I have updated the post FRB Boston Paper on Use of Funds from Housing ATM with new related BoC research focussing on the Canadian Boom of the late eighties.
The Committee of European Banking Supervisors has issued a press release, CEBS’S PRESS RELEASE ON THE RESULTS OF THE EU-WIDE STRESS TESTING EXERCISE:
Supervisory authorities and central banks in the EU routinely conduct stress testing exercises in the context of their regular risk assessment of the banking sector and as a way to assess the risks facing individual institutions.
Gee, if they’re that routine, why does the headline refer to “the” EU-Wide Stress Testing Exercise?
ECOFIN Ministers and Governors were provided today with a presentation by CEBS of the outcome of the EU-wide stress test on an aggregated basis.
Under the baseline scenario, reflecting current macro-economic projections, the banks’ aggregate Tier 1 capital ratios will be well above 9%, compared to the present Basel minimum requirement of 4%.
Ministers and Governors noted that, should economic conditions be more adverse than currently expected, this would have significant impact on the potential losses for the banks concerned. Under such adverse scenario, the potential credit and trading losses over the years 2009-2010 could amount to almost € 400 bn.
However, the financial position and expected results of banks are sufficient to maintain an adequate level of capital also under such negative circumstances. Notably, the aggregate Tier 1 ratio for the banks in the sample would remain above 8% and no bank would see its Tier 1 ratio falling under 6% as a result of the adverse scenario.
This resilience of the banking system reflects the recent increase in earnings forecasts and, to a large extent, the important support currently provided by the public sector to the banking institutions, notably through capital injections and asset guarantees, which has augmented their capital buffers.
Glad to hear that the resilience of the banking system reflects the recent increase in earnings forecasts. News like that does my heart good.
Not the best of starts for the bright new quarter: PerpetualDiscounts were down 32bp while FixedResets gained 5bp, even as PWF announced a new issue priced tight to the market. The TCL FixedReset and GWO Straight both settle tomorrow; it will be very interesting to see just how well the latter performs.
Volume was strong, dominated by FixedResets.
| 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 | -0.3896 % | 1,518.6 |
| FixedFloater | 5.69 % | 3.94 % | 49,184 | 18.67 | 1 | 1.4878 % | 2,697.3 |
| Floater | 2.57 % | 2.97 % | 101,548 | 19.84 | 3 | -0.3896 % | 1,897.2 |
| OpRet | 4.88 % | -5.61 % | 131,474 | 0.08 | 15 | -0.1331 % | 2,282.0 |
| SplitShare | 6.39 % | 6.59 % | 765,241 | 4.00 | 2 | -0.0220 % | 2,068.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1331 % | 2,086.7 |
| Perpetual-Premium | 5.80 % | 5.71 % | 148,121 | 13.82 | 11 | -0.0324 % | 1,872.4 |
| Perpetual-Discount | 5.78 % | 5.83 % | 211,735 | 14.21 | 60 | -0.3171 % | 1,785.0 |
| FixedReset | 5.48 % | 4.06 % | 448,341 | 4.07 | 41 | 0.0533 % | 2,109.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| POW.PR.B | Perpetual-Discount | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-01 Maturity Price : 21.67 Evaluated at bid price : 22.02 Bid-YTW : 6.08 % |
| CM.PR.I | Perpetual-Discount | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-01 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 5.85 % |
| MFC.PR.C | Perpetual-Discount | -1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-01 Maturity Price : 19.09 Evaluated at bid price : 19.09 Bid-YTW : 5.95 % |
| PWF.PR.F | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-01 Maturity Price : 22.01 Evaluated at bid price : 22.42 Bid-YTW : 5.95 % |
| BAM.PR.M | Perpetual-Discount | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-01 Maturity Price : 18.19 Evaluated at bid price : 18.19 Bid-YTW : 6.58 % |
| POW.PR.A | Perpetual-Discount | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-01 Maturity Price : 22.93 Evaluated at bid price : 23.20 Bid-YTW : 6.05 % |
| TRI.PR.B | Floater | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-01 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 2.04 % |
| BAM.PR.G | FixedFloater | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-01 Maturity Price : 25.00 Evaluated at bid price : 19.10 Bid-YTW : 3.94 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.A | FixedReset | 389,298 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-01 Maturity Price : 25.05 Evaluated at bid price : 25.10 Bid-YTW : 4.47 % |
| SLF.PR.D | Perpetual-Discount | 199,361 | RBC crossed blocks of 50,000 shares, 28,000 shares and 108,500 shares, all at 18.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-01 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 5.99 % |
| RY.PR.N | FixedReset | 78,955 | Nesbitt crossed 75,000 at 27.72. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.73 Bid-YTW : 3.77 % |
| MFC.PR.E | FixedReset | 72,650 | RBC crossed blocks of 20,000 at 26.65 and 15,000 at 26.70; Nesbitt crossed 20,000 at 26.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 26.60 Bid-YTW : 4.26 % |
| MFC.PR.D | FixedReset | 33,937 | Nesbitt bought 10,000 from RBC at 28.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 28.00 Bid-YTW : 3.94 % |
| BAM.PR.P | FixedReset | 32,625 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-30 Maturity Price : 25.00 Evaluated at bid price : 26.55 Bid-YTW : 5.63 % |
| There were 45 other index-included issues trading in excess of 10,000 shares. | |||