June 25, 2012

Sorry this is so late, folks!

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 -0.6599 % 2,295.2
FixedFloater 4.57 % 3.95 % 20,998 17.36 1 0.0000 % 3,448.4
Floater 3.17 % 3.16 % 70,371 19.33 3 -0.6599 % 2,478.2
OpRet 4.80 % 2.47 % 35,261 0.99 5 -0.1157 % 2,514.7
SplitShare 5.27 % -5.11 % 43,701 0.48 4 -0.0696 % 2,716.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1157 % 2,299.5
Perpetual-Premium 5.41 % 3.67 % 87,844 0.55 27 -0.0210 % 2,239.1
Perpetual-Discount 5.05 % 5.04 % 117,414 15.39 7 -0.2129 % 2,450.5
FixedReset 5.03 % 3.11 % 191,978 7.77 71 0.0517 % 2,399.1
Deemed-Retractible 5.00 % 3.93 % 143,359 1.91 45 0.1012 % 2,311.2
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-06-25
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 3.19 %
BAM.PR.M Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-06-25
Maturity Price : 23.11
Evaluated at bid price : 23.37
Bid-YTW : 5.09 %
BAM.PR.R FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-06-25
Maturity Price : 23.48
Evaluated at bid price : 25.75
Bid-YTW : 3.62 %
BAM.PR.T FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-06-25
Maturity Price : 23.37
Evaluated at bid price : 25.63
Bid-YTW : 3.52 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.L Deemed-Retractible 56,160 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-25
Maturity Price : 26.00
Evaluated at bid price : 26.76
Bid-YTW : 2.83 %
IAG.PR.G FixedReset 51,548 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.23 %
TD.PR.Q Deemed-Retractible 50,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-01-31
Maturity Price : 26.00
Evaluated at bid price : 26.81
Bid-YTW : 1.53 %
BMO.PR.M FixedReset 26,675 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 2.97 %
NA.PR.K Deemed-Retractible 25,140 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : -9.17 %
BMO.PR.O FixedReset 24,030 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.89
Bid-YTW : 2.72 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.G FixedFloater Quote: 20.78 – 21.47
Spot Rate : 0.6900
Average : 0.4925

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-06-25
Maturity Price : 21.67
Evaluated at bid price : 20.78
Bid-YTW : 3.95 %

TCA.PR.X Perpetual-Premium Quote: 51.39 – 52.12
Spot Rate : 0.7300
Average : 0.6075

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-15
Maturity Price : 50.00
Evaluated at bid price : 51.39
Bid-YTW : 4.08 %

ENB.PR.A Perpetual-Premium Quote: 25.52 – 25.93
Spot Rate : 0.4100
Average : 0.2892

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : -14.64 %

HSB.PR.C Deemed-Retractible Quote: 25.47 – 25.80
Spot Rate : 0.3300
Average : 0.2169

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 4.11 %

BAM.PR.C Floater Quote: 16.45 – 16.74
Spot Rate : 0.2900
Average : 0.1969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-06-25
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 3.19 %

MFC.PR.C Deemed-Retractible Quote: 22.16 – 22.44
Spot Rate : 0.2800
Average : 0.1880

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.16
Bid-YTW : 6.13 %

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