{"id":4911,"date":"2009-01-09T19:42:23","date_gmt":"2009-01-09T23:42:23","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=4911"},"modified":"2009-01-09T19:42:23","modified_gmt":"2009-01-09T23:42:23","slug":"txpr-index-rebalancing-2","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=4911","title":{"rendered":"TXPR Index Rebalancing"},"content":{"rendered":"

Standard & Poors Index Operations has announced<\/a>:<\/p>\n

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, January 19, 2009<\/p><\/blockquote>\n

\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
TXPR Additions<\/td>\n<\/tr>\n
Ticker<\/td>\nHIMIPref™
SubIndex<\/td>\n		DBRS
Credit
Rating<\/td>\n		Average
Trading
Value<\/a><\/td>\n		Total
Return
Nov. 30 –
Jan 9<\/td>\n		Prior History<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nPerpetualDiscount<\/td>\nPfd-1<\/td>\n393M<\/td>\n+21.51%<\/td>\n <\/td>\n<\/tr>\n
BAM.PR.H<\/td>\nOpRet<\/td>\nPfd-2(low)<\/td>\n195M<\/td>\n+5.60%<\/td>\n <\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\nPfd-2(low)<\/td>\n360M<\/td>\n+0.54%<\/td>\n <\/td>\n<\/tr>\n
FTS.PR.C<\/td>\nScraps
(Would be OpRet, but credit concerns)<\/td>\n		Pfd-3(high)<\/td>\n46M<\/td>\n+5.97%<\/td>\nDeleted in July<\/a><\/td>\n<\/tr>\n
GWO.PR.X<\/td>\nOpRet<\/td>\nPfd-1(low)<\/td>\n101M<\/td>\n+0.20%<\/td>\nDeleted in July<\/a><\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetualDiscount<\/td>\nPfd-1<\/td>\n145M<\/td>\n+8.34%<\/td>\nDeleted in July<\/a><\/td>\n<\/tr>\n
L.PR.A<\/td>\nScraps
(Would be OpRet, but credit concerns)<\/td>\n		Pfd-3<\/td>\n420M<\/td>\n+6.44%<\/td>\n <\/td>\n<\/tr>\n
NSI.PR.C<\/td>\nScraps
(Would be OpRet, but volume concerns)<\/td>\n		Pfd-2(low)<\/td>\n6M (!)<\/td>\n-7.14%<\/td>\n <\/td>\n<\/tr>\n
NSI.PR.D<\/td>\nScraps
(Would be OpRet, but volume concerns)<\/td>\n		Pfd-2(low)<\/td>\n13M (!)<\/td>\n+0.52%<\/td>\n <\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\nPfd-1<\/td>\n741M<\/td>\n+6.82%<\/td>\n <\/td>\n<\/tr>\n
TCA.PR.X<\/td>\nPerpetualDiscount<\/td>\nPfd-2(low)<\/td>\n140M<\/td>\n+14.13%<\/td>\nDeleted in July<\/a><\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetualDiscount<\/td>\nPfd-2(low)<\/td>\n100M<\/td>\n+16.27%<\/td>\n <\/td>\n<\/tr>\n
YPG.PR.B<\/td>\nScraps
(Would be OpRet, but credit concerns)<\/td>\n		Pfd-3(high)<\/td>\n137M<\/td>\n+24.82%<\/td>\nDeleted in July<\/a><\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
TXPR Deletions<\/td>\n<\/tr>\n
Ticker<\/td>\nHIMIPref™
SubIndex<\/td>\n		DBRS
Credit
Rating<\/td>\n		Average
Trading
Value<\/a><\/td>\n		Total
Return
Nov. 30 –
Jan 9<\/td>\n		Prior History<\/td>\n<\/tr>\n
ACO.PR.A<\/td>\nOpRet<\/td>\nPfd-2(low)<\/td>\n32M<\/td>\n+2.73%<\/td>\nAdded in July<\/a><\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\nPfd-2(low)<\/td>\n71M<\/td>\n+48.78%<\/td>\n <\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetualDiscount<\/td>\nPfd-2(low)<\/td>\n229M<\/td>\n+28.56%<\/td>\nAdded in July<\/a><\/td>\n<\/tr>\n
DW.PR.A<\/td>\nScraps
(Would be OpRet, but credit concerns)<\/td>\n		Pfd-3<\/td>\n124M<\/td>\n+26.90%<\/td>\n <\/td>\n<\/tr>\n
FTS.PR.E<\/td>\nScraps
(Would be OpRet, but credit concerns)<\/td>\n		Pfd-3(high)<\/td>\n34M<\/td>\n+6.44%<\/td>\nAdded in July<\/a><\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\nPfd-1(low)<\/td>\n318M<\/td>\n+17.02%<\/td>\nAdded in July<\/a><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Holy smokes! I wasn’t going to report volume figures … until after a double-take I saw that they have added not just one, but both NSI issues – which trade by appointment only. The very first line on S&P’s Methodology Brochure<\/a> states:<\/p>\n

The S&P\/TSX Preferred Share Index is designed to serve the investment community\u2019s need for an investable benchmark representing the Canadian preferred stock market.<\/p><\/blockquote>\n

… and in the “Eligibility” section … <\/p>\n

The index is comprised of preferred stocks trading on the Toronto Stock Exchange that meet criteria relating to size, liquidity, and issuer rating.<\/p><\/blockquote>\n

… and … <\/p>\n

Volume.<\/b>The preferred stocks must have a minimum trailing three-month average daily value traded of C$100,000 at the time of the rebalancing.<\/p><\/blockquote>\n

I am stunned that S&P has ruled that the NSI issues meet liquidity requirements. Mind you, these are the guys who attemped to add a redeemed issue last time<\/a>.<\/p>\n

I recently wrote an essay on CPD\/TXPR<\/a>.<\/p>\n

In summary and, perforce, ignoring any weightings that S&P might be assigning:<\/p>\n

\n\n\n\n\n\n\n\n
TXPR Changes by Sector
Assigning “Scraps” & “None” to “Would be”<\/td>\n<\/tr>\n
Sector<\/td>\nAdds<\/td>\nDeletions<\/td>\nNet<\/td>\n<\/tr>\n
OpRet<\/td>\n8<\/td>\n3<\/td>\n+5<\/td>\n<\/tr>\n
FixedReset<\/td>\n1<\/td>\n0<\/td>\n+1<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n4<\/td>\n2<\/td>\n+2<\/td>\n<\/tr>\n
Floater<\/td>\n0<\/td>\n1<\/td>\n-1<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

… and …<\/p>\n

\n\n\n\n\n\n\n\n\n\n
TXPR Changes by Credit (DBRS)<\/td>\n<\/tr>\n
Credit<\/td>\nAdds<\/td>\nDeletions<\/td>\nNet<\/td>\n<\/tr>\n
Pfd-1<\/td>\n3<\/td>\n0<\/td>\n+3<\/td>\n<\/tr>\n
Pfd-1(low)<\/td>\n1<\/td>\n1<\/td>\n0<\/td>\n<\/tr>\n
Pfd-2(high)<\/td>\n0<\/td>\n0<\/td>\n0<\/td>\n<\/tr>\n
Pfd-2(low)<\/td>\n6<\/td>\n3<\/td>\n+3<\/td>\n
Pfd-3(high)<\/td>\n2<\/td>\n1<\/td>\n+1<\/td>\n<\/tr>\n
Pfd-3<\/td>\n1<\/td>\n1<\/td>\n0<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Assiduous Readers will recall that the Claymore ETF (trading as CPD on the Toronto Exchange) is based on the TXPR Index discussed here.<\/p>\n","protected":false},"excerpt":{"rendered":"

Standard & Poors Index Operations 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, January 19, 2009 …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[11],"tags":[],"class_list":["post-4911","post","type-post","status-publish","format-standard","hentry","category-indices-and-etfs"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/4911","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=4911"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/4911\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=4911"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=4911"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=4911"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}