{"id":14050,"date":"2011-02-11T22:59:01","date_gmt":"2011-02-12T02:59:01","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=14050"},"modified":"2011-02-11T22:59:01","modified_gmt":"2011-02-12T02:59:01","slug":"himipref-index-performance-january-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=14050","title":{"rendered":"HIMIPref™ Index Performance: January 2011"},"content":{"rendered":"

This is grossly abbreviated. My apologies, but since the OSFI announcement on extant Tier 1 Capital<\/a>, time has been at a premium.<\/p>\n

Performance of the HIMIPref\u2122 Indices for January, 2011, was:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Total Return<\/td>\n<\/tr>\n
Index<\/td>\nPerformance
\nJanuary 2011<\/td>\n		Three Months
\nto
\nJanuary 31, 2011<\/td>\n<\/tr>\n
Ratchet<\/td>\n+4.03% ***<\/b><\/td>\n+9.80% ***<\/b><\/td>\n<\/tr>\n
FixFloat<\/td>\n+3.76% **<\/b><\/td>\n+9.24% **<\/b><\/td>\n<\/tr>\n
Floater<\/td>\n+4.03%<\/td>\n+9.80%<\/td>\n<\/tr>\n
OpRet<\/td>\n-0.35%<\/td>\n+0.62%<\/td>\n<\/tr>\n
SplitShare<\/td>\n+0.78%<\/td>\n+2.91%<\/td>\n<\/tr>\n
Interest<\/td>\n-0.35%****<\/b><\/td>\n+0.62%****<\/b><\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n+0.81%<\/td>\n+0.99%<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n+2.96%<\/td>\n+3.21%<\/td>\n<\/tr>\n
FixedReset<\/td>\n-0.11%<\/td>\n-0.32%<\/td>\n<\/tr>\n
**<\/b> The last member of the FixedFloater index was transferred to Scraps at the June, 2010, rebalancing; subsequent performance figures are set equal to the Floater index. The index was repopulated at the October, 2010, rebalancing<\/i><\/td>\n<\/tr>\n
***<\/b> The last member of the RatchetRate index was transferred to Scraps at the July, 2010, rebalancing; subsequent performance figures are set equal to the Floater index<\/i><\/td>\n<\/tr>\n
****<\/b> The last member of the InterestBearing index was transferred to Scraps at the June, 2009, rebalancing; subsequent performance figures are set equal to the OperatingRetractible index<\/i><\/td>\n<\/tr>\n
Passive Funds (see below for calculations)<\/td>\n<\/tr>\n
CPD<\/td>\n+0.87%<\/td>\n+1.09%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n+1.21%<\/td>\n+2.24%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n+1.62%<\/td>\n+2.24%<\/td>\n<\/tr>\n
TXPR Total Return<\/td>\n+0.87%<\/td>\n+1.17%<\/td>\n<\/table>\n<\/div>\n

The pre-tax interest equivalent spread of PerpetualDiscounts over Long Corporates (which I also refer to as the Seniority Spread) ended the month<\/a> at 190bp, a significant decline from the 225bp reported at year-end<\/a>. The decline may be attribute with a fair level of confidence to speculation (ultimately proved correct) that OSFI would not grandfather extant Tier 1 Capital<\/a>.<\/p>\n

Claymore has published NAV and distribution data<\/a> (problems with the page in IE8 can be kludged by using compatibility view) for its exchange traded fund (CPD) and I have derived the following table:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
CPD Return, 1- & 3-month, to January 31, 2011<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
October 29, 2010<\/td>\n17.24<\/td>\n <\/td>\n <\/td>\n <\/td>\n<\/tr>\n
November 25<\/td>\n17.25<\/td>\n0.069<\/td>\n+0.46%<\/td>\n+0.23%<\/td>\n<\/tr>\n
November 30<\/td>\n17.21<\/td>\n <\/td>\n-0.23%<\/td>\n<\/tr>\n
December 24<\/td>\n17.09<\/td>\n0.069<\/td>\n-0.30%<\/td>\n-0.01%<\/td>\n<\/tr>\n
December 31, 2010<\/td>\n17.14<\/td>\n <\/td>\n+0.29%<\/td>\n<\/tr>\n
January 26, 2011<\/td>\n17.20<\/td>\n0.069<\/td>\n+0.75%<\/td>\n+0.87%<\/td>\n<\/tr>\n
January 31, 2011<\/td>\n17.22<\/td>\n <\/td>\n+0.12%<\/td>\n<\/tr>\nQuarterly Return<\/strong><\/td>\n+1.20%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Claymore currently holds $623,497,812<\/a> (advisor & common combined) in CPD assets, up about $27-million (4.50%) from the $596,621,272 reported at December month-end.<\/p>\n

The DPS.UN NAV for February 2 has been published<\/a> so we may calculate the approximate January returns.<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, January-ish 2011<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for sub-period<\/td>\nReturn for period<\/td>\n<\/tr>\n
December 29<\/td>\n21.01<\/td>\n<\/td>\n <\/td>\n <\/td>\n<\/tr>\n
February 2<\/td>\n21.352<\/td>\n <\/td>\n <\/td>\n+1.63%<\/td>\n<\/tr>\n
Estimated December Ending Stub<\/td>\n-0.29% *****<\/b><\/td>\n<\/tr>\n
Estimated February Beginning Stub<\/td>\n-0.12% *<\/b><\/td>\n<\/tr>\n
Estimated January Return<\/strong><\/td>\n+1.21% ******<\/strong><\/td>\n<\/tr>\n
*<\/b>CPD had a NAVPU of 17.22 on January 31 and 17.24 on February 2, therefore the return for the period was +0.12%. The return for DPS.UN in this period is presumed to be equal.<\/em><\/td>\n<\/tr>\n
*****<\/b>CPD had a NAVPU of 17.09 on December 29 and 17.14 on December 31, hence the total return for the period for CPD was +0.29%. The return for DPS.UN in this period is presumed to be equal.<\/em><\/td>\n<\/tr>\n
****<\/b> The estimated January return for DPS.UN’s NAV is therefore the product of three period returns, +1.63%, -0.29%, -0.12%, to arrive at an estimate for the calendar month of +1.21%<\/em><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for November<\/a> and December<\/a>:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-December-ish, 2010<\/td>\n<\/tr>\n
November-ish<\/td>\n+0.88%<\/td>\n<\/tr>\n
December-ish<\/td>\n+0.14%<\/td>\n<\/tr>\n
January-ish<\/td>\n+1.21%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n+2.24%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Sentry Select is now publishing performance data for DPS.UN<\/a>, but this appears to be price-based, rather than NAV-based. I will continue to report NAV-based figures.<\/p>\n","protected":false},"excerpt":{"rendered":"

This is grossly abbreviated. My apologies, but since the OSFI announcement on extant Tier 1 Capital, time has been at a premium. Performance of the HIMIPref\u2122 Indices for January, 2011, was: Total Return Index Performance …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[10],"tags":[],"class_list":["post-14050","post","type-post","status-publish","format-standard","hentry","category-index-construction-and-reporting"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14050","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=14050"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14050\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=14050"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=14050"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=14050"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}