{"id":21946,"date":"2013-05-10T00:22:43","date_gmt":"2013-05-10T04:22:43","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=21946"},"modified":"2013-05-10T00:22:43","modified_gmt":"2013-05-10T04:22:43","slug":"may-9-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=21946","title":{"rendered":"May 9, 2013"},"content":{"rendered":"

The Kansas City Fed has published a very interesting evaluation of the Basel Rules on liquidity buffers by Micha\u0142 Kowalik titled Basel Liquidity Regulation: Was It Improved with the 2013 Revisions?<\/a>:<\/p>\n

However, important shortcomings remain. The new Basel provisions,
\nlike the original ones, still determine liquidity buffer size and composition without taking into account the nature of an individual financial institution\u2019s risk profile, capital, and business activity\u2014all factors that determine the institution\u2019s ability to withstand liquidity shocks. One reason the BCBS opted not to pursue a more flexible, individualized approach is that such an approach would be hard to apply consistently across national borders and the comparability of liquidity positions among financial institutions would not be guaranteed. The inflexible approach, however, raises concerns that some financial institutions may be required to hold buffers larger or smaller than necessary given the nature of their own operations. Moreover, an inflexible approach to determining buffer size and composition can invite \u201cregulatory arbitrage.\u201d Financial institutions may devise strategies that exploit loopholes in the Basel provisions, undermining the integrity of the liquidity buffers.<\/p><\/blockquote>\n

Shadow banking is making a comeback<\/a>:<\/p>\n

Cerberus Capital Management LP is entering the booming market for single-family homes to rent, planning to lend billions of dollars to investors too big for government programs and too small to get Wall Street funding.
…<\/b>
The New York-based firm is seeking to fill a void left by regional lenders that prior to the housing crash were the primary source of loans for landlords buying properties. At least 475 banks have failed since the real-estate collapse, according to the Federal Deposit Insurance Corp., while larger banks have tightened mortgage underwriting standards and are focusing on the biggest investors.<\/p>\n

“There\u2019s a real vacuum and Cerberus sees that and they are filling it,\u201d said Jack BeVier, partner at Baltimore-based Dominion Group, which buys and renovates homes. \u201cThat niche used to be filled by commercial banks, the local savings and loans or the small regional banks, which would do blanket mortgages across many rental properties, but those players are largely out of the market right now.\u201d<\/p><\/blockquote>\n

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums off 1bp, FixedResets gaining 3bp and DeemedRetractibles down 5bp. Volatility was average. 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-0.4585 %<\/td>\n2,589.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n3.89 %<\/td>\n3.10 %<\/td>\n33,959<\/td>\n18.86<\/td>\n1<\/td>\n0.8247 %<\/td>\n4,228.5<\/td>\n<\/tr>\n
Floater<\/td>\n2.69 %<\/td>\n2.92 %<\/td>\n83,434<\/td>\n19.91<\/td>\n4<\/td>\n-0.4585 %<\/td>\n2,796.2<\/td>\n<\/tr>\n
OpRet<\/td>\n4.80 %<\/td>\n-0.75 %<\/td>\n65,213<\/td>\n0.14<\/td>\n5<\/td>\n0.0463 %<\/td>\n2,612.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.80 %<\/td>\n4.17 %<\/td>\n111,083<\/td>\n4.07<\/td>\n5<\/td>\n-0.2818 %<\/td>\n2,962.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0463 %<\/td>\n2,389.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.21 %<\/td>\n3.02 %<\/td>\n93,587<\/td>\n0.43<\/td>\n31<\/td>\n-0.0087 %<\/td>\n2,382.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.85 %<\/td>\n4.88 %<\/td>\n193,600<\/td>\n15.63<\/td>\n4<\/td>\n-0.1218 %<\/td>\n2,681.8<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.86 %<\/td>\n2.58 %<\/td>\n256,517<\/td>\n3.37<\/td>\n81<\/td>\n0.0266 %<\/td>\n2,523.5<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.87 %<\/td>\n2.92 %<\/td>\n139,774<\/td>\n0.54<\/td>\n44<\/td>\n-0.0502 %<\/td>\n2,460.7<\/td>\n<\/tr>\n<\/table>\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
IAG.PR.F<\/td>\nDeemed-Retractible<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-03-31
\nMaturity Price : 25.50
\nEvaluated at bid price : 26.35
\nBid-YTW : 5.05 %<\/td>\n<\/tr>\n
BNA.PR.E<\/td>\nSplitShare<\/td>\n-1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.61
\nBid-YTW : 4.48 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n-1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-05-09
\nMaturity Price : 18.10
\nEvaluated at bid price : 18.10
\nBid-YTW : 2.92 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n1.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-05-09
\nMaturity Price : 23.50
\nEvaluated at bid price : 24.87
\nBid-YTW : 2.54 %<\/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
MFC.PR.D<\/td>\nFixedReset<\/td>\n504,305<\/td>\nDesjardins sold 10,800 to RBC at 26.38, then another 23,700 at 26.37. Desjardins then crossed blocks of 336,000 and 60,000 at 26.36, then 10,000 at 26.39. RBC crossed 25,000 at 26.37.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.39
\nBid-YTW : 2.37 %<\/td>\n<\/tr>\n
FTS.PR.F<\/td>\nPerpetual-Premium<\/td>\n50,685<\/td>\nNational crossed 50,000 at 25.95.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-01
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.84
\nBid-YTW : 3.92 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n49,528<\/td>\nRBC crossed 23,300 at 24.85.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.85
\nBid-YTW : 4.66 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Premium<\/td>\n42,300<\/td>\nNational crossed 40,000 at 26.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-12-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.86
\nBid-YTW : 4.41 %<\/td>\n<\/tr>\n
TD.PR.E<\/td>\nFixedReset<\/td>\n36,675<\/td>\nRBC crossed blocks of 13,700 and 15,000, both at 26.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.99
\nBid-YTW : 2.28 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n36,014<\/td>\nScotia crossed 29,200 at 25.55.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.53
\nBid-YTW : 2.03 %<\/td>\n<\/tr>\n
There were 31 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
ENB.PR.D<\/td>\nFixedReset<\/td>\nQuote: 26.04 – 27.04
\nSpot Rate : 1.0000
\nAverage : 0.6141<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-03-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.04
\nBid-YTW : 3.24 %<\/td>\n<\/tr>\n

IAG.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.35 – 27.00
\nSpot Rate : 0.6500
\nAverage : 0.4135<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-03-31
\nMaturity Price : 25.50
\nEvaluated at bid price : 26.35
\nBid-YTW : 5.05 %<\/td>\n<\/tr>\n

FTS.PR.G<\/td>\nFixedReset<\/td>\nQuote: 25.28 – 25.57
\nSpot Rate : 0.2900
\nAverage : 0.2100<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-05-09
\nMaturity Price : 24.83
\nEvaluated at bid price : 25.28
\nBid-YTW : 3.34 %<\/td>\n<\/tr>\n

TCA.PR.X<\/td>\nPerpetual-Premium<\/td>\nQuote: 50.63 – 51.07
\nSpot Rate : 0.4400
\nAverage : 0.3631<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-15
\nMaturity Price : 50.00
\nEvaluated at bid price : 50.63
\nBid-YTW : 3.02 %<\/td>\n<\/tr>\n

W.PR.J<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.50 – 25.77
\nSpot Rate : 0.2700
\nAverage : 0.1933<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-08
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.50
\nBid-YTW : -13.59 %<\/td>\n<\/tr>\n

BNA.PR.E<\/td>\nSplitShare<\/td>\nQuote: 25.61 – 25.80
\nSpot Rate : 0.1900
\nAverage : 0.1159<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.61
\nBid-YTW : 4.48 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The Kansas City Fed has published a very interesting evaluation of the Basel Rules on liquidity buffers by Micha\u0142 Kowalik titled Basel Liquidity Regulation: Was It Improved with the 2013 Revisions?: However, important shortcomings remain. …<\/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-21946","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/21946","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=21946"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/21946\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=21946"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=21946"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=21946"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}