January 19, 2012

Sorry it’s late!

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 0.2165 % 2,348.7
FixedFloater 4.68 % 4.05 % 43,974 17.32 1 0.4950 % 3,332.1
Floater 2.84 % 3.00 % 68,359 19.74 3 0.2165 % 2,536.0
OpRet 4.94 % 1.53 % 65,769 1.32 7 0.2744 % 2,501.5
SplitShare 5.35 % 0.70 % 68,077 0.89 4 0.0808 % 2,614.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2744 % 2,287.4
Perpetual-Premium 5.41 % -8.94 % 89,108 0.09 23 0.0228 % 2,210.4
Perpetual-Discount 5.04 % 4.97 % 158,002 15.54 7 -0.0473 % 2,403.1
FixedReset 5.04 % 2.80 % 201,335 2.36 65 -0.0521 % 2,378.1
Deemed-Retractible 4.91 % 3.54 % 186,357 2.87 46 0.0365 % 2,296.3
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 3.62 %
CIU.PR.B FixedReset -1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-01
Maturity Price : 25.00
Evaluated at bid price : 27.49
Bid-YTW : 2.75 %
ELF.PR.G Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-01-19
Maturity Price : 21.67
Evaluated at bid price : 21.96
Bid-YTW : 5.43 %
FTS.PR.C OpRet 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-02-18
Maturity Price : 25.50
Evaluated at bid price : 26.25
Bid-YTW : -20.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
ENB.PR.F FixedReset 284,182 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-01-19
Maturity Price : 23.14
Evaluated at bid price : 25.15
Bid-YTW : 3.68 %
BNS.PR.Z FixedReset 191,947 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.00 %
TCA.PR.Y Perpetual-Premium 185,345 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-05
Maturity Price : 50.00
Evaluated at bid price : 52.01
Bid-YTW : 3.54 %
CM.PR.I Deemed-Retractible 151,130 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-01-31
Maturity Price : 25.75
Evaluated at bid price : 25.98
Bid-YTW : 3.54 %
TCA.PR.X Perpetual-Premium 143,804 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-15
Maturity Price : 50.00
Evaluated at bid price : 52.05
Bid-YTW : 3.07 %
CM.PR.M FixedReset 116,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 27.37
Bid-YTW : 2.55 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.D Perpetual-Discount Quote: 24.93 – 25.39
Spot Rate : 0.4600
Average : 0.3087

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-01-19
Maturity Price : 24.44
Evaluated at bid price : 24.93
Bid-YTW : 5.02 %

IFC.PR.A FixedReset Quote: 25.32 – 25.70
Spot Rate : 0.3800
Average : 0.2463

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 3.62 %

CM.PR.K FixedReset Quote: 26.45 – 26.89
Spot Rate : 0.4400
Average : 0.3206

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 2.91 %

BNS.PR.M Deemed-Retractible Quote: 26.00 – 26.27
Spot Rate : 0.2700
Average : 0.1839

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-07-27
Maturity Price : 25.25
Evaluated at bid price : 26.00
Bid-YTW : 3.53 %

BNS.PR.R FixedReset Quote: 25.94 – 26.18
Spot Rate : 0.2400
Average : 0.1572

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 3.00 %

HSB.PR.D Deemed-Retractible Quote: 25.58 – 25.88
Spot Rate : 0.3000
Average : 0.2189

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.58
Bid-YTW : 4.40 %

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