In the post Deriving a Reset Yield, I noted a huge difference in the GOC-5 Yield used as a base for the resets of TRP.PR.A, AZP.PR.A and FFH.PR.C.

As it turns out, the calculation for TRP.PR.A was correctly based on the December 1 GOC-5 yield at 10am, while the calculations for the FFH was correctly based on the December 2 figure. AZP is still a bit of a mystery.

If we look at TRP.PR.A: SEDAR TransCanada Corporation Sep 23 2009 16:14:12 ET Prospectus supplement – English PDF 127 K, we find the definitions (emphasis added):

‘‘Fixed Rate Calculation Date’’ means, for any Subsequent Fixed Rate Period, the 30th day prior to the first day of such Subsequent Fixed Rate Period.

**…**

‘‘Subsequent Fixed Rate Period’’ means, for the initial Subsequent Fixed Rate Period, the period **from and including December 31, 2014**, to but excluding December 31, 2019, and for each succeeding Subsequent Fixed Rate Period means the period from and including the day immediately following the last day of the immediately preceding Subsequent Fixed Rate Period to but excluding December 31 in the fifth year thereafter.

… while for FFH.PR.C, SEDAR Fairfax Financial Holdings Limited Sep 29 2009 18:40:58 ET Prospectus supplement – English PDF 419 K, we find (emphasis added):

“Fixed Rate Calculation Date” means, for any Subsequent Fixed Rate Period, the 30th day prior to the first day of such Subsequent Fixed Rate Period.

**…**

“Subsequent Fixed Rate Period” means for the initial Subsequent Fixed Rate Period, the **period commencing on January 1, 2015** and ending on and including December 31, 2019 and for each succeeding Subsequent Fixed Rate Period, the period commencing on the day immediately following the end of the immediately preceding Subsequent Fixed Rate Period and ending on and including December 31 in the fifth year thereafter.

… while for AZP.PR.B, SEDAR Atlantic Power Preferred Equity Ltd. Oct 21 2009 17:20:19 ET Final short form prospectus – English PDF 229 K, we find (emphasis added):

“Fixed Rate Calculation Date” means, for any Subsequent Fixed Rate Period, the 30th day prior to the first day of such Subsequent Fixed Rate Period.

**…**

“Subsequent Fixed Rate Period” means the **period from and including December 31, 2014** to, but excluding, December 31, 2019 and each five year period thereafter from and including the day immediately following the end of the immediately preceding Subsequent Fixed Rate Period to, but excluding, December 31 in the fifth year thereafter.

So as it turns out, the critical element is the precise definition of the “Subsequent Fixed Rate Period”; TRP was quite correct in calculating their figure on December 1 and FFH was quite correct in calculating their figure on December 2.

Investor Relations at TRP (who are now my favourite people) sent me the following screenshot justifying their calculation:

*Click for Big*
So that number of 1.346% that I calculated in the original post was justified. I have good reason to hope that I will shortly be receiving the screenshot for the December 2 calculation; if I get it, I’ll update this post.

I’ll have to call Atlantic Power again, since I continue to have problems with AZP: the calculation was performed on December 1, the same as TRP. As previously reported on PrefBlog, Atlantic Power stated:

The Reset Dividend Rate will be calculated on December 1, 2014

… but it looks like they used 1.39% as the GOC-5 rate and I don’t know where that number comes from.

**Update, 2014-12-5**: Here’s the screenshot for the FFH reset … 1.428%, as determined earlier:

*Click for Big*
… and a big THANK YOU for John Varnell at Fairfax!

This entry was posted on Friday, December 5th, 2014 at 3:10 am and is filed under Issue Comments. You can follow any responses to this entry through the RSS 2.0 feed.
You can leave a response, or trackback from your own site.

## Deriving Reset Yields: Mystery Partially Resolved

In the post Deriving a Reset Yield, I noted a huge difference in the GOC-5 Yield used as a base for the resets of TRP.PR.A, AZP.PR.A and FFH.PR.C.

As it turns out, the calculation for TRP.PR.A was correctly based on the December 1 GOC-5 yield at 10am, while the calculations for the FFH was correctly based on the December 2 figure. AZP is still a bit of a mystery.

If we look at TRP.PR.A: SEDAR TransCanada Corporation Sep 23 2009 16:14:12 ET Prospectus supplement – English PDF 127 K, we find the definitions (emphasis added):

… while for FFH.PR.C, SEDAR Fairfax Financial Holdings Limited Sep 29 2009 18:40:58 ET Prospectus supplement – English PDF 419 K, we find (emphasis added):

… while for AZP.PR.B, SEDAR Atlantic Power Preferred Equity Ltd. Oct 21 2009 17:20:19 ET Final short form prospectus – English PDF 229 K, we find (emphasis added):

So as it turns out, the critical element is the precise definition of the “Subsequent Fixed Rate Period”; TRP was quite correct in calculating their figure on December 1 and FFH was quite correct in calculating their figure on December 2.

Investor Relations at TRP (who are now my favourite people) sent me the following screenshot justifying their calculation:

Click for BigSo that number of 1.346% that I calculated in the original post was justified. I have good reason to hope that I will shortly be receiving the screenshot for the December 2 calculation; if I get it, I’ll update this post.

I’ll have to call Atlantic Power again, since I continue to have problems with AZP: the calculation was performed on December 1, the same as TRP. As previously reported on PrefBlog, Atlantic Power stated:

… but it looks like they used 1.39% as the GOC-5 rate and I don’t know where that number comes from.

Update, 2014-12-5: Here’s the screenshot for the FFH reset … 1.428%, as determined earlier:Click for Big… and a big THANK YOU for John Varnell at Fairfax!

This entry was posted on Friday, December 5th, 2014 at 3:10 am and is filed under Issue Comments. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.