S&P has announced:
the following index changes as a result of the semi-annual S&P/TSX Preferred Share Index Review. These changes will be effective at the open on Monday, July 21, 2008
TXPR Index Adds
July 2008 |
| Ticker |
HIMI Preferred Sub-Index |
DBRS Rating |
| ACO.PR.A |
OpRet |
Pfd-2(low) |
| BMO.PR.M |
None
Fixed-Reset |
Pfd-1 |
| BNS.PR.N |
PerpetualDiscount |
Pfd-1 |
| BNS.PR.P |
None
Fixed-Reset |
Pfd-1 |
| BNS.PR.Q |
None
Fixed-Reset |
Pfd-1 |
| BCE.PR.I |
FixFloat |
Pfd-2(low)
Review Negative |
| BAM.PR.N |
PerpetualDiscount |
Pfd-2(low) |
| BPO.PR.I |
Scraps
(OpRet) |
Pfd-3(high) |
| CL.PR.B |
PerpetualPremium |
Pfd-1(low) |
| ENB.PR.A |
PerpetualDiscount |
Pfd-2(low) |
| FTS.PR.E |
Scraps
(OpRet) |
Pfd-3(high) |
| FTS.PR.G |
None
(Fixed-Reset) |
Pfd-3(high) |
| GWO.PR.I |
PerpetualDiscount |
Pfd-1(low) |
| NA.PR.M |
PerpetualDiscount |
Pfd-1(low) |
| NA.PR.N |
None
(Fixed-Reset) |
Pfd-1(low) |
| TD.PR.S |
None
(Fixed-Reset) |
Pfd-1 |
| FAL.PR.H |
???? |
N/A |
I don’t understand why they are adding FAL.PR.H. Its redemption was announced May 22 and the date was set on May 29: Redemption Date June 30. They were redeemed on schedule. They are no longer listed on the TSX.
But that’s what happens, I guess, when (instead of hiring HIMI) you entrust index preparation to a small, inexperienced outfit like S&P!
But Holy Smokes! That’s a lot of Fixed-Resets! There are now seven of these thingies outstanding and six of them are now incorporated in TXPR – or will be once the change takes effect, anyway. Call up your friendly neighborhood CPD holder – preferably, one who is a really hard-line anti-active-management indexing zealot – and ask him why he’s so enamoured of the sub-class.
Is this jiggery-pokery, or do I have a disgusting suspicious mind? The latest Claymore literature references the “Desjardins Preferred Share Universe Index”; Desjardins is heavily promoting its involvement in fixed resets and (this wins all arguments in the bond world) Innovative Tier 1 Capital was put in the Scotia bond index (now DEX) for no reason that anybody can figure out except that it made it easier to sell.
All conspiracy theories are welcome.
In the meantime, this rebalancing compromises the integrity of the index as representative of actual preferred shares. Sorry folks, but that’s the way it is. And I’d love to know what the reference to FAL.PR.H is all about!
TXPR Index Deletions
July 2008 |
| Ticker |
HIMI Preferred Sub-Index |
DBRS Rating |
| BMO.PR.H |
PerpetualDiscount |
Pfd-1 |
| BNS.PR.J |
PerpetualDiscount |
Pfd-1 |
| BNS.PR.K |
PerpetualDiscount |
Pfd-1 |
| BNS.PR.L |
PerpetualDiscount |
Pfd-1 |
| BCE.PR.F |
None
(FixFloat) |
Pfd-2(low)
Review Negative |
| BAM.PR.B |
Floater |
Pfd-2(low) |
| BPO.PR.J |
Scraps
(OpRet) |
Pfd-3(high) |
| FTS.PR.C |
Scraps
(OpRet) |
Pfd-3(high) |
| FTS.PR.F |
Scraps
(PerpetualDiscount) |
Pfd-3(high) |
| GWO.PR.X |
OpRet |
Pfd-1(low) |
| HSB.PR.C |
PerpetualDiscount |
Pfd-1 |
| IAG.PR.A |
PerpetualDiscount |
Pfd-2(high) |
| NA.PR.L |
PerpetualDiscount |
Pfd-1(low) |
| TD.PR.P |
PerpetualDiscount |
Pfd-1 |
| TCA.PR.X |
PerpetualDiscount |
Pfd-2(low) |
| YPG.PR.B |
Scraps
(OpRet) |
Pfd-3(high) |
In summary and, perforce, ignoring any weightings that S&P might be assigning:
TXPR Changes by Sector
Ignoring FAL.PR.H Add
Assigning “Scraps” & “None” to “Would be” |
| Sector |
Adds |
Deletions |
Net |
| OpRet |
3 |
4 |
-1 |
| FixedReset |
6 |
0 |
+6 |
| PerpetualDiscount |
5 |
10 |
-5 |
| FixFloat |
1 |
1 |
0 |
| PerpetualPremium |
1 |
0 |
+1 |
| Floater |
0 |
1 |
-1 |
… and …
TXPR Changes by Credit (DBRS)
Ignoring FAL.PR.H Add |
| Credit |
Adds |
Deletions |
Net |
| Pfd-1 |
5 |
6 |
-1 |
| Pfd-1(low) |
4 |
2 |
+2 |
| Pfd-2(high) |
0 |
1 |
-1 |
| Pfd-2(low) |
4 |
3 |
+1 |
| Pfd-3(high) |
3 |
4 |
-1 |
The previous rebalancing of TXPR removed SplitShares; this was claimed to be due to liquidity concerns … which, on examination, looked to be more like institutional holding / block trading concerns, strictly speaking.
