We have a new investment proverb, courtesy of Steve Sosnick, an equity risk manager at Timber Hill, the market-making unit of Greenwich, Connecticut-based Interactive Brokers Group Inc., as reported by Bloomberg’s Joe Ciolli:
“Consensus trades like this, especially when they’re contrarian, often don’t pan out.”
| 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 | 5.00 % | 6.08 % | 10,893 | 16.59 | 1 | 1.4254 % | 1,573.1 |
| FixedFloater | 6.78 % | 5.96 % | 23,034 | 16.34 | 1 | 0.0714 % | 2,931.9 |
| Floater | 4.56 % | 4.71 % | 59,270 | 16.07 | 4 | 0.4608 % | 1,696.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0615 % | 2,803.2 |
| SplitShare | 4.73 % | 5.11 % | 91,141 | 1.60 | 6 | -0.0615 % | 3,280.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0615 % | 2,559.4 |
| Perpetual-Premium | 5.77 % | -6.83 % | 87,817 | 0.08 | 6 | 0.1315 % | 2,569.6 |
| Perpetual-Discount | 5.56 % | 5.60 % | 95,172 | 14.47 | 33 | 0.3561 % | 2,616.6 |
| FixedReset | 5.25 % | 4.65 % | 184,178 | 13.97 | 87 | 0.6553 % | 1,935.1 |
| Deemed-Retractible | 5.19 % | 5.22 % | 125,011 | 5.11 | 34 | 0.2156 % | 2,628.1 |
| FloatingReset | 3.13 % | 4.99 % | 37,268 | 5.39 | 17 | 0.8505 % | 2,021.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.Z | FixedReset | -2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 18.71 Evaluated at bid price : 18.71 Bid-YTW : 5.05 % |
| TRP.PR.F | FloatingReset | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 12.15 Evaluated at bid price : 12.15 Bid-YTW : 4.89 % |
| BAM.PF.B | FixedReset | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 17.78 Evaluated at bid price : 17.78 Bid-YTW : 4.90 % |
| HSE.PR.A | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 10.11 Evaluated at bid price : 10.11 Bid-YTW : 6.02 % |
| RY.PR.N | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 23.48 Evaluated at bid price : 23.80 Bid-YTW : 5.20 % |
| BAM.PF.C | Perpetual-Discount | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 5.93 % |
| MFC.PR.K | FixedReset | 1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.04 Bid-YTW : 8.46 % |
| CM.PR.O | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 4.22 % |
| BNS.PR.D | FloatingReset | 1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.81 Bid-YTW : 7.64 % |
| TD.PF.D | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 4.40 % |
| SLF.PR.H | FixedReset | 1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.68 Bid-YTW : 9.21 % |
| BAM.PR.K | Floater | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 10.10 Evaluated at bid price : 10.10 Bid-YTW : 4.71 % |
| PWF.PR.P | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 4.50 % |
| MFC.PR.G | FixedReset | 1.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.74 Bid-YTW : 7.68 % |
| BIP.PR.A | FixedReset | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 5.61 % |
| TRP.PR.G | FixedReset | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 4.98 % |
| GWO.PR.N | FixedReset | 1.35 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.48 Bid-YTW : 10.17 % |
| BAM.PR.E | Ratchet | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 25.00 Evaluated at bid price : 13.52 Bid-YTW : 6.08 % |
| MFC.PR.M | FixedReset | 1.44 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.02 Bid-YTW : 7.22 % |
| FTS.PR.H | FixedReset | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 12.92 Evaluated at bid price : 12.92 Bid-YTW : 4.34 % |
| BMO.PR.Q | FixedReset | 1.59 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.15 Bid-YTW : 7.02 % |
| BAM.PR.R | FixedReset | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 5.00 % |
| TRP.PR.C | FixedReset | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 11.70 Evaluated at bid price : 11.70 Bid-YTW : 4.79 % |
| TD.PR.Y | FixedReset | 1.68 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.66 Bid-YTW : 4.11 % |
| FTS.PR.G | FixedReset | 1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 16.34 Evaluated at bid price : 16.34 Bid-YTW : 4.58 % |
| RY.PR.J | FixedReset | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 4.40 % |
| PWF.PR.Q | FloatingReset | 2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 11.30 Evaluated at bid price : 11.30 Bid-YTW : 4.51 % |
| NA.PR.W | FixedReset | 2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 17.66 Evaluated at bid price : 17.66 Bid-YTW : 4.51 % |
| MFC.PR.H | FixedReset | 2.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.55 Bid-YTW : 6.67 % |
| MFC.PR.N | FixedReset | 2.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 7.17 % |
| IAG.PR.G | FixedReset | 2.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.40 Bid-YTW : 7.16 % |
| BNS.PR.Z | FixedReset | 2.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.51 Bid-YTW : 6.65 % |
| MFC.PR.I | FixedReset | 2.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.24 Bid-YTW : 7.37 % |
| CM.PR.Q | FixedReset | 2.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.39 % |
| MFC.PR.J | FixedReset | 2.25 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.63 Bid-YTW : 7.54 % |
| TRP.PR.H | FloatingReset | 2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 9.67 Evaluated at bid price : 9.67 Bid-YTW : 4.47 % |
| HSE.PR.G | FixedReset | 2.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.87 % |
| TRP.PR.B | FixedReset | 2.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 11.40 Evaluated at bid price : 11.40 Bid-YTW : 4.43 % |
| HSE.PR.C | FixedReset | 3.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 6.03 % |
| TRP.PR.I | FloatingReset | 4.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 10.70 Evaluated at bid price : 10.70 Bid-YTW : 4.62 % |
| HSE.PR.B | FloatingReset | 5.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 9.80 Evaluated at bid price : 9.80 Bid-YTW : 5.58 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| HSE.PR.A | FixedReset | 119,495 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 10.11 Evaluated at bid price : 10.11 Bid-YTW : 6.02 % |
| CU.PR.F | Perpetual-Discount | 92,528 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 20.47 Evaluated at bid price : 20.47 Bid-YTW : 5.57 % |
| CU.PR.D | Perpetual-Discount | 90,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 21.92 Evaluated at bid price : 22.27 Bid-YTW : 5.55 % |
| BAM.PR.N | Perpetual-Discount | 48,260 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-04 Maturity Price : 20.39 Evaluated at bid price : 20.39 Bid-YTW : 5.87 % |
| BNS.PR.B | FloatingReset | 34,817 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 5.35 % |
| RY.PR.R | FixedReset | 33,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.08 Bid-YTW : 4.70 % |
| There were 20 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| RY.PR.K | FloatingReset | Quote: 22.25 – 23.10 Spot Rate : 0.8500 Average : 0.5353 YTW SCENARIO |
| BAM.PR.E | Ratchet | Quote: 13.52 – 14.40 Spot Rate : 0.8800 Average : 0.5691 YTW SCENARIO |
| ALB.PR.C | SplitShare | Quote: 26.00 – 26.94 Spot Rate : 0.9400 Average : 0.6606 YTW SCENARIO |
| BNS.PR.D | FloatingReset | Quote: 17.81 – 18.46 Spot Rate : 0.6500 Average : 0.4896 YTW SCENARIO |
| BAM.PR.Z | FixedReset | Quote: 18.71 – 19.19 Spot Rate : 0.4800 Average : 0.3292 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 11.02 – 11.98 Spot Rate : 0.9600 Average : 0.8438 YTW SCENARIO |