Turnover remained low in December, at about 4%.
Sectoral distribution of the MAPF portfolio on December 30 was as follows:
| MAPF Sectoral Analysis 2011-12-30 | |||
| HIMI Indices Sector | Weighting | YTW | ModDur |
| Ratchet | 0% | N/A | N/A |
| FixFloat | 0% | N/A | N/A |
| Floater | 0% | N/A | N/A |
| OpRet | 0% | N/A | N/A |
| SplitShare | 9.8% (0) | 6.61% | 5.90 |
| Interest Rearing | 0% | N/A | N/A |
| PerpetualPremium | 0.0% (0) | N/A | N/A |
| PerpetualDiscount | 7.9% (-1.2) | 5.69% | 14.40 |
| Fixed-Reset | 13.1% (+1.2) | 2.77% | 2.71 |
| Deemed-Retractible | 56.1% (-3.0) | 6.13% | 7.81 |
| Scraps (Various) | 10.0% (+0.3) | 7.27% (see note) | 9.22 (see note) |
| Cash | +3.1% (+2.7) | 0.00% | 0.00 |
| Total | 100% | 5.63% | 7.39 |
| Yields for the YLO preferreds have been set at 10% for calculation purposes, and their durations at 5.00. The extraordinarily low price of these issues has resulted in extremely high calculated yields; I feel that substitution of these values results in a more prudent total indication. | |||
| Totals and changes will not add precisely due to rounding. Bracketted figures represent change from November month-end. Cash is included in totals with duration and yield both equal to zero. | |||
| DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31, in addition to the call schedule explicitly defined. See OSFI Does Not Grandfather Extant Tier 1 Capital, CM.PR.D, CM.PR.E, CM.PR.G: NVCC Status Confirmed and the January, February, March and June, 2011, editions of PrefLetter for the rationale behind this analysis. | |||
The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.
The increase in cash is due to client subscriptions for year end which have not yet been invested.
Credit distribution is:
| MAPF Credit Analysis 2011-12-30 | |
| DBRS Rating | Weighting |
| Pfd-1 | 0 (0) |
| Pfd-1(low) | 46.8% (-0.6) |
| Pfd-2(high) | 21.5% (-1.1) |
| Pfd-2 | 0 (0) |
| Pfd-2(low) | 18.7% (-1.3) |
| Pfd-3(high) | 3.1% (+0.4) |
| Pfd-3 | 3.0% (+1.0) |
| Pfd-4 | 2.3% (-0.2) |
| Pfd-4(low) | 1.7% (-0.8) |
| Cash | +3.1% (+2.7) |
| Totals will not add precisely due to rounding. Bracketted figures represent change from November month-end. | |
| A position held in ELF preferreds has been assigned to Pfd-2(low) | |
| A position held in CSE preferreds has been assigned to Pfd-3 | |
Liquidity Distribution is:
| MAPF Liquidity Analysis 2011-12-30 | |
| Average Daily Trading | Weighting |
| <$50,000 | 2.4% (-2.9) |
| $50,000 – $100,000 | 29.0% (+9.5) |
| $100,000 – $200,000 | 26.0% (-3.0) |
| $200,000 – $300,000 | 37.1% (-4.7) |
| >$300,000 | 2.3% (-1.7) |
| Cash | +3.1% (+2.7) |
| Totals will not add precisely due to rounding. Bracketted figures represent change from November month-end. | |
MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available the fund’s web page. The fund may be purchased either directly from Hymas Investment Management or through a brokerage account at Odlum Brown Limited. A “unit trust” is like a regular mutual fund, but is sold by offering memorandum rather than prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission) or those who subscribe for $150,000+. Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.
A similar portfolio composition analysis has been performed on the Claymore Preferred Share ETF (symbol CPD) as of August 31, 2011, and published in the October, 2011, PrefLetter. While direct comparisons are difficult due to the introduction of the DeemedRetractible class of preferred share (see above) it is fair to say:
- MAPF credit quality is better
- MAPF liquidity is a higher
- MAPF Yield is higher
- Weightings in
- MAPF is much more exposed to DeemedRetractibles
- MAPF is much less exposed to Operating Retractibles
- MAPF is much more exposed to SplitShares
- MAPF is less exposed to FixFloat / Floater / Ratchet
- MAPF weighting in FixedResets is much lower