{"id":1549,"date":"2007-12-04T15:53:07","date_gmt":"2007-12-04T19:53:07","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1549"},"modified":"2007-12-04T15:53:07","modified_gmt":"2007-12-04T19:53:07","slug":"mapf-portfolio-composition-november-30-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1549","title":{"rendered":"MAPF Portfolio Composition : November 30, 2007"},"content":{"rendered":"

There was heavy trading in November.<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
MAPF Sectoral Analysis 2007-11-30<\/td>\n<\/tr>\n
HIMI Indices Sector<\/td>\nWeighting<\/td>\nYTW<\/td>\nModDur<\/td>\n<\/tr>\n
Ratchet<\/td>\n0%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
FixFloat<\/td>\n0%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
Floater<\/td>\n0%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
OpRet<\/td>\n0%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
SplitShare<\/td>\n38% (+19)<\/td>\n6.54%<\/td>\n5.34<\/td>\n<\/tr>\n
Interest Rearing<\/td>\n0%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n0%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n62% (-19)<\/td>\n5.93%<\/td>\n14.04<\/td>\n<\/tr>\n
Scraps<\/td>\n0%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
Cash<\/td>\n0%<\/td>\n0.00%<\/td>\n0.00<\/td>\n<\/tr>\n
Total<\/strong><\/td>\n100%<\/strong><\/td>\n6.11%<\/strong><\/td>\n10.66<\/strong><\/td>\n<\/tr>\n
Totals will not add precisely due to rounding.
\nBracketted figures represent change from October month-end.<\/em><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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.), which doesn’t make much of a difference this month. 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.<\/p>\n

The shift from PerpetualDiscount issues into\u00a0SplitShares was very dramatic, but I must stress that this was not done – and is never done – as a market call on the overall direction of the market. During the month it appeared that there were dramatic undervaluations in specific issues in the\u00a0SplitShare sector; in order to buy them, something had to get sold!<\/p>\n

It’s always useful to do a post-mortem on trades. The following tables are as accurate as I can make them, but I will stress that the trades are rarely precisely cash neutral. If, for instance, I have bought half the number I want of a particular issue at 21.00 during the day, I will not lift an offer at 21.50 just to complete the buying programme! Maybe there is something else that’s attractive on offer; maybe I’ll just keep the cash exposure overnight and put in another bid the next day. It’s important to avoid being too mechanical when trading in a relatively thin market such as preferred shares.<\/p>\n

Anyway, here are the basic trades involving the sale of PerpetualDiscounts and the purchase of SplitShares, as well as I can disentangle them!<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Issue<\/td>\n10\/31<\/td>\nTrade<\/td>\n11\/30<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\n20.85<\/td>\nsold @ 20.60<\/td>\n20.75<\/td>\n<\/tr>\n
WFS.PR.A<\/td>\n10.20<\/td>\nbought @ 9.67 (average)<\/td>\n9.92<\/td>\n<\/tr>\n
\u00a0<\/td>\n<\/tr>\n
Issue<\/td>\n10\/31<\/td>\nTrade<\/td>\n11\/30<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\n18.31<\/td>\nsold @ 18.27<\/td>\n17.55<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\n21.06<\/td>\nbought @ 19.35<\/td>\n19.00 + 0.271875<\/td>\n<\/tr>\n
\u00a0<\/td>\n<\/tr>\n
Issue<\/td>\n10\/31<\/td>\nTrade<\/td>\n11\/30<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\n18.31<\/td>\nsold @ 17.70 (average)<\/td>\n17.55<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\n21.06<\/td>\nbought @ 17.60<\/td>\n19.00<\/td>\n<\/tr>\n
The upper issue was sold, the lower issue bought. None of the issues
\nlisted earned dividends in November. The first tranche of BNA.PR.C
\nearned the dividend (shown as an addition to the month-end value);
\nthe second didn’t.<\/em><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

It should be noted that I am reporting only the specific trades illustrating the transfer of assets from the PerpetualDiscount sector to SplitShares; and at that, there are a few scrappy pieces missing. Full disclosure of all trades is made regularly; the full reports are regularly\u00a0published on the fund’s main page<\/a>\u00a0together with the annual and semi-annual reports.<\/p>\n

I will emphasize again that these trades were opportunistic and do not reflect any view on the market; I will also note that I considered BNA.PR.C to be ludicrously cheap<\/a>, but had to sell the BAM.PR.N perpetuals to get into it in good size without overweighting my exposure to BAM (recall that BNA.PR.C is backed by BAM.A shares).<\/p>\n

Credit distribution is:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n
MAPF Credit Analysis 2007-11-30<\/td>\n<\/tr>\n
DBRS Rating<\/td>\nWeighting<\/td>\n<\/tr>\n
Pfd-1<\/td>\n34% (-5)<\/td>\n<\/tr>\n
Pfd-1(low)<\/td>\n17% (0)<\/td>\n<\/tr>\n
Pfd-2(high)<\/td>\n0% (-15)<\/td>\n<\/tr>\n
Pfd-2<\/td>\n21% (+8)<\/td>\n<\/tr>\n
Pfd-2(low)<\/td>\n27% (+11)<\/td>\n<\/tr>\n
Cash<\/td>\n0%<\/td>\n<\/tr>\n
Totals will not add precisely due to rounding.
\nBracketted figures represent change from October month-end.\u00a0 <\/em><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The fund does not set any targets for overall credit quality; trades are executed one by one. Variances in overall credit will be constant as opportunistic trades are executed.<\/p>\n

Liquidity Distribution is:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n
MAPF Liquidity Analysis 2007-11-30<\/td>\n<\/tr>\n
Average Daily Trading<\/td>\nWeighting<\/td>\n<\/tr>\n
<$50,000<\/td>\n1% (0)<\/td>\n<\/tr>\n
$50,000 – $100,000<\/td>\n0% (0)<\/td>\n<\/tr>\n
$100,000 – $200,000<\/td>\n63% (+13)<\/td>\n<\/tr>\n
$200,000 – $300,000<\/td>\n18% (-8)<\/td>\n<\/tr>\n
>$300,000<\/td>\n18% (-5)<\/td>\n<\/tr>\n
Cash<\/td>\n0%<\/td>\n<\/tr>\n
Totals will not add precisely due to rounding.
\nBracketted figures represent change from October month-end.<\/em><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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 on the\u00a0fund’s web page<\/a>. 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.<\/p>\n

I’m\u00a0happy with the portfolio as it now stands. Credit quality\u00a0and liquidity are good,\u00a0and yields are well in excess of benchmarks. The positions should do very well as the situation normalizes.<\/p>\n

A discussion of November’s performance will be posted\u00a0shortly.\n<\/p>\n

<\/p>\n","protected":false},"excerpt":{"rendered":"

There was heavy trading in November. MAPF Sectoral Analysis 2007-11-30 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 38% (+19) …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[14],"tags":[],"class_list":["post-1549","post","type-post","status-publish","format-standard","hentry","category-mapf"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1549","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=1549"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1549\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1549"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1549"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1549"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}