March 31, 2017

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2711 % 2,073.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2711 % 3,804.2
Floater 3.67 % 3.81 % 43,346 17.82 4 -0.2711 % 2,192.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0850 % 3,021.7
SplitShare 4.94 % 3.56 % 62,424 0.68 6 0.0850 % 3,608.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0850 % 2,815.5
Perpetual-Premium 5.34 % -6.91 % 72,667 0.09 20 -0.0078 % 2,764.0
Perpetual-Discount 5.14 % 5.13 % 112,211 15.11 16 0.0026 % 2,945.7
FixedReset 4.38 % 3.99 % 242,346 6.68 94 0.1758 % 2,355.9
Deemed-Retractible 5.04 % 3.14 % 139,560 0.15 31 -0.0554 % 2,859.9
FloatingReset 2.54 % 3.28 % 55,150 4.55 9 0.0053 % 2,511.5
Performance Highlights
Issue Index Change Notes
MFC.PR.B Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 5.99 %
SLF.PR.G FixedReset 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.73
Bid-YTW : 8.22 %
SLF.PR.H FixedReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.97
Bid-YTW : 6.32 %
HSE.PR.A FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.16 %
IFC.PR.A FixedReset 1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.35
Bid-YTW : 6.70 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.O Deemed-Retractible 153,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-26
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.14 %
TRP.PR.J FixedReset 55,549 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.87 %
BMO.PR.C FixedReset 51,555 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.23 %
CM.PR.O FixedReset 47,658 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 22.22
Evaluated at bid price : 22.55
Bid-YTW : 3.81 %
TD.PR.T FloatingReset 32,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.97
Bid-YTW : 3.16 %
RY.PR.M FixedReset 27,202 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 22.58
Evaluated at bid price : 23.37
Bid-YTW : 3.92 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.D Deemed-Retractible Quote: 22.22 – 22.65
Spot Rate : 0.4300
Average : 0.2620

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.22
Bid-YTW : 6.30 %

VNR.PR.A FixedReset Quote: 21.60 – 22.00
Spot Rate : 0.4000
Average : 0.2515

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 4.58 %

MFC.PR.B Deemed-Retractible Quote: 23.01 – 23.36
Spot Rate : 0.3500
Average : 0.2524

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 5.99 %

SLF.PR.E Deemed-Retractible Quote: 22.27 – 22.50
Spot Rate : 0.2300
Average : 0.1494

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.27
Bid-YTW : 6.32 %

BNS.PR.E FixedReset Quote: 26.73 – 26.93
Spot Rate : 0.2000
Average : 0.1315

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 3.57 %

MFC.PR.N FixedReset Quote: 21.77 – 21.99
Spot Rate : 0.2200
Average : 0.1518

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

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