Category: Market Action

Market Action

January 25, 2017

A hot day for FixedResets, perhaps due to a 5bp increase in the GOC-5 yield.

PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.1%, so the pre-tax interest-equivalent spread is now about 270bp, a sharp narrowing from the 285bp reported January 18.

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 4.01 % 4.79 % 20,766 18.10 1 0.5970 % 1,939.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2154 % 3,540.8
Floater 3.91 % 4.02 % 48,223 17.38 4 1.2154 % 2,040.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0328 % 2,961.0
SplitShare 4.79 % 3.90 % 53,522 4.19 6 0.0328 % 3,536.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0328 % 2,759.0
Perpetual-Premium 5.58 % -4.47 % 72,258 0.09 12 0.0066 % 2,707.2
Perpetual-Discount 5.24 % 5.23 % 92,936 14.99 26 0.0341 % 2,849.6
FixedReset 4.53 % 4.21 % 221,270 6.76 96 1.1293 % 2,263.7
Deemed-Retractible 5.12 % 4.60 % 132,547 0.25 32 0.0661 % 2,792.8
FloatingReset 2.42 % 3.20 % 44,731 4.72 11 0.2311 % 2,438.8
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 3.60 %
TRP.PR.E FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.22 %
BMO.PR.T FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 4.09 %
BMO.PR.Y FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.79
Evaluated at bid price : 23.76
Bid-YTW : 3.97 %
MFC.PR.G FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.93
Bid-YTW : 5.29 %
BMO.PR.Q FixedReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.63 %
TD.PF.C FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 4.18 %
SLF.PR.J FloatingReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.01
Bid-YTW : 8.96 %
IAG.PR.G FixedReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 5.17 %
TD.PF.D FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.29
Evaluated at bid price : 22.85
Bid-YTW : 4.15 %
HSE.PR.E FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 23.06
Evaluated at bid price : 24.25
Bid-YTW : 4.73 %
MFC.PR.J FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 5.43 %
MFC.PR.I FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.14
Bid-YTW : 5.21 %
MFC.PR.M FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.86
Bid-YTW : 6.38 %
RY.PR.J FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.19
Evaluated at bid price : 22.66
Bid-YTW : 4.13 %
CM.PR.P FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 4.16 %
MFC.PR.H FixedReset 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 4.87 %
TD.PF.A FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.10 %
HSE.PR.G FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 23.04
Evaluated at bid price : 24.27
Bid-YTW : 4.70 %
TD.PF.B FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.15 %
BNS.PR.Y FixedReset 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 4.79 %
SLF.PR.I FixedReset 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.43
Bid-YTW : 5.47 %
CM.PR.Q FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.38
Evaluated at bid price : 23.00
Bid-YTW : 4.11 %
TD.PF.E FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.71
Evaluated at bid price : 23.65
Bid-YTW : 4.07 %
HSE.PR.A FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 4.61 %
BMO.PR.M FixedReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.24 %
RY.PR.H FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.10 %
RY.PR.Z FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.06 %
MFC.PR.L FixedReset 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.52
Bid-YTW : 6.44 %
BMO.PR.W FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.08 %
MFC.PR.K FixedReset 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.48
Bid-YTW : 6.41 %
MFC.PR.N FixedReset 1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.99
Bid-YTW : 6.22 %
RY.PR.M FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.04
Evaluated at bid price : 22.50
Bid-YTW : 4.05 %
IFC.PR.A FixedReset 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.92
Bid-YTW : 7.86 %
PWF.PR.P FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 15.27
Evaluated at bid price : 15.27
Bid-YTW : 4.27 %
CM.PR.O FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.16 %
NA.PR.S FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 4.15 %
PWF.PR.T FixedReset 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.34
Evaluated at bid price : 21.64
Bid-YTW : 4.06 %
BMO.PR.S FixedReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.54
Evaluated at bid price : 21.93
Bid-YTW : 3.99 %
BAM.PR.C Floater 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 4.07 %
BAM.PR.K Floater 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 11.64
Evaluated at bid price : 11.64
Bid-YTW : 4.09 %
HSE.PR.C FixedReset 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.59
Evaluated at bid price : 23.24
Bid-YTW : 4.57 %
IFC.PR.C FixedReset 2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 5.85 %
BAM.PF.B FixedReset 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.60 %
FTS.PR.K FixedReset 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 4.27 %
MFC.PR.F FixedReset 2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.15
Bid-YTW : 9.49 %
TRP.PR.B FixedReset 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 4.08 %
BAM.PR.Z FixedReset 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.43
Evaluated at bid price : 21.75
Bid-YTW : 4.70 %
BAM.PR.B Floater 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 4.02 %
FTS.PR.M FixedReset 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.20 %
BAM.PR.X FixedReset 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 4.61 %
BAM.PR.T FixedReset 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.69 %
FTS.PR.H FixedReset 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 4.31 %
SLF.PR.G FixedReset 2.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.40
Bid-YTW : 8.42 %
BAM.PF.F FixedReset 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.50
Evaluated at bid price : 23.04
Bid-YTW : 4.36 %
BAM.PF.G FixedReset 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.60
Evaluated at bid price : 23.37
Bid-YTW : 4.28 %
BAM.PF.E FixedReset 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 4.31 %
FTS.PR.G FixedReset 3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 4.25 %
BAM.PF.A FixedReset 3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 4.48 %
BAM.PR.R FixedReset 3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 4.41 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset 200,183 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.52 %
BNS.PR.H FixedReset 190,198 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.02 %
TRP.PR.E FixedReset 75,888 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.22 %
TRP.PR.D FixedReset 64,418 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 4.38 %
MFC.PR.R FixedReset 63,170 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.60 %
CU.PR.I FixedReset 62,188 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.15 %
There were 80 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.E Ratchet Quote: 16.85 – 17.48
Spot Rate : 0.6300
Average : 0.4180

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 25.00
Evaluated at bid price : 16.85
Bid-YTW : 4.79 %
GRP.PR.A SplitShare Quote: 25.55 – 25.99
Spot Rate : 0.4400
Average : 0.3139

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -17.39 %
TRP.PR.A FixedReset Quote: 17.55 – 17.88
Spot Rate : 0.3300
Average : 0.2065

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.36 %
GWO.PR.L Deemed-Retractible Quote: 25.66 – 25.98
Spot Rate : 0.3200
Average : 0.2123

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-24
Maturity Price : 25.50
Evaluated at bid price : 25.66
Bid-YTW : 2.51 %
GWO.PR.M Deemed-Retractible Quote: 25.90 – 26.20
Spot Rate : 0.3000
Average : 0.2002

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-31
Maturity Price : 25.50
Evaluated at bid price : 25.90
Bid-YTW : -0.93 %
TRP.PR.F FloatingReset Quote: 16.85 – 17.24
Spot Rate : 0.3900
Average : 0.2934

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 3.51 %
Market Action

January 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 4.03 % 4.82 % 21,571 18.07 1 0.6611 % 1,928.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1890 % 3,498.3
Floater 3.96 % 4.12 % 48,837 17.18 4 0.1890 % 2,016.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0788 % 2,960.0
SplitShare 4.79 % 3.94 % 53,212 4.19 6 0.0788 % 3,534.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0788 % 2,758.1
Perpetual-Premium 5.58 % -4.18 % 73,108 0.09 12 0.0190 % 2,707.0
Perpetual-Discount 5.24 % 5.24 % 90,607 14.96 26 -0.1104 % 2,848.6
FixedReset 4.58 % 4.24 % 219,195 6.75 96 0.2715 % 2,238.4
Deemed-Retractible 5.12 % 4.46 % 131,291 0.25 32 0.1699 % 2,791.0
FloatingReset 2.42 % 3.21 % 44,718 4.73 11 0.2448 % 2,433.1
Performance Highlights
Issue Index Change Notes
BAM.PF.D Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.05
Evaluated at bid price : 22.32
Bid-YTW : 5.54 %
BAM.PR.N Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 21.58
Evaluated at bid price : 21.84
Bid-YTW : 5.48 %
MFC.PR.F FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.82
Bid-YTW : 9.81 %
PWF.PR.A Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.56 %
BAM.PF.B FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 4.69 %
BAM.PF.F FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.05
Evaluated at bid price : 22.36
Bid-YTW : 4.51 %
TRP.PR.B FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 4.17 %
BAM.PF.G FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.18
Evaluated at bid price : 22.66
Bid-YTW : 4.44 %
FTS.PR.M FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 4.33 %
HSE.PR.E FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.92
Evaluated at bid price : 23.93
Bid-YTW : 4.81 %
GWO.PR.N FixedReset 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.18
Bid-YTW : 9.40 %
ELF.PR.G Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.19
Evaluated at bid price : 22.47
Bid-YTW : 5.31 %
TRP.PR.D FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.40 %
HSE.PR.C FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.32
Evaluated at bid price : 22.80
Bid-YTW : 4.67 %
MFC.PR.G FixedReset 1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.67
Bid-YTW : 5.46 %
TRP.PR.A FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.36 %
TRP.PR.G FixedReset 2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.47
Evaluated at bid price : 23.21
Bid-YTW : 4.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset 226,692 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.54 %
BNS.PR.H FixedReset 125,373 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 3.99 %
TRP.PR.E FixedReset 120,633 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 4.27 %
TRP.PR.D FixedReset 118,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.40 %
HSE.PR.G FixedReset 108,599 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.88
Evaluated at bid price : 23.92
Bid-YTW : 4.78 %
BMO.PR.B FixedReset 107,189 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.19 %
There were 58 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Q FixedReset Quote: 20.76 – 21.24
Spot Rate : 0.4800
Average : 0.3284

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.76
Bid-YTW : 5.88 %
MFC.PR.J FixedReset Quote: 22.11 – 22.32
Spot Rate : 0.2100
Average : 0.1318

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 5.63 %
BAM.PR.T FixedReset Quote: 17.73 – 17.94
Spot Rate : 0.2100
Average : 0.1334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 4.82 %
MFC.PR.H FixedReset Quote: 23.72 – 23.98
Spot Rate : 0.2600
Average : 0.1878

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.08 %
CU.PR.C FixedReset Quote: 21.26 – 21.59
Spot Rate : 0.3300
Average : 0.2644

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 4.15 %
SLF.PR.G FixedReset Quote: 15.93 – 16.16
Spot Rate : 0.2300
Average : 0.1645

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.93
Bid-YTW : 8.84 %
Market Action

January 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 4.06 % 4.86 % 21,517 18.03 1 0.0000 % 1,915.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9112 % 3,491.7
Floater 3.97 % 4.11 % 49,219 17.20 4 0.9112 % 2,012.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0854 % 2,957.7
SplitShare 4.79 % 4.02 % 55,347 4.19 6 0.0854 % 3,532.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0854 % 2,755.9
Perpetual-Premium 5.58 % -8.10 % 73,334 0.09 12 -0.0360 % 2,706.5
Perpetual-Discount 5.23 % 5.23 % 90,137 14.93 26 -0.0162 % 2,851.7
FixedReset 4.59 % 4.25 % 220,182 6.74 96 0.1251 % 2,232.4
Deemed-Retractible 5.12 % 4.33 % 130,791 0.25 32 0.1168 % 2,786.3
FloatingReset 2.43 % 3.25 % 46,530 4.73 11 -0.1005 % 2,427.2
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 22.07
Evaluated at bid price : 22.54
Bid-YTW : 4.45 %
POW.PR.D Perpetual-Discount -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 5.22 %
TRP.PR.A FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 4.43 %
TRP.PR.B FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 13.82
Evaluated at bid price : 13.82
Bid-YTW : 4.23 %
TRP.PR.E FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.29 %
BAM.PR.C Floater 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.14 %
BAM.PR.K Floater 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 11.43
Evaluated at bid price : 11.43
Bid-YTW : 4.17 %
NA.PR.S FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 4.24 %
IFC.PR.A FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.69
Bid-YTW : 8.05 %
BAM.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 4.11 %
GWO.PR.N FixedReset 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.97
Bid-YTW : 9.60 %
SLF.PR.H FixedReset 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.09
Bid-YTW : 7.73 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.N Deemed-Retractible 260,699 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.33 %
BMO.PR.B FixedReset 113,575 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.23 %
BAM.PR.T FixedReset 109,910 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 4.81 %
RY.PR.J FixedReset 107,263 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 22.14
Evaluated at bid price : 22.58
Bid-YTW : 4.21 %
TD.PF.H FixedReset 66,983 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.18 %
MFC.PR.M FixedReset 62,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.47
Bid-YTW : 6.66 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Quote: 22.54 – 23.00
Spot Rate : 0.4600
Average : 0.2897

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 22.07
Evaluated at bid price : 22.54
Bid-YTW : 4.45 %
TRP.PR.F FloatingReset Quote: 16.78 – 17.16
Spot Rate : 0.3800
Average : 0.2832

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 3.52 %
PVS.PR.D SplitShare Quote: 24.98 – 25.21
Spot Rate : 0.2300
Average : 0.1458

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.68 %
HSE.PR.G FixedReset Quote: 23.75 – 23.96
Spot Rate : 0.2100
Average : 0.1576

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 22.80
Evaluated at bid price : 23.75
Bid-YTW : 4.82 %
TRP.PR.B FixedReset Quote: 13.82 – 14.18
Spot Rate : 0.3600
Average : 0.3109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 13.82
Evaluated at bid price : 13.82
Bid-YTW : 4.23 %
TRP.PR.H FloatingReset Quote: 13.15 – 13.38
Spot Rate : 0.2300
Average : 0.1846

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 3.27 %
Market Action

January 20, 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 4.06 % 4.86 % 22,638 18.04 1 0.2410 % 1,915.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3766 % 3,481.4
Floater 3.97 % 4.12 % 50,725 17.18 4 -0.3766 % 2,006.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0131 % 2,953.8
SplitShare 4.80 % 4.33 % 69,461 4.20 6 -0.0131 % 3,527.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0131 % 2,752.3
Perpetual-Premium 5.59 % -4.13 % 70,050 0.09 12 -0.0983 % 2,701.2
Perpetual-Discount 5.22 % 5.30 % 87,078 14.87 26 0.0599 % 2,858.4
FixedReset 4.61 % 4.37 % 227,833 6.74 96 -0.0983 % 2,222.9
Deemed-Retractible 5.11 % 3.87 % 129,670 0.27 32 -0.1035 % 2,788.6
FloatingReset 2.46 % 3.31 % 44,844 4.74 11 0.0569 % 2,424.4
Performance Highlights
Issue Index Change Notes
W.PR.M FixedReset -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.62 %
BAM.PR.B Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 4.12 %
SLF.PR.G FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 8.80 %
GWO.PR.N FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.80
Bid-YTW : 9.79 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.R FloatingReset 201,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.73
Bid-YTW : 3.21 %
TRP.PR.D FixedReset 162,282 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.58 %
RY.PR.R FixedReset 57,383 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.02
Bid-YTW : 3.80 %
NA.PR.S FixedReset 56,494 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.39 %
CM.PR.Q FixedReset 53,292 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 22.16
Evaluated at bid price : 22.64
Bid-YTW : 4.24 %
BNS.PR.P FixedReset 37,216 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.83
Bid-YTW : 3.36 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
W.PR.M FixedReset Quote: 25.66 – 25.95
Spot Rate : 0.2900
Average : 0.2182

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.62 %
TRP.PR.B FixedReset Quote: 13.73 – 14.14
Spot Rate : 0.4100
Average : 0.3414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 4.34 %
GRP.PR.A SplitShare Quote: 25.50 – 25.74
Spot Rate : 0.2400
Average : 0.1718

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-18
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -16.34 %
SLF.PR.J FloatingReset Quote: 14.70 – 15.00
Spot Rate : 0.3000
Average : 0.2349

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 9.27 %
BIP.PR.C FixedReset Quote: 25.80 – 26.03
Spot Rate : 0.2300
Average : 0.1780

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.68 %
TRP.PR.D FixedReset Quote: 19.55 – 19.72
Spot Rate : 0.1700
Average : 0.1197

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.58 %
Market Action

January 20, 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 4.06 % 4.86 % 22,357 18.03 1 0.0000 % 1,915.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6090 % 3,460.2
Floater 3.99 % 4.15 % 50,956 17.11 4 -0.6090 % 1,994.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0460 % 2,955.2
SplitShare 4.80 % 4.34 % 66,731 4.20 6 0.0460 % 3,529.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0460 % 2,753.6
Perpetual-Premium 5.58 % -5.84 % 73,749 0.09 12 0.2328 % 2,707.5
Perpetual-Discount 5.23 % 5.22 % 89,441 14.95 26 -0.2182 % 2,852.2
FixedReset 4.60 % 4.37 % 220,740 6.74 96 0.3017 % 2,229.6
Deemed-Retractible 5.12 % 3.97 % 131,533 0.34 32 -0.2007 % 2,783.0
FloatingReset 2.45 % 3.24 % 46,617 4.74 11 0.2145 % 2,429.6
Performance Highlights
Issue Index Change Notes
CU.PR.E Perpetual-Discount -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 23.34
Evaluated at bid price : 23.79
Bid-YTW : 5.20 %
CU.PR.G Perpetual-Discount -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 21.52
Evaluated at bid price : 21.86
Bid-YTW : 5.21 %
CU.PR.F Perpetual-Discount -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 21.56
Evaluated at bid price : 21.91
Bid-YTW : 5.19 %
BAM.PR.M Perpetual-Discount -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 21.67
Evaluated at bid price : 21.92
Bid-YTW : 5.46 %
CU.PR.D Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 23.44
Evaluated at bid price : 23.90
Bid-YTW : 5.18 %
BAM.PF.D Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 22.21
Evaluated at bid price : 22.54
Bid-YTW : 5.47 %
BAM.PR.K Floater -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 11.31
Evaluated at bid price : 11.31
Bid-YTW : 4.21 %
FTS.PR.H FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 4.55 %
BMO.PR.Z Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 24.66
Evaluated at bid price : 25.08
Bid-YTW : 5.04 %
NA.PR.W FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.29 %
SLF.PR.J FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.85
Bid-YTW : 9.13 %
RY.PR.H FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 4.26 %
BAM.PR.Z FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 4.93 %
ELF.PR.F Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 24.13
Evaluated at bid price : 24.38
Bid-YTW : 5.46 %
BMO.PR.W FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.21 %
BMO.PR.S FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 4.17 %
BMO.PR.T FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 4.18 %
POW.PR.G Perpetual-Premium 1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : 4.78 %
POW.PR.B Perpetual-Discount 1.73 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-19
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : -6.74 %
TRP.PR.B FixedReset 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 4.25 %
TRP.PR.A FixedReset 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 4.44 %
POW.PR.D Perpetual-Discount 4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.10 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset 402,392 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 4.31 %
POW.PR.D Perpetual-Discount 209,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.10 %
BAM.PR.X FixedReset 168,367 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 4.85 %
BMO.PR.R FloatingReset 152,583 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 3.23 %
TD.PR.S FixedReset 138,291 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 2.97 %
TD.PF.H FixedReset 126,668 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.22 %
BNS.PR.H FixedReset 121,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 4.04 %
GWO.PR.L Deemed-Retractible 113,875 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-19
Maturity Price : 25.50
Evaluated at bid price : 25.66
Bid-YTW : 1.59 %
TRP.PR.K FixedReset 112,256 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.47 %
TRP.PR.J FixedReset 107,317 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 4.15 %
GWO.PR.F Deemed-Retractible 104,608 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-19
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : -16.90 %
BAM.PR.T FixedReset 103,994 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.89 %
TD.PR.Z FloatingReset 102,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 3.14 %
BMO.PR.Q FixedReset 100,963 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.03
Bid-YTW : 5.59 %
There were 69 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Quote: 14.76 – 15.35
Spot Rate : 0.5900
Average : 0.4005

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.76
Bid-YTW : 9.83 %
GRP.PR.A SplitShare Quote: 25.51 – 26.00
Spot Rate : 0.4900
Average : 0.3382

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-19
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : -16.59 %
VNR.PR.A FixedReset Quote: 20.50 – 20.94
Spot Rate : 0.4400
Average : 0.2990

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.85 %
PWF.PR.P FixedReset Quote: 14.92 – 15.27
Spot Rate : 0.3500
Average : 0.2102

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 14.92
Evaluated at bid price : 14.92
Bid-YTW : 4.44 %
CM.PR.Q FixedReset Quote: 22.61 – 22.97
Spot Rate : 0.3600
Average : 0.2391

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 22.14
Evaluated at bid price : 22.61
Bid-YTW : 4.25 %
TRP.PR.E FixedReset Quote: 20.50 – 20.79
Spot Rate : 0.2900
Average : 0.1760

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.40 %
Market Action

January 18, 2017

PerpetualDiscounts now yield 5.30%, equivalent to 6.89% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread is now 285bp, a slight (and perhaps spurious) narrowing from the 290bp reported January 11.

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 4.07 % 4.87 % 23,455 18.02 1 0.0000 % 1,910.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1047 % 3,494.6
Floater 3.95 % 4.07 % 51,356 17.28 4 0.1047 % 2,013.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0394 % 2,954.2
SplitShare 4.80 % 4.32 % 52,656 4.20 6 0.0394 % 3,528.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0394 % 2,752.7
Perpetual-Premium 5.58 % -4.78 % 71,083 0.09 12 0.1181 % 2,703.9
Perpetual-Discount 5.22 % 5.30 % 88,331 14.89 26 0.3425 % 2,856.7
FixedReset 4.61 % 4.34 % 229,733 6.74 96 -0.4164 % 2,225.1
Deemed-Retractible 5.11 % 3.77 % 130,014 0.20 32 -0.0517 % 2,791.5
FloatingReset 2.46 % 3.34 % 43,241 4.74 11 -0.1181 % 2,423.1
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.62
Bid-YTW : 9.96 %
MFC.PR.H FixedReset -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.27 %
MFC.PR.L FixedReset -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.94
Bid-YTW : 6.90 %
CU.PR.C FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 4.20 %
MFC.PR.K FixedReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.82
Bid-YTW : 6.94 %
BMO.PR.Y FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 22.42
Evaluated at bid price : 23.08
Bid-YTW : 4.16 %
MFC.PR.N FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.34
Bid-YTW : 6.71 %
SLF.PR.G FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.82
Bid-YTW : 8.97 %
MFC.PR.I FixedReset -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 5.57 %
SLF.PR.I FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.94 %
MFC.PR.M FixedReset -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.30
Bid-YTW : 6.82 %
BAM.PF.H FixedReset -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.61 %
MFC.PR.J FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 5.74 %
BAM.PF.G FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.97
Evaluated at bid price : 22.35
Bid-YTW : 4.56 %
BAM.PR.N Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 5.39 %
TRP.PR.C FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 4.34 %
BAM.PR.M Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.95
Evaluated at bid price : 22.19
Bid-YTW : 5.39 %
BAM.PF.C Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 22.15
Evaluated at bid price : 22.41
Bid-YTW : 5.45 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset 211,844 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.23 %
BAM.PF.I FixedReset 159,887 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.30 %
MFC.PR.G FixedReset 92,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.17
Bid-YTW : 5.80 %
FTS.PR.H FixedReset 59,821 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 4.47 %
MFC.PR.C Deemed-Retractible 55,085 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.64
Bid-YTW : 6.80 %
SLF.PR.I FixedReset 52,604 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.94 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.H FixedReset Quote: 23.50 – 23.81
Spot Rate : 0.3100
Average : 0.1999

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.27 %
SLF.PR.G FixedReset Quote: 15.82 – 16.08
Spot Rate : 0.2600
Average : 0.1702

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.82
Bid-YTW : 8.97 %
GWO.PR.G Deemed-Retractible Quote: 24.48 – 24.73
Spot Rate : 0.2500
Average : 0.1636

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.48
Bid-YTW : 5.60 %
W.PR.M FixedReset Quote: 25.96 – 26.17
Spot Rate : 0.2100
Average : 0.1394

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.34 %
RY.PR.W Perpetual-Discount Quote: 24.96 – 25.20
Spot Rate : 0.2400
Average : 0.1777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 24.68
Evaluated at bid price : 24.96
Bid-YTW : 4.97 %
CCS.PR.C Deemed-Retractible Quote: 23.52 – 23.89
Spot Rate : 0.3700
Average : 0.3106

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.52
Bid-YTW : 6.02 %
Market Action

January 17, 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 4.07 % 4.87 % 23,380 18.03 1 -0.3003 % 1,910.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4629 % 3,490.9
Floater 3.96 % 4.09 % 53,248 17.24 4 0.4629 % 2,011.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0066 % 2,953.0
SplitShare 4.80 % 4.45 % 72,172 4.21 6 -0.0066 % 3,526.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0066 % 2,751.6
Perpetual-Premium 5.59 % -6.06 % 71,622 0.09 12 -0.0098 % 2,700.7
Perpetual-Discount 5.24 % 5.32 % 89,110 14.87 26 0.4647 % 2,847.0
FixedReset 4.59 % 4.32 % 229,138 6.75 96 0.0776 % 2,234.4
Deemed-Retractible 5.10 % 3.67 % 130,849 0.27 32 0.1774 % 2,792.9
FloatingReset 2.46 % 3.29 % 44,197 4.74 11 0.3203 % 2,425.9
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 4.33 %
BNS.PR.B FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.56
Bid-YTW : 3.29 %
CU.PR.D Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 23.74
Evaluated at bid price : 24.22
Bid-YTW : 5.10 %
BMO.PR.Y FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 22.60
Evaluated at bid price : 23.40
Bid-YTW : 4.09 %
FTS.PR.J Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 22.87
Evaluated at bid price : 23.28
Bid-YTW : 5.15 %
CCS.PR.C Deemed-Retractible 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.73
Bid-YTW : 5.87 %
TRP.PR.F FloatingReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 3.51 %
FTS.PR.F Perpetual-Discount 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 5.21 %
IAG.PR.G FixedReset 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.91
Bid-YTW : 5.34 %
CU.PR.G Perpetual-Discount 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 21.83
Evaluated at bid price : 22.17
Bid-YTW : 5.13 %
VNR.PR.A FixedReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.85 %
HSE.PR.A FixedReset 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 4.78 %
CU.PR.F Perpetual-Discount 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 21.85
Evaluated at bid price : 22.17
Bid-YTW : 5.13 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset 201,943 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 4.44 %
BAM.PF.I FixedReset 110,423 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 4.28 %
BAM.PR.T FixedReset 93,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 4.84 %
MFC.PR.R FixedReset 82,891 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.55 %
BNS.PR.E FixedReset 68,408 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.84
Bid-YTW : 3.61 %
BMO.PR.B FixedReset 52,998 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.21 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.B FixedReset Quote: 13.76 – 14.15
Spot Rate : 0.3900
Average : 0.2731

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 4.33 %
BMO.PR.M FixedReset Quote: 24.60 – 24.85
Spot Rate : 0.2500
Average : 0.1648

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.44 %
IGM.PR.B Perpetual-Premium Quote: 25.50 – 25.78
Spot Rate : 0.2800
Average : 0.1994

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-16
Maturity Price : 25.50
Evaluated at bid price : 25.50
Bid-YTW : 2.91 %
RY.PR.P Perpetual-Premium Quote: 25.39 – 25.70
Spot Rate : 0.3100
Average : 0.2355

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 5.16 %
CCS.PR.C Deemed-Retractible Quote: 23.73 – 24.04
Spot Rate : 0.3100
Average : 0.2455

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.73
Bid-YTW : 5.87 %
PWF.PR.T FixedReset Quote: 21.25 – 21.49
Spot Rate : 0.2400
Average : 0.1771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.22 %
Market Action

January 16, 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 4.05 % 4.85 % 24,287 18.05 1 2.4615 % 1,916.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5075 % 3,474.8
Floater 3.98 % 4.10 % 51,733 17.22 4 0.5075 % 2,002.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0724 % 2,953.2
SplitShare 4.80 % 4.31 % 72,110 4.21 6 0.0724 % 3,526.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0724 % 2,751.7
Perpetual-Premium 5.59 % -4.19 % 72,458 0.09 12 0.0361 % 2,700.9
Perpetual-Discount 5.26 % 5.31 % 89,098 14.88 26 0.4389 % 2,833.8
FixedReset 4.59 % 4.31 % 230,689 6.76 96 0.0350 % 2,232.6
Deemed-Retractible 5.11 % 3.58 % 129,508 0.27 32 0.0272 % 2,788.0
FloatingReset 2.46 % 3.51 % 40,898 4.74 11 -0.0789 % 2,418.2
Performance Highlights
Issue Index Change Notes
IAG.PR.G FixedReset -1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 5.60 %
NA.PR.S FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.37 %
CU.PR.G Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 21.45
Evaluated at bid price : 21.76
Bid-YTW : 5.23 %
CU.PR.D Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 23.51
Evaluated at bid price : 23.97
Bid-YTW : 5.16 %
CU.PR.E Perpetual-Discount 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 23.52
Evaluated at bid price : 23.99
Bid-YTW : 5.15 %
BAM.PR.E Ratchet 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 25.00
Evaluated at bid price : 16.65
Bid-YTW : 4.85 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset 316,931 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.16 %
BAM.PF.I FixedReset 115,562 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.21 %
BMO.PR.T FixedReset 112,402 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.25 %
MFC.PR.R FixedReset 80,366 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.24 %
TRP.PR.K FixedReset 77,743 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.13 %
TD.PF.D FixedReset 61,298 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 22.09
Evaluated at bid price : 22.53
Bid-YTW : 4.27 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Quote: 14.91 – 16.00
Spot Rate : 1.0900
Average : 0.5938

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.91
Bid-YTW : 9.67 %
CU.PR.F Perpetual-Discount Quote: 21.54 – 22.02
Spot Rate : 0.4800
Average : 0.2962

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 21.54
Evaluated at bid price : 21.54
Bid-YTW : 5.30 %
IAG.PR.G FixedReset Quote: 22.52 – 22.96
Spot Rate : 0.4400
Average : 0.2901

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 5.60 %
VNR.PR.A FixedReset Quote: 20.12 – 20.57
Spot Rate : 0.4500
Average : 0.3163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 4.94 %
RY.PR.W Perpetual-Discount Quote: 25.00 – 25.34
Spot Rate : 0.3400
Average : 0.2072

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.96 %
TRP.PR.H FloatingReset Quote: 13.07 – 13.47
Spot Rate : 0.4000
Average : 0.2856

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 3.33 %
Market Action

December 30, 2016

And that’s a wrap for another year!

2016 began with appalling performance but since then we’ve done pretty well and all in all it’s been a pretty good year. Now we’ll see what 2017 will bring!

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 0.1756 % 1,826.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1756 % 3,335.9
Floater 4.14 % 4.22 % 58,616 16.95 4 0.1756 % 1,922.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1453 % 2,935.0
SplitShare 4.83 % 4.73 % 58,456 4.26 6 -0.1453 % 3,505.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1453 % 2,734.7
Perpetual-Premium 5.43 % 5.11 % 83,482 14.51 23 0.1396 % 2,675.6
Perpetual-Discount 5.41 % 5.45 % 102,461 14.71 15 0.5371 % 2,787.7
FixedReset 4.69 % 4.54 % 242,628 6.77 96 0.1182 % 2,183.1
Deemed-Retractible 5.15 % 4.54 % 131,006 4.51 32 0.2418 % 2,769.4
FloatingReset 2.79 % 3.71 % 42,643 4.78 12 0.0629 % 2,348.2
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.10
Bid-YTW : 10.44 %
BAM.PR.X FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.97 %
GWO.PR.R Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.53
Bid-YTW : 6.42 %
IFC.PR.A FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.18
Bid-YTW : 8.51 %
FTS.PR.H FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 4.64 %
TRP.PR.G FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 21.67
Evaluated at bid price : 21.97
Bid-YTW : 4.64 %
HSE.PR.A FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.21 %
IFC.PR.C FixedReset 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.07 %
BNS.PR.D FloatingReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.17
Bid-YTW : 5.83 %
VNR.PR.A FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.09 %
TRP.PR.E FixedReset 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.58 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.N Deemed-Retractible 137,965 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 2.78 %
FTS.PR.J Perpetual-Discount 50,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 22.21
Evaluated at bid price : 22.49
Bid-YTW : 5.33 %
HSE.PR.A FixedReset 49,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.21 %
BAM.PR.Z FixedReset 29,275 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.06 %
MFC.PR.R FixedReset 21,996 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.86 %
NA.PR.S FixedReset 21,426 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.67 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.D FloatingReset Quote: 20.51 – 23.00
Spot Rate : 2.4900
Average : 1.8057

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.51
Bid-YTW : 5.96 %
BMO.PR.Z Perpetual-Premium Quote: 24.62 – 24.96
Spot Rate : 0.3400
Average : 0.2105

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 24.22
Evaluated at bid price : 24.62
Bid-YTW : 5.12 %
TRP.PR.H FloatingReset Quote: 11.90 – 12.38
Spot Rate : 0.4800
Average : 0.3516

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 3.68 %
NA.PR.S FixedReset Quote: 19.36 – 19.62
Spot Rate : 0.2600
Average : 0.1479

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.67 %
BNS.PR.P FixedReset Quote: 24.61 – 24.90
Spot Rate : 0.2900
Average : 0.1942

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 3.54 %
HSE.PR.C FixedReset Quote: 21.73 – 22.00
Spot Rate : 0.2700
Average : 0.1786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 21.40
Evaluated at bid price : 21.73
Bid-YTW : 4.98 %
Market Action

December 29, 2016

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 0.0220 % 1,822.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0220 % 3,330.1
Floater 4.15 % 4.21 % 60,843 16.98 4 0.0220 % 1,919.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0330 % 2,939.3
SplitShare 4.82 % 4.68 % 82,077 4.26 6 -0.0330 % 3,510.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0330 % 2,738.7
Perpetual-Premium 5.44 % 5.10 % 86,207 14.50 23 0.3541 % 2,671.9
Perpetual-Discount 5.44 % 5.46 % 106,668 14.69 15 0.5748 % 2,772.8
FixedReset 4.70 % 4.56 % 252,213 6.77 96 0.0718 % 2,180.6
Deemed-Retractible 5.16 % 4.54 % 136,082 4.51 32 0.2406 % 2,762.7
FloatingReset 2.79 % 3.73 % 44,395 4.78 12 0.5695 % 2,346.7
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.45 %
MFC.PR.M FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.03
Bid-YTW : 6.98 %
EML.PR.A FixedReset -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.57 %
BAM.PF.D Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.47
Evaluated at bid price : 21.79
Bid-YTW : 5.64 %
TRP.PR.G FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.41
Evaluated at bid price : 21.73
Bid-YTW : 4.69 %
BAM.PF.G FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.97
Evaluated at bid price : 22.36
Bid-YTW : 4.58 %
BMO.PR.S FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 4.47 %
BAM.PF.F FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.61
Evaluated at bid price : 22.02
Bid-YTW : 4.64 %
SLF.PR.J FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.36
Bid-YTW : 9.56 %
GWO.PR.N FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.31
Bid-YTW : 10.22 %
TRP.PR.C FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 4.71 %
IAG.PR.A Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 6.64 %
BAM.PR.R FixedReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 4.82 %
TRP.PR.A FixedReset 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 16.19
Evaluated at bid price : 16.19
Bid-YTW : 4.83 %
IFC.PR.D FloatingReset 4.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 5.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.N Deemed-Retractible 652,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 2.73 %
BAM.PF.I FixedReset 112,552 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.46 %
RY.PR.A Deemed-Retractible 110,409 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.49 %
HSE.PR.A FixedReset 108,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 13.24
Evaluated at bid price : 13.24
Bid-YTW : 5.27 %
TD.PF.A FixedReset 108,154 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.46 %
TRP.PR.D FixedReset 65,321 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.84 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Quote: 20.59 – 21.22
Spot Rate : 0.6300
Average : 0.4420

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.45 %
MFC.PR.O FixedReset Quote: 26.74 – 27.18
Spot Rate : 0.4400
Average : 0.2760

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.74
Bid-YTW : 3.96 %
VNR.PR.A FixedReset Quote: 19.64 – 20.38
Spot Rate : 0.7400
Average : 0.5864

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 19.64
Evaluated at bid price : 19.64
Bid-YTW : 5.18 %
TRP.PR.G FixedReset Quote: 21.73 – 22.12
Spot Rate : 0.3900
Average : 0.2675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.41
Evaluated at bid price : 21.73
Bid-YTW : 4.69 %
W.PR.K FixedReset Quote: 25.40 – 25.72
Spot Rate : 0.3200
Average : 0.2055

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.78 %
CU.PR.G Perpetual-Discount Quote: 21.20 – 21.50
Spot Rate : 0.3000
Average : 0.1893

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.37 %