PrefBlog

A New Year’s update from Assiduous Reader RAV4guy!

• PDF file
• MS-Excel xlsx file

A recent post prompted an interesting discussion in which Assiduous Reader RAV4guy told us:

Since RBC announced in August 2020 the redemption of 6 preferred issues with a par value of $1.5 billion I have kept a log of the ongoing redemptions and new issues by all issuers.

The announced redemption of FFH.PR.C/D is the 100th issue to have its redemption announced. The par value of these 100 redemptions is $28.077 billion.

Since August 2020 there have been 12 new issues and their par value is $2.022 billion. These new issues are:

4 Split Share: PVS.PR.I, PVS.PR.J, PVS.PR.K and PVS.PR.L
1 FRR with a floor: EMA.PR.J
7 Perpetuals: MIC.PR.A, EMA.PR.L, GWO.PR.Y, PWF.PR.A, CU.PR.J, IFC.PR.K and BEP.PR.R

The last two issues were BEP.PR.R in April 2022 and then PVS.PR.L in September 2024. No operating companies have issued preferred shares in over 2.5 years.

We all know that redemptions have greatly exceeded new issues over the past few years, but it’s breathtaking to see the numbers quantified!

RAV4guy has very kindly made his spreadsheet available to us, with technical assistance from Assiduous Reader FletcherLynd Here it is, in two formats:

• PDF
• .numbers (a spreadsheet file format from Apple. I know nothing about it.)
• .xlsx file (MS-Excel spreadsheet file)

Thanks, RAV4guy & FletcherLynd!

Update, 2024-12-13: RAV4guy has sent me an MS-Excel version of the file, which I have made available above. Thanks, RAV4guy!

With all the tumult of the past year, I thought it was high time to show a new portfolio analysis of CPD. Holdings were recovered from the CPD information page as of February 25 and converted into HIMIPref™ format. Cash was not included in the HIMIPref™ transcription – these analyses are for the securities only.

Sectoral distribution of the CPD portfolio on February 26 was as follows:

The calculation of overall yield may be criticized, since it is merely a weighted average of the yield for each issue. Thus, when considering WN.PR.A, the average will reflect the calculated YTW of -17.44% as if it was in effect for as long as every other calculated yield, which is simply wrong. A proper overall yield calculation would take the cashflows of each instrument in the portfolio and calculate the yield based on all these cashflows together, but I don’t know anybody who does that. HIMIPref™ can prepare a table of these cashflows, but I see no point in doing so.

The weighted average is 3.94%, as indicated on the table. The weighted average if all the negative YTWs (there are eight of them) are set to zero is 4.11%. The weighted average if all the issues with a negative YTW are ignored completely is 4.23%. So take your pick.

A wrinkle to the division into sub-indices is the fact that some issues are classed here as FixedResets, even though for analytical purposes they are classified as Straights – this is due to the fact that these particular issues reset with a floor rate which is (given the current level of the GOC 5-Year bond) currently expected to be effective.

For CPD the total portfolio is 68.5% “Floating”, which means the rates will reset periodically based upon the GOC-5, T-Bill or Canada Prime levels.

Credit distribution is:

Liquidity Distribution is:

The distribution of Issue Reset Spreads is:

Distribution of Floating Rate Start Dates is shown in the table below. This is the date of the next adjustment to the dividend rate, if the issue is currently paying a fixed rate for a limited time; which in practice is successive terms of 5 years. Issues that adjust quarterly are considered “Currently Floating”.

S&P Dow Jones Indices Canadian Index Operations has announced:

the following index changes as a result of the quarterly S&P/TSX Preferred Share Index Review. These changes will be effective at the open on Monday, April 18, 2016.

S&P Dow Jones Indices Canadian Index Operations has announced:

the following index changes as a result of the quarterly S&P/TSX Preferred Share Index and S&P/TSX Preferred Share Laddered Index Reviews. These changes will be effective at the open on Monday, April 20, 2015.

S&P Dow Jones Indices Canadian Index Operations has announcedthe following index changes as a result of the quarterly S&P/TSX Preferred Share Index and S&P/TSX Preferred Share Laddered Index Reviews. These changes will be effective at the open on Monday, January 19, 2015.

S&P Dow Jones Indices Canadian Index Operations has announced:

the following index changes as a result of the quarterly S&P/TSX Preferred Share Index and S&P/TSX Preferred Share Laddered Index Reviews. These changes will be effective at the open on Monday, April 21, 2014.

S&P/TSX Preferred Share Index

S&P/TSX Preferred Share Laddered Index

S&P Dow Jones Indices Canadian Index Operations has announced:

the following index changes as a result of the quarterly S&P/TSX Preferred Share Index and S&P/TSX Venture Select Index Reviews. These changes will be effective at the open on Monday, January 20, 2014.

This is grossly abbreviated. My apologies, but since the OSFI announcement on extant Tier 1 Capital, time has been at a premium.

Performance of the HIMIPref™ Indices for January, 2011, was:

The pre-tax interest equivalent spread of PerpetualDiscounts over Long Corporates (which I also refer to as the Seniority Spread) ended the month at 190bp, a significant decline from the 225bp reported at year-end. The decline may be attribute with a fair level of confidence to speculation (ultimately proved correct) that OSFI would not grandfather extant Tier 1 Capital.

Claymore has published NAV and distribution data (problems with the page in IE8 can be kludged by using compatibility view) for its exchange traded fund (CPD) and I have derived the following table:

Claymore currently holds $623,497,812 (advisor & common combined) in CPD assets, up about $27-million (4.50%) from the $596,621,272 reported at December month-end.

The DPS.UN NAV for February 2 has been published so we may calculate the approximate January returns.

Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for November and December:

Sentry Select is now publishing performance data for DPS.UN, but this appears to be price-based, rather than NAV-based. I will continue to report NAV-based figures.