The New York Fed has announced (via an eMail alert – I can’t find anything to link):
On Wednesday, May 17 at 10:00 am EDT, the Federal Reserve Bank of New York will launch monthly publication of a new research product that will offer a unified approach to measuring downside risk to real GDP growth, upside risk to the unemployment rate, and two-sided risks to CPI inflation.
Outlook-at-Risk will present estimates of the conditional distribution of the future evolution of these key economic variables based on the relationship with the level of financial conditions.
Following the launch of Outlook-at-Risk, the estimated conditional and unconditional distributions will be updated at or shortly after 10:00 am on the third Wednesday of each month.
In conjunction with the new product, the New York Fed will publish a Liberty Street Economics blog post using the data on conditional distributions to investigate how two-sided risks to inflation and downside risks to real activity have evolved over the current and previous five monetary policy tightening cycles.
Outlook-at-Risk was first introduced through a Liberty Street Economics blog post in February 2023, which was inspired by previous work on “Vulnerable Growth.”
The BoC has released a Staff Analytical Note by Julien Champagne, Christopher Hajzler, Dmitry Matveev, Harlee Melinchuk, Antoine Poulin-Moore, Galip Kemal Ozhan, Youngmin Park and Temel Taskin titled Potential output and the neutral rate in Canada: 2023 assessment:
Our estimate for the nominal neutral rate—ranging between 2% and 3%—suggests no
change with respect to the 2022 assessment (Table 3). However, some of our models imply
small changes that offset each other:
- • On the one hand, the small open-economy overlapping-generations model implies a downward revision of 25 basis points (bps) in the nominal neutral rate range. This is due to the combination of:
- o a small decline in assumptions on growth in long-run labour input and productivity
- o the assessment of a smaller net ratio of government debt to gross domestic product (GDP) in the long term
- • On the other hand, the risk-augmented neoclassical growth model implies an upward revision of 25 bps of the nominal neutral rate range. This is due to a small reduction of the estimated incentives for precautionary savings resulting from the milder-thanexpected negative economic impact of the COVID-19 pandemic.
Emerge Canada (last discussed 2023-4-17) has had its license suspended:
Ontario’s securities watchdog has suspended the registration of asset manager Emerge Canada Inc. after finding it failed to comply with working capital requirements and the regulator expects the manager to wind down its funds.
The Ontario Securities Commission announced Thursday it has suspended exchange-traded funds provider Emerge Canada from being an investment fund manager, a portfolio manager and an exempt market dealer after finding the company is essentially insolvent.
The OSC says Emerge Canada’s U.S. parent owes its Canadian subsidiary millions of dollars that the Canadian subsidiary has failed to collect. The OSC says Emerge Canada can’t count that money owed as part of its working capital.
In turn, Emerge Canada owes more than $5-million to its own ETFs – a number far higher than disclosed on its most recent financial statements.
Looks like CI Financial got a fine price for a chunk of its US operation:
Investment giant CI Financial is selling a 20-per-cent stake in its U.S. wealth management business for $1.34-billion to pay down outstanding debt while it pauses plans to take its U.S. division public.
…
CI shares climbed nearly 50 per cent to $18.69 in early trading on the Toronto Stock Exchange. By midday, the shares pulled back, but were still up 25 per cent.At $1.34-billion for 20 per cent of the U.S. business, the transaction values the equity of the U.S. business at $6.7-billion – nearly three times CI’s entire $2.3-billion market capitalization on the Toronto Stock Exchange at Wednesday’s closing price of $12.50 per share. By retaining 80 per cent of the U.S. business, CI holds a stake valued by the new investment at just under $5.4-billion – or nearly $29 per CI share.
BIS has published a handbook on the offline use of Central Bank Digital Currencies:
The ability to make payments offline means being able to use a CBDC without being connected to the internet, either temporarily or because of coverage limitations. Central banks considering the potential implementation of CBDCs with offline functionality must take into account a complex matrix of issues including security, privacy, likely risks, the types of solution, their maturity and applicability, and operational factors.
The handbook, compiled in partnership with Consult Hyperion, addresses these issues as well as objectives for resilience, inclusion, cash resemblance, accessibility and other desired attributes.
The degree to which CBDCs will be provided or used offline will vary significantly by country, region, demographics and specific contexts, which will also influence the solutions chosen.
The BIS Financial Stability Institute has released a brief by Rodrigo Coelho, Fernando Restoy and Raihan Zamil titled Rising interest rates and implications for banking supervision:
Highlights
- • The recent market turmoil exposed heightened vulnerabilities of banks with material exposures in long-term, fixed rate assets that are fuelled by shorter-term, less stable funding. As interest rates rise, such entities may incur significant declines in asset values, while being exposed to volatile funds providers who may flee at the first sign of trouble, triggering a broader crisis of confidence.
- • While regulatory requirements are fundamental, they cannot, in isolation, address all ways in which higher rates could impact a bank’s solvency and liquidity. Moreover, capital requirements are sensitive to banks’ accounting classification choices, while liquidity rules are premised on assumptions about deposit stickiness and the ability to sell assets at a reasonable cost.
- • The supervisory review process, on the other hand, takes into account bank-specific characteristics and provides supervisors with various tools to address the confluence of risks caused by rising rates, and the ability to act preemptively before risks crystallise.
- • Further guidance that supports supervisors’ ability and will to act may help to provide structureand consistency to supervisory decision-making, while allowing room for judgment.
| 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 | 4.4725 % | 2,065.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 4.4725 % | 3,961.2 |
| Floater | 10.91 % | 10.50 % | 52,212 | 9.09 | 2 | 4.4725 % | 2,282.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2091 % | 3,340.2 |
| SplitShare | 5.03 % | 7.54 % | 42,099 | 2.56 | 7 | 0.2091 % | 3,988.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2091 % | 3,112.3 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0100 % | 2,744.0 |
| Perpetual-Discount | 6.22 % | 6.27 % | 45,526 | 13.50 | 34 | 0.0100 % | 2,992.2 |
| FixedReset Disc | 5.87 % | 7.75 % | 84,185 | 11.90 | 63 | -0.1977 % | 2,112.6 |
| Insurance Straight | 6.08 % | 6.21 % | 62,479 | 13.56 | 19 | -0.0953 % | 2,960.1 |
| FloatingReset | 10.49 % | 11.04 % | 45,007 | 8.71 | 2 | -0.2041 % | 2,381.4 |
| FixedReset Prem | 6.96 % | 6.54 % | 326,862 | 12.82 | 1 | 0.0000 % | 2,322.8 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1977 % | 2,159.5 |
| FixedReset Ins Non | 5.96 % | 7.26 % | 75,937 | 12.15 | 11 | -0.2362 % | 2,338.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| NA.PR.G | FixedReset Disc | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 7.07 % |
| TRP.PR.G | FixedReset Disc | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 8.57 % |
| IFC.PR.A | FixedReset Ins Non | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 7.06 % |
| BIP.PR.E | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 7.60 % |
| BNS.PR.I | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 6.79 % |
| GWO.PR.Y | Insurance Straight | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 6.14 % |
| CU.PR.I | FixedReset Disc | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 22.84 Evaluated at bid price : 23.60 Bid-YTW : 6.75 % |
| BN.PR.X | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 8.56 % |
| TD.PF.D | FixedReset Disc | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 17.62 Evaluated at bid price : 17.62 Bid-YTW : 7.74 % |
| BN.PF.F | FixedReset Disc | 2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 8.92 % |
| BN.PR.B | Floater | 8.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 11.44 Evaluated at bid price : 11.44 Bid-YTW : 10.50 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.A | FixedReset Disc | 50,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 7.78 % |
| CM.PR.O | FixedReset Disc | 43,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 7.83 % |
| BN.PF.I | FixedReset Disc | 15,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 8.29 % |
| RY.PR.S | FixedReset Disc | 14,510 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 19.56 Evaluated at bid price : 19.56 Bid-YTW : 6.96 % |
| TD.PF.M | FixedReset Disc | 14,258 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 23.16 Evaluated at bid price : 23.65 Bid-YTW : 6.90 % |
| BN.PF.D | Perpetual-Discount | 11,776 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-11 Maturity Price : 18.93 Evaluated at bid price : 18.93 Bid-YTW : 6.58 % |
| There were 3 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.E | Perpetual-Discount | Quote: 19.80 – 23.72 Spot Rate : 3.9200 Average : 3.3390 YTW SCENARIO |
| TRP.PR.E | FixedReset Disc | Quote: 14.96 – 17.45 Spot Rate : 2.4900 Average : 1.9559 YTW SCENARIO |
| BN.PR.K | Floater | Quote: 10.05 – 12.15 Spot Rate : 2.1000 Average : 1.8691 YTW SCENARIO |
| NA.PR.G | FixedReset Disc | Quote: 20.70 – 21.79 Spot Rate : 1.0900 Average : 0.8606 YTW SCENARIO |
| BNS.PR.I | FixedReset Disc | Quote: 20.35 – 21.00 Spot Rate : 0.6500 Average : 0.4724 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 21.55 – 22.38 Spot Rate : 0.8300 Average : 0.6670 YTW SCENARIO |
[…] May 11 I unwisely remarked on the “fine price” CI got for a chunk of its US operation. Oops! I […]
re .. the bridging finance item , have any readers of this blog , from windsor ont noticed that there are never any articles about this ,published in the windsor star ?
[…] mentioned CI Financial on May 11 with an update on May 15. Now, DBRS has weighed […]