PerpetualDiscounts now yield 7.14%, equivalent to 9.28% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.74% on 2023-9-30 (sic) and since then (by which I think they meant 2023-9-29) the closing price has changed from 13.93 to 14.01, an increase of 57bp in price, with a Duration of 11.91 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 5bp since 9/29 [?] to 5.69%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 360bp from the 340bp reported October 4.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| 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 | -0.2224 % | 2,167.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2224 % | 4,156.9 |
| Floater | 11.23 % | 11.39 % | 58,954 | 8.55 | 2 | -0.2224 % | 2,395.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0931 % | 3,291.7 |
| SplitShare | 5.08 % | 8.61 % | 39,320 | 1.92 | 7 | -0.0931 % | 3,931.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0931 % | 3,067.1 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1086 % | 2,439.9 |
| Perpetual-Discount | 7.04 % | 7.14 % | 43,254 | 12.44 | 31 | 0.1086 % | 2,660.6 |
| FixedReset Disc | 6.10 % | 9.16 % | 103,192 | 10.65 | 56 | -0.0752 % | 2,093.2 |
| Insurance Straight | 6.92 % | 7.03 % | 61,588 | 12.52 | 16 | -0.1368 % | 2,597.1 |
| FloatingReset | 11.09 % | 11.28 % | 34,285 | 8.62 | 1 | 1.4865 % | 2,415.9 |
| FixedReset Prem | 4.77 % | 5.25 % | 451,574 | 0.14 | 1 | 0.0401 % | 2,296.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0752 % | 2,139.7 |
| FixedReset Ins Non | 6.33 % | 8.86 % | 64,969 | 10.95 | 13 | 0.0091 % | 2,273.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.E | Insurance Straight | -4.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 7.02 % |
| TD.PF.I | FixedReset Disc | -3.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 21.39 Evaluated at bid price : 21.71 Bid-YTW : 8.05 % |
| FTS.PR.G | FixedReset Disc | -2.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 18.53 Evaluated at bid price : 18.53 Bid-YTW : 8.63 % |
| BIP.PR.F | FixedReset Disc | -1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 18.76 Evaluated at bid price : 18.76 Bid-YTW : 9.59 % |
| POW.PR.C | Perpetual-Discount | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 7.09 % |
| GWO.PR.Y | Insurance Straight | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 7.02 % |
| IFC.PR.E | Insurance Straight | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 18.69 Evaluated at bid price : 18.69 Bid-YTW : 7.03 % |
| ELF.PR.H | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 7.12 % |
| BN.PR.M | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 7.42 % |
| BN.PF.B | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 16.69 Evaluated at bid price : 16.69 Bid-YTW : 10.24 % |
| BN.PF.D | Perpetual-Discount | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 7.44 % |
| GWO.PR.M | Insurance Straight | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 20.87 Evaluated at bid price : 20.87 Bid-YTW : 7.03 % |
| BN.PF.H | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 10.31 % |
| SLF.PR.J | FloatingReset | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 15.02 Evaluated at bid price : 15.02 Bid-YTW : 11.28 % |
| BIK.PR.A | FixedReset Disc | 1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 9.65 % |
| IFC.PR.C | FixedReset Disc | 3.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 16.23 Evaluated at bid price : 16.23 Bid-YTW : 9.47 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.K | FixedReset Prem | 221,700 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-11-30 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 5.25 % |
| BMO.PR.Y | FixedReset Disc | 53,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 9.40 % |
| TD.PF.B | FixedReset Disc | 42,499 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 8.78 % |
| TD.PF.C | FixedReset Disc | 32,974 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 17.09 Evaluated at bid price : 17.09 Bid-YTW : 9.16 % |
| CM.PR.Q | FixedReset Disc | 19,695 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 17.18 Evaluated at bid price : 17.18 Bid-YTW : 9.37 % |
| RY.PR.H | FixedReset Disc | 18,193 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 8.96 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.F | FixedReset Ins Non | Quote: 13.25 – 23.80 Spot Rate : 10.5500 Average : 5.7581 YTW SCENARIO |
| CU.PR.F | Perpetual-Discount | Quote: 16.43 – 18.28 Spot Rate : 1.8500 Average : 1.0588 YTW SCENARIO |
| MFC.PR.I | FixedReset Ins Non | Quote: 19.50 – 20.76 Spot Rate : 1.2600 Average : 0.9092 YTW SCENARIO |
| SLF.PR.E | Insurance Straight | Quote: 16.20 – 17.16 Spot Rate : 0.9600 Average : 0.6317 YTW SCENARIO |
| GWO.PR.I | Insurance Straight | Quote: 16.35 – 17.80 Spot Rate : 1.4500 Average : 1.1951 YTW SCENARIO |
| RY.PR.O | Perpetual-Discount | Quote: 20.40 – 21.05 Spot Rate : 0.6500 Average : 0.4207 YTW SCENARIO |
Hello guys,
I know it is not really a place to ask questions but can anyone explain to me what’s the key difference between BEP.PR.R and BRF.PR.E / F?
They all are related to Brookfield renewable but is the dividend for BEP less safe because this is a “preferred LP unit”?
I’d like to understand why today they pretty much all traded at the same price while BEP.PR.R is a perpetual @5.5% and the other two are also perpetuals but @5.0% only.
There must be something that penalizes BEP.
Thank you and sorry for my lack of knowledge.
BRF.PR.E/F is eligible for the full dividend tax credit. Tax situation for BEP.PR.R is more complex ( end of year they provide the allocation between dividend, interest and return of capital).
The yield on the BEP perps and the BRF perps has really widened out lately.
eg
BEP.PR.R @ $15.70 yields about 8.76%
BRF.PR.E @ $16.10 yields about 7.76%
100bps difference. The different tax treatment would not explain such a large difference I should not think. A quick gander at the price graph since March shows BEP.PR.R dropping by well over $1 more than BRF.PR.E.
Another anomoly of our lovely pref market? Anyway, I bought some BEP perps for my RRSP. 8 3/4% forever seems quite good to me.
Anybody knows what added/remove in TXPR rebalance this quarter?
Hi niagara, why RRSP? Isn’t it preferable to buy preferred in margin account?
Hi fsabbagh,
I avoid buying BEP/BIP prefs for my margin account mostly because I can’t stand the extra tax forms that I have to fill out. I buy prefs of alll kinds for my RRSP and margin accounts because they are so high yielding at the momemt. eg a CIBC bond might be yielding 5.25% whereas their reset prefs are in the 7.25-7.5% range. I love the extra yield….
“I buy prefs of alll kinds for my RRSP and margin accounts because they are so high yielding at the momemt.”
Me too. Also for the capital gain that will, eventually, materialize when the hypothetical new issue spread collapses.
niagara , you say ” I can’t stand the extra tax forms that I have to fill out” ? , all my prefs are in my margin account so i get the div tax credit , at tax time my broker prepares the t-5 , what extra tax forms do you have to fill out ?
I own most of my prefs in my TFSA so I’m not bothered with the way I get my dividends.
We even reached 8.96% today for BEP vs. 7.75% for BRF… I really don’t get it.
Hey baffled,
sorry, I should not have said “tax forms” but instead “boxes to fill out” on the income tax return. BEP (and BIP) are considered partnerships, so we get a form T5013. The income is divided into several categories, and I usually cannot find every box to fill in TurboTax. The amounts are tiny but last thing that I need is to have the CRA call me in for an audit over a box on the tax form that I did not fill out for $4.54 or whatever.
Prefs for other companies, as you noted, are just T5. I have lots of prefs in my margin account.
BEP tax info:
https://bep.brookfield.com/bep/stock-distributions/tax-information
[…] PerpetualDiscounts now yield 7.20%, equivalent to 9.36% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.68% on 2023-10-13 and since then the closing price has changed from 13.98 to 13.76, a decrease of 157bp in price, with a Duration of 11.98 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 13bp since 10/13 to 5.81%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 355bp from the 360bp reported October 11. […]