{"id":15518,"date":"2011-06-28T22:41:17","date_gmt":"2011-06-29T02:41:17","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=15518"},"modified":"2011-06-28T22:41:17","modified_gmt":"2011-06-29T02:41:17","slug":"june-28-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=15518","title":{"rendered":"June 28, 2011"},"content":{"rendered":"

Singapore is trying to use bank capitalization as a competitive tool<\/a>:<\/p>\n

Singapore said it will set capital levels for local lenders above the global minimum to solidify the city\u2019s reputation as a financial hub after regulators tightened norms for the world\u2019s largest banks.<\/p>\n

Lenders incorporated in Singapore will need to meet a minimum common equity Tier 1 capital adequacy ratio of 6.5 percent from Jan. 1, 2015, the Monetary Authority of Singapore said in a statement yesterday. That\u2019s 2 percentage points more than the so-called Basel III rules announced last year.
…<\/b>
The more stringent standard \u201cunderlines Singapore\u2019s status as a very solid and prudently managed financial center,\u201d Gupta said. \u201cNevertheless, we hope the global regulators will continue to monitor transition arrangements across countries to ensure a level playing field and avoid regulatory arbitrage.\u201d
…<\/b>
Singapore plans to raise the Tier 1 capital adequacy ratio to 8 percent from 6 percent and introduce a capital conservation buffer of 2.5 percentage points.<\/p>\n

\u201cEach of the Singapore-incorporated banks is systemically important in Singapore and has a substantial retail presence,\u201d the city-state\u2019s central bank said in the statement. \u201cThe higher capital requirements will further strengthen their ability to operate under stress conditions.\u201d<\/p><\/blockquote>\n

One wonders whether OSFI will deem the Canadian-incorporated banks to be systemically important in Canada.<\/p>\n

Morgan Stanley has, apparently, lost some change on a TIPS \/ nominals box trade<\/a>:<\/p>\n

The bank\u2019s interest-rates trading group lost at least tens of millions of dollars on the trade, which the firm has been unwinding, two of the people said, declining to be identified because the transaction isn\u2019t public. Mary Claire Delaney, a Morgan Stanley spokeswoman, declined to comment.<\/p>\n

Traders at the bank bet that inflation expectations for the next five years would rise in Treasury markets, while forecasts for the next 30 years would fall, according to two of the people. Such wagers on so-called breakeven rates involve paired purchases and short sales of Treasuries and Treasury Inflation Protected Securities, or TIPS, in both maturities.
…<\/b>
Declining crude oil prices disproportionately hurt the value of TIPS maturing within five years because they have fewer remaining interest payments that can benefit from a rebound in prices. The five-year breakeven rate dropped to 1.88 percent yesterday from 2.04 percent at the end of May, indicating underperformance by five-year TIPS relative to nominals.<\/p>\n

The 30-year breakeven rate climbed to 2.57 percent yesterday from 2.42 percent at the end of May, indicating outperformance by the 30-year TIPS relative to nominals.<\/p><\/blockquote>\n

Another unpleasant day for the Yellow preferreds, with the worst, YLO.PR.D, down 8.56% and the best, YLO.PR.A, down a mere 1.66%.<\/p>\n

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 23bp, FixedResets down 10bp and DeemedRetractibles losing 13bp. Volatility picked up – but it was all on the downside. Volume was average.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.4342 %<\/td>\n2,445.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.4342 %<\/td>\n3,678.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.48 %<\/td>\n2.23 %<\/td>\n42,181<\/td>\n21.70<\/td>\n4<\/td>\n-0.4342 %<\/td>\n2,640.6<\/td>\n<\/tr>\n
OpRet<\/td>\n4.87 %<\/td>\n2.53 %<\/td>\n62,618<\/td>\n0.25<\/td>\n9<\/td>\n-0.0386 %<\/td>\n2,436.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.25 %<\/td>\n1.96 %<\/td>\n56,478<\/td>\n0.66<\/td>\n6<\/td>\n0.1236 %<\/td>\n2,505.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0386 %<\/td>\n2,227.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.69 %<\/td>\n5.21 %<\/td>\n140,346<\/td>\n0.90<\/td>\n12<\/td>\n-0.0037 %<\/td>\n2,076.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.46 %<\/td>\n5.52 %<\/td>\n121,641<\/td>\n14.61<\/td>\n18<\/td>\n0.2328 %<\/td>\n2,187.2<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.18 %<\/td>\n3.33 %<\/td>\n208,451<\/td>\n2.71<\/td>\n57<\/td>\n-0.0993 %<\/td>\n2,305.4<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.09 %<\/td>\n4.91 %<\/td>\n279,230<\/td>\n8.16<\/td>\n47<\/td>\n-0.1309 %<\/td>\n2,149.3<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.40
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nDeemed-Retractible<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.50
\nBid-YTW : 4.36 %<\/td>\n<\/tr>\n
TRI.PR.B<\/td>\nFloater<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-28
\nMaturity Price : 22.98
\nEvaluated at bid price : 23.25
\nBid-YTW : 2.22 %<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nDeemed-Retractible<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.13
\nBid-YTW : 4.91 %<\/td>\n<\/tr>\n
CIU.PR.C<\/td>\nFixedReset<\/td>\n-1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-28
\nMaturity Price : 23.06
\nEvaluated at bid price : 24.70
\nBid-YTW : 3.34 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
TD.PR.C<\/td>\nFixedReset<\/td>\n51,356<\/td>\nTD.PR.C crossed 40,000 at 26.70.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.73
\nBid-YTW : 3.18 %<\/td>\n<\/tr>\n
TD.PR.I<\/td>\nFixedReset<\/td>\n39,550<\/td>\nTD crossed 35,000 at 27.45.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.43
\nBid-YTW : 3.29 %<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nDeemed-Retractible<\/td>\n39,279<\/td>\nRBC crossed 24,500 at 24.85.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.79
\nBid-YTW : 5.13 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nDeemed-Retractible<\/td>\n30,964<\/td>\nDesjardins crossed 25,000 at 23.40.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.45
\nBid-YTW : 5.61 %<\/td>\n<\/tr>\n
TD.PR.Q<\/td>\nDeemed-Retractible<\/td>\n28,918<\/td>\nTD crossed 26,500 at 26.20.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-01-31
\nMaturity Price : 25.50
\nEvaluated at bid price : 26.24
\nBid-YTW : 4.90 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n27,019<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-28
\nMaturity Price : 23.36
\nEvaluated at bid price : 25.60
\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n
There were 30 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\nQuote: 25.00 – 25.50
\nSpot Rate : 0.5000
\nAverage : 0.3390<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.00
\nBid-YTW : 3.56 %<\/td>\n<\/tr>\n

BMO.PR.H<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.50 – 25.86
\nSpot Rate : 0.3600
\nAverage : 0.2151<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.50
\nBid-YTW : 4.36 %<\/td>\n<\/tr>\n

TD.PR.O<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.13 – 25.44
\nSpot Rate : 0.3100
\nAverage : 0.1858<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.13
\nBid-YTW : 4.91 %<\/td>\n<\/tr>\n

NA.PR.N<\/td>\nFixedReset<\/td>\nQuote: 26.35 – 26.65
\nSpot Rate : 0.3000
\nAverage : 0.1964<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-08-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.35
\nBid-YTW : 3.07 %<\/td>\n<\/tr>\n

GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\nQuote: 22.40 – 22.75
\nSpot Rate : 0.3500
\nAverage : 0.2479<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.40
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n

POW.PR.B<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.21 – 24.48
\nSpot Rate : 0.2700
\nAverage : 0.1879<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-28
\nMaturity Price : 23.96
\nEvaluated at bid price : 24.21
\nBid-YTW : 5.53 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Singapore is trying to use bank capitalization as a competitive tool: Singapore said it will set capital levels for local lenders above the global minimum to solidify the city\u2019s reputation as a financial hub after …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-15518","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/15518","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=15518"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/15518\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=15518"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=15518"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=15518"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}