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
| TXPR Additions | |||||
| Ticker | HIMIPref™ SubIndex |
DBRS Credit Rating |
Average Trading Value |
Total Return Nov. 30 – Jan 9 |
Prior History |
| BMO.PR.L | PerpetualDiscount | Pfd-1 | 393M | +21.51% | |
| BAM.PR.H | OpRet | Pfd-2(low) | 195M | +5.60% | |
| BAM.PR.O | OpRet | Pfd-2(low) | 360M | +0.54% | |
| FTS.PR.C | Scraps (Would be OpRet, but credit concerns) |
Pfd-3(high) | 46M | +5.97% | Deleted in July |
| GWO.PR.X | OpRet | Pfd-1(low) | 101M | +0.20% | Deleted in July |
| HSB.PR.C | PerpetualDiscount | Pfd-1 | 145M | +8.34% | Deleted in July |
| L.PR.A | Scraps (Would be OpRet, but credit concerns) |
Pfd-3 | 420M | +6.44% | |
| NSI.PR.C | Scraps (Would be OpRet, but volume concerns) |
Pfd-2(low) | 6M (!) | -7.14% | |
| NSI.PR.D | Scraps (Would be OpRet, but volume concerns) |
Pfd-2(low) | 13M (!) | +0.52% | |
| RY.PR.I | FixedReset | Pfd-1 | 741M | +6.82% | |
| TCA.PR.X | PerpetualDiscount | Pfd-2(low) | 140M | +14.13% | Deleted in July |
| W.PR.J | PerpetualDiscount | Pfd-2(low) | 100M | +16.27% | |
| YPG.PR.B | Scraps (Would be OpRet, but credit concerns) |
Pfd-3(high) | 137M | +24.82% | Deleted in July |
| TXPR Deletions | |||||
| Ticker | HIMIPref™ SubIndex |
DBRS Credit Rating |
Average Trading Value |
Total Return Nov. 30 – Jan 9 |
Prior History |
| ACO.PR.A | OpRet | Pfd-2(low) | 32M | +2.73% | Added in July |
| BAM.PR.K | Floater | Pfd-2(low) | 71M | +48.78% | |
| BAM.PR.N | PerpetualDiscount | Pfd-2(low) | 229M | +28.56% | Added in July |
| DW.PR.A | Scraps (Would be OpRet, but credit concerns) |
Pfd-3 | 124M | +26.90% | |
| FTS.PR.E | Scraps (Would be OpRet, but credit concerns) |
Pfd-3(high) | 34M | +6.44% | Added in July |
| GWO.PR.I | PerpetualDiscount | Pfd-1(low) | 318M | +17.02% | Added in July |
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 states:
The S&P/TSX Preferred Share Index is designed to serve the investment community’s need for an investable benchmark representing the Canadian preferred stock market.
… and in the “Eligibility” section …
The index is comprised of preferred stocks trading on the Toronto Stock Exchange that meet criteria relating to size, liquidity, and issuer rating.
… and …
Volume.The preferred stocks must have a minimum trailing three-month average daily value traded of C$100,000 at the time of the rebalancing.
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.
I recently wrote an essay on CPD/TXPR.
In summary and, perforce, ignoring any weightings that S&P might be assigning:
| TXPR Changes by Sector Assigning “Scraps” & “None” to “Would be” |
|||
| Sector | Adds | Deletions | Net |
| OpRet | 8 | 3 | +5 |
| FixedReset | 1 | 0 | +1 |
| PerpetualDiscount | 4 | 2 | +2 |
| Floater | 0 | 1 | -1 |
… and …
| TXPR Changes by Credit (DBRS) | |||
| Credit | Adds | Deletions | Net |
| Pfd-1 | 3 | 0 | +3 |
| Pfd-1(low) | 1 | 1 | 0 |
| Pfd-2(high) | 0 | 0 | 0 |
| Pfd-2(low) | 6 | 3 | +3 |
| Pfd-3(high) | 2 | 1 | +1 |
| Pfd-3 | 1 | 1 | 0 |
Assiduous Readers will recall that the Claymore ETF (trading as CPD on the Toronto Exchange) is based on the TXPR Index discussed here.
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