I had an idle look at the most recent BMO Laddered Preferred Share (ZPR) Summary Guide (for July, 2024, “Data as of June 30, 2024.”) and was immediately struck by the laddering:
| Reset Year | Issues | Weight |
| 2024 / 2029 * | 44 | 19.25% |
| 2025 | 36 | 20.13% |
| 2026 | 18 | 20.35% |
| 2027 | 21 | 19.89% |
| 2028 | 32 | 20.38% |
| Portfolio | 151 | 100.00% |
| * BMO reports 2024 & 2029 separately. I have combined their two rows of data | ||
Well, that’s a helluva change from Table ZPR-6A: Resets Effective by Calendar Year Analysis of 2023-11-16, published as part of my ZPR analysis! I’m glad to see it … if I had seen numbers like this when I did my periodic monitoring of the fund, I would never have gotten so interested!
I have done nothing to investigate further, so I have no idea whether exposures to individual issues, issuers and issuer groups has improved since my review. Nobody’s paying me! But if somebody wants to do the work, contact me and we can discuss publishing it on the blog.
Update, 2024-8-30: Over a month ago, Assiduous Reader IrateAR contacted me and sent me his analysis … I’ve been trying to find time to post it ever since!
He updates Table ZPR-1D from the Investigation of ZPR – BMO Laddered Preferred Share Index ETF page as (abridged and edited version of his table):
| Table ZPR-1D: Differences between Index and ZPR Issuer Exposure Analysis of late July, 2024, by IrateAR |
|||
| Issuer | ZPR Total Weight | Index Total Weight | Difference |
| BN Group | 19.3% | 16.0% | -3.3% |
| BPO | 6.0% | 3.9% | -2.1% |
| BN | 9.2% | 7.9% | -1.3% |
| FFH | 2.7% | 2.5% | -0.2% |
| CPX | 0.8% | 0.7% | -0.2% |
| TA | 3.1% | 2.9% | -0.1% |
| … | … | … | … |
| PWF | 1.4% | 1.7% | +0.3% |
| ENB | 11.2% | 11.6% | +0.4% |
| SLF | 1.2% | 1.7% | +0.5% |
| NA | 4.7% | 5.5% | 0.8% |
| TD | 7.8% | 8.7% | 0.8% |
| BN and BPO are constituents of the BN group, as shown in Table ZPR-1B | |||
| Table ZPR-1B: BN Group Components – Concentration Concern Analysis of Late July, 2024 (by jiHymas from IrateAR data) |
||
| Issuer | Index Weight | ZPR Weight |
| BEP | 1.7% | 1.6% |
| BIK | 0% | 0.3% |
| BIP | 1.6% | 1.6% |
| BN | 9.2% | 7.9% |
| BPO | 6.0% | 3.9% |
| BRF | 0.7% | 0.7% |
| Total | 19.3% | 16.0% |
| Table ZPR-1A: Overweight & Underweight Issues Analysis of Late July, 2024 (data from IrateAR, editing and abridging by jiHymas) |
||||
| Ticker | Next Reset | Index Weight | ZPR Weight | Difference |
| BPO.PR.N | 0.91% | 0.55% | -0.36% | |
| TA.PR.F | 0.86% | 0.50% | -0.36% | |
| BPO.PR.R | 0.86% | 0.50% | -0.37% | |
| BPO.PR.C | 0.89% | 0.38% | -0.50% | |
| BN.PR.R | 1.25% | 0.65% | -0.60% | |
| …. | …. | …. | …. | …. |
| TD.PF.I | 1.61% | 2.42% | 0.81% | |
| SLF.PR.H | 0.95% | 1.69% | 0.74% | |
| NA.PR.C | 1.86% | 2.60% | 0.74% | |
| ENB.PR.B | 1.59% | 2.06% | 0.46% | |
| TA.PR.D | 0.99% | 1.39% | 0.40% | |
So things are getting better, but what I want to know is: who got fired? I don’t mean the front-line guy – the investment world is full of people who try to be investment management genius heroes without having either the brains or the mandate to do so … I mean management.
The fund was way out of whack for at least six months and that is (or should be) completely unacceptable – not to mention the fact that my pointed inquiries never got escalated in any meaningful way. Why weren’t there exception reports, listing the differences from specifications between the index and the fund? If there were exception reports, why weren’t they acted upon? If there weren’t any exception reports, why not? These are easy enough to produce automatically, every night for a front line supervisor, perhaps shorter and less frequently for mor senior staff. Any member of the chain of command who wasn’t pounding the table on every possible occasion and making a confounded nuisance of themselves by complaining incessantly about the lack of checking should get fired; the guy who specified the programming required for the process should get fired; the guy who refused to budget or schedule the necessary progamming should get fired; and good riddance to all of them.
But, as I found out personally many years ago, the Other People’s Money Department is the ass-end of banks; and Index Funds are the ass-end of the Other People’s Money Department. Staff, management, available resources – everything is second rate. The objective is not to make a good product – the objective is to make a cheap product and sell the hell out of it. Making the product is just another cost centre to be minimized. My information from direct observations may be old, but everything I have seen for myself or simply read about in the papers (hello, Boeing!) convinces me that the problem has only gotten worse with time. Pride in workmanship may not be dead, but it’s pretty damn sick.
“Duration: 2.38 years.”
I am triggered.
“Duration: 2.38 years.”
Their various definitions of yield are also a bit … idiosyncratic.
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