Turnover was steady in September at about 65%.
Trades were, as ever, triggered by a desire to exploit transient mispricing in the preferred share market (which may the thought of as “selling liquidity”), rather than any particular view being taken on market direction, sectoral performance or credit anticipation.
| MAPF Sectoral Analysis 2009-9-30 | |||
| 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 | 9.9% (-0.5) | 7.80%% | 7.25 |
| Interest Rearing | 0% | N/A | N/A |
| PerpetualPremium | 0.6% (-0.3) | 5.60% | 2.51 |
| PerpetualDiscount | 67.5% (+0.3) | 5.91% | 14.07 |
| Fixed-Reset | 16.8% (-0.6) | 4.25% | 4.14 |
| Scraps (OpRet) | 5.1% (-0.1) | 10.40% | 6.03 |
| Cash | 0.2% (+1.0) | 0.00% | 0.00 |
| Total | 100% | 6.03% | 11.23 |
| Totals and changes will not add precisely due to rounding. Bracketted figures represent change from August month-end. Cash is included in totals with duration and yield both equal to zero. | |||
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.
Virtually all trades during the month were intra-sector; that is, there were no noticable moves back and forth between sectors.
Credit distribution is:
| MAPF Credit Analysis 2009-9-30 | |
| DBRS Rating | Weighting |
| Pfd-1 | 0 (0) |
| Pfd-1(low) | 72.8% (-7.8) |
| Pfd-2(high) | 10.5% (+6.7) |
| Pfd-2 | 1.6% (+0.3) |
| Pfd-2(low) | 9.9% (-0.2) |
| Pfd-3(high) | 5.1% (-0.1) |
| Cash | +0.2% (+1.0) |
| Totals will not add precisely due to rounding. Bracketted figures represent change from August month-end. | |
Credit quality has declined somewhat (while remaining well in excess of the index average) due largely to the following sequence of trades:
| Major Trades Affecting Pfd-1(low)/Pfd-2(high) proportions | |||
| Date | HSB.PR.E | TD.PR.K | RY.PR.R |
| 8/31 Closing Bid |
27.91 | 27.77 | 27.60 |
| 9/3 | Bot 27.77 |
Sold 27.72 |
|
| 9/16 | Sold 27.92 |
Bot 27.52 |
|
| 9/30 | Bot 27.46 |
Sold 27.80 |
|
| 9/30 Closing Bid |
27.50 | 27.81 | 27.76 |
| Dividends | 9/11 0.4125 |
||
| Note: This table represents an extract from the trades actually executed. It represents an attempt to show fairly the major trades influencing the change in fund credit quality during September. Swaps shown were not necessarily executed on a 1:1 basis. Full disclosure of trades actually executed will be made simultaneously with the release of the fund’s audited financial statements for 2009. | |||
Liquidity Distribution is:
| MAPF Liquidity Analysis 2009-9-30 | |
| Average Daily Trading | Weighting |
| <$50,000 | 0.0% (-0.3) |
| $50,000 – $100,000 | 10.5% (-4.4) |
| $100,000 – $200,000 | 0.1% (-2.4) |
| $200,000 – $300,000 | 50.2% (+12.5) |
| >$300,000 | 39.1% (-6.5) |
| Cash | +0.2% (+1.0) |
| Totals will not add precisely due to rounding. Bracketted figures represent change from August 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. 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) and 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 17. When comparing CPD and MAPF:
- MAPF credit quality is better
- MAPF liquidity is a little better
- MAPF Yield is higher
- Weightings in
- MAPF is much more exposed to PerpetualDiscounts
- MAPF is much less exposed to Operating Retractibles
- MAPF is more exposed to SplitShares
- MAPF is less exposed to FixFloat / Floater / Ratchet
- MAPF weighting in FixedResets is much lower
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