Scraps Credit
FTN.PR.A SplitShare Scraps Credit
LBS.PR.A SplitShare Scraps Credit
PPL.PR.A SplitShare Scraps Credit
SBC.PR.A SplitShare Scraps Credit
WFS.PR.A SplitShare Scraps Credit
FIG.PR.A InterestBearing Scraps Credit

Note that FAL.PR.B has been called for redemption and will be removed from the “Scraps” index effective March 2. This month’s change reverses the January change.

There were the following intra-month changes:

HIMI Index Changes during February 2009
Issue Action Index Because
CM.PR.L Add FixedReset New Issue

Posted in Index Construction / Reporting | 2 Comments »

Index Performance: January 2009

Tuesday, February 3rd, 2009

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

Total Return
Index Performance
January 2009		 Three Months
to
January 30, 209
Ratchet +7.03% -34.62%
FixFloat +10.59% -23.58%
Floater -4.35% -14.04%
OpRet +2.83% +2.63%
SplitShare +1.75% +0.46%
Interest +9.18% -3.88%
PerpetualPremium +6.45%* +1.18%*
PerpetualDiscount +6.45% +1.18%%
FixedReset +0.26% -7.32%
* The last member of the PerpetualPremium index was transferred to PerpetualDiscount at the October rebalancing; subsequent performance figures are set equal to the PerpetualDiscount index
Funds (see below for calculations)
CPD +3.26% -1.52%
DPS.UN +5.71% -2.78%
Index
BMO-CM 50 +3.98% -1.21%

That, by the way, is the best monthly return for the IndexBearing sub-index on record.

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

CPD Return, 1- & 3-month, to January 30, 2009
Date NAV Distribution Return for Sub-Period Monthly Return
October 31 15.04      
November 28, 2008 13.37 0.00   -11.10%
Dec 24 12.92 0.2135 -1.77% +7.28%
Dec 31, 2008 14.11   +9.21%
January 30, 2009 14.57 0.00   +3.26%
Quarterly Return -1.52%

The DPS.UN NAV for January 28 has been published so we may calculate the January returns (approximately!) for this closed end fund.

DPS.UN NAV Return, January-ish 2009
Date NAV Distribution Return for period
December 31, 2008 15.64    
January 28, 2009 16.51   +5.56%
Estimated January Ending Stub +0.14%
Estimated January Return +5.71%
* CPD had a NAV of $14.55 on January 28 and $14.57 on January 30. Return for this period for CPD was therefore +0.14%.
The January return for DPS.UN’s NAV is therefore the product of two period returns, +5.56% and +0.14%, to arrive at an estimate for the calendar month of +5.71%

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-January-ish, 2009
November-ish -12.95%
December-ish +5.65%
January-ish +5.71%
Three-months-ish -2.78%

Posted in Index Construction / Reporting | 1 Comment »

HIMIPref™ Index Rebalancing: January 2009

Monday, February 2nd, 2009
HIMI Index Changes, January 30, 2009
Issue From To Because
BCE.PR.S Ratchet Scraps Volume
BAM.PR.G FixFloat Scraps Volume
FAL.PR.B Scraps Ratchet Volume

The relegation of BCE.PR.S and BAM.PR.G reverses changes made at December month-end.

The addition of FAL.PR.B to the Ratchet index is highly annoying: the outstanding call for redemption has boosted its price considerably.

There were the following intra-month changes:

HIMI Index Changes during January 2009
Issue Action Index Because
RY.PR.P Add FixedReset New Issue
NA.PR.O Add FixedReset New Issue
TD.PR.E Add FixedReset New Issue
BNS.PR.T Add FixedReset New Issue
RY.PR.R Add FixedReset New Issue
NA.PR.P Add FixedReset New Issue
TD.PR.G Add FixedReset New Issue
BNS.PR.X Add FixedReset New Issue

Posted in Index Construction / Reporting | 3 Comments »

Index Performance: December 2008

Tuesday, January 6th, 2009

Performance of the HIMIPref™ Indices for December, 2008, was:

Total Return
Index Performance
December 2008		 Three Months
to
December 31, 2008
Ratchet -22.78% -45.03
FixFloat -15.60% -39.36%
Floater +34.20% -42.10%
OpRet +1.96% -4.72%
SplitShare +18.39% -8.76%
Interest +2.00% -28.19%
PerpetualPremium +10.68%* -15.00%*
PerpetualDiscount +10.68% -12.72%%
FixedReset +4.11% -11.59%
* The last member of the PerpetualPremium index was transferred to PerpetualDiscount at the October rebalancing; subsequent performance figures are set equal to the PerpetualDiscount index
Funds (see below for calculations)
CPD +9.21% -11.51%
DPS.UN +5.65% -16.82%
Index
BMO-CM 50 +6.39% -12.74%

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

CPD Return, 1- & 3-month, to December, 2008
Date NAV Distribution Return for Sub-Period Monthly Return
Sept 30 16.21      
October 31 15.04 0.00   -7.22%
November 28, 2008 13.37 0.00   -11.10%
Dec 24 12.92 0.2135 -1.77% +7.28%
Dec 31 14.11   +9.21%
Quarterly Return -11.51%

The DPS.UN NAV for December 31 has been published so we may calculate the December returns (approximately!) for this closed end fund. Unfortunately, they did not publish their NAV on their December distribution’s ex-date, so things are a little hairy this month:

DPS.UN NAV Return, December-ish 2008
Date NAV Distribution Return for period
Estimated November Ending Stub +3.80%
November 26, 2008 14.53    
December 24, 2008 14.43   -0.69%
December 29, 2008 14.69 * 0.30 +3.87% *
December 31, 2008 15.64   +6.47%
Estimated December Return +5.65%
* CPD had a NAV of $12.92 on December 24 and $13.52 on December 29. Return for this period for CPD was therefore +3.87%. Assuming equality of returns, then DPS.UN would have had a NAV of 14.99 before payment of the $0.30 dividend.
CPD had a NAV of $12.88 on November 26 and $13.37 on November 28. The estimated November month-end stub period return for CPD was therefore +3.80%, which is subtracted from the DPS.UN period return to estimate a return for the month.
The October return for DPS.UN’s NAV is therefore the product of four period returns, -3.80%, -0.69%, +3.87%, +6.47%, to arrive at an estimate for the calendar month of +5.65%

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-October-ish, 2008
October-ish -9.56%
November-ish -12.95%
December-ish +5.65%
Three-months-ish -16.82%

Posted in Index Construction / Reporting, Indices and ETFs | 2 Comments »

HIMIPref™ Index Rebalancing: December 2008

Friday, January 2nd, 2009
HIMI Index Changes, December 31, 2008
Issue From To Because
BSD.PR.A InterestBearing Scraps Credit
PWF.PR.A Scraps Floater Volume
ACO.PR.A Scraps OpRet Volume
BCE.PR.S Scraps Ratchet Volume
BAM.PR.G Scraps FixFloat Volume
TRI.PR.B Scraps Floater Volume

There were the following intra-month changes:

HIMI Index Changes during December 2008
Issue Action Index Because
RY.PR.N Add FixedReset New Issue
BMO.PR.N Add FixedReset New Issue
BNS.PR.S Add FixedReset New Issue

Posted in Index Construction / Reporting | 3 Comments »

HIMIPref™ Index Rebalancing: November 2008

Tuesday, December 2nd, 2008
HIMI Index Changes, November 28, 2008
Issue From To Because
DF.PR.A Scraps SplitShare Volume
SBN.PR.A Scraps SplitShare Volume

There were the following intra-month changes:

HIMI Index Changes during November 2008
Issue Action Index Because
RY.PR.L Add FixedReset New Issue
TD.PR.C Add FixedReset New Issue
IAG.PR.C Add FixedReset New Issue
BMO.PR.I Delete OpRet Redeemed
GWO.PR.J Add FixedReset New Issue
PWF.PR.M Add FixedReset New Issue

We are a long, long way from re-establishing the PerpetualPremium index … the highest priced PerpetualDiscount remains CU.PR.A, with a pre-tax bid-YTW of 6.96% based on a bid of 21.00 and a limitMaturity.

Posted in Index Construction / Reporting | 1 Comment »

Index Performance: November 2008

Saturday, November 29th, 2008

Performance of the HIMIPref™ Indices for November, 2008, was:

Total Return
Index Performance
November 2008		 Three Months
to
November 28, 2008
Ratchet N/A N/A
FixFloat -17.02% -28.88%
Floater -31.57% -61.61%
OpRet -1.46% -7.06%
SplitShare -12.42% -21.67%
Interest -11.59% -29.33%
PerpetualPremium N/A N/A
PerpetualDiscount -13.34% -21.66%
FixedReset -8.88% N/A
Funds (see below for calculations)
CPD -11.10% -19.90%
DPS.UN -12.95% -24.18%
Index
BMO-CM 50 -10.70% -20.11%

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

CPD Return, 1- & 3-month, to November, 2008
Date NAV Distribution Return for Sub-Period Monthly Return
August 29, 2008 16.91      
Sept 25 16.41 0.2135 -1.69% -2.89%
Sept 30 16.21   -1.22%
October 31 15.04 0.00   -7.22%
November 28, 2008 13.37 0.00   -11.10%
Quarterly Return -19.90%

The DPS.UN NAV for November 26 has been published so we may calculate the November returns (approximately!) for this closed end fund:

DPS.UN NAV Return, November-ish 2008
Date NAV Distribution Return for period
Estimated October Ending Stub +1.42%
October 29, 2008 16.96    
November 26, 2008 14.53   -14.33%
Estimated November Ending Stub +3.80%
Estimated November Return -12.95%
CPD had a NAV of $14.83 on October 29 and $15.04 on October 31. The estimated October end of month stub period return for CPD was therefore +1.42%, which is subtracted from the DPS.UN period return to estimate a return for the period.
CPD had a NAV of $12.88 on November 26 and $13.37 on November 28. The estimated November month-end stub period return for CPD was therefore +3.80%, which is added to the DPS.UN period return to estimate a return for the period.
The October return for DPS.UN’s NAV is therefore the product of three period returns, -1.42%, -14.33% & +3.08%, to arrive at an estimate for the calendar month of -12.95%

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

DPS.UN NAV Returns, three-month-ish to end-October-ish, 2008
September-ish -3.70%
October-ish -9.56%
November-ish -12.95%
Three-months-ish -24.18%

Posted in Index Construction / Reporting, Indices and ETFs | 5 Comments »

Index Performance: October 2008

Tuesday, November 4th, 2008

Performance of the HIMIPref™ Indices for October, 2008, was:

Total Return
Index Performance
October 2008		 Three Months
to
October 30, 2008
Ratchet N/A N/A
FixFloat -11.76% -12.47%
Floater -34.16% -42.25%
OpRet -3.75% -4.33%
SplitShare -3.86% -9.79%
Interest -16.37% -19.42%
PerpetualPremium -13.96% -14.08%
PerpetualDiscount -7.47% -6.07%
FixedReset -3.68% N/A
Funds (see below for calculations)
CPD -7.22% -7.67%
DPS.UN -9.56% -10.62%
Index
BMO-CM 50 -8.16% -8.96%

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

CPD Return, 1- & 3-month, to October, 2008
Date NAV Distribution Return for Sub-Period Monthly Return
July 31, 2008 16.50 0.00    
August 29 16.91 0.00   +2.48%
Sept 25 16.41 0.2135 -1.69% -2.89%
Sept 30, 2008 16.21   -1.22%
October 31 15.04 0.00   -7.22%
Quarterly Return -7.67%

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

DPS.UN NAV Return, October-ish 2008
Date NAV Distribution Return for period
Estimated October Beginning Stub -0.25%
October 1, 2008 18.97    
October 29, 2008 16.96   -10.60%
Estimated October Ending Stub +1.42%
Estimated October Return -9.56%
CPD had a NAV of $16.17 on October 1 and $16.21 on September 30. The estimated October beginning of month stub period return for CPD was therefore -0.25%, which is added to the DPS.UN period return to estimate a return for the period.
CPD had a NAV of $14.83 on October 29 and $15.04 on October 31. The estimated October end of month stub period return for CPD was therefore +1.42%, which is added to the DPS.UN period return to estimate a return for the period.
The October return for DPS.UN’s NAV is therefore the product of three period returns, -0.25%, -10.60% & +1.42%, to arrive at an estimate for the calendar month of -9.56%

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

DPS.UN NAV Returns, three-month-ish to end-October-ish, 2008
August-ish +2.63%
September-ish -3.70%
October-ish -9.56%
Three-months-ish -10.62%

Posted in Index Construction / Reporting, Indices and ETFs | 4 Comments »

HIMIPref™ Index Rebalancing: October 2008

Sunday, November 2nd, 2008
HIMI Index Changes, October 31, 2008
Issue From To Because
PWF.PR.D Scraps OpRet Volume
CL.PR.B PerpetualPremium PerpetualDiscount Price

There were the following intra-month changes:

HIMI Index Changes during October 2008
Issue Action Index Because
CGI.PR.A Delete Scraps Redeemed
IQW.PR.C Delete Scraps Price

After the precipituous decline in price of CL.PR.B over the month, it has been transferred to the PerpetualDiscount index from PerpetualPremium. There are now no more PerpetualPremium issues left … and don’t count on a new one in the near future, because the highest priced PerpetualDiscount right now is CU.PR.A, with a pre-tax bid-YTW of 6.35% based on a bid of 23.25 and a limitMaturity.

Posted in Index Construction / Reporting | 2 Comments »

Index Performance: September 2008

Thursday, October 2nd, 2008

Performance of the HIMIPref™ Indices for September, 2008, was:

Total Return
Index Performance
September 2008		 Three Months
to
September 30, 2008
Ratchet N/A N/A
FixFloat -2.88% +5.09%
Floater -14.79% -14.05%
OpRet -2.01% -1.87%
SplitShare -6.97% -6.39%
Interest -4.42% -3.82%
PerpetualPremium -1.42% -1.82%
PerpetualDiscount -2.31% -1.89%
FixedReset N/A N/A
Funds (see below for calculations)
CPD -2.89% -2.72%
DPS.UN -3.70% -4.29%
Index
BMO-CM 50 -2.59% -1.88%

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

CPD Return, 1- & 3-month, to September, 2008
Date NAV Distribution Return for Sub-Period Monthly Return
June 30 16.88 0.00    
July 31, 2008 16.50 0.00   -2.25%
August 29 16.91 0.00   +2.48%
Sept 25 16.41 0.2135 -1.69% -2.89%
Sept 30, 2008 16.21   -1.22%
Quarterly Return -2.72%

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

DPS.UN NAV Return, September-ish 2008
Date NAV Distribution Return for period
August 27 $20.03   +2.82%
Estimated August Stub +0.12%
Sept 24 19.64   -2.07%
Sept 26 19.3321
Estimate		 0.30 -0.04%
Estimate
October 1, 2008 18.97   -1.87%
Estimated October Stub -0.25%
Estimated September Return -3.70%
CPD had a NAV of $16.89 on August 27 and $16.91 on August 29. The estimated August end-of-month stub period return for CPD was therefore +0.12%, which is added to the DPS.UN period return.
The return for the period August 27-Sept 24 was -1.95%; since the August stub period return was +0.12%, the August 29-September 24 return is estimated as -2.07%
CPD had NAVs of $16.63, 16.41 & 16.41 on September 24, 25 & 26, respectively; a distribution of $0.2135 was paid with a Sept. 25 ex-date. Total return for September 24-26 was therefore -0.04%.
CPD had a NAV of $16.17 on October 1 and $16.21 on September. The estimated October beginning of month stub period return for CPD was therefore -0.25%, which is added to the DPS.UN period return to estimate a return for the period of -1.62%.
The September return for DPS.UN’s NAV is therefore the product of three period returns, -2.07%, -0.04% and -1.62%, to arrive at an estimate for the calendar month of -3.70%

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

DPS.UN NAV Returns, three-month-ish to end-September-ish, 2008
July-ish -3.16%
August-ish +2.63%
September-ish -3.70%
Three-months-ish -4.29%

Posted in Index Construction / Reporting, Indices and ETFs | 2 Comments »

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