{"id":41643,"date":"2020-11-26T19:31:26","date_gmt":"2020-11-27T00:31:26","guid":{"rendered":"http:\/\/prefblog.com\/?p=41643"},"modified":"2020-11-26T19:31:26","modified_gmt":"2020-11-27T00:31:26","slug":"october-26-2020-2","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=41643","title":{"rendered":"November 26, 2020"},"content":{"rendered":"

OSFI is changing the rules for insurers’s seg fund capital requirements<\/a>:<\/p>\n

OSFI is developing a new approach to determine capital requirements for SFG risk, which will reflect the International Financial Reporting Standard 17 \u2013 Insurance Contracts (IFRS 17) that will become effective on January 1, 2023. The purpose of this letter is to provide additional details on the development of the approach.<\/p>\n

Current regulatory capital requirements for SFG risk are determined using an approach that was implemented in the early 2000s. Here, requirements are calculated using a factor-based methodology or, if approved for use by OSFI, an insurer\u2019s own internal model. The approach is based on calibrations that were developed several years ago and relies on IFRS 4 (i.e. the Canadian Asset Liability Method or CALM). Also, over the years, SFG product offerings have evolved and, in some cases, are not entirely addressed with the current methodology.<\/p>\n

The new approach is being designed to address these issues. Under the new approach, capital requirements will be calculated by applying shocks to SFG liabilities. Internal models that were previously approved for use by OSFI to calculate SFG capital requirements will no longer be permitted for this purpose, once the new approach is implemented.<\/p><\/blockquote>\n\n\n\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-0.2542 %<\/td>\n1,817.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2542 %<\/td>\n3,334.5<\/td>\n<\/tr>\n
Floater<\/td>\n4.68 %<\/td>\n4.75 %<\/td>\n36,753<\/td>\n15.88<\/td>\n3<\/td>\n-0.2542 %<\/td>\n1,921.7<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1757 %<\/td>\n3,590.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.82 %<\/td>\n4.31 %<\/td>\n42,068<\/td>\n3.88<\/td>\n9<\/td>\n0.1757 %<\/td>\n4,287.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1757 %<\/td>\n3,345.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.34 %<\/td>\n3.81 %<\/td>\n80,791<\/td>\n0.38<\/td>\n14<\/td>\n0.0167 %<\/td>\n3,187.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.10 %<\/td>\n4.98 %<\/td>\n82,043<\/td>\n15.16<\/td>\n19<\/td>\n0.3267 %<\/td>\n3,638.8<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.20 %<\/td>\n4.03 %<\/td>\n123,267<\/td>\n16.67<\/td>\n64<\/td>\n0.6848 %<\/td>\n2,222.0<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.02 %<\/td>\n4.72 %<\/td>\n95,251<\/td>\n15.11<\/td>\n22<\/td>\n0.1958 %<\/td>\n3,553.7<\/td>\n<\/tr>\n
FloatingReset<\/td>\n1.97 %<\/td>\n2.46 %<\/td>\n45,020<\/td>\n1.17<\/td>\n3<\/td>\n0.2332 %<\/td>\n1,821.6<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n5.19 %<\/td>\n2.78 %<\/td>\n217,412<\/td>\n0.70<\/td>\n15<\/td>\n0.1495 %<\/td>\n2,670.5<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n1.94 %<\/td>\n2.08 %<\/td>\n182,607<\/td>\n1.16<\/td>\n2<\/td>\n0.0000 %<\/td>\n2,864.8<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.30 %<\/td>\n4.10 %<\/td>\n74,867<\/td>\n16.73<\/td>\n22<\/td>\n1.0404 %<\/td>\n2,303.2<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\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
IAF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n-2.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 19.09
\nEvaluated at bid price : 19.09
\nBid-YTW : 4.36 %<\/td>\n<\/tr>\n
IAF.PR.I<\/td>\nFixedReset Ins Non<\/td>\n-1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 4.26 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n-1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 9.17
\nEvaluated at bid price : 9.17
\nBid-YTW : 4.74 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nInsurance Straight<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2020-12-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.90
\nBid-YTW : 4.13 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset Disc<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 18.34
\nEvaluated at bid price : 18.34
\nBid-YTW : 3.91 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset Disc<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 19.20
\nEvaluated at bid price : 19.20
\nBid-YTW : 4.01 %<\/td>\n<\/tr>\n
MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 19.77
\nEvaluated at bid price : 19.77
\nBid-YTW : 4.06 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 19.27
\nEvaluated at bid price : 19.27
\nBid-YTW : 3.74 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset Disc<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 20.03
\nEvaluated at bid price : 20.03
\nBid-YTW : 3.92 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 10.66
\nEvaluated at bid price : 10.66
\nBid-YTW : 4.82 %<\/td>\n<\/tr>\n
BIP.PR.F<\/td>\nFixedReset Disc<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 22.78
\nEvaluated at bid price : 23.63
\nBid-YTW : 5.44 %<\/td>\n<\/tr>\n
BIP.PR.E<\/td>\nFixedReset Disc<\/td>\n1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 22.82
\nEvaluated at bid price : 23.50
\nBid-YTW : 5.37 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset Disc<\/td>\n1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 18.60
\nEvaluated at bid price : 18.60
\nBid-YTW : 4.13 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 23.13
\nEvaluated at bid price : 23.39
\nBid-YTW : 5.15 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 20.10
\nEvaluated at bid price : 20.10
\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n
TD.PF.J<\/td>\nFixedReset Disc<\/td>\n1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 21.10
\nEvaluated at bid price : 21.10
\nBid-YTW : 3.98 %<\/td>\n<\/tr>\n
TD.PF.K<\/td>\nFixedReset Disc<\/td>\n1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 3.95 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 23.97
\nEvaluated at bid price : 24.25
\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset Disc<\/td>\n1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset Disc<\/td>\n1.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 3.82 %<\/td>\n<\/tr>\n
NA.PR.E<\/td>\nFixedReset Disc<\/td>\n1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 19.51
\nEvaluated at bid price : 19.51
\nBid-YTW : 4.15 %<\/td>\n<\/tr>\n
NA.PR.G<\/td>\nFixedReset Disc<\/td>\n1.73 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 21.11
\nEvaluated at bid price : 21.11
\nBid-YTW : 4.14 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n1.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 11.50
\nEvaluated at bid price : 11.50
\nBid-YTW : 4.48 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nInsurance Straight<\/td>\n1.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 23.69
\nEvaluated at bid price : 24.00
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n2.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 19.60
\nEvaluated at bid price : 19.60
\nBid-YTW : 3.78 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset Disc<\/td>\n3.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 10.05
\nEvaluated at bid price : 10.05
\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset Disc<\/td>\n3.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 8.96
\nEvaluated at bid price : 8.96
\nBid-YTW : 4.86 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset Disc<\/td>\n4.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 14.10
\nEvaluated at bid price : 14.10
\nBid-YTW : 5.08 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\n36.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 17.10
\nEvaluated at bid price : 17.10
\nBid-YTW : 4.12 %<\/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
BNS.PR.G<\/td>\nFixedReset Prem<\/td>\n162,900<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-07-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.56
\nBid-YTW : 2.78 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset Disc<\/td>\n99,575<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 17.67
\nEvaluated at bid price : 17.67
\nBid-YTW : 4.18 %<\/td>\n<\/tr>\n
TD.PF.J<\/td>\nFixedReset Disc<\/td>\n96,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 21.10
\nEvaluated at bid price : 21.10
\nBid-YTW : 3.98 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset Disc<\/td>\n90,311<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 19.21
\nEvaluated at bid price : 19.21
\nBid-YTW : 3.88 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nInsurance Straight<\/td>\n61,550<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2020-12-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.90
\nBid-YTW : 4.12 %<\/td>\n<\/tr>\n
BMO.PR.Q<\/td>\nFixedReset Bank Non<\/td>\n53,200<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.80
\nBid-YTW : 2.42 %<\/td>\n<\/tr>\n
There were 27 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
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\nQuote: 13.69 – 15.11
\nSpot Rate : 1.4200
\nAverage : 0.8491<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 13.69
\nEvaluated at bid price : 13.69
\nBid-YTW : 4.30 %<\/td>\n<\/tr>\n

MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\nQuote: 19.77 – 20.75
\nSpot Rate : 0.9800
\nAverage : 0.5610<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 19.77
\nEvaluated at bid price : 19.77
\nBid-YTW : 4.06 %<\/td>\n<\/tr>\n

CM.PR.O<\/td>\nFixedReset Disc<\/td>\nQuote: 18.50 – 19.14
\nSpot Rate : 0.6400
\nAverage : 0.3975<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n

IFC.PR.E<\/td>\nInsurance Straight<\/td>\nQuote: 25.48 – 25.95
\nSpot Rate : 0.4700
\nAverage : 0.3153<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2025-06-30
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.48
\nBid-YTW : 5.16 %<\/td>\n<\/tr>\n

TD.PF.J<\/td>\nFixedReset Disc<\/td>\nQuote: 21.10 – 21.53
\nSpot Rate : 0.4300
\nAverage : 0.2762<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 21.10
\nEvaluated at bid price : 21.10
\nBid-YTW : 3.98 %<\/td>\n<\/tr>\n

TRP.PR.A<\/td>\nFixedReset Disc<\/td>\nQuote: 12.70 – 13.13
\nSpot Rate : 0.4300
\nAverage : 0.2803<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-11-26
\nMaturity Price : 12.70
\nEvaluated at bid price : 12.70
\nBid-YTW : 5.26 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

OSFI is changing the rules for insurers’s seg fund capital requirements: OSFI is developing a new approach to determine capital requirements for SFG risk, which will reflect the International Financial Reporting Standard 17 \u2013 Insurance …<\/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-41643","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/41643","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=41643"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/41643\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=41643"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=41643"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=41643"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}