Category: Market Action

Market Action

February 8, 2017

PerpetualDiscounts now yield 5.22%, equivalent to 6.79% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.0%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 280bp, a significant widening from the 270bp reported January 25.

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 -0.7600 % 1,982.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7600 % 3,637.6
Floater 3.81 % 3.97 % 46,934 17.45 4 -0.7600 % 2,096.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.3045 % 2,972.6
SplitShare 4.70 % 4.48 % 58,241 4.15 4 0.3045 % 3,549.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3045 % 2,769.7
Perpetual-Premium 5.44 % -2.39 % 75,050 0.09 16 0.1743 % 2,723.6
Perpetual-Discount 5.18 % 5.22 % 92,935 15.04 22 0.3143 % 2,901.6
FixedReset 4.49 % 4.13 % 228,123 6.74 97 -0.1409 % 2,291.0
Deemed-Retractible 5.05 % 0.41 % 131,833 0.14 31 0.1761 % 2,831.7
FloatingReset 2.48 % 3.14 % 48,934 4.70 9 -0.7469 % 2,436.5
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 12.59
Evaluated at bid price : 12.59
Bid-YTW : 3.46 %
TRP.PR.F FloatingReset -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 3.63 %
BAM.PR.C Floater -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 4.01 %
BAM.PR.K Floater -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 4.00 %
BAM.PR.B Floater -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 3.97 %
BAM.PR.R FixedReset -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 4.37 %
FTS.PR.K FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 4.15 %
TRP.PR.C FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 4.18 %
BNS.PR.D FloatingReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.11
Bid-YTW : 4.97 %
FTS.PR.G FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 4.13 %
BAM.PR.N Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 22.76
Evaluated at bid price : 23.04
Bid-YTW : 5.21 %
PWF.PR.A Floater 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 3.42 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.B FloatingReset 108,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.78
Bid-YTW : 3.14 %
TD.PF.C FixedReset 101,102 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 4.09 %
TD.PF.A FixedReset 98,932 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 4.03 %
TD.PR.T FloatingReset 75,824 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.87
Bid-YTW : 2.95 %
TD.PR.Z FloatingReset 51,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 3.08 %
BMO.PR.R FloatingReset 50,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 3.20 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.O FixedReset Quote: 26.77 – 27.04
Spot Rate : 0.2700
Average : 0.1857

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.77
Bid-YTW : 4.04 %
PWF.PR.T FixedReset Quote: 21.96 – 22.34
Spot Rate : 0.3800
Average : 0.3198

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 21.57
Evaluated at bid price : 21.96
Bid-YTW : 4.00 %
PVS.PR.E SplitShare Quote: 26.19 – 26.39
Spot Rate : 0.2000
Average : 0.1441

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 4.77 %
HSB.PR.C Deemed-Retractible Quote: 25.31 – 25.48
Spot Rate : 0.1700
Average : 0.1178

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-10
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : -3.30 %
TRP.PR.A FixedReset Quote: 17.87 – 18.11
Spot Rate : 0.2400
Average : 0.1895

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 4.30 %
IFC.PR.A FixedReset Quote: 18.29 – 18.58
Spot Rate : 0.2900
Average : 0.2411

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.29
Bid-YTW : 7.61 %
Market Action

January 31, 2017

Another month draws to a close, with TXPR up 4.05% since year-end. That, together with the appalling January of 2016 dropping out of the trailing twelve months, means that TXPR has achieved a +24.23% total return over the past year … a pretty good recovery, but there’s still a ways to go! The five-year annualized total return is a miserable +0.42%, but at least it’s positive for the first time since August, 2015; the four-year figure is an abysmal -0.55%.

As near as I can make out, the Solactive Laddered Canadian Preferred Share Index is up 31.37% on the year (+4.76% on the month), but the four year annualized total return is still an awful -2.19%.

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 3.93 % 4.67 % 17,971 18.29 1 0.4091 % 1,984.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2411 % 3,640.5
Floater 3.81 % 3.92 % 47,529 17.57 4 -0.2411 % 2,098.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0459 % 2,962.9
SplitShare 4.78 % 4.46 % 64,683 4.17 6 0.0459 % 3,538.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0459 % 2,760.8
Perpetual-Premium 5.58 % -5.29 % 72,434 0.09 12 0.0033 % 2,711.1
Perpetual-Discount 5.22 % 5.26 % 87,532 14.94 26 0.1296 % 2,862.8
FixedReset 4.52 % 4.23 % 227,207 6.74 97 -0.2471 % 2,276.1
Deemed-Retractible 5.09 % 5.17 % 132,714 4.37 32 0.1577 % 2,807.9
FloatingReset 2.43 % 3.21 % 44,584 4.71 11 -0.0868 % 2,445.9
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 4.33 %
CCS.PR.C Deemed-Retractible -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.21
Bid-YTW : 6.26 %
BAM.PR.X FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 4.69 %
VNR.PR.A FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 4.82 %
BAM.PR.T FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.72 %
PWF.PR.S Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 22.51
Evaluated at bid price : 22.83
Bid-YTW : 5.27 %
BMO.PR.Q FixedReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.47
Bid-YTW : 5.07 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset 257,827 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 4.10 %
TRP.PR.K FixedReset 155,759 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.47 %
BAM.PR.K Floater 116,351 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 3.93 %
BIP.PR.D FixedReset 115,134 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 23.21
Evaluated at bid price : 25.18
Bid-YTW : 4.88 %
MFC.PR.R FixedReset 75,823 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.51 %
RY.PR.Z FixedReset 65,106 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 4.08 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 13.37 – 13.73
Spot Rate : 0.3600
Average : 0.2166

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 13.37
Evaluated at bid price : 13.37
Bid-YTW : 3.53 %
CCS.PR.C Deemed-Retractible Quote: 23.21 – 23.92
Spot Rate : 0.7100
Average : 0.5817

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.21
Bid-YTW : 6.26 %
TRP.PR.G FixedReset Quote: 22.81 – 23.22
Spot Rate : 0.4100
Average : 0.3067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 22.24
Evaluated at bid price : 22.81
Bid-YTW : 4.44 %
BAM.PR.T FixedReset Quote: 18.42 – 18.75
Spot Rate : 0.3300
Average : 0.2432

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.72 %
BAM.PF.H FixedReset Quote: 26.17 – 26.55
Spot Rate : 0.3800
Average : 0.2952

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.84 %
BAM.PR.R FixedReset Quote: 18.76 – 19.02
Spot Rate : 0.2600
Average : 0.1756

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.49 %
Market Action

January 30, 2017

Here’s a video about using drones as part of lifeguarding. I understand that the St. Bernard Mountain Dog Union is very concerned about the potential of lost employment due to technology and has made a large donation to Mr. Trump.

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 3.95 % 4.69 % 18,661 18.27 1 0.0000 % 1,975.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9736 % 3,649.3
Floater 3.80 % 3.90 % 47,739 17.62 4 0.9736 % 2,103.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1247 % 2,961.6
SplitShare 4.79 % 4.38 % 65,653 4.18 6 0.1247 % 3,536.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1247 % 2,759.5
Perpetual-Premium 5.58 % -6.40 % 72,018 0.09 12 -0.0033 % 2,711.0
Perpetual-Discount 5.22 % 5.27 % 88,717 14.89 26 0.0879 % 2,859.1
FixedReset 4.51 % 4.23 % 223,509 6.74 97 0.1907 % 2,281.8
Deemed-Retractible 5.10 % 5.17 % 134,511 3.70 32 0.1540 % 2,803.5
FloatingReset 2.42 % 3.15 % 45,449 4.72 11 -0.0306 % 2,448.0
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 3.34 %
TRP.PR.G FixedReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 22.36
Evaluated at bid price : 23.01
Bid-YTW : 4.40 %
TRP.PR.F FloatingReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 3.53 %
TD.PF.F Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 24.59
Evaluated at bid price : 25.00
Bid-YTW : 4.91 %
BMO.PR.Q FixedReset 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.15
Bid-YTW : 5.38 %
FTS.PR.K FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 4.24 %
BAM.PR.K Floater 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 3.93 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BIP.PR.D FixedReset 325,007 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 4.87 %
TD.PF.H FixedReset 187,057 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 4.09 %
FTS.PR.H FixedReset 151,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.30 %
TRP.PR.K FixedReset 140,024 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 4.44 %
RY.PR.H FixedReset 110,080 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 4.10 %
TD.PF.B FixedReset 99,929 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 4.14 %
There were 58 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.O FixedReset Quote: 26.77 – 27.15
Spot Rate : 0.3800
Average : 0.2588

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.77
Bid-YTW : 4.02 %
BAM.PF.H FixedReset Quote: 26.40 – 26.70
Spot Rate : 0.3000
Average : 0.2022

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.59 %
POW.PR.B Perpetual-Discount Quote: 24.95 – 25.22
Spot Rate : 0.2700
Average : 0.1839

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 24.68
Evaluated at bid price : 24.95
Bid-YTW : 5.40 %
BAM.PR.Z FixedReset Quote: 22.20 – 22.46
Spot Rate : 0.2600
Average : 0.1792

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 21.75
Evaluated at bid price : 22.20
Bid-YTW : 4.66 %
CU.PR.G Perpetual-Discount Quote: 22.01 – 22.25
Spot Rate : 0.2400
Average : 0.1680

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 21.72
Evaluated at bid price : 22.01
Bid-YTW : 5.18 %
W.PR.J Perpetual-Premium Quote: 25.20 – 25.43
Spot Rate : 0.2300
Average : 0.1585

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -1.33 %
Market Action

January 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 3.95 % 4.69 % 19,379 18.28 1 0.9186 % 1,975.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.8595 % 3,614.2
Floater 3.83 % 3.93 % 48,292 17.57 4 1.8595 % 2,082.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1638 % 2,957.9
SplitShare 4.79 % 4.45 % 65,504 4.18 6 -0.1638 % 3,532.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1638 % 2,756.1
Perpetual-Premium 5.58 % -6.47 % 70,721 0.09 12 0.1605 % 2,711.1
Perpetual-Discount 5.23 % 5.25 % 86,657 14.96 26 0.2306 % 2,856.5
FixedReset 4.51 % 4.17 % 222,634 6.75 97 0.3191 % 2,277.4
Deemed-Retractible 5.10 % 4.91 % 131,604 0.24 32 0.1723 % 2,799.2
FloatingReset 2.41 % 3.15 % 45,210 4.72 11 0.1345 % 2,448.7
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.20 %
BAM.PR.M Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 5.41 %
BNS.PR.Y FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 4.57 %
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 : 22.60
Bid-YTW : 6.31 %
CM.PR.Q FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.57
Evaluated at bid price : 23.33
Bid-YTW : 4.05 %
NA.PR.W FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 4.06 %
RY.PR.J FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.35
Evaluated at bid price : 22.92
Bid-YTW : 4.08 %
BAM.PF.E FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.89
Evaluated at bid price : 22.20
Bid-YTW : 4.24 %
BMO.PR.S FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.71
Evaluated at bid price : 22.17
Bid-YTW : 3.94 %
PWF.PR.K Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 23.07
Evaluated at bid price : 23.33
Bid-YTW : 5.32 %
TD.PF.E FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.83
Evaluated at bid price : 23.90
Bid-YTW : 4.01 %
PWF.PR.A Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.56 %
TRP.PR.F FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 3.46 %
SLF.PR.H FixedReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 7.37 %
BMO.PR.W FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.01 %
BAM.PR.B Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 12.13
Evaluated at bid price : 12.13
Bid-YTW : 3.93 %
TD.PF.A FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.05 %
BMO.PR.Y FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.97
Evaluated at bid price : 24.16
Bid-YTW : 3.88 %
BAM.PR.K Floater 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 4.00 %
BAM.PR.C Floater 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 3.97 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BIP.PR.D FixedReset 483,872 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 4.83 %
TRP.PR.K FixedReset 467,585 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.41 %
TRP.PR.J FixedReset 215,345 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 4.17 %
TRP.PR.B FixedReset 208,414 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.06 %
PWF.PR.P FixedReset 108,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 4.17 %
BAM.PR.K Floater 107,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 4.00 %
FTS.PR.M FixedReset 101,032 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.16 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Quote: 22.95 – 23.32
Spot Rate : 0.3700
Average : 0.2480

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.42
Evaluated at bid price : 22.95
Bid-YTW : 4.64 %
FTS.PR.M FixedReset Quote: 22.00 – 22.34
Spot Rate : 0.3400
Average : 0.2285

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.16 %
FTS.PR.J Perpetual-Discount Quote: 22.94 – 23.24
Spot Rate : 0.3000
Average : 0.2021

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.59
Evaluated at bid price : 22.94
Bid-YTW : 5.24 %
W.PR.K FixedReset Quote: 25.78 – 26.14
Spot Rate : 0.3600
Average : 0.2822

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.46 %
BMO.PR.M FixedReset Quote: 24.60 – 24.85
Spot Rate : 0.2500
Average : 0.1725

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.42 %
TD.PF.D FixedReset Quote: 23.08 – 23.36
Spot Rate : 0.2800
Average : 0.2045

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.43
Evaluated at bid price : 23.08
Bid-YTW : 4.10 %
Market Action

January 26, 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 3.97 % 4.74 % 19,994 18.17 1 0.9496 % 1,957.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2070 % 3,548.2
Floater 3.90 % 3.98 % 47,615 17.45 4 0.2070 % 2,044.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0590 % 2,962.8
SplitShare 4.78 % 4.43 % 56,394 4.19 6 0.0590 % 3,538.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0590 % 2,760.6
Perpetual-Premium 5.58 % -5.71 % 73,107 0.09 12 -0.0164 % 2,706.8
Perpetual-Discount 5.24 % 5.26 % 89,304 14.96 26 0.0146 % 2,850.0
FixedReset 4.53 % 4.16 % 221,294 6.75 97 0.2868 % 2,270.2
Deemed-Retractible 5.11 % 4.75 % 135,766 0.25 32 0.0544 % 2,794.4
FloatingReset 2.41 % 3.16 % 44,589 4.72 11 0.2741 % 2,445.4
Performance Highlights
Issue Index Change Notes
HSE.PR.C FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 22.42
Evaluated at bid price : 22.95
Bid-YTW : 4.64 %
MFC.PR.I FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 5.37 %
HSE.PR.G FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 22.92
Evaluated at bid price : 24.01
Bid-YTW : 4.76 %
MFC.PR.H FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 5.03 %
HSE.PR.E FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 22.95
Evaluated at bid price : 24.00
Bid-YTW : 4.79 %
FTS.PR.K FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.22 %
TRP.PR.D FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.33 %
FTS.PR.H FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.26 %
BIP.PR.A FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 22.21
Evaluated at bid price : 22.71
Bid-YTW : 5.09 %
BAM.PF.F FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 22.68
Evaluated at bid price : 23.34
Bid-YTW : 4.29 %
PWF.PR.P FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 4.21 %
TRP.PR.E FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 4.16 %
BAM.PR.T FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 18.48
Evaluated at bid price : 18.48
Bid-YTW : 4.62 %
VNR.PR.A FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.71 %
HSE.PR.A FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.54 %
BAM.PR.Z FixedReset 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 21.74
Evaluated at bid price : 22.19
Bid-YTW : 4.60 %
SLF.PR.J FloatingReset 2.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.35
Bid-YTW : 8.65 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BIP.PR.D FixedReset 1,272,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 23.20
Evaluated at bid price : 25.15
Bid-YTW : 4.88 %
TRP.PR.K FixedReset 488,457 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.43 %
MFC.PR.R FixedReset 163,576 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.54 %
MFC.PR.I FixedReset 130,459 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 5.37 %
BMO.PR.B FixedReset 106,454 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.14
Bid-YTW : 4.16 %
BMO.PR.T FixedReset 58,916 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.06 %
There were 55 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.Y FixedReset Quote: 21.83 – 22.19
Spot Rate : 0.3600
Average : 0.2436

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.83
Bid-YTW : 4.78 %
CU.PR.F Perpetual-Discount Quote: 22.00 – 22.37
Spot Rate : 0.3700
Average : 0.2593

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.18 %
CU.PR.I FixedReset Quote: 26.50 – 26.78
Spot Rate : 0.2800
Average : 0.1825

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.04 %
BNS.PR.F FloatingReset Quote: 20.67 – 20.99
Spot Rate : 0.3200
Average : 0.2264

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.67
Bid-YTW : 5.81 %
CM.PR.O FixedReset Quote: 21.04 – 21.34
Spot Rate : 0.3000
Average : 0.2092

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 4.13 %
BAM.PR.K Floater Quote: 11.66 – 11.98
Spot Rate : 0.3200
Average : 0.2316

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 11.66
Evaluated at bid price : 11.66
Bid-YTW : 4.09 %
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 %