Category: Market Action

Market Action

March 31, 2017

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 -0.2711 % 2,073.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2711 % 3,804.2
Floater 3.67 % 3.81 % 43,346 17.82 4 -0.2711 % 2,192.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0850 % 3,021.7
SplitShare 4.94 % 3.56 % 62,424 0.68 6 0.0850 % 3,608.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0850 % 2,815.5
Perpetual-Premium 5.34 % -6.91 % 72,667 0.09 20 -0.0078 % 2,764.0
Perpetual-Discount 5.14 % 5.13 % 112,211 15.11 16 0.0026 % 2,945.7
FixedReset 4.38 % 3.99 % 242,346 6.68 94 0.1758 % 2,355.9
Deemed-Retractible 5.04 % 3.14 % 139,560 0.15 31 -0.0554 % 2,859.9
FloatingReset 2.54 % 3.28 % 55,150 4.55 9 0.0053 % 2,511.5
Performance Highlights
Issue Index Change Notes
MFC.PR.B Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 5.99 %
SLF.PR.G FixedReset 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.73
Bid-YTW : 8.22 %
SLF.PR.H FixedReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.97
Bid-YTW : 6.32 %
HSE.PR.A FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.16 %
IFC.PR.A FixedReset 1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.35
Bid-YTW : 6.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.O Deemed-Retractible 153,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-26
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.14 %
TRP.PR.J FixedReset 55,549 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.87 %
BMO.PR.C FixedReset 51,555 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.23 %
CM.PR.O FixedReset 47,658 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 22.22
Evaluated at bid price : 22.55
Bid-YTW : 3.81 %
TD.PR.T FloatingReset 32,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.97
Bid-YTW : 3.16 %
RY.PR.M FixedReset 27,202 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 22.58
Evaluated at bid price : 23.37
Bid-YTW : 3.92 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.D Deemed-Retractible Quote: 22.22 – 22.65
Spot Rate : 0.4300
Average : 0.2620

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.22
Bid-YTW : 6.30 %
VNR.PR.A FixedReset Quote: 21.60 – 22.00
Spot Rate : 0.4000
Average : 0.2515

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 4.58 %
MFC.PR.B Deemed-Retractible Quote: 23.01 – 23.36
Spot Rate : 0.3500
Average : 0.2524

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 5.99 %
SLF.PR.E Deemed-Retractible Quote: 22.27 – 22.50
Spot Rate : 0.2300
Average : 0.1494

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.27
Bid-YTW : 6.32 %
BNS.PR.E FixedReset Quote: 26.73 – 26.93
Spot Rate : 0.2000
Average : 0.1315

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 3.57 %
MFC.PR.N FixedReset Quote: 21.77 – 21.99
Spot Rate : 0.2200
Average : 0.1518

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.77
Bid-YTW : 5.66 %
Market Action

March 30, 2017

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 0.7412 % 2,078.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7412 % 3,814.5
Floater 3.66 % 3.78 % 44,809 17.88 4 0.7412 % 2,198.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1501 % 3,019.1
SplitShare 4.94 % 3.78 % 60,646 0.68 6 -0.1501 % 3,605.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1501 % 2,813.1
Perpetual-Premium 5.34 % -5.36 % 73,464 0.09 20 -0.1363 % 2,764.2
Perpetual-Discount 5.14 % 5.14 % 110,339 15.14 16 0.0784 % 2,945.6
FixedReset 4.39 % 4.03 % 242,115 6.69 94 0.5766 % 2,351.8
Deemed-Retractible 5.04 % 3.06 % 138,266 0.15 31 -0.0435 % 2,861.5
FloatingReset 2.53 % 3.17 % 56,499 4.55 9 0.2692 % 2,511.4
Performance Highlights
Issue Index Change Notes
GRP.PR.A SplitShare -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-29
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -11.28 %
ELF.PR.H Perpetual-Premium -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 24.88
Evaluated at bid price : 25.17
Bid-YTW : 5.47 %
MFC.PR.J FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.98
Bid-YTW : 5.03 %
CM.PR.P FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 21.79
Evaluated at bid price : 22.03
Bid-YTW : 3.82 %
SLF.PR.I FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 4.91 %
BAM.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 12.49
Evaluated at bid price : 12.49
Bid-YTW : 3.78 %
TD.PF.E FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 23.03
Evaluated at bid price : 24.30
Bid-YTW : 3.98 %
TD.PF.B FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.12
Evaluated at bid price : 22.41
Bid-YTW : 3.83 %
TD.PF.C FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 21.99
Evaluated at bid price : 22.30
Bid-YTW : 3.83 %
BNS.PR.D FloatingReset 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.96
Bid-YTW : 4.44 %
CU.PR.C FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 21.59
Evaluated at bid price : 21.94
Bid-YTW : 3.98 %
MFC.PR.F FixedReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.71
Bid-YTW : 9.06 %
MFC.PR.L FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 5.80 %
MFC.PR.N FixedReset 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.98
Bid-YTW : 5.51 %
BAM.PR.X FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 4.40 %
IFC.PR.C FixedReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 5.51 %
TD.PF.A FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.11
Evaluated at bid price : 22.44
Bid-YTW : 3.81 %
BMO.PR.S FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.55
Evaluated at bid price : 22.85
Bid-YTW : 3.82 %
BAM.PF.G FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 23.08
Evaluated at bid price : 24.32
Bid-YTW : 4.06 %
HSE.PR.A FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.23 %
BAM.PR.Z FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.87
Evaluated at bid price : 23.51
Bid-YTW : 4.30 %
IFC.PR.A FixedReset 1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.98
Bid-YTW : 6.99 %
BAM.PF.A FixedReset 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 23.40
Evaluated at bid price : 23.82
Bid-YTW : 4.21 %
BAM.PF.F FixedReset 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 23.19
Evaluated at bid price : 24.29
Bid-YTW : 4.07 %
BAM.PF.B FixedReset 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.12
Evaluated at bid price : 22.36
Bid-YTW : 4.21 %
BAM.PF.E FixedReset 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.08
Evaluated at bid price : 22.45
Bid-YTW : 4.17 %
BAM.PR.T FixedReset 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 4.41 %
BAM.PR.R FixedReset 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.27 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.Y FixedReset 212,311 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 4.17 %
NA.PR.X FixedReset 117,423 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.69 %
BMO.PR.C FixedReset 87,775 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 23.26
Evaluated at bid price : 25.33
Bid-YTW : 4.28 %
RY.PR.J FixedReset 81,844 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.64
Evaluated at bid price : 23.38
Bid-YTW : 4.03 %
TRP.PR.B FixedReset 65,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 14.59
Evaluated at bid price : 14.59
Bid-YTW : 4.00 %
SLF.PR.H FixedReset 63,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.73
Bid-YTW : 6.49 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.C SplitShare Quote: 25.26 – 25.78
Spot Rate : 0.5200
Average : 0.2994

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 3.78 %
GRP.PR.A SplitShare Quote: 25.30 – 25.80
Spot Rate : 0.5000
Average : 0.3736

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-29
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -11.28 %
W.PR.K FixedReset Quote: 26.00 – 26.26
Spot Rate : 0.2600
Average : 0.1717

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.06 %
NA.PR.W FixedReset Quote: 21.63 – 21.84
Spot Rate : 0.2100
Average : 0.1432

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 21.33
Evaluated at bid price : 21.63
Bid-YTW : 3.97 %
TRP.PR.A FixedReset Quote: 19.12 – 19.40
Spot Rate : 0.2800
Average : 0.2235

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 3.99 %
HSE.PR.A FixedReset Quote: 16.20 – 16.57
Spot Rate : 0.3700
Average : 0.3163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.23 %
Market Action

March 29, 2017

It looks as if increased regulation is having the intended effect:

Laurentian Bank of Canada intends to double the number of financial advisers and commercial account managers by 2020 as part of a plan to transform the Quebec lender from its traditional banking roots.

Laurentian, which for most of its 170-year history offered local banking to Montrealers, plans to have 700 in-branch advisers within three years as part of a shift away from routine teller services, Chief Executive Officer Francois Desjardins said in a March 24 interview at Bloomberg’s Toronto office.
…
Laurentian has 2,000 employees in its Quebec retail operations, including 350 in-branch advisers whose role includes helping customers with budgets, investment decisions and mortgages, Desjardins said.

PerpetualDiscounts now yield 5.13%, equivalent to 6.67% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 270bp, unchanged from the March 22 report.

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 -0.1752 % 2,063.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1752 % 3,786.4
Floater 3.69 % 3.83 % 45,389 17.79 4 -0.1752 % 2,182.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0134 % 3,023.7
SplitShare 4.94 % 4.07 % 60,640 0.68 6 0.0134 % 3,610.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0134 % 2,817.4
Perpetual-Premium 5.33 % -8.18 % 73,405 0.09 20 0.3425 % 2,767.9
Perpetual-Discount 5.13 % 5.13 % 111,172 15.13 16 0.3244 % 2,943.3
FixedReset 4.42 % 4.03 % 236,357 6.68 94 0.5619 % 2,338.3
Deemed-Retractible 5.03 % 3.01 % 137,266 0.16 31 0.2314 % 2,862.8
FloatingReset 2.54 % 3.24 % 56,449 4.55 9 0.3761 % 2,504.6
Performance Highlights
Issue Index Change Notes
BAM.PF.H FixedReset -1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 3.36 %
W.PR.M FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.91 %
W.PR.H Perpetual-Premium 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-28
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -14.03 %
MFC.PR.M FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.74
Bid-YTW : 5.74 %
TD.PF.D FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.69
Evaluated at bid price : 23.52
Bid-YTW : 4.06 %
HSE.PR.G FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 23.07
Evaluated at bid price : 24.29
Bid-YTW : 4.68 %
MFC.PR.G FixedReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 5.02 %
MFC.PR.B Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.22
Bid-YTW : 5.85 %
W.PR.J Perpetual-Premium 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-28
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : -17.52 %
MFC.PR.J FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 5.18 %
HSE.PR.E FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 23.11
Evaluated at bid price : 24.30
Bid-YTW : 4.71 %
VNR.PR.A FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 21.59
Evaluated at bid price : 21.59
Bid-YTW : 4.60 %
CM.PR.Q FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.61
Evaluated at bid price : 23.36
Bid-YTW : 4.03 %
IAG.PR.G FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 5.10 %
TRP.PR.D FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 21.74
Evaluated at bid price : 22.22
Bid-YTW : 3.91 %
MFC.PR.K FixedReset 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.19
Bid-YTW : 5.89 %
MFC.PR.N FixedReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 5.70 %
SLF.PR.I FixedReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 5.07 %
BMO.PR.S FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.24
Evaluated at bid price : 22.54
Bid-YTW : 3.87 %
TRP.PR.E FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.17
Evaluated at bid price : 22.52
Bid-YTW : 3.89 %
HSE.PR.A FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 4.29 %
ELF.PR.H Perpetual-Premium 1.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-04-17
Maturity Price : 25.25
Evaluated at bid price : 25.43
Bid-YTW : 5.12 %
MFC.PR.L FixedReset 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.14
Bid-YTW : 5.98 %
PWF.PR.T FixedReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.72
Evaluated at bid price : 23.08
Bid-YTW : 3.84 %
BMO.PR.Y FixedReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.73
Evaluated at bid price : 23.60
Bid-YTW : 3.99 %
TRP.PR.B FixedReset 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 14.69
Evaluated at bid price : 14.69
Bid-YTW : 3.98 %
TRP.PR.G FixedReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.70
Evaluated at bid price : 23.60
Bid-YTW : 4.21 %
TRP.PR.C FixedReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 15.84
Evaluated at bid price : 15.84
Bid-YTW : 4.03 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset 68,301 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.97
Bid-YTW : 4.17 %
SLF.PR.A Deemed-Retractible 63,344 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.59 %
TRP.PR.J FixedReset 57,325 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.68
Bid-YTW : 3.89 %
BMO.PR.C FixedReset 53,991 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 23.25
Evaluated at bid price : 25.30
Bid-YTW : 4.28 %
CU.PR.D Perpetual-Discount 53,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 23.54
Evaluated at bid price : 24.02
Bid-YTW : 5.13 %
RY.PR.Z FixedReset 49,045 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 3.80 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 25.52 – 25.91
Spot Rate : 0.3900
Average : 0.2368

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.51 %
IFC.PR.C FixedReset Quote: 21.57 – 21.95
Spot Rate : 0.3800
Average : 0.2670

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.57
Bid-YTW : 5.71 %
BAM.PF.H FixedReset Quote: 26.44 – 26.80
Spot Rate : 0.3600
Average : 0.2675

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 3.36 %
MFC.PR.J FixedReset Quote: 22.75 – 22.98
Spot Rate : 0.2300
Average : 0.1621

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 5.18 %
GWO.PR.N FixedReset Quote: 15.90 – 16.14
Spot Rate : 0.2400
Average : 0.1814

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.90
Bid-YTW : 8.82 %
TD.PF.G FixedReset Quote: 27.03 – 27.24
Spot Rate : 0.2100
Average : 0.1529

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.03
Bid-YTW : 3.60 %
Market Action

March 28, 2017

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 0.8443 % 2,067.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8443 % 3,793.1
Floater 3.68 % 3.81 % 45,751 17.82 4 0.8443 % 2,186.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.3594 % 3,023.3
SplitShare 4.92 % 4.04 % 62,695 0.69 6 0.3594 % 3,610.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3594 % 2,817.0
Perpetual-Premium 5.33 % -1.97 % 68,772 0.09 20 0.1190 % 2,758.5
Perpetual-Discount 5.15 % 5.17 % 102,932 15.07 16 0.3574 % 2,933.8
FixedReset 4.44 % 4.09 % 234,020 6.67 94 0.1873 % 2,325.2
Deemed-Retractible 5.05 % 2.96 % 136,380 0.16 31 0.2292 % 2,856.2
FloatingReset 2.55 % 3.35 % 55,914 4.56 9 0.1273 % 2,495.2
Performance Highlights
Issue Index Change Notes
NA.PR.X FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 27.03
Bid-YTW : 3.66 %
IAG.PR.G FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 5.27 %
BAM.PR.C Floater 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 3.85 %
GWO.PR.N FixedReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 8.72 %
BAM.PR.B Floater 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 12.39
Evaluated at bid price : 12.39
Bid-YTW : 3.81 %
GRP.PR.A SplitShare 1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-27
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : -26.94 %
BAM.PF.H FixedReset 1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 3.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.X FixedReset 100,331 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 27.03
Bid-YTW : 3.66 %
PWF.PR.P FixedReset 76,465 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 4.12 %
NA.PR.S FixedReset 60,928 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 21.74
Evaluated at bid price : 22.21
Bid-YTW : 4.00 %
RY.PR.G Deemed-Retractible 55,339 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-27
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.99 %
BMO.PR.C FixedReset 49,367 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 23.23
Evaluated at bid price : 25.25
Bid-YTW : 4.29 %
MFC.PR.R FixedReset 45,908 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.84
Bid-YTW : 4.14 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Quote: 21.71 – 21.94
Spot Rate : 0.2300
Average : 0.1431

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.71
Bid-YTW : 5.61 %
TRP.PR.E FixedReset Quote: 22.49 – 22.72
Spot Rate : 0.2300
Average : 0.1499

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 22.15
Evaluated at bid price : 22.49
Bid-YTW : 3.97 %
SLF.PR.J FloatingReset Quote: 15.30 – 15.55
Spot Rate : 0.2500
Average : 0.1720

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.30
Bid-YTW : 8.95 %
BAM.PF.E FixedReset Quote: 21.87 – 22.14
Spot Rate : 0.2700
Average : 0.2054

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 21.50
Evaluated at bid price : 21.87
Bid-YTW : 4.28 %
MFC.PR.H FixedReset Quote: 24.30 – 24.50
Spot Rate : 0.2000
Average : 0.1375

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 4.68 %
BNS.PR.Y FixedReset Quote: 22.47 – 22.65
Spot Rate : 0.1800
Average : 0.1207

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.47
Bid-YTW : 4.34 %
Market Action

March 27, 2017

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 -0.5468 % 2,049.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5468 % 3,761.3
Floater 3.71 % 3.85 % 47,493 17.73 4 -0.5468 % 2,167.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2152 % 3,012.4
SplitShare 4.94 % 4.08 % 63,698 0.69 6 -0.2152 % 3,597.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2152 % 2,806.9
Perpetual-Premium 5.34 % 2.24 % 71,586 0.09 20 0.0566 % 2,755.2
Perpetual-Discount 5.17 % 5.19 % 103,810 15.07 16 0.0768 % 2,923.4
FixedReset 4.45 % 4.11 % 241,590 6.68 94 -0.2453 % 2,320.9
Deemed-Retractible 5.06 % 1.84 % 137,643 0.16 31 -0.0596 % 2,849.6
FloatingReset 2.55 % 3.38 % 55,611 4.56 9 -0.2117 % 2,492.1
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -2.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.30
Bid-YTW : 8.95 %
IFC.PR.A FixedReset -1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.35 %
BMO.PR.Y FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 22.62
Evaluated at bid price : 23.40
Bid-YTW : 4.03 %
MFC.PR.N FixedReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 5.98 %
BAM.PR.C Floater -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 12.13
Evaluated at bid price : 12.13
Bid-YTW : 3.89 %
PVS.PR.E SplitShare -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 26.00
Evaluated at bid price : 26.11
Bid-YTW : 3.68 %
BAM.PR.X FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 4.49 %
BAM.PR.T FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.54 %
Volume Highlights
Issue Index Shares
Traded		 Notes
EIT.PR.A SplitShare 103,525 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 4.53 %
BAM.PF.D Perpetual-Discount 45,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 22.92
Evaluated at bid price : 23.30
Bid-YTW : 5.26 %
BAM.PF.C Perpetual-Discount 37,262 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 22.50
Evaluated at bid price : 22.83
Bid-YTW : 5.32 %
RY.PR.G Deemed-Retractible 37,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.84 %
TRP.PR.J FixedReset 29,024 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.91 %
TRP.PR.C FixedReset 27,431 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 15.72
Evaluated at bid price : 15.72
Bid-YTW : 4.11 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Premium Quote: 25.25 – 25.60
Spot Rate : 0.3500
Average : 0.2139

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 5.18 %
PVS.PR.E SplitShare Quote: 26.11 – 26.55
Spot Rate : 0.4400
Average : 0.3076

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 26.00
Evaluated at bid price : 26.11
Bid-YTW : 3.68 %
IFC.PR.A FixedReset Quote: 18.52 – 18.89
Spot Rate : 0.3700
Average : 0.2403

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.35 %
IAG.PR.A Deemed-Retractible Quote: 22.65 – 22.93
Spot Rate : 0.2800
Average : 0.2071

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.15 %
EML.PR.A FixedReset Quote: 26.30 – 26.59
Spot Rate : 0.2900
Average : 0.2173

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.28 %
MFC.PR.C Deemed-Retractible Quote: 22.05 – 22.30
Spot Rate : 0.2500
Average : 0.1896

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 6.49 %
Market Action

March 24, 2017

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 0.0586 % 2,061.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0586 % 3,782.0
Floater 3.69 % 3.83 % 49,416 17.78 4 0.0586 % 2,179.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1764 % 3,018.9
SplitShare 4.93 % 4.03 % 62,555 0.70 6 0.1764 % 3,605.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1764 % 2,813.0
Perpetual-Premium 5.34 % -1.97 % 69,385 0.09 20 0.2152 % 2,753.7
Perpetual-Discount 5.17 % 5.20 % 104,268 15.08 16 0.0185 % 2,921.1
FixedReset 4.44 % 4.18 % 244,320 6.66 94 0.0864 % 2,326.6
Deemed-Retractible 5.05 % 1.39 % 138,116 0.17 31 -0.0648 % 2,851.3
FloatingReset 2.49 % 3.28 % 57,894 4.57 9 0.0371 % 2,497.4
Performance Highlights
Issue Index Change Notes
CU.PR.E Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 23.17
Evaluated at bid price : 23.61
Bid-YTW : 5.22 %
ELF.PR.F Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 24.62
Evaluated at bid price : 24.88
Bid-YTW : 5.41 %
BIP.PR.A FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 22.72
Evaluated at bid price : 23.56
Bid-YTW : 4.96 %
VNR.PR.A FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset 108,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 22.50
Evaluated at bid price : 23.13
Bid-YTW : 4.18 %
BMO.PR.C FixedReset 78,435 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.34 %
TRP.PR.D FixedReset 74,966 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.12 %
RY.PR.H FixedReset 74,221 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.69
Evaluated at bid price : 22.15
Bid-YTW : 3.96 %
RY.PR.Z FixedReset 68,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 3.92 %
BAM.PF.H FixedReset 46,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 3.58 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Quote: 26.01 – 26.47
Spot Rate : 0.4600
Average : 0.3253

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.42 %
PVS.PR.D SplitShare Quote: 25.50 – 25.95
Spot Rate : 0.4500
Average : 0.3413

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.08 %
BNS.PR.H FixedReset Quote: 26.21 – 26.49
Spot Rate : 0.2800
Average : 0.1827

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.94 %
HSE.PR.C FixedReset Quote: 23.06 – 23.33
Spot Rate : 0.2700
Average : 0.1968

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 22.50
Evaluated at bid price : 23.06
Bid-YTW : 4.70 %
GWO.PR.N FixedReset Quote: 15.90 – 16.15
Spot Rate : 0.2500
Average : 0.1808

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.90
Bid-YTW : 8.87 %
PWF.PR.K Perpetual-Discount Quote: 24.11 – 24.35
Spot Rate : 0.2400
Average : 0.1769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 23.86
Evaluated at bid price : 24.11
Bid-YTW : 5.20 %
Market Action

March 23, 2017

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 0.5106 % 2,059.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5106 % 3,779.8
Floater 3.69 % 3.83 % 50,101 17.78 4 0.5106 % 2,178.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0588 % 3,013.6
SplitShare 4.94 % 4.01 % 62,641 0.70 6 0.0588 % 3,598.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0588 % 2,808.0
Perpetual-Premium 5.36 % 1.78 % 69,948 0.09 20 -0.0450 % 2,747.7
Perpetual-Discount 5.17 % 5.21 % 96,563 15.06 16 0.0928 % 2,920.6
FixedReset 4.44 % 4.18 % 245,522 6.66 94 0.2456 % 2,324.6
Deemed-Retractible 5.05 % 2.61 % 139,179 0.17 31 0.0994 % 2,853.2
FloatingReset 2.49 % 3.28 % 57,135 4.58 9 0.0848 % 2,496.4
Performance Highlights
Issue Index Change Notes
IAG.PR.A Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 5.98 %
PWF.PR.S Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 23.27
Evaluated at bid price : 23.72
Bid-YTW : 5.11 %
MFC.PR.M FixedReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.62
Bid-YTW : 5.89 %
BAM.PR.C Floater 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.84 %
IFC.PR.C FixedReset 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 5.58 %
HSE.PR.A FixedReset 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 4.44 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset 160,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 22.47
Evaluated at bid price : 23.08
Bid-YTW : 4.19 %
BMO.PR.C FixedReset 131,055 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.34 %
BMO.PR.T FixedReset 94,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 21.58
Evaluated at bid price : 21.98
Bid-YTW : 3.97 %
RY.PR.H FixedReset 64,426 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 21.69
Evaluated at bid price : 22.15
Bid-YTW : 3.96 %
BAM.PR.X FixedReset 57,110 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 4.64 %
BAM.PR.N Perpetual-Discount 53,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 22.35
Evaluated at bid price : 22.62
Bid-YTW : 5.26 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.D SplitShare Quote: 25.35 – 25.70
Spot Rate : 0.3500
Average : 0.2222

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.23 %
RY.PR.M FixedReset Quote: 22.91 – 23.28
Spot Rate : 0.3700
Average : 0.2518

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 22.32
Evaluated at bid price : 22.91
Bid-YTW : 4.11 %
BNS.PR.R FixedReset Quote: 24.53 – 24.82
Spot Rate : 0.2900
Average : 0.1740

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 3.91 %
MFC.PR.K FixedReset Quote: 20.90 – 21.23
Spot Rate : 0.3300
Average : 0.2201

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 6.19 %
BAM.PR.K Floater Quote: 12.26 – 12.61
Spot Rate : 0.3500
Average : 0.2404

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 3.85 %
MFC.PR.L FixedReset Quote: 20.89 – 21.21
Spot Rate : 0.3200
Average : 0.2134

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.89
Bid-YTW : 6.23 %
Market Action

March 22, 2017

Profits from High Frequency Trading are getting harder to come by:

Revenues at HFT firms from U.S. equities trading were an estimated $1.1 billion last year, down from $7.2 billion in 2009, according to research firm Tabb Group.
…
Such strategies are more successful when markets are volatile, because big price swings offer traders more opportunities to capture profits. But volatility has come down drastically since the years just after the global financial crisis. The CBOE Volatility Index, or VIX, a measure of U.S. stock market volatility, has averaged just 11.6 so far this year, down from 24.2 in 2011, according to the WSJ Market Data Group.
…
It is an expensive arms race. When many high-speed traders got their start in the 2000s, the leading technology for transmitting data was fiber-optic cable.

But starting in 2010, the speediest firms began to use microwave networks, shaving milliseconds off the time it takes to transmit information on routes such as the Chicago-New York corridor. Upgrading to microwave networks—and later millimeter-wave and laser technology—added to the costs, traders say. All this hurt HFT firms’ bottom lines just as slumping volatility was eroding their top-line revenues.
…
HFT firms also grumble about mounting costs for the market data they buy from operators like the New York Stock Exchange and Nasdaq Inc., as well as for co-location, the practice of putting a computer server directly in the exchange’s data center to cut down the time it takes to execute trades.

PerpetualDiscounts now yield 5.21%, equivalent to 6.77% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread” is now about 270bp, a significant widening from the 260bp reported March 15.

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 -1.8315 % 2,049.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.8315 % 3,760.6
Floater 3.71 % 3.85 % 51,846 17.75 4 -1.8315 % 2,167.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0457 % 3,011.9
SplitShare 4.94 % 4.00 % 63,484 0.70 6 -0.0457 % 3,596.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0457 % 2,806.4
Perpetual-Premium 5.35 % 4.67 % 70,595 0.09 20 -0.0376 % 2,749.0
Perpetual-Discount 5.18 % 5.21 % 95,994 15.06 16 -0.3558 % 2,917.9
FixedReset 4.45 % 4.20 % 246,848 6.66 94 -0.7144 % 2,318.9
Deemed-Retractible 5.06 % 2.95 % 140,857 0.18 31 -0.3130 % 2,850.3
FloatingReset 2.49 % 3.27 % 52,890 4.58 9 -0.1006 % 2,494.3
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 3.33 %
MFC.PR.M FixedReset -2.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.36
Bid-YTW : 6.07 %
SLF.PR.H FixedReset -2.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.61
Bid-YTW : 6.61 %
MFC.PR.N FixedReset -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.06 %
IAG.PR.G FixedReset -2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 5.57 %
CU.PR.C FixedReset -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 4.21 %
MFC.PR.I FixedReset -1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.54
Bid-YTW : 5.67 %
PWF.PR.S Perpetual-Discount -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 23.03
Evaluated at bid price : 23.45
Bid-YTW : 5.17 %
MFC.PR.K FixedReset -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.82
Bid-YTW : 6.24 %
MFC.PR.G FixedReset -1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.83
Bid-YTW : 5.36 %
SLF.PR.G FixedReset -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.18
Bid-YTW : 8.76 %
PWF.PR.T FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 22.34
Evaluated at bid price : 22.67
Bid-YTW : 4.02 %
HSE.PR.A FixedReset -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 15.57
Evaluated at bid price : 15.57
Bid-YTW : 4.53 %
MFC.PR.L FixedReset -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.79
Bid-YTW : 6.30 %
BAM.PR.B Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 12.22
Evaluated at bid price : 12.22
Bid-YTW : 3.86 %
RY.PR.J FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 22.42
Evaluated at bid price : 23.01
Bid-YTW : 4.21 %
MFC.PR.F FixedReset -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.40
Bid-YTW : 9.39 %
SLF.PR.I FixedReset -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 5.37 %
TD.PF.B FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 4.01 %
BMO.PR.S FixedReset -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 4.03 %
IFC.PR.C FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.79 %
RY.PR.M FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 22.36
Evaluated at bid price : 22.99
Bid-YTW : 4.09 %
TD.PF.A FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.86
Evaluated at bid price : 22.10
Bid-YTW : 3.99 %
CU.PR.I FixedReset -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.26 %
BNS.PR.Y FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.55
Bid-YTW : 4.27 %
BAM.PR.C Floater -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 12.14
Evaluated at bid price : 12.14
Bid-YTW : 3.89 %
BIP.PR.A FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 22.50
Evaluated at bid price : 23.15
Bid-YTW : 5.06 %
MFC.PR.J FixedReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 5.50 %
BAM.PR.K Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 3.85 %
MFC.PR.H FixedReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 4.91 %
VNR.PR.A FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.86 %
POW.PR.D Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.23 %
RY.PR.H FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 3.97 %
RY.PR.Z FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 3.92 %
IAG.PR.A Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset 278,289 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.33 %
TD.PF.G FixedReset 115,567 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.95
Bid-YTW : 3.66 %
IAG.PR.G FixedReset 92,662 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 5.57 %
POW.PR.D Perpetual-Discount 53,314 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.23 %
RY.PR.I FixedReset 41,883 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.48
Bid-YTW : 3.83 %
BNS.PR.P FixedReset 41,627 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.61 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.G FixedReset Quote: 16.18 – 16.73
Spot Rate : 0.5500
Average : 0.3483

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.18
Bid-YTW : 8.76 %
PWF.PR.A Floater Quote: 14.30 – 15.00
Spot Rate : 0.7000
Average : 0.5048

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 3.33 %
IFC.PR.C FixedReset Quote: 21.50 – 21.79
Spot Rate : 0.2900
Average : 0.1880

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.79 %
GWO.PR.S Deemed-Retractible Quote: 25.10 – 25.38
Spot Rate : 0.2800
Average : 0.1792

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.20 %
SLF.PR.H FixedReset Quote: 19.61 – 19.94
Spot Rate : 0.3300
Average : 0.2319

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.61
Bid-YTW : 6.61 %
PWF.PR.S Perpetual-Discount Quote: 23.45 – 23.70
Spot Rate : 0.2500
Average : 0.1584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 23.03
Evaluated at bid price : 23.45
Bid-YTW : 5.17 %
Market Action

March 21, 2017

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 -0.2692 % 2,087.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2692 % 3,830.7
Floater 3.64 % 3.80 % 51,581 17.85 4 -0.2692 % 2,207.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1374 % 3,013.2
SplitShare 4.94 % 3.98 % 60,313 0.71 6 0.1374 % 3,598.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1374 % 2,807.6
Perpetual-Premium 5.34 % 2.55 % 72,423 0.09 20 0.1171 % 2,750.0
Perpetual-Discount 5.16 % 5.18 % 95,998 15.09 16 0.1190 % 2,928.3
FixedReset 4.42 % 4.15 % 246,252 6.69 94 -0.1770 % 2,335.6
Deemed-Retractible 5.04 % 2.33 % 138,909 0.11 31 0.1018 % 2,859.3
FloatingReset 2.49 % 3.27 % 53,233 4.58 9 -0.1058 % 2,496.8
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.47
Bid-YTW : 8.50 %
PWF.PR.A Floater -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.23 %
HSE.PR.A FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset 81,180 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.31 %
GWO.PR.I Deemed-Retractible 59,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.33
Bid-YTW : 6.25 %
BAM.PF.F FixedReset 56,082 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 22.98
Evaluated at bid price : 23.85
Bid-YTW : 4.26 %
TD.PF.H FixedReset 53,007 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 3.89 %
PVS.PR.B SplitShare 52,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.19 %
BMO.PR.R FloatingReset 51,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.88
Bid-YTW : 3.12 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.M FixedReset Quote: 24.52 – 24.77
Spot Rate : 0.2500
Average : 0.1534

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 3.50 %
HSE.PR.A FixedReset Quote: 15.83 – 16.12
Spot Rate : 0.2900
Average : 0.2060

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 4.46 %
MFC.PR.C Deemed-Retractible Quote: 22.24 – 22.51
Spot Rate : 0.2700
Average : 0.1944

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.24
Bid-YTW : 6.34 %
BAM.PF.E FixedReset Quote: 22.09 – 22.29
Spot Rate : 0.2000
Average : 0.1288

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 21.82
Evaluated at bid price : 22.09
Bid-YTW : 4.35 %
PWF.PR.A Floater Quote: 14.75 – 15.10
Spot Rate : 0.3500
Average : 0.2907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.23 %
BAM.PF.G FixedReset Quote: 23.99 – 24.23
Spot Rate : 0.2400
Average : 0.1834

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 22.93
Evaluated at bid price : 23.99
Bid-YTW : 4.22 %
Market Action

March 20, 2017

There’s a new investment structure testing the waters … interval funds are an attempt to bridge the liquidity gap between investors and illiquid underlying investments:

Most of these portfolios are so-called interval funds, a quirky structure offered through financial advisers that allows investors to buy daily but sell only once per quarter. ​

Fees are stiff, generally running at least 2.5% annually.​
…
Such interval funds offer to buy shares back from investors at predetermined dates and amounts — typically at least 5% of their shares four times a year. The idea is to offer enough liquidity for investors to get some of their money back over time, but not enough for them to yank it all back at one time.
…
And how these funds value their shares, in the absence of a public market for much of their assets, is a departure from the traditional techniques of mutual funds.

These portfolios rely on quarterly valuations by appraisers provided by the property pools they invest in.
…
But most of the interval funds are younger; several are too new to have weathered the storm of 2007-2009.

They use different techniques to bridge the awkward gap between quarterly appraisals on the underlying private properties and daily valuations of the funds’ shares.

Mr. Kamfar of Bluerock says his fund uses internal models and “daily observable inputs” to estimate interim values. Bluerock then reviews the daily pricing after actual valuations come in at quarter end. Mr. Kamfar says approximately 90% of the time, any adjustments are no more than one penny per share.

John Snowden, portfolio manager of the $230 million Resource Real Estate Diversified Income Fund, says the fund takes the forecast of the coming month’s pricing on commercial property as estimated by Green Street Advisors, a research firm, and divides it by the number of days in the month. The resulting number is added or subtracted to the fund’s daily net asset value. The share price is later adjusted as appropriate when actual values become available. Any adjustments rarely exceed a fraction of a percent, says Mr. Snowden.

Such pricing techniques might hold up fine in a downturn, but we won’t know for certain until one hits.

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 -0.3258 % 2,093.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3258 % 3,841.1
Floater 3.63 % 3.80 % 51,727 17.87 4 -0.3258 % 2,213.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2740 % 3,009.1
SplitShare 4.95 % 3.97 % 60,884 0.71 6 -0.2740 % 3,593.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2740 % 2,803.8
Perpetual-Premium 5.34 % 4.60 % 71,937 0.09 20 0.1251 % 2,746.8
Perpetual-Discount 5.16 % 5.19 % 95,114 15.05 16 -0.0291 % 2,924.8
FixedReset 4.41 % 4.11 % 254,504 6.69 94 -0.2309 % 2,339.7
Deemed-Retractible 5.04 % 3.64 % 140,958 0.18 31 -0.0634 % 2,856.4
FloatingReset 2.48 % 3.27 % 50,776 4.59 9 -0.0898 % 2,499.5
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.71
Bid-YTW : 8.28 %
GRP.PR.A SplitShare -1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-19
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : -9.44 %
GWO.PR.N FixedReset 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.02
Bid-YTW : 8.74 %
TRP.PR.C FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-20
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.21 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.F FixedReset 108,383 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-20
Maturity Price : 22.98
Evaluated at bid price : 23.85
Bid-YTW : 4.26 %
RY.PR.I FixedReset 104,143 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.80 %
TRP.PR.K FixedReset 82,873 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.31 %
MFC.PR.N FixedReset 52,130 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.94
Bid-YTW : 5.59 %
BMO.PR.R FloatingReset 51,475 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 3.08 %
GWO.PR.L Deemed-Retractible 42,756 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-19
Maturity Price : 25.50
Evaluated at bid price : 25.77
Bid-YTW : -9.29 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 12.33 – 12.64
Spot Rate : 0.3100
Average : 0.2000

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-20
Maturity Price : 12.33
Evaluated at bid price : 12.33
Bid-YTW : 3.83 %
BAM.PR.C Floater Quote: 12.30 – 12.58
Spot Rate : 0.2800
Average : 0.1920

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-20
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.84 %
IGM.PR.B Perpetual-Premium Quote: 25.90 – 26.10
Spot Rate : 0.2000
Average : 0.1199

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-19
Maturity Price : 25.50
Evaluated at bid price : 25.90
Bid-YTW : -4.15 %
BAM.PR.B Floater Quote: 12.43 – 12.71
Spot Rate : 0.2800
Average : 0.2099

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-20
Maturity Price : 12.43
Evaluated at bid price : 12.43
Bid-YTW : 3.80 %
GRP.PR.A SplitShare Quote: 25.61 – 26.10
Spot Rate : 0.4900
Average : 0.4230

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-19
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : -9.44 %
TRP.PR.F FloatingReset Quote: 18.63 – 18.84
Spot Rate : 0.2100
Average : 0.1433

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-20
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 3.24 %