{"id":44044,"date":"2022-08-18T21:42:50","date_gmt":"2022-08-19T02:42:50","guid":{"rendered":"https:\/\/prefblog.com\/?p=44044"},"modified":"2022-08-18T21:42:50","modified_gmt":"2022-08-19T02:42:50","slug":"october-18-2022","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=44044","title":{"rendered":"August 18, 2022"},"content":{"rendered":"

OSFI has announced Interim arrangements for the regulatory capital and liquidity treatment of cryptoasset exposures<\/a>:<\/p>\n

Cryptoassets are broadly categorized into two groups \u2013 Group 1 and Group 2. Group 1 cryptoassets are those that meet the following set of criteriaFootnote3:<\/p>\n

They are digital representations of traditional assetsFootnote4 using cryptography, distributed ledger technology or similar technology to record ownership.
\nA legal opinion has been obtained confirming that all rights, obligations and interests arising from the cryptoasset are: clearly defined, legally enforceable in all relevant jurisdictions, and consistent with the rights, obligations, and interests associated with comparable traditional assets.
\nA legal opinion has been obtained confirming settlement finality of the cryptoasset.
\nAll entities performing transfer, settlement or redeemability functions of the cryptoasset follow robust risk governance and risk control policies and practices to address all significant risksFootnote5.
\nAll entities that execute redemptions, transfers, storage, or settlement finality of the cryptoasset, or manage or invest reserve assets, are regulated and supervised, or subject to appropriate risk management standards. For a stablecoin to receive Group 1 treatment, the issuer must be prudentially regulated and subject to capital and liquidity requirements that are comparable to those of OSFI.
\nGroup 2 cryptoassets are those that fail to meet one or more of the above criteria.<\/p>\n

A cryptoasset exposure is a Group 1 exposure if its value or risk is substantially determined by the value of a Group 1 cryptoasset. Otherwise, it is a Group 2 cryptoasset exposure.<\/p>\n

The above constitutes a simplified categorization relative to the second consultation paper on the prudential treatment of cryptoassets published by the Basel Committee on Banking Supervision (BCBS) in June 2022
\n…<\/b>
\nGroup 2 cryptoasset exposures in the banking book should be deducted from Common Equity Tier 1 (CET1) capital. As short positions have unlimited risk, short positions in cryptoasset exposures are not permitted in the banking book, consistent with the treatment of other short positions. The treatment of Group 2 cryptoasset exposures in the trading book is outlined in Section 4.4 below.<\/p><\/blockquote>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref\u2122 Preferred Indices
\nThese values reflect the December 2008 revision of the HIMIPref\u2122 Indices<\/strong>
\nValues are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
\nCurrent
\nYield
\n(at bid)<\/td>\n		Median
\nYTW<\/td>\n		Median
\nAverage
\nTrading
\nValue<\/td>\n		Median
\nMod Dur
\n(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-0.1921 %<\/td>\n2,496.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1921 %<\/td>\n4,788.8<\/td>\n<\/tr>\n
Floater<\/td>\n6.33 %<\/td>\n6.43 %<\/td>\n55,769<\/td>\n13.21<\/td>\n2<\/td>\n-0.1921 %<\/td>\n2,759.8<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0897 %<\/td>\n3,484.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.88 %<\/td>\n5.68 %<\/td>\n40,178<\/td>\n3.06<\/td>\n8<\/td>\n-0.0897 %<\/td>\n4,161.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0897 %<\/td>\n3,246.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2429 %<\/td>\n2,867.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.94 %<\/td>\n6.08 %<\/td>\n72,062<\/td>\n13.75<\/td>\n35<\/td>\n-0.2429 %<\/td>\n3,126.9<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n4.70 %<\/td>\n5.96 %<\/td>\n112,765<\/td>\n13.87<\/td>\n59<\/td>\n0.3030 %<\/td>\n2,517.2<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.86 %<\/td>\n5.97 %<\/td>\n84,721<\/td>\n13.87<\/td>\n19<\/td>\n-0.0373 %<\/td>\n3,070.9<\/td>\n<\/tr>\n
FloatingReset<\/td>\n6.98 %<\/td>\n7.23 %<\/td>\n40,479<\/td>\n12.19<\/td>\n2<\/td>\n0.1246 %<\/td>\n2,608.7<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n5.06 %<\/td>\n4.27 %<\/td>\n113,780<\/td>\n1.85<\/td>\n6<\/td>\n-0.1498 %<\/td>\n2,615.7<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3030 %<\/td>\n2,573.1<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n4.64 %<\/td>\n6.08 %<\/td>\n59,754<\/td>\n13.77<\/td>\n14<\/td>\n0.5116 %<\/td>\n2,626.6<\/td>\n<\/tr>\n<\/tbody>\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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset Disc<\/td>\n-10.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 19.35
\nEvaluated at bid price : 19.35
\nBid-YTW : 6.44 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n-2.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 19.81
\nEvaluated at bid price : 19.81
\nBid-YTW : 6.10 %<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 19.34
\nEvaluated at bid price : 19.34
\nBid-YTW : 5.84 %<\/td>\n<\/tr>\n
IFC.PR.F<\/td>\nInsurance Straight<\/td>\n-1.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 21.98
\nEvaluated at bid price : 22.25
\nBid-YTW : 6.04 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset Disc<\/td>\n-1.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 15.87
\nEvaluated at bid price : 15.87
\nBid-YTW : 7.34 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n-1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 19.35
\nEvaluated at bid price : 19.35
\nBid-YTW : 6.76 %<\/td>\n<\/tr>\n
MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 22.10
\nEvaluated at bid price : 22.75
\nBid-YTW : 6.02 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 19.32
\nEvaluated at bid price : 19.32
\nBid-YTW : 6.51 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 14.19
\nEvaluated at bid price : 14.19
\nBid-YTW : 6.50 %<\/td>\n<\/tr>\n
BIP.PR.E<\/td>\nFixedReset Disc<\/td>\n-1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 22.85
\nEvaluated at bid price : 23.55
\nBid-YTW : 6.29 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset Disc<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 6.86 %<\/td>\n<\/tr>\n
BIP.PR.F<\/td>\nFixedReset Disc<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 23.05
\nEvaluated at bid price : 23.51
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nInsurance Straight<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 19.55
\nEvaluated at bid price : 19.55
\nBid-YTW : 5.85 %<\/td>\n<\/tr>\n
GWO.PR.T<\/td>\nInsurance Straight<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 21.61
\nEvaluated at bid price : 21.89
\nBid-YTW : 5.97 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 21.49
\nEvaluated at bid price : 21.85
\nBid-YTW : 5.71 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 21.74
\nEvaluated at bid price : 22.00
\nBid-YTW : 6.04 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset Disc<\/td>\n1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 21.75
\nEvaluated at bid price : 22.00
\nBid-YTW : 6.00 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n1.90 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.50
\nBid-YTW : 5.83 %<\/td>\n<\/tr>\n
NA.PR.E<\/td>\nFixedReset Disc<\/td>\n2.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 22.84
\nEvaluated at bid price : 23.48
\nBid-YTW : 5.81 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset Disc<\/td>\n2.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.50
\nBid-YTW : 5.80 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n2.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 21.41
\nEvaluated at bid price : 21.41
\nBid-YTW : 5.83 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n3.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 14.63
\nEvaluated at bid price : 14.63
\nBid-YTW : 6.67 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset Disc<\/td>\n3.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 21.70
\nEvaluated at bid price : 22.15
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\n4.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 19.25
\nEvaluated at bid price : 19.25
\nBid-YTW : 6.49 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n5.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 19.02
\nEvaluated at bid price : 19.02
\nBid-YTW : 6.12 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset Disc<\/td>\n5.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 21.36
\nEvaluated at bid price : 21.67
\nBid-YTW : 5.84 %<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset Disc<\/td>\n11.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 19.85
\nEvaluated at bid price : 19.85
\nBid-YTW : 6.71 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
\nTraded<\/td>\n		Notes<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset Disc<\/td>\n66,169<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 19.35
\nEvaluated at bid price : 19.35
\nBid-YTW : 6.44 %<\/td>\n<\/tr>\n
PVS.PR.K<\/td>\nSplitShare<\/td>\n24,274<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.00
\nBid-YTW : 6.10 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset Disc<\/td>\n23,477<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 21.42
\nEvaluated at bid price : 21.75
\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n
GWO.PR.T<\/td>\nInsurance Straight<\/td>\n17,200<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 21.61
\nEvaluated at bid price : 21.89
\nBid-YTW : 5.97 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset Ins Non<\/td>\n16,115<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 22.90
\nEvaluated at bid price : 24.30
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nInsurance Straight<\/td>\n11,650<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 20.35
\nEvaluated at bid price : 20.35
\nBid-YTW : 6.06 %<\/td>\n<\/tr>\n
There were 0 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\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
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 19.34 – 24.43
\nSpot Rate : 5.0900
\nAverage : 3.0780<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 19.34
\nEvaluated at bid price : 19.34
\nBid-YTW : 5.84 %<\/td>\n<\/tr>\n

CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\nQuote: 19.80 – 22.75
\nSpot Rate : 2.9500
\nAverage : 1.7423<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 5.83 %<\/td>\n<\/tr>\n

NA.PR.W<\/td>\nFixedReset Disc<\/td>\nQuote: 19.35 – 21.60
\nSpot Rate : 2.2500
\nAverage : 1.2419<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 19.35
\nEvaluated at bid price : 19.35
\nBid-YTW : 6.44 %<\/td>\n<\/tr>\n

PWF.PR.E<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.31 – 24.45
\nSpot Rate : 2.1400
\nAverage : 1.1958<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 22.08
\nEvaluated at bid price : 22.31
\nBid-YTW : 6.22 %<\/td>\n<\/tr>\n

PWF.PR.P<\/td>\nFixedReset Disc<\/td>\nQuote: 14.20 – 15.50
\nSpot Rate : 1.3000
\nAverage : 0.8883<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 14.20
\nEvaluated at bid price : 14.20
\nBid-YTW : 7.00 %<\/td>\n<\/tr>\n

MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\nQuote: 19.32 – 20.40
\nSpot Rate : 1.0800
\nAverage : 0.9057<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-08-18
\nMaturity Price : 19.32
\nEvaluated at bid price : 19.32
\nBid-YTW : 6.51 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

OSFI has announced Interim arrangements for the regulatory capital and liquidity treatment of cryptoasset exposures: Cryptoassets are broadly categorized into two groups \u2013 Group 1 and Group 2. Group 1 cryptoassets are those that meet …<\/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-44044","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/44044","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=44044"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/44044\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=44044"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=44044"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=44044"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}