C-EBS pays attention to the needs of investors when assessing the investment worthiness of banks, in accordance with the Basel Pillar 3 philosophy; this stands as a great contrast to OSFI. In C-EBS latest effort, they evaluate bank disclosures to investors:
In line with the July 2008 ECOFIN conclusions CEBS also analysed the Pillar 3 disclosures provided by 25 banks. CEBS recognises that a huge effort has been made to provide market participants with information allowing for better assessment of bank’s risk profile and capital adequacy.
Banks have notably enhanced the level of quantitative and qualitative information regarding credit risk and securitisation activities; however there are specific areas where further improvements could be made:
•the composition and characteristics of own funds;
•the back testing information for credit risk and market risk;
•the quantitative information on credit risk mitigations and counterparty credit risk; and
•the granularity of information on securitisations.
CEBS will continue to closely monitor Pillar 3 disclosures in order to ensure that market discipline mechanism operates effectively and contributes to enhance the quality and the comparability of the Pillar 3 disclosures.While it is not envisaged issuing guidance in the area of Pillar 3 disclosures at this stage, CEBS nevertheless intends to foster further convergence of Pillar 3 disclosure practices through liaison with the industry. For this purpose an open meeting is foreseen to be held in early autumn 2009.
I understand that New York will probably soon have a subway stop named after Barclays:
Commuters passing through the Atlantic Avenue-Pacific Street and Flatbush Avenue subway station in Prospect Heights may soon hear the word “Barclays” to the already long subway station name.
Barclays, a London-based bank company, is the first buyer in the MTA’s five-year effort to sell the names of subway stations to raise more revenue. The company would pay the MTA installments of $200,000 per year over the next 20 years.
Now that times are tough and the idea has the imprimatur of a world-class city, perhaps Toronto-me-too will consider it. I continue to think that we could make an awful lot of money from Pfizer through a name change to “Viagra Makes Your Coxwell” station; I can’t understand why such an obvious source of revenue remains unexploited.
The SEC has requested public comment on a plan to continue to allow Money Market Fund sponsors to lie to investors:
The agency’s five commissioners voted 5-0 today to seek public comment on a plan to require that funds hold more liquid assets and reduce the average maturity of securities in their portfolios. The proposals resemble recommendations made in March by the Investment Company Institute, a Washington-based industry group.
…
The funds aren’t required to value their holdings at current market prices, except to reflect a permanent markdown. That lets them maintain a constant net-asset value, or NAV, and sell and redeem shares at $1 apiece. Funds drop below $1 a share when permanent losses exceed 0.5 percent of net assets, forcing the NAV to be rounded down to 99 cents.President Barack Obama’s administration, in a plan for overhauling financial regulation released June 17, called on government agencies including the SEC, the Treasury Department and the Federal Reserve to review whether money funds should adopt a floating NAV. The Obama proposal also requested study of ways money funds could obtain access to “emergency” funding from “private sources.”
Andrew Donohue, director of the SEC unit that oversees money managers, said in an April speech that the stable $1 share prices encourages investors to flee money funds at the first sign of trouble.
The Investment Company Institute proposals have been discussed on PrefBlog.
Guys, guys, guys. Investment comes with risk. Pretending there’s no risk won’t make it so; it will simply increase the severity of public reaction when the internal contradictions blow up the model. This was proved beyond the shadow of a doubt after Reserve Primary explosion required extraordinary policy measures to ensure that the World as We Know It did not disappear completely. The Volcker proposals are far superior.
The FOMC statement was released today:
In these circumstances, the Federal Reserve will employ all available tools to promote economic recovery and to preserve price stability. The Committee will maintain the target range for the federal funds rate at 0 to 1/4 percent and continues to anticipate that economic conditions are likely to warrant exceptionally low levels of the federal funds rate for an extended period. As previously announced, to provide support to mortgage lending and housing markets and to improve overall conditions in private credit markets, the Federal Reserve will purchase a total of up to $1.25 trillion of agency mortgage-backed securities and up to $200 billion of agency debt by the end of the year. In addition, the Federal Reserve will buy up to $300 billion of Treasury securities by autumn. The Committee will continue to evaluate the timing and overall amounts of its purchases of securities in light of the evolving economic outlook and conditions in financial markets. The Federal Reserve is monitoring the size and composition of its balance sheet and will make adjustments to its credit and liquidity programs as warranted.
PerpetualDiscounts had a good day today, while most of the market was pretty quiet on lower volume. PerpetualDiscounts now yield 6.38%, equivalent to 8.93% interest at the standard 1.4x conversion factor. Meanwhile, long corporates are taking a breather, returning 5.66% month-to-date, 17.01% year-to-date, with a yield of about 6.45%; the pre-tax interest-equivalent spread is thus about 250bp, little changed from last week’s 255bp.
| 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 | -0.7864 % | 1,220.6 |
| FixedFloater | 7.09 % | 5.52 % | 34,749 | 16.28 | 1 | 0.0000 % | 2,126.6 |
| Floater | 3.12 % | 3.47 % | 77,932 | 18.58 | 3 | -0.7864 % | 1,524.9 |
| OpRet | 4.95 % | 2.99 % | 129,138 | 0.10 | 14 | 0.3216 % | 2,201.9 |
| SplitShare | 5.78 % | 5.95 % | 65,487 | 4.21 | 3 | 0.4875 % | 1,886.9 |
| Interest-Bearing | 5.98 % | 7.74 % | 21,682 | 0.50 | 1 | -0.2982 % | 1,993.2 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2306 % | 1,738.3 |
| Perpetual-Discount | 6.33 % | 6.38 % | 164,069 | 13.33 | 71 | 0.2306 % | 1,601.0 |
| FixedReset | 5.67 % | 4.79 % | 501,420 | 4.34 | 40 | 0.0400 % | 2,010.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-24 Maturity Price : 11.22 Evaluated at bid price : 11.22 Bid-YTW : 3.51 % |
| BNS.PR.L | Perpetual-Discount | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-24 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 6.10 % |
| GWO.PR.I | Perpetual-Discount | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-24 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 6.60 % |
| NA.PR.L | Perpetual-Discount | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-24 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 6.24 % |
| POW.PR.D | Perpetual-Discount | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-24 Maturity Price : 19.09 Evaluated at bid price : 19.09 Bid-YTW : 6.57 % |
| BNA.PR.C | SplitShare | 1.22 % | Asset coverage of 1.9-:1 as of May 31 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 15.80 Bid-YTW : 10.68 % |
| BAM.PR.J | OpRet | 1.44 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 21.86 Bid-YTW : 7.41 % |
| IAG.PR.A | Perpetual-Discount | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-24 Maturity Price : 17.42 Evaluated at bid price : 17.42 Bid-YTW : 6.65 % |
| HSB.PR.D | Perpetual-Discount | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-24 Maturity Price : 19.37 Evaluated at bid price : 19.37 Bid-YTW : 6.50 % |
| BAM.PR.H | OpRet | 2.00 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2010-10-30 Maturity Price : 25.25 Evaluated at bid price : 25.55 Bid-YTW : 4.73 % |
| MFC.PR.B | Perpetual-Discount | 3.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-24 Maturity Price : 19.04 Evaluated at bid price : 19.04 Bid-YTW : 6.16 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.X | OpRet | 155,903 | Can’t tell your players without a programme! Scotia led off, crossing 25,000 shares at 25.85; Nesbit bought 22,900 from Anonymous at 25.90; RBC crossed 25,000 at 25.90; Nesbitt bought three blocks of 10,000 each from TD, all at 25.90; Nesbitt bought 25,000 from RBC at 25.90 and 10,000 from Desjardins at the same price. The yield at this price is 3.88%, as noted below, 5.43% interest equivalent; happiness is working for a motivated buyer! YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2013-09-29 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 3.88 % |
| BMO.PR.P | FixedReset | 135,932 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-24 Maturity Price : 23.13 Evaluated at bid price : 25.02 Bid-YTW : 5.10 % |
| BNS.PR.P | FixedReset | 97,072 | RBC crossed blocks of 12,000 and 38,000 and 19,500, all at 25.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-24 Maturity Price : 25.12 Evaluated at bid price : 25.17 Bid-YTW : 4.81 % |
| SLF.PR.A | Perpetual-Discount | 71,887 | Nesbitt crossed 44,800 at 17.94. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-24 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 6.70 % |
| MFC.PR.D | FixedReset | 68,662 | Scotia bought 10,000 from CIBC at 26.50; CIBC crossed 38,300 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 26.49 Bid-YTW : 5.33 % |
| MFC.PR.E | FixedReset | 65,244 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 25.13 Bid-YTW : 5.61 % |
| There were 30 other index-included issues trading in excess of 10,000 shares. | |||