Category: Market Action

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 %
Market Action

December 28, 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 0.8415 % 1,822.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8415 % 3,329.3
Floater 4.15 % 4.20 % 63,094 17.00 4 0.8415 % 1,918.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2381 % 2,940.2
SplitShare 4.82 % 4.68 % 79,690 4.26 6 0.2381 % 3,511.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2381 % 2,739.6
Perpetual-Premium 5.46 % 5.16 % 87,812 14.47 23 0.3212 % 2,662.5
Perpetual-Discount 5.46 % 5.49 % 107,491 14.59 15 0.8108 % 2,757.0
FixedReset 4.69 % 4.54 % 260,841 6.77 96 1.1426 % 2,179.0
Deemed-Retractible 5.17 % 4.64 % 141,672 4.51 32 0.2454 % 2,756.1
FloatingReset 2.80 % 3.79 % 45,929 4.78 12 0.8869 % 2,333.5
Performance Highlights
Issue Index Change Notes
BNS.PR.B FloatingReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 3.80 %
NA.PR.X FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.94
Bid-YTW : 3.85 %
W.PR.M FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.20 %
BAM.PF.B FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 4.96 %
NA.PR.S FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 4.70 %
MFC.PR.O FixedReset 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.80 %
GRP.PR.A SplitShare 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : -18.33 %
CU.PR.D Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.64
Evaluated at bid price : 23.00
Bid-YTW : 5.37 %
CM.PR.P FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 4.51 %
BAM.PR.C Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 11.08
Evaluated at bid price : 11.08
Bid-YTW : 4.27 %
RY.PR.Z FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.47 %
TRP.PR.F FloatingReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 4.01 %
FTS.PR.F Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.62
Evaluated at bid price : 22.87
Bid-YTW : 5.41 %
MFC.PR.F FixedReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.39
Bid-YTW : 10.19 %
HSE.PR.C FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.24
Evaluated at bid price : 21.52
Bid-YTW : 5.04 %
TD.PF.E FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.13
Evaluated at bid price : 22.64
Bid-YTW : 4.40 %
TRP.PR.E FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.72 %
MFC.PR.L FixedReset 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.69
Bid-YTW : 7.06 %
NA.PR.W FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.68 %
TD.PR.Z FloatingReset 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 3.70 %
BNS.PR.A FloatingReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.89
Bid-YTW : 3.46 %
CU.PR.H Perpetual-Premium 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 24.23
Evaluated at bid price : 24.63
Bid-YTW : 5.37 %
IFC.PR.C FixedReset 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 6.35 %
BMO.PR.Y FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.48
Evaluated at bid price : 21.83
Bid-YTW : 4.44 %
PWF.PR.T FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 4.37 %
TRP.PR.A FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 4.94 %
SLF.PR.H FixedReset 1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.65
Bid-YTW : 8.06 %
CU.PR.F Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 5.40 %
FTS.PR.H FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 4.67 %
CM.PR.Q FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 4.45 %
RY.PR.H FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 4.51 %
RY.PR.M FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 4.45 %
PWF.PR.P FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 14.41
Evaluated at bid price : 14.41
Bid-YTW : 4.68 %
BAM.PR.B Floater 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.20 %
TD.PF.D FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.84
Evaluated at bid price : 22.18
Bid-YTW : 4.42 %
BAM.PF.A FixedReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 4.87 %
CU.PR.G Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 5.40 %
FTS.PR.J Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.04
Evaluated at bid price : 22.41
Bid-YTW : 5.34 %
BAM.PF.E FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 4.70 %
MFC.PR.G FixedReset 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.96
Bid-YTW : 5.91 %
BAM.PF.F FixedReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.44
Evaluated at bid price : 21.79
Bid-YTW : 4.70 %
HSE.PR.G FixedReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.26
Evaluated at bid price : 22.79
Bid-YTW : 5.11 %
CU.PR.E Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.69
Evaluated at bid price : 23.06
Bid-YTW : 5.35 %
MFC.PR.K FixedReset 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 7.19 %
BAM.PR.R FixedReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.90 %
BAM.PF.G FixedReset 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.81
Evaluated at bid price : 22.13
Bid-YTW : 4.63 %
TD.PR.T FloatingReset 1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 3.57 %
CU.PR.C FixedReset 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.30 %
HSE.PR.E FixedReset 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.25
Evaluated at bid price : 22.74
Bid-YTW : 5.15 %
MFC.PR.J FixedReset 2.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.00 %
MFC.PR.I FixedReset 2.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.47
Bid-YTW : 5.67 %
FTS.PR.K FixedReset 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 4.59 %
HSE.PR.A FixedReset 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 13.23
Evaluated at bid price : 13.23
Bid-YTW : 5.27 %
MFC.PR.M FixedReset 2.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.24
Bid-YTW : 6.82 %
MFC.PR.N FixedReset 2.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.19
Bid-YTW : 6.79 %
IAG.PR.G FixedReset 2.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 5.77 %
SLF.PR.I FixedReset 2.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.79
Bid-YTW : 5.94 %
TRP.PR.H FloatingReset 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 3.68 %
BAM.PR.X FixedReset 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 15.29
Evaluated at bid price : 15.29
Bid-YTW : 4.92 %
SLF.PR.G FixedReset 2.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.64
Bid-YTW : 9.08 %
MFC.PR.H FixedReset 2.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 5.00 %
FTS.PR.G FixedReset 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 4.53 %
RY.PR.J FixedReset 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.54 %
FTS.PR.M FixedReset 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.60 %
TRP.PR.C FixedReset 3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 4.79 %
IFC.PR.A FixedReset 3.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.06
Bid-YTW : 8.61 %
TRP.PR.B FixedReset 4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 13.31
Evaluated at bid price : 13.31
Bid-YTW : 4.51 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset 172,852 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.34 %
BNS.PR.N Deemed-Retractible 162,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 0.78 %
BAM.PR.B Floater 118,853 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.20 %
NA.PR.S FixedReset 81,575 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 4.70 %
TRP.PR.K FixedReset 77,805 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 4.68 %
IFC.PR.D FloatingReset 62,712 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 6.58 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
VNR.PR.A FixedReset Quote: 19.62 – 20.26
Spot Rate : 0.6400
Average : 0.4180

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 5.18 %
TRP.PR.A FixedReset Quote: 15.82 – 16.24
Spot Rate : 0.4200
Average : 0.2696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 4.94 %
TD.PR.Z FloatingReset Quote: 23.20 – 23.58
Spot Rate : 0.3800
Average : 0.2436

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 3.70 %
SLF.PR.K FloatingReset Quote: 16.91 – 17.49
Spot Rate : 0.5800
Average : 0.4462

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.91
Bid-YTW : 8.19 %
TD.PR.T FloatingReset Quote: 23.25 – 23.62
Spot Rate : 0.3700
Average : 0.2765

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 3.57 %
RY.PR.I FixedReset Quote: 24.70 – 24.95
Spot Rate : 0.2500
Average : 0.1690

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 3.62 %
Market Action

December 23, 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 0.0221 % 1,807.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0221 % 3,301.6
Floater 4.19 % 4.27 % 63,853 16.88 4 0.0221 % 1,902.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1190 % 2,933.3
SplitShare 4.82 % 4.64 % 82,974 4.28 6 0.1190 % 3,502.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1190 % 2,733.1
Perpetual-Premium 5.46 % 5.40 % 89,148 14.45 23 0.0403 % 2,654.0
Perpetual-Discount 5.50 % 5.50 % 111,380 14.59 15 0.1612 % 2,734.8
FixedReset 4.75 % 4.67 % 262,106 6.76 96 -0.3475 % 2,154.4
Deemed-Retractible 5.18 % 4.64 % 138,922 4.53 32 -0.1860 % 2,749.3
FloatingReset 2.84 % 4.00 % 46,012 4.79 12 -0.3636 % 2,312.9
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset -1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.21
Bid-YTW : 10.36 %
MFC.PR.G FixedReset -1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.15 %
TD.PR.T FloatingReset -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 3.98 %
RY.PR.J FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.68 %
MFC.PR.I FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.97
Bid-YTW : 6.01 %
SLF.PR.I FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.26
Bid-YTW : 6.31 %
MFC.PR.N FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.73
Bid-YTW : 7.13 %
IFC.PR.A FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.50
Bid-YTW : 9.11 %
MFC.PR.H FixedReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.28
Bid-YTW : 5.40 %
IAG.PR.A Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.84 %
BAM.PF.A FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 4.96 %
MFC.PR.J FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.14
Bid-YTW : 6.32 %
CM.PR.O FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 4.59 %
HSE.PR.E FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 21.93
Evaluated at bid price : 22.27
Bid-YTW : 5.28 %
BNS.PR.A FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.57
Bid-YTW : 3.75 %
FTS.PR.F Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 22.32
Evaluated at bid price : 22.59
Bid-YTW : 5.47 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset 117,114 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 4.43 %
MFC.PR.R FixedReset 114,858 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.87 %
TRP.PR.D FixedReset 91,469 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.96 %
RY.PR.Z FixedReset 53,148 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 19.29
Evaluated at bid price : 19.29
Bid-YTW : 4.53 %
BMO.PR.T FixedReset 50,054 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 4.57 %
BMO.PR.S FixedReset 48,445 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 4.55 %
There were 56 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: 19.65 – 22.50
Spot Rate : 2.8500
Average : 2.3824

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 6.58 %
GWO.PR.N FixedReset Quote: 14.06 – 14.70
Spot Rate : 0.6400
Average : 0.4039

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.06
Bid-YTW : 10.46 %
GRP.PR.A SplitShare Quote: 25.55 – 25.94
Spot Rate : 0.3900
Average : 0.2969

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-22
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -6.11 %
RY.PR.J FixedReset Quote: 20.80 – 21.15
Spot Rate : 0.3500
Average : 0.2571

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.68 %
BNS.PR.A FloatingReset Quote: 23.57 – 23.80
Spot Rate : 0.2300
Average : 0.1411

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.57
Bid-YTW : 3.75 %
BNS.PR.B FloatingReset Quote: 22.88 – 23.15
Spot Rate : 0.2700
Average : 0.1831

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 4.02 %
Market Action

December 22, 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 0.7588 % 1,806.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7588 % 3,300.8
Floater 4.19 % 4.27 % 61,777 16.87 4 0.7588 % 1,902.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0858 % 2,929.8
SplitShare 4.82 % 4.62 % 63,539 4.28 6 -0.0858 % 3,498.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0858 % 2,729.9
Perpetual-Premium 5.47 % 5.45 % 88,885 14.45 23 -0.0193 % 2,652.9
Perpetual-Discount 5.51 % 5.51 % 111,999 14.59 15 -0.1427 % 2,730.4
FixedReset 4.73 % 4.62 % 264,106 6.78 96 0.3488 % 2,161.9
Deemed-Retractible 5.17 % 4.56 % 141,001 4.53 32 -0.0157 % 2,754.5
FloatingReset 2.83 % 3.89 % 46,737 4.79 12 0.2331 % 2,321.4
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.07 %
GWO.PR.N FixedReset -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.15
Bid-YTW : 10.36 %
MFC.PR.B Deemed-Retractible -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.84
Bid-YTW : 6.75 %
BAM.PR.N Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 5.74 %
TRP.PR.B FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 4.71 %
TD.PR.Y FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 3.31 %
BAM.PF.A FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 4.90 %
RY.PR.M FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.51 %
HSE.PR.G FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 22.10
Evaluated at bid price : 22.55
Bid-YTW : 5.18 %
BNS.PR.Y FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 5.14 %
HSE.PR.E FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 22.09
Evaluated at bid price : 22.50
Bid-YTW : 5.22 %
BNS.PR.A FloatingReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 3.53 %
MFC.PR.G FixedReset 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.93
Bid-YTW : 5.92 %
MFC.PR.H FixedReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.22 %
MFC.PR.M FixedReset 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.93
Bid-YTW : 7.05 %
CM.PR.Q FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.48 %
SLF.PR.G FixedReset 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.37
Bid-YTW : 9.32 %
MFC.PR.N FixedReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.97
Bid-YTW : 6.94 %
MFC.PR.I FixedReset 1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.24
Bid-YTW : 5.83 %
BAM.PR.C Floater 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 10.99
Evaluated at bid price : 10.99
Bid-YTW : 4.30 %
CCS.PR.C Deemed-Retractible 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 6.40 %
MFC.PR.K FixedReset 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 7.38 %
SLF.PR.I FixedReset 1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.52
Bid-YTW : 6.12 %
MFC.PR.J FixedReset 2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.37
Bid-YTW : 6.15 %
IAG.PR.G FixedReset 3.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.88
Bid-YTW : 6.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset 264,679 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.35 %
BNS.PR.B FloatingReset 233,726 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.03
Bid-YTW : 3.87 %
TD.PF.H FixedReset 178,932 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.44 %
MFC.PR.R FixedReset 126,730 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.88 %
TRP.PR.K FixedReset 108,808 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.73 %
FTS.PR.M FixedReset 72,111 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 4.76 %
There were 94 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: 19.64 – 23.00
Spot Rate : 3.3600
Average : 1.8698

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.64
Bid-YTW : 6.58 %
SLF.PR.K FloatingReset Quote: 16.90 – 17.25
Spot Rate : 0.3500
Average : 0.2659

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.90
Bid-YTW : 8.19 %
TRP.PR.E FixedReset Quote: 19.13 – 19.39
Spot Rate : 0.2600
Average : 0.1811

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 4.83 %
BNS.PR.H FixedReset Quote: 25.82 – 26.10
Spot Rate : 0.2800
Average : 0.2048

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 4.44 %
CU.PR.C FixedReset Quote: 20.31 – 20.67
Spot Rate : 0.3600
Average : 0.2908

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.44 %
PVS.PR.B SplitShare Quote: 24.89 – 25.15
Spot Rate : 0.2600
Average : 0.1913

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 24.89
Bid-YTW : 4.70 %
Market Action

December 21, 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 -0.5327 % 1,793.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5327 % 3,276.0
Floater 4.22 % 4.30 % 58,523 16.83 4 -0.5327 % 1,888.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0859 % 2,932.3
SplitShare 4.82 % 4.61 % 62,189 4.28 6 0.0859 % 3,501.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0859 % 2,732.2
Perpetual-Premium 5.46 % 5.43 % 88,337 14.44 23 0.4701 % 2,653.4
Perpetual-Discount 5.50 % 5.51 % 111,158 14.57 15 0.5223 % 2,734.3
FixedReset 4.74 % 4.61 % 245,436 6.77 96 0.7125 % 2,154.4
Deemed-Retractible 5.17 % 4.66 % 141,896 4.53 32 0.4657 % 2,754.9
FloatingReset 2.84 % 4.01 % 47,076 4.79 12 0.2975 % 2,316.0
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 10.81
Evaluated at bid price : 10.81
Bid-YTW : 4.37 %
IFC.PR.A FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.62
Bid-YTW : 8.99 %
BAM.PR.B Floater -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 10.98
Evaluated at bid price : 10.98
Bid-YTW : 4.30 %
BAM.PF.H FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.84 %
BAM.PF.E FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.77 %
SLF.PR.I FixedReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.12
Bid-YTW : 6.40 %
MFC.PR.K FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.88
Bid-YTW : 7.63 %
SLF.PR.C Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.24
Bid-YTW : 6.92 %
BMO.PR.M FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 3.50 %
TRP.PR.C FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 4.89 %
TD.PF.A FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 4.52 %
CU.PR.G Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 5.47 %
CM.PR.Q FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.58 %
SLF.PR.D Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.89 %
TD.PF.E FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 21.97
Evaluated at bid price : 22.40
Bid-YTW : 4.46 %
BNS.PR.P FixedReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.38 %
TD.PF.B FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 4.57 %
TD.PF.C FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 4.58 %
SLF.PR.H FixedReset 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.39
Bid-YTW : 8.26 %
PWF.PR.P FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 14.22
Evaluated at bid price : 14.22
Bid-YTW : 4.75 %
RY.PR.H FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 4.55 %
SLF.PR.B Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.69
Bid-YTW : 6.29 %
GWO.PR.I Deemed-Retractible 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.37
Bid-YTW : 6.88 %
SLF.PR.K FloatingReset 1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.85
Bid-YTW : 8.23 %
FTS.PR.H FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 4.72 %
POW.PR.G Perpetual-Premium 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 24.73
Evaluated at bid price : 25.02
Bid-YTW : 5.59 %
BMO.PR.S FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.53 %
IFC.PR.C FixedReset 1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.53
Bid-YTW : 6.39 %
FTS.PR.M FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 4.74 %
FTS.PR.G FixedReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 4.60 %
MFC.PR.H FixedReset 1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.24
Bid-YTW : 5.42 %
BMO.PR.Y FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 4.48 %
BAM.PR.N Perpetual-Discount 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.68 %
TD.PF.D FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 21.61
Evaluated at bid price : 21.87
Bid-YTW : 4.49 %
MFC.PR.N FixedReset 1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.66
Bid-YTW : 7.17 %
MFC.PR.L FixedReset 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.38
Bid-YTW : 7.28 %
SLF.PR.J FloatingReset 1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.25
Bid-YTW : 9.66 %
HSE.PR.A FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 5.38 %
BAM.PR.R FixedReset 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.93 %
MFC.PR.M FixedReset 1.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 7.26 %
MFC.PR.G FixedReset 2.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.66
Bid-YTW : 6.10 %
MFC.PR.J FixedReset 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.93
Bid-YTW : 6.46 %
MFC.PR.F FixedReset 2.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.36
Bid-YTW : 10.20 %
MFC.PR.I FixedReset 2.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.88
Bid-YTW : 6.07 %
CU.PR.C FixedReset 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 4.45 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset 145,226 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 4.77 %
BAM.PR.Z FixedReset 128,255 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.09 %
MFC.PR.R FixedReset 115,055 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.97 %
BMO.PR.S FixedReset 97,916 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.53 %
RY.PR.Z FixedReset 86,167 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 4.52 %
TD.PF.C FixedReset 85,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 4.58 %
There were 107 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Deemed-Retractible Quote: 24.40 – 24.98
Spot Rate : 0.5800
Average : 0.3545

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.64 %
IAG.PR.G FixedReset Quote: 21.06 – 21.52
Spot Rate : 0.4600
Average : 0.2815

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.06
Bid-YTW : 6.59 %
CU.PR.C FixedReset Quote: 20.28 – 20.64
Spot Rate : 0.3600
Average : 0.2148

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 4.45 %
CU.PR.I FixedReset Quote: 27.07 – 27.45
Spot Rate : 0.3800
Average : 0.2408

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 27.07
Bid-YTW : 2.37 %
RY.PR.M FixedReset Quote: 20.77 – 21.09
Spot Rate : 0.3200
Average : 0.2076

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 4.56 %
ELF.PR.F Perpetual-Discount Quote: 24.04 – 24.34
Spot Rate : 0.3000
Average : 0.1981

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 23.73
Evaluated at bid price : 24.04
Bid-YTW : 5.60 %
Market Action

December 20, 2016

There’s a lot of Canadian bond issuance south of the border:

Canadian companies have issued about $69 billion of debt in U.S. markets this year, up 12 percent from a year ago. That compares with about C$93 billion in the domestic market, a similar amount — $70 billion — when adjusted for currency, and a 3 percent decline from 2015. The move south is being driven by the lure of lower borrowing costs in America’s far larger market, where the high-quality debt of Canadian companies is being lapped up.

The downside for Canadian investors is that deals done south of the border are frequently sold to U.S. investors first. Canadians must wait until those U.S. bond buyers start to sell their notes in the secondary market, which can mean losing out when prices of newly issued bonds rise. Companies meanwhile are chasing the best terms, regardless of geography.

cadbondspreadss
Click for Big

It would be most interesting to learn just how much of this effect was due to the crowding out of Canadian investment capital by our bloated banking sector.

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 -0.0222 % 1,802.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0222 % 3,293.5
Floater 4.20 % 4.25 % 55,800 16.92 4 -0.0222 % 1,898.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0330 % 2,929.8
SplitShare 4.82 % 4.68 % 62,895 4.28 6 -0.0330 % 3,498.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0330 % 2,729.9
Perpetual-Premium 5.48 % 5.55 % 88,075 14.40 23 -0.3622 % 2,641.0
Perpetual-Discount 5.53 % 5.53 % 103,495 14.54 15 -0.2282 % 2,720.1
FixedReset 4.78 % 4.67 % 241,261 6.75 96 -0.1512 % 2,139.1
Deemed-Retractible 5.19 % 4.74 % 142,914 4.54 32 -0.2415 % 2,742.1
FloatingReset 2.84 % 3.97 % 45,699 4.79 12 -0.3220 % 2,309.1
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 4.57 %
TRP.PR.F FloatingReset -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 3.98 %
BMO.PR.S FixedReset -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 4.60 %
CCS.PR.C Deemed-Retractible -1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.63 %
BMO.PR.Y FixedReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.58 %
SLF.PR.H FixedReset -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.16
Bid-YTW : 8.45 %
BAM.PR.X FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 5.06 %
SLF.PR.J FloatingReset -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.00
Bid-YTW : 9.91 %
MFC.PR.F FixedReset -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.03
Bid-YTW : 10.53 %
RY.PR.O Perpetual-Premium -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 23.66
Evaluated at bid price : 24.02
Bid-YTW : 5.13 %
BMO.PR.T FixedReset -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.60 %
BMO.PR.Z Perpetual-Premium -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 24.15
Evaluated at bid price : 24.55
Bid-YTW : 5.12 %
BAM.PR.N Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 5.78 %
MFC.PR.O FixedReset -1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.31
Bid-YTW : 4.34 %
MFC.PR.C Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.23
Bid-YTW : 7.01 %
TRP.PR.H FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 11.65
Evaluated at bid price : 11.65
Bid-YTW : 3.77 %
BAM.PR.R FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 5.02 %
BNS.PR.Z FixedReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.88
Bid-YTW : 6.02 %
BMO.PR.Q FixedReset 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.57
Bid-YTW : 5.96 %
PWF.PR.T FixedReset 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset 127,256 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 4.87 %
TD.PF.H FixedReset 89,843 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.54
Bid-YTW : 4.56 %
BAM.PF.I FixedReset 87,694 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.70 %
TD.PF.B FixedReset 82,319 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.63 %
RY.PR.H FixedReset 79,167 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 4.61 %
MFC.PR.R FixedReset 76,860 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.98 %
There were 83 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 15.05 – 15.38
Spot Rate : 0.3300
Average : 0.2168

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 3.98 %
BAM.PR.R FixedReset Quote: 16.79 – 17.22
Spot Rate : 0.4300
Average : 0.3198

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 5.02 %
SLF.PR.B Deemed-Retractible Quote: 22.38 – 22.62
Spot Rate : 0.2400
Average : 0.1552

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.38
Bid-YTW : 6.50 %
POW.PR.G Perpetual-Premium Quote: 25.00 – 25.30
Spot Rate : 0.3000
Average : 0.2178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 24.71
Evaluated at bid price : 25.00
Bid-YTW : 5.69 %
BNS.PR.D FloatingReset Quote: 19.80 – 20.09
Spot Rate : 0.2900
Average : 0.2198

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 6.30 %
BMO.PR.Y FixedReset Quote: 21.30 – 21.54
Spot Rate : 0.2400
Average : 0.1748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-20
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.58 %