{"id":33979,"date":"2016-11-29T23:41:39","date_gmt":"2016-11-30T04:41:39","guid":{"rendered":"http:\/\/prefblog.com\/?p=33979"},"modified":"2016-11-29T23:41:39","modified_gmt":"2016-11-30T04:41:39","slug":"november-29-2016","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=33979","title":{"rendered":"November 29, 2016"},"content":{"rendered":"

Here’s a minor milestone for US house prices<\/a>:<\/p>\n

U.S. home prices have climbed back above the record reached more than a decade ago, bringing to a close the worst period for the housing market since the Great Depression and stoking optimism for a more sustainable expansion.<\/p>\n

The average home price for September was 0.1% above the July 2006 peak, according to the S&P CoreLogic Case-Shiller U.S. National Home Price index released Tuesday. As of the previous month\u2019s reading of the Case-Shiller index, a widely used benchmark for U.S. housing, prices remained 0.1% below the July 2006 record.<\/p>\n

Adjusted for inflation, the index still is about 16% below the 2006 high. Home prices jumped 5.5% over the past year.<\/p><\/blockquote>\n

Europe has some new refinements to the regulation of banks<\/a>, including:<\/p>\n

The new provision would create a new asset class of “non-preferred” senior debt that can be bailed in in resolution, after other capital instruments, but before other senior liabilities<\/p><\/blockquote>\n

Well, I suppose I sympathize with them, up to a point, for not wanting to officially call it “bail-in debt”, but “non-preferred senior debt” is not really all that good a name!<\/p>\n

DBRS comments<\/a>:<\/p>\n

One version of this instrument is already in the final stages of legislation in France (see \u201cDBRS: Rating the New French Senior Non-preferred Debt Instruments,\u201d published on November 22, 2016). By introducing this instrument across Europe, the EC’s intention is to try to introduce greater harmonisation in the creditor hierarchy in Europe at a time when the regimes of different countries are diverging (e.g. the German subordination of existing traded senior debt which will be in place from January 2017).<\/p>\n

In its recent commentary DBRS has already clarified that it intends to rate the French non-preferred senior debt instrument one notch below the bank’s Intrinsic Assessment (IA), based on the DBRS Criteria: Rating Bank Capital Securities – Subordinated, Hybrid, Preferred & Contingent Capital Securities. At the same time, DBRS currently rates existing subordinated debt at European banks generally at one notch below the IA for dated subordinated debt and cumulative junior subordinated debt, but two notches below the IA for non-cumulative junior subordinated debt. However, given the increasing likelihood that all subordinated debt will be used to absorb losses alongside equity as the implementation of BRRD (Bank Recovery and Resolution Directive) evolves, DBRS expects to see negative rating pressure on the subordinated debt that is currently rated only 1 notch below the IA, and which is at the same level as potential future issuance of nonpreferred senior debt. One possible outcome of DBRS’s deliberations is that these instruments would be downgraded to the same level as existing non-cumulative junior debt (i.e. 2 notches below the IA).<\/p>\n

These developments are currently restricted to Europe. DBRS does not see similar rating pressure on rated subordinated in the US, Canada or Asia, given the different regulatory regimes in these countries.<\/p><\/blockquote>\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>\n-0.3617 %<\/td>\n1,748.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3617 %<\/td>\n3,193.9<\/td>\n<\/tr>\n
Floater<\/td>\n4.29 %<\/td>\n4.45 %<\/td>\n47,706<\/td>\n16.44<\/td>\n4<\/td>\n-0.3617 %<\/td>\n1,840.7<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1128 %<\/td>\n2,920.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.84 %<\/td>\n4.45 %<\/td>\n50,991<\/td>\n4.34<\/td>\n6<\/td>\n0.1128 %<\/td>\n3,488.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1128 %<\/td>\n2,721.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.44 %<\/td>\n5.09 %<\/td>\n81,987<\/td>\n14.46<\/td>\n23<\/td>\n0.1434 %<\/td>\n2,656.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.39 %<\/td>\n5.40 %<\/td>\n94,098<\/td>\n14.79<\/td>\n15<\/td>\n0.0953 %<\/td>\n2,777.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.89 %<\/td>\n4.63 %<\/td>\n208,165<\/td>\n6.84<\/td>\n96<\/td>\n0.1761 %<\/td>\n2,090.7<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.15 %<\/td>\n5.52 %<\/td>\n137,381<\/td>\n6.42<\/td>\n32<\/td>\n-0.0986 %<\/td>\n2,753.5<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.89 %<\/td>\n3.89 %<\/td>\n43,225<\/td>\n4.85<\/td>\n12<\/td>\n-0.1616 %<\/td>\n2,301.6<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\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
SLF.PR.J<\/td>\nFloatingReset<\/td>\n-1.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 13.57
\nBid-YTW : 10.32 %<\/td>\n<\/tr>\n
BAM.PF.E<\/td>\nFixedReset<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-11-29
\nMaturity Price : 19.78
\nEvaluated at bid price : 19.78
\nBid-YTW : 4.75 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.70
\nBid-YTW : 7.80 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.50
\nBid-YTW : 9.95 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-11-29
\nMaturity Price : 12.31
\nEvaluated at bid price : 12.31
\nBid-YTW : 4.53 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-11-29
\nMaturity Price : 17.43
\nEvaluated at bid price : 17.43
\nBid-YTW : 4.52 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-11-29
\nMaturity Price : 18.61
\nEvaluated at bid price : 18.61
\nBid-YTW : 5.04 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 13.50
\nBid-YTW : 10.91 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-11-29
\nMaturity Price : 14.99
\nEvaluated at bid price : 14.99
\nBid-YTW : 4.80 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n1.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 13.72
\nBid-YTW : 10.74 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\n1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-11-29
\nMaturity Price : 17.75
\nEvaluated at bid price : 17.75
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n3.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-11-29
\nMaturity Price : 17.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 4.97 %<\/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.K<\/td>\nFixedReset<\/td>\n512,356<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-11-29
\nMaturity Price : 23.10
\nEvaluated at bid price : 24.90
\nBid-YTW : 4.85 %<\/td>\n<\/tr>\n
MFC.PR.R<\/td>\nFixedReset<\/td>\n199,165<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.96
\nBid-YTW : 4.90 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n125,018<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-11-29
\nMaturity Price : 10.76
\nEvaluated at bid price : 10.76
\nBid-YTW : 4.45 %<\/td>\n<\/tr>\n
RY.PR.L<\/td>\nFixedReset<\/td>\n97,700<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.16
\nBid-YTW : 3.81 %<\/td>\n<\/tr>\n
TD.PF.H<\/td>\nFixedReset<\/td>\n96,341<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-10-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.40
\nBid-YTW : 4.63 %<\/td>\n<\/tr>\n
TRP.PR.J<\/td>\nFixedReset<\/td>\n94,741<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.96
\nBid-YTW : 4.57 %<\/td>\n<\/tr>\n
There were 62 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
IAG.PR.G<\/td>\nFixedReset<\/td>\nQuote: 19.81 – 20.15
\nSpot Rate : 0.3400
\nAverage : 0.2214<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.81
\nBid-YTW : 7.23 %<\/td>\n<\/tr>\n

BMO.PR.M<\/td>\nFixedReset<\/td>\nQuote: 23.81 – 24.09
\nSpot Rate : 0.2800
\nAverage : 0.1749<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.81
\nBid-YTW : 3.93 %<\/td>\n<\/tr>\n

FTS.PR.M<\/td>\nFixedReset<\/td>\nQuote: 19.30 – 19.60
\nSpot Rate : 0.3000
\nAverage : 0.2012<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-11-29
\nMaturity Price : 19.30
\nEvaluated at bid price : 19.30
\nBid-YTW : 4.63 %<\/td>\n<\/tr>\n

NA.PR.W<\/td>\nFixedReset<\/td>\nQuote: 18.14 – 18.45
\nSpot Rate : 0.3100
\nAverage : 0.2116<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-11-29
\nMaturity Price : 18.14
\nEvaluated at bid price : 18.14
\nBid-YTW : 4.64 %<\/td>\n<\/tr>\n

BAM.PR.R<\/td>\nFixedReset<\/td>\nQuote: 16.70 – 17.00
\nSpot Rate : 0.3000
\nAverage : 0.2067<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-11-29
\nMaturity Price : 16.70
\nEvaluated at bid price : 16.70
\nBid-YTW : 4.88 %<\/td>\n<\/tr>\n

VNR.PR.A<\/td>\nFixedReset<\/td>\nQuote: 18.92 – 19.20
\nSpot Rate : 0.2800
\nAverage : 0.1967<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-11-29
\nMaturity Price : 18.92
\nEvaluated at bid price : 18.92
\nBid-YTW : 5.10 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Here’s a minor milestone for US house prices: U.S. home prices have climbed back above the record reached more than a decade ago, bringing to a close the worst period for the housing market since …<\/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-33979","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/33979","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=33979"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/33979\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=33979"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=33979"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=33979"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}