The Bank of Canada has released a Staff Working Paper by Maarten R. C. van Oordt titled Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests:
This paper proposes a novel methodology to calibrate the magnitude of the cap on the countercyclical capital buffer (CCyB) using market-based stress tests. The macroprudential authority in our paper aims to contain the possibility of a breach of a minimum capital ratio in the event of a severe system-wide shock within a certain permissible failure probability. To meet its objective during periods of challenging macro-financial conditions, the macroprudential authority requires banks to build up the CCyB during credit booms. We show how market-based stress tests can be used to estimate the necessary magnitude of the CCyB. We apply the methodology to major banks in six advanced economies. Our estimates suggest a magnitude of the cap on the CCyB in a range from 1.4 to 1.7 per cent of total assets, depending on the ability of the macro-prudential authority to forecast macrofinancial conditions.
Today, with great joy, I called Enercare and told them to cancel my water heater rental and pick up their device. I haven’t been at 10 Page for too long, but the water-heater was installed in 1993. That’s 25 years at $20/month, a total of about $6,000! It didn’t cost anything near as much to replace it with my own equipment, I can tell you that much!
The guy who installed my new heater told me, though, that most people rent. I don’t understand it. Renting is always expensive! One guy who I told about this mumbled something about service calls … really? Water heaters are pretty simple. I suppose one might break occasionally, but never in my life have I lived in a house where the water heater needed servicing. Never.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 1.2164 % | 3,147.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.2164 % | 5,774.6 |
| Floater | 3.69 % | 3.92 % | 40,578 | 17.56 | 4 | 1.2164 % | 3,327.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1754 % | 3,216.4 |
| SplitShare | 4.63 % | 4.96 % | 53,347 | 4.66 | 5 | 0.1754 % | 3,841.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1754 % | 2,996.9 |
| Perpetual-Premium | 5.68 % | 5.22 % | 66,908 | 14.18 | 12 | 0.1853 % | 2,885.8 |
| Perpetual-Discount | 5.62 % | 5.73 % | 75,547 | 14.29 | 21 | 0.6427 % | 2,919.7 |
| FixedReset Disc | 4.37 % | 5.35 % | 161,612 | 15.14 | 46 | 0.4897 % | 2,502.1 |
| Deemed-Retractible | 5.34 % | 6.66 % | 71,244 | 5.19 | 27 | 0.1232 % | 2,907.1 |
| FloatingReset | 3.77 % | 3.83 % | 48,111 | 5.45 | 4 | 0.4983 % | 2,802.9 |
| FixedReset Prem | 4.94 % | 4.49 % | 244,474 | 3.05 | 34 | -0.0443 % | 2,540.3 |
| FixedReset Bank Non | 2.97 % | 3.78 % | 113,885 | 0.30 | 6 | 0.1305 % | 2,576.9 |
| FixedReset Ins Non | 4.49 % | 6.17 % | 128,556 | 5.30 | 22 | 0.4173 % | 2,499.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PF.K | FixedReset Prem | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 23.00 Evaluated at bid price : 24.55 Bid-YTW : 5.03 % |
| TRP.PR.B | FixedReset Disc | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 5.47 % |
| TRP.PR.E | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 21.30 Evaluated at bid price : 21.57 Bid-YTW : 5.55 % |
| TD.PF.J | FixedReset Prem | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 23.02 Evaluated at bid price : 24.50 Bid-YTW : 5.08 % |
| BMO.PR.W | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 21.62 Evaluated at bid price : 22.02 Bid-YTW : 5.23 % |
| BAM.PR.N | Perpetual-Discount | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 20.29 Evaluated at bid price : 20.29 Bid-YTW : 5.94 % |
| BAM.PR.C | Floater | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 17.76 Evaluated at bid price : 17.76 Bid-YTW : 3.93 % |
| SLF.PR.B | Deemed-Retractible | 1.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.51 Bid-YTW : 7.82 % |
| TRP.PR.D | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.63 % |
| CU.PR.F | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 5.62 % |
| BAM.PF.G | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 23.25 Evaluated at bid price : 23.65 Bid-YTW : 5.55 % |
| PWF.PR.A | Floater | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 21.33 Evaluated at bid price : 21.60 Bid-YTW : 3.17 % |
| RY.PR.H | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 21.95 Evaluated at bid price : 22.50 Bid-YTW : 5.17 % |
| BAM.PR.K | Floater | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 17.78 Evaluated at bid price : 17.78 Bid-YTW : 3.92 % |
| BIP.PR.A | FixedReset Disc | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 22.95 Evaluated at bid price : 23.35 Bid-YTW : 6.33 % |
| CM.PR.Q | FixedReset Disc | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 23.41 Evaluated at bid price : 23.79 Bid-YTW : 5.33 % |
| GWO.PR.T | Deemed-Retractible | 1.63 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.07 Bid-YTW : 6.84 % |
| MFC.PR.L | FixedReset Ins Non | 1.92 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.71 Bid-YTW : 7.35 % |
| BAM.PF.F | FixedReset Disc | 2.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 23.16 Evaluated at bid price : 23.75 Bid-YTW : 5.58 % |
| SLF.PR.H | FixedReset Ins Non | 2.44 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 7.05 % |
| BAM.PR.X | FixedReset Disc | 2.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 5.44 % |
| HSE.PR.A | FixedReset Disc | 2.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 16.69 Evaluated at bid price : 16.69 Bid-YTW : 5.89 % |
| MFC.PR.G | FixedReset Ins Non | 3.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 5.60 % |
| TD.PF.A | FixedReset Disc | 5.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 21.88 Evaluated at bid price : 22.40 Bid-YTW : 5.19 % |
| BAM.PR.M | Perpetual-Discount | 5.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.97 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.S | FixedReset Disc | 201,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-06 Maturity Price : 23.06 Evaluated at bid price : 24.77 Bid-YTW : 4.79 % |
| BNS.PR.H | FixedReset Prem | 111,116 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 25.66 Bid-YTW : 4.04 % |
| TD.PF.H | FixedReset Prem | 78,188 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 3.97 % |
| CM.PR.R | FixedReset Prem | 60,645 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 4.49 % |
| RY.PR.Q | FixedReset Prem | 57,654 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.79 Bid-YTW : 4.09 % |
| BMO.PR.D | FixedReset Prem | 44,869 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-08-25 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.42 % |
| There were 17 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.E | FixedReset Disc | Quote: 21.57 – 22.08 Spot Rate : 0.5100 Average : 0.3399 YTW SCENARIO |
| TD.PF.J | FixedReset Prem | Quote: 24.50 – 24.99 Spot Rate : 0.4900 Average : 0.3339 YTW SCENARIO |
| GWO.PR.N | FixedReset Ins Non | Quote: 18.54 – 18.97 Spot Rate : 0.4300 Average : 0.2992 YTW SCENARIO |
| ELF.PR.H | Perpetual-Discount | Quote: 23.57 – 24.00 Spot Rate : 0.4300 Average : 0.3079 YTW SCENARIO |
| MFC.PR.H | FixedReset Ins Non | Quote: 24.25 – 24.63 Spot Rate : 0.3800 Average : 0.2582 YTW SCENARIO |
| IAG.PR.I | FixedReset Ins Non | Quote: 24.01 – 24.41 Spot Rate : 0.4000 Average : 0.2920 YTW SCENARIO |