HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5432 % | 1,948.7 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5432 % | 3,575.8 |
Floater | 6.18 % | 6.35 % | 54,098 | 13.43 | 4 | 0.5432 % | 2,060.7 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1974 % | 3,375.0 |
SplitShare | 4.67 % | 4.61 % | 63,560 | 4.04 | 7 | -0.1974 % | 4,030.4 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1974 % | 3,144.7 |
Perpetual-Premium | 5.61 % | -18.66 % | 63,279 | 0.09 | 6 | 0.0455 % | 2,985.2 |
Perpetual-Discount | 5.46 % | 5.63 % | 65,395 | 14.41 | 28 | 0.2557 % | 3,137.8 |
FixedReset Disc | 5.53 % | 5.41 % | 174,111 | 14.50 | 73 | -0.0104 % | 2,073.2 |
Deemed-Retractible | 5.26 % | 5.93 % | 75,758 | 7.91 | 27 | 0.3670 % | 3,128.2 |
FloatingReset | 4.48 % | 6.66 % | 59,674 | 8.06 | 3 | 0.1572 % | 2,357.2 |
FixedReset Prem | 5.26 % | 4.03 % | 132,312 | 1.61 | 14 | 0.0119 % | 2,579.6 |
FixedReset Bank Non | 1.97 % | 4.19 % | 89,318 | 2.31 | 3 | 0.2222 % | 2,669.5 |
FixedReset Ins Non | 5.44 % | 7.86 % | 110,253 | 7.95 | 21 | 0.3048 % | 2,117.6 |
Performance Highlights | |||
Issue | Index | Change | Notes |
CCS.PR.C | Deemed-Retractible | -2.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 5.65 % |
HSE.PR.C | FixedReset Disc | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-12 Maturity Price : 16.11 Evaluated at bid price : 16.11 Bid-YTW : 7.00 % |
RY.PR.H | FixedReset Disc | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-12 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 5.22 % |
CM.PR.Q | FixedReset Disc | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-12 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 5.72 % |
BAM.PR.C | Floater | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-12 Maturity Price : 10.83 Evaluated at bid price : 10.83 Bid-YTW : 6.40 % |
PVS.PR.E | SplitShare | -1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.46 Bid-YTW : 4.92 % |
EMA.PR.F | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-12 Maturity Price : 16.47 Evaluated at bid price : 16.47 Bid-YTW : 6.14 % |
IFC.PR.A | FixedReset Ins Non | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.54 Bid-YTW : 9.90 % |
SLF.PR.E | Deemed-Retractible | 1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 6.67 % |
SLF.PR.H | FixedReset Ins Non | 1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.92 Bid-YTW : 8.78 % |
TRP.PR.D | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-12 Maturity Price : 16.43 Evaluated at bid price : 16.43 Bid-YTW : 5.85 % |
SLF.PR.G | FixedReset Ins Non | 1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.30 Bid-YTW : 10.13 % |
GWO.PR.H | Deemed-Retractible | 1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 6.29 % |
SLF.PR.B | Deemed-Retractible | 1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 6.26 % |
BAM.PF.G | FixedReset Disc | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-12 Maturity Price : 17.28 Evaluated at bid price : 17.28 Bid-YTW : 6.12 % |
BAM.PR.Z | FixedReset Disc | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-12 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 6.07 % |
BAM.PF.J | FixedReset Disc | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-12 Maturity Price : 22.78 Evaluated at bid price : 23.69 Bid-YTW : 4.97 % |
BAM.PF.F | FixedReset Disc | 1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-12 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 6.14 % |
MFC.PR.F | FixedReset Ins Non | 2.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.90 Bid-YTW : 10.39 % |
TRP.PR.G | FixedReset Disc | 3.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-12 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 6.08 % |
PWF.PR.A | Floater | 3.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-12 Maturity Price : 12.10 Evaluated at bid price : 12.10 Bid-YTW : 5.78 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
MFC.PR.O | FixedReset Ins Non | 140,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.67 Bid-YTW : 3.99 % |
CU.PR.C | FixedReset Disc | 102,813 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-12 Maturity Price : 17.13 Evaluated at bid price : 17.13 Bid-YTW : 5.45 % |
MFC.PR.H | FixedReset Ins Non | 77,300 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.60 Bid-YTW : 6.86 % |
TRP.PR.B | FixedReset Disc | 62,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-12 Maturity Price : 11.05 Evaluated at bid price : 11.05 Bid-YTW : 5.95 % |
MFC.PR.N | FixedReset Ins Non | 54,000 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.89 Bid-YTW : 9.23 % |
BMO.PR.F | FixedReset Disc | 52,630 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-12 Maturity Price : 22.82 Evaluated at bid price : 24.05 Bid-YTW : 5.10 % |
There were 36 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
CCS.PR.C | Deemed-Retractible | Quote: 23.75 – 24.59 Spot Rate : 0.8400 Average : 0.6190 YTW SCENARIO |
GWO.PR.N | FixedReset Ins Non | Quote: 14.25 – 14.75 Spot Rate : 0.5000 Average : 0.3797 YTW SCENARIO |
PWF.PR.S | Perpetual-Discount | Quote: 21.58 – 21.90 Spot Rate : 0.3200 Average : 0.2141 YTW SCENARIO |
BNS.PR.Y | FixedReset Bank Non | Quote: 24.55 – 24.95 Spot Rate : 0.4000 Average : 0.3187 YTW SCENARIO |
PWF.PR.R | Perpetual-Discount | Quote: 24.75 – 24.95 Spot Rate : 0.2000 Average : 0.1268 YTW SCENARIO |
GWO.PR.I | Deemed-Retractible | Quote: 20.88 – 21.10 Spot Rate : 0.2200 Average : 0.1518 YTW SCENARIO |
FixedReset Prospectuses Are Imprecise!
Friday, September 13th, 2019As we all know, FixedResets will reset their dividend every five years based on the Government of Canada Five Year yield (“GOC-5 rate” or “GOC-5 yield”) and therefore the prospectus for each issue needs to include information regarding exactly how that yield is determined.
The prospectus for ALA.PR.G (chosen because I can link to it!) contains typical language with respect to this process:
I am not aware of any material differences in the definitions between prospectuses.
So this sounds pretty good, right? The GOC-5 yield will be calculated by an independent third party with no ambiguity and complete verifiability, right? Wrong.
As noted in the post Reset Calculation Oddity for 2019-9-30 / 2019-10-1, the following four issues had the GOC-5 rate underlying their dividends recalculated by their issuers on September 3:
The AltaGas screenshot shows they made a slight mistake: the time of the screenshot is 10:00:18, so they missed their proper time by 18 seconds, although they could argue that the prospectus only uses four significant figures and therefore their calculation is completely OK. However, each of the other screenshots shows a genuine effort being made to determine just what exactly the GOC-5 rate was at 10:00:00.00000 and each methodology resulted in a different answer.
Four companies, four identically specified calculations, four different answers.
I will be the first to agree that the variance is minor: the spread between the highest and lowest measurement is only 1.5bp and that’s not a lot. On a typical issue size of $250-million, that comes to $37,500 annually or $187,500 over the full five years. On a per-share basis, a 1.5bp yield difference comes to $0.00375 p.a., slightly less than two cents over the full five years.
But that’s not the point. First, the prospectus should specify the yield to be used in a completely precise manner. To quote again from the representative language of the ALA.PR.G prospectus:
What’s the point of being so horrifyingly precise about the rounding of the Annual Fixed Dividend Rate when the underlying figure is nowhere near that precisely measured?
In addition, once this becomes widely known, what’s to prevent a company from determining the GOC-5 yield in as many ways as their Bloomberg users can invent and choosing the lowest answer?
Clearly, the Bloomberg methodology is not adequate for the task of determining a precise, public, third-party figure and the procedure needs to be changed. The first alternative that leaps to mind is the Bank of Canada’s bond yield reporting:
Yes, it’s not quite the same thing and yes, there might be a perceived problem if the benchmark changes near the time of calculation (typically, new benchmarks will trade to yield less than the ‘off the run’ issues they supersede). I don’t care. I want something precise, public (certainly more public than a subscription to a Bloomberg terminal!) and prepared by an independent third party. If somebody has a better idea, let’s hear it.
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