{"id":26787,"date":"2014-11-10T20:18:45","date_gmt":"2014-11-11T01:18:45","guid":{"rendered":"http:\/\/prefblog.com\/?p=26787"},"modified":"2014-11-10T20:18:45","modified_gmt":"2014-11-11T01:18:45","slug":"november-10-2014","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=26787","title":{"rendered":"November 10, 2014"},"content":{"rendered":"

Global bank standards look like they may be meaningful<\/a>:<\/p>\n

The world\u2019s largest banks will have to build up their loss-absorbing liability buffers to see them through a crisis, as regulators tackle too-big-to-fail lenders six years after the collapse of Lehman Brothers Holdings Inc.<\/p>\n

The Financial Stability Board, led by Bank of England Governor Mark Carney, said today that the biggest banks may be required to have total loss absorbing capacity equivalent to as much as a quarter of their assets weighted for risk, with national regulators able to impose still tougher standards. The FSB is seeking comment on the rule, known as TLAC, which would apply at the earliest in 2019.
…<\/b>
The TLAC rules would apply to the FSB\u2019s register of global systemically important banks. The latest list, published last week, contains 30 banks, with HSBC Holdings Plc (HSBA) and JPMorgan Chase & Co. (JPM) identified as the most significant.
…<\/b>
In addition to the rule measured against risk-weighted assets, banks will also need to have TLAC equivalent to 6 percent of their total assets. This number could still rise as it linked to a parallel set of international talks on bank capital rules.
…<\/b>
Banks would also face curbs on their ability to count debt they sell to each other toward the TLAC requirement to \u201creduce the risk of contagion\u201d if one firm collapses.<\/p>\n

These curbs would work by targeting banks whose purchases of shares and TLAC-eligible debt from another globally systemic lender exceed certain levels. In such instances, the purchasing bank would be forced to write down the size of its own buffer of TLAC eligible securities.<\/p><\/blockquote>\n

I don’t know what the “certain levels” in the last paragraph is all about – banks should be taking a 100% hit to capital for any loss-absorbing capital of other banks they hold. That seems obvious to me.<\/p>\n

It was a good day for the Canadian preferred share market, with PerpetualDiscounts winning 12bp, FixedResets gaining 8bp and DeemedRetractibles up 9bp. Volatility was average. Volume was low.<\/p>\n\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>\n0.4093 %<\/td>\n2,553.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.4093 %<\/td>\n4,042.4<\/td>\n<\/tr>\n
Floater<\/td>\n2.95 %<\/td>\n3.06 %<\/td>\n64,256<\/td>\n19.55<\/td>\n4<\/td>\n0.4093 %<\/td>\n2,714.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.03 %<\/td>\n1.44 %<\/td>\n106,573<\/td>\n0.08<\/td>\n1<\/td>\n-0.3134 %<\/td>\n2,743.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.22 %<\/td>\n3.52 %<\/td>\n56,593<\/td>\n3.77<\/td>\n5<\/td>\n0.4715 %<\/td>\n3,204.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3134 %<\/td>\n2,508.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.44 %<\/td>\n-6.97 %<\/td>\n67,493<\/td>\n0.08<\/td>\n19<\/td>\n0.0041 %<\/td>\n2,483.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.13 %<\/td>\n5.03 %<\/td>\n106,274<\/td>\n15.33<\/td>\n16<\/td>\n0.1191 %<\/td>\n2,666.9<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.17 %<\/td>\n3.57 %<\/td>\n170,426<\/td>\n4.50<\/td>\n74<\/td>\n0.0778 %<\/td>\n2,583.1<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.96 %<\/td>\n0.17 %<\/td>\n101,073<\/td>\n0.13<\/td>\n41<\/td>\n0.0860 %<\/td>\n2,600.6<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.55 %<\/td>\n-2.84 %<\/td>\n67,733<\/td>\n0.08<\/td>\n6<\/td>\n0.0848 %<\/td>\n2,556.1<\/td>\n<\/tr>\n<\/table>\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
TRP.PR.A<\/td>\nFixedReset<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-10
\nMaturity Price : 21.61
\nEvaluated at bid price : 21.61
\nBid-YTW : 4.08 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.89
\nBid-YTW : 5.33 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset<\/td>\n1.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-10
\nMaturity Price : 23.38
\nEvaluated at bid price : 25.50
\nBid-YTW : 3.51 %<\/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
TRP.PR.E<\/td>\nFixedReset<\/td>\n324,730<\/td>\nNesbitt crossed 30,000 at 25.38. TD crossed blocks of 137,700 and 80,000, both at the same price. RBC crossed 65,000 at the same price again.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-10
\nMaturity Price : 23.27
\nEvaluated at bid price : 25.34
\nBid-YTW : 3.81 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset<\/td>\n77,720<\/td>\nScotia crossed 69,600 at 25.50.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-12-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.53
\nBid-YTW : 3.78 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n40,098<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-10
\nMaturity Price : 21.61
\nEvaluated at bid price : 21.61
\nBid-YTW : 4.08 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset<\/td>\n39,800<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-10
\nMaturity Price : 23.18
\nEvaluated at bid price : 25.11
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset<\/td>\n32,700<\/td>\nScotia crossed 25,700 at 25.50.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-12-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.50
\nBid-YTW : 3.40 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n31,190<\/td>\nScotia bought 27,400 from RBC at 24.79.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.67
\nBid-YTW : 3.27 %<\/td>\n<\/tr>\n
There were 21 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
TD.PR.R<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.38 – 26.70
\nSpot Rate : 0.3200
\nAverage : 0.2013<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-10
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.38
\nBid-YTW : -21.01 %<\/td>\n<\/tr>\n

POW.PR.G<\/td>\nPerpetual-Premium<\/td>\nQuote: 26.42 – 26.98
\nSpot Rate : 0.5600
\nAverage : 0.4534<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.42
\nBid-YTW : 4.67 %<\/td>\n<\/tr>\n

PWF.PR.T<\/td>\nFixedReset<\/td>\nQuote: 25.85 – 26.08
\nSpot Rate : 0.2300
\nAverage : 0.1595<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.85
\nBid-YTW : 3.37 %<\/td>\n<\/tr>\n

GWO.PR.R<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.50 – 24.70
\nSpot Rate : 0.2000
\nAverage : 0.1348<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.50
\nBid-YTW : 5.15 %<\/td>\n<\/tr>\n

BNS.PR.P<\/td>\nFixedReset<\/td>\nQuote: 25.42 – 25.75
\nSpot Rate : 0.3300
\nAverage : 0.2671<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-04-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.42
\nBid-YTW : 2.87 %<\/td>\n<\/tr>\n

TRP.PR.C<\/td>\nFixedReset<\/td>\nQuote: 21.85 – 22.16
\nSpot Rate : 0.3100
\nAverage : 0.2482<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-10
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.85
\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Global bank standards look like they may be meaningful: The world\u2019s largest banks will have to build up their loss-absorbing liability buffers to see them through a crisis, as regulators tackle too-big-to-fail lenders six years …<\/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-26787","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/26787","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=26787"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/26787\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=26787"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=26787"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=26787"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}