Friday, September 25, 2009

Floaters: Links in One Post


I am spending about an hour today grouping together links to posts on a particular subject. I have previously done what I call gateway posts for Dynamic v. Static Asset Allocation theory and the VIX Asset Allocation Model. This is a gateway post for floating rate securities. The purpose of this post and other gateway posts is not to explain the topic in any detail but simply to group links to the prior posts in one post for anyone interested in that particular topic.

The floating rate securities are a frequent topic in this blog. There might be over a 100 pages of discussion devoted to them, and I view them as important in my asset allocation scheme. They can be divided into the following general categories:

1. EQUITY (Traditional) Floating Rate Preferred Stocks (qualified dividends) and Synthetic Floaters (taxed as interest)

2. Floaters with minimum guarantees and those with no guarantee

3. Floaters tied to the CPI with no guarantee

THERE ARE MORE DISTINCTIONS INCLUDING CUMULATIVE V. NON-CUMULATIVE, MATURITY DATE OR NO MATURITY DATE, ETC, BUT I AM JUST KEEPING IT SIMPLE IN THOSE GENERAL CATEGORIES

All of these securities can be found at the QuantumOnline site, QuantumOnline Credit Ratings - QuantumOnline.comwhich contains links to the prospectuses and is free but requires registration:

[AS OF 12/18/2009: I own the following equity preferred floating rate securities that pay the greater of a guarantee or a percentage above a short term rate such as the 3 month T Bill or Libor: METPRA, MSPRA, ZBPRA, STIPRA, STDPRB, USBPRH, HBAPRD & BMLPRH. I have sold my positions in the following equity preferred stocks which also have guarantees and floats: GSPRA, BACPRE, HBAPRF & BMLPRG. I own the following equity preferred stocks that have a float provision but no guarantee: ORHPRA and SCEDN. I own the CPI floaters OSM and PFK, and have sold ISM. I still own all of the shares of the Aegon hybrid floater AEB that I have bought. For the synthetics floaters that have a guarantee, I currently own: GJN, GJP, GYB, GYC, PYT, & GJL. I have sold GJK & PYV as they approached par value. Of the synthetic floaters that do not have a guarantee, I have sold my positions in GJS, GJO and GJR, and have pared a position in GJT though I currently own 50 shares of GJT. I have bought and sold GJS several times, based on the kind of analysis that I do comparing floating rate securities from a single issuer. An example of that kind of analysis can be found at Analysis of Prior Question about Goldman Sach's Floaters.


The following are links to examples of how I evaluate equity preferred floaters from the same issuer, or compare synthetic floaters to equity preferred floaters involving securities from the same issuer: Analysis of Prior Question about Goldman Sach's Floaters BMLPRH vs. BMLPRJ /GJS VS. PYT As of 10/8/09 Analysis of Prior Question: ZBPRA vs. ZBPRC OR ZBPRB


Two posts explaining why I view these securities to be important now:

Some of the links to my posts on the equity preferred floaters:



METPRA: 4% or 1% over 3 month LIBOR METLIFE INC
AEB: 4% or 7/8% over 3 month LIBOR www.sec.gov
ZBPRA: 4% or .52% over 3 month LIBOR www.sec.gov
BMLPRG 3% or .75% over 3 month LIBOR Prospectus Supplement
BMLPRJ 4% or .75% over 3 month LIBOR Final Prospectus Supplement
BMLPRH 3% or .65% over 3 month LIBOR Final Prospectus Supplement
BMLPRL 4% or .50% over 3 month LIBOR Term Sheet
BACPRE 4% or .35% over 3 month LIBOR Bank of America Corporation
GSPRA 3.75% or .75% over 3 month LIBOR 424(B)(2)
GSPRC 4% or .75% over 3 month LIBOR 424B2
GSPRD 4% or .67% over 3 month LIBOR 424B2
HBAPRF 3.5% or .75% over 3 month LIBOR Form 424(b)(5)
HBAPRD 4.5% (with a 10 1/2% cap) or .81% of the highest of T Bill, 10 Year Constant Maturity Treasury Rate or 30 Year Constant Treasury Ratewww.sec.gov
HBAPRG 4% or .75% over 3 month LIBOR www.sec.gov
UBSPRD 1% over 1 month LIBOR (no guarantee) www.sec.gov
MSPRA 4% or .7% over 3 month LIBOR www.sec.gov
USBPRH 3.5% or .6% over 3 month LIBOR e424b2
STIPRA 4% or .53% over 3 month LIBOR Final Prospectus Supplement
SANPRB 4% or .52% over 3 month LIBOR www.sec.gov
ORHPRB 3.25% over 3 month Libor) e424b5     CALLED  Oct 2010
SCEDN (floating rate, effective 4/30/2010) 1.45% over the highest of 3 Month LIBOR; 10 year or 30 U.S. Treasury CMT Prospectus Supplement

SYMBOL FOR SANPRB CHANGED FROM STDPRB-2012

Buy of 50 AEB at 4.8 (February 2009) Added to AEB at $5.5 (Oct. 2008)


















Sold 50 BMLPRJ at $21.14 (3/5/15 Post)-Item # 2 Bought 50 BMLPRJ at $20.25 (1/19/2015 Post)Sold 50 BMLPRJ at $21.05 April 2014-Bought: 50 BMLPRJ at $19.93 (October 2012); Sold 100 BMLPRJ at $19.55 (February 2012)(no snapshot since the gain was less than $30; Profit =)- Item # 4 Bought 100 BMLPRJ @ 19.32 (February 2011); Item # 5 Sold 50 BMLPRJ @ 18.73 (October 2010)-Item # 4 Added 50 BMLPRJ at $17.74 (August 2010); Item # 2 Sold 50 BMLPRJ at $19.25 (September 2010)-Item # 7 Bought 50 BMLPRJ at 18.50 (August 2010); Item # 1 Sold 50 BMLPRJ at $18.9 (February 2012)- Added 50 BMLPRJ at $16.8 (February 2012)


Item # 5 BOUGHT 50 USBPRH at 17.47 Sold USHPRH at 20.35 Bought:  USBPRH at 18.12  SOLD 30 USBPRH AT 21.84 Bought 50 USBPRH at $18.83

Item # 1 Sold 100 STDPRB at $18.11 (8/26/2010)(profit snapshot=$265.01)-Item # 4 Bought 100 STDPRB at $15.3 (9/25/2009)Item # 3 Sold 50 STDPRB at 19.64 in the Roth IRA (2/28/11 Post)-Item # 8 Added to STDPRB at 18.6 (3/10/2010 Post)Item # 2 Sold 50 STDPRB at $20.2 (3/14/11 Post)-Fidelity Corrects Odd Lot Trade on STDPRB to $18.5 from $18.85 (April 1/2010 Post)Item # 2 Sold 50 STDPRD at $20.34 (5/24/11 Post)(snapshot of profit includes previous trade= $143.16)-Item # 1 Added 50 STDPRD at $18.54 (3/9/2010 Post)Item # 4 Sold 50 of 230 SANPRB at $20.77 (1/13/13 Post)(snapshot of profit=$124.58)-(no write up on the buy); Item # 7 Sold 50 SANPRA at $21.72-ROTH IRA (4/23/13 Post)(profit snapshot=$225.47)-Item # 2 Bought 50 SANPRB at $16.93-Roth IRA (10/41/12)Item # 1 Sold 50 SANPRB at $19.8 (1/28/14 Post)-Item # 6 Bought Roth IRA: 50 SANPRB at $19.35 (7/20/13 Post)Item # 4 Sold Roth IRA: 50 SANPRB at $20.41 (4/18/14 Post)(snapshot of profit=$105.01)-Item # 4 Added 50 SANPRB at $18.24  (9/14/13 Post)





SYNTHETIC FLOATERS:  All in Trust Certificate Form
The floating rate is created by a swap agreement

Symbols for Floaters and the Name of the Company Issuing the Linked Bond
GYB GJJ JBK & GJS=Goldman Sachs
GYR=Proctor & Gamble
GJK PYV & GJN= J P Morgan
GJO=Wal Mart
GJP=Dominion Resources
GJT= Allstate
GYC= SBC Communications (now AT & T)

Synthetic Floaters: Gateway Post


Dominion Resources: GJP Min 3 % Max 8% or 1.15% over 3 month Treasury (mat: 6/15/2035) www.sec.gov

Goldman Sachs: GJJ Min 3% or .65% over 3 month Treasury Max 6.5% (MAT: 10/15/2013) www.sec.gov

Goldman Sachs: PYT Min 3% or .85 over 3 month Libor Max 8% (MAT: 2/15/2034) www.sec.gov

Goldman Sachs: GYB Min 3.25% or .85% over 3 month Libor Max 8.25% (Mat: 2/15/2034) www.sec.gov

SBC (now AT & T) GYC Min 3.25% or .65% over 3 month Libor Max 8% (Mat: 6/15/2034) www.sec.gov

IBM : GJI Min 3% or .5% over 3 month Treasury Bill Max 6% (Mat: 11/29/2012) www.sec.gov

J P Morgan GJK Min 3% or .7% over 3 month Treasury Max 6.75% (Mat: 3/15/2014) www.sec.gov

J P Morgan PYV Min 3.25% or .83% of 10 year treasury (cmt) MAX 9.25% (mat:3/15/2014) www.sec.gov

J P Morgan GJN Min 3% or 1% over 3 month Treasury Max 8% (Mat: 8/1/2035) www.sec.gov

Daimler North America (guaranteed by Daimler AG) GJL Min 3 or 1.25% over 3 month Treasury (Maturity 11/15/2013) www.sec.gov

No Minimum Guarantee but with a Maximum:

Proctor & Gamble GJR .7% over 3 month treasury bill MAX 7.5% (mat: 8/15/2034) www.sec.gov

Allstate: GJT .8% over 3 month treasury bill Max 8% (Mat: 4/1/2036www.sec.gov

Goldman Sachs GJS .9% over 3 month treasury bill MAX 7.5% ( Mat: 2/15/2033) www.sec.gov

Wal Mart GJO .5% over 3 month Libor MAX 7.5% (Mat: 2/15/2030)www.sec.gov


   

























CPI Floaters:

Recent discussions on how to compute the monthly interest rate payments of the Prudential (PFK) and Sallie Mae (OSM, ISM) CPI FLOATERS can be found in a post from December 2010 at Item # 1.  Stocks & Politics: OSM  and Item # 3 PFK 



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Item # 4 Bought 50 ISM in IRA at $11.85 (August 2009)- Sold 50 ISM at $12.25 (October 2009); Item # 4 Bought 50 of the CPI Floater ISM at $20.62-Item # 1 Sold 50 ISM at $23.4 (9/27/12 Post); Item # 1 Bought 50 ISM at $19.5 (October 2011)- Item # 1 Sold 50 ISM at $23.84 (11/2/12 Post);  Bought 100 ISM at $22.8 (9/7/13)



Item # 4 Bought 100 OSM at 15.75-Regular IRA (June 2010)- Item # 4 Sold 100 OSM at $16.87 (July 2010); Item # 3 Bought 50 OSM at $11.8 (June 2009)- Item # 3 Sold 50  OSM at $16.01 (January 2010)

Another 100 shares were bought on 7/31/2008, prior to the commencement of this blog, and were sold 10/22/2010: SOLD 100 of 200 OSM at $18.18

Item # 1 Sold 50 OSM at $21.06 (March 2011)-Added to OSM at $18.47 (December 2010)

Bought 100 OSM at $23.12-Roth IRA (August 2013)


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