OSFI is changing the rules for insurers’s seg fund capital requirements:
OSFI is developing a new approach to determine capital requirements for SFG risk, which will reflect the International Financial Reporting Standard 17 – Insurance Contracts (IFRS 17) that will become effective on January 1, 2023. The purpose of this letter is to provide additional details on the development of the approach.
Current regulatory capital requirements for SFG risk are determined using an approach that was implemented in the early 2000s. Here, requirements are calculated using a factor-based methodology or, if approved for use by OSFI, an insurer’s own internal model. The approach is based on calibrations that were developed several years ago and relies on IFRS 4 (i.e. the Canadian Asset Liability Method or CALM). Also, over the years, SFG product offerings have evolved and, in some cases, are not entirely addressed with the current methodology.
The new approach is being designed to address these issues. Under the new approach, capital requirements will be calculated by applying shocks to SFG liabilities. Internal models that were previously approved for use by OSFI to calculate SFG capital requirements will no longer be permitted for this purpose, once the new approach is implemented.
| 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 | -0.2542 % | 1,817.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2542 % | 3,334.5 |
| Floater | 4.68 % | 4.75 % | 36,753 | 15.88 | 3 | -0.2542 % | 1,921.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1757 % | 3,590.3 |
| SplitShare | 4.82 % | 4.31 % | 42,068 | 3.88 | 9 | 0.1757 % | 4,287.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1757 % | 3,345.3 |
| Perpetual-Premium | 5.34 % | 3.81 % | 80,791 | 0.38 | 14 | 0.0167 % | 3,187.8 |
| Perpetual-Discount | 5.10 % | 4.98 % | 82,043 | 15.16 | 19 | 0.3267 % | 3,638.8 |
| FixedReset Disc | 5.20 % | 4.03 % | 123,267 | 16.67 | 64 | 0.6848 % | 2,222.0 |
| Insurance Straight | 5.02 % | 4.72 % | 95,251 | 15.11 | 22 | 0.1958 % | 3,553.7 |
| FloatingReset | 1.97 % | 2.46 % | 45,020 | 1.17 | 3 | 0.2332 % | 1,821.6 |
| FixedReset Prem | 5.19 % | 2.78 % | 217,412 | 0.70 | 15 | 0.1495 % | 2,670.5 |
| FixedReset Bank Non | 1.94 % | 2.08 % | 182,607 | 1.16 | 2 | 0.0000 % | 2,864.8 |
| FixedReset Ins Non | 5.30 % | 4.10 % | 74,867 | 16.73 | 22 | 1.0404 % | 2,303.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IAF.PR.G | FixedReset Ins Non | -2.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 19.09 Evaluated at bid price : 19.09 Bid-YTW : 4.36 % |
| IAF.PR.I | FixedReset Ins Non | -1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 4.26 % |
| BAM.PR.B | Floater | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 9.17 Evaluated at bid price : 9.17 Bid-YTW : 4.74 % |
| SLF.PR.A | Insurance Straight | 1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-26 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 4.13 % |
| BMO.PR.T | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 18.34 Evaluated at bid price : 18.34 Bid-YTW : 3.91 % |
| RY.PR.M | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 4.01 % |
| MFC.PR.Q | FixedReset Ins Non | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 19.77 Evaluated at bid price : 19.77 Bid-YTW : 4.06 % |
| RY.PR.H | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 19.27 Evaluated at bid price : 19.27 Bid-YTW : 3.74 % |
| BMO.PR.Y | FixedReset Disc | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 20.03 Evaluated at bid price : 20.03 Bid-YTW : 3.92 % |
| TRP.PR.F | FloatingReset | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 10.66 Evaluated at bid price : 10.66 Bid-YTW : 4.82 % |
| BIP.PR.F | FixedReset Disc | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 22.78 Evaluated at bid price : 23.63 Bid-YTW : 5.44 % |
| BIP.PR.E | FixedReset Disc | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 22.82 Evaluated at bid price : 23.50 Bid-YTW : 5.37 % |
| NA.PR.S | FixedReset Disc | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.13 % |
| BAM.PR.M | Perpetual-Discount | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 23.13 Evaluated at bid price : 23.39 Bid-YTW : 5.15 % |
| CM.PR.Q | FixedReset Disc | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 4.03 % |
| TD.PF.J | FixedReset Disc | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 3.98 % |
| TD.PF.K | FixedReset Disc | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 3.95 % |
| PWF.PR.S | Perpetual-Discount | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 23.97 Evaluated at bid price : 24.25 Bid-YTW : 4.98 % |
| CM.PR.O | FixedReset Disc | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.03 % |
| BMO.PR.W | FixedReset Disc | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 3.82 % |
| NA.PR.E | FixedReset Disc | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 4.15 % |
| NA.PR.G | FixedReset Disc | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 4.14 % |
| PWF.PR.P | FixedReset Disc | 1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 4.48 % |
| SLF.PR.D | Insurance Straight | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 4.62 % |
| TD.PF.C | FixedReset Disc | 2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 3.78 % |
| TRP.PR.C | FixedReset Disc | 3.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 10.05 Evaluated at bid price : 10.05 Bid-YTW : 4.98 % |
| TRP.PR.B | FixedReset Disc | 3.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 8.96 Evaluated at bid price : 8.96 Bid-YTW : 4.86 % |
| BAM.PR.T | FixedReset Disc | 4.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 14.10 Evaluated at bid price : 14.10 Bid-YTW : 5.08 % |
| MFC.PR.L | FixedReset Ins Non | 36.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 4.12 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.G | FixedReset Prem | 162,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 25.56 Bid-YTW : 2.78 % |
| NA.PR.W | FixedReset Disc | 99,575 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 17.67 Evaluated at bid price : 17.67 Bid-YTW : 4.18 % |
| TD.PF.J | FixedReset Disc | 96,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 3.98 % |
| CM.PR.P | FixedReset Disc | 90,311 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-26 Maturity Price : 19.21 Evaluated at bid price : 19.21 Bid-YTW : 3.88 % |
| SLF.PR.B | Insurance Straight | 61,550 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-26 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 4.12 % |
| BMO.PR.Q | FixedReset Bank Non | 53,200 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 2.42 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.A | FixedReset Ins Non | Quote: 13.69 – 15.11 Spot Rate : 1.4200 Average : 0.8491 YTW SCENARIO |
| MFC.PR.Q | FixedReset Ins Non | Quote: 19.77 – 20.75 Spot Rate : 0.9800 Average : 0.5610 YTW SCENARIO |
| CM.PR.O | FixedReset Disc | Quote: 18.50 – 19.14 Spot Rate : 0.6400 Average : 0.3975 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 25.48 – 25.95 Spot Rate : 0.4700 Average : 0.3153 YTW SCENARIO |
| TD.PF.J | FixedReset Disc | Quote: 21.10 – 21.53 Spot Rate : 0.4300 Average : 0.2762 YTW SCENARIO |
| TRP.PR.A | FixedReset Disc | Quote: 12.70 – 13.13 Spot Rate : 0.4300 Average : 0.2803 YTW SCENARIO |
Never understood why these still exist given their HUGE fees…
[[ They’re popular with self-employed investors because they are protected from creditors in the event of bankruptcy. ]]