{"id":49132,"date":"2018-02-22T19:18:00","date_gmt":"2018-02-23T00:18:00","guid":{"rendered":"https:\/\/prefblog.com\/?p=49132"},"modified":"2025-08-07T19:19:39","modified_gmt":"2025-08-07T23:19:39","slug":"february-22-2018","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=49132","title":{"rendered":"February 22, 2018"},"content":{"rendered":"

A Bank of Canada Staff Working Paper by Patricia Palhau Mora titled The \u201cToo Big to Fail\u201d Subsidy in Canada: Some Estimates<\/a> contains a warning for future changes to Canadian bank credit ratings:<\/p>\n

Despite progress on regulation, CRAs [Credit Rating Agencies] continue to generally factor in some (or even the same) expectation of public support, which suggests that challenges to effective resolution are expected to remain. In Canada, revisions to the ratings\u2019 methodologies did not generally result in changes to state-support expectations for the domestic banks. Moody\u2019s still rates Canada as a “supportive jurisdiction\u201d in its government support assessment framework, reflecting an expectation that the government would still need to bail out a large financial institution given the size of Canadian banks relative to the national economy, and the potential for contagion among large interconnected players. Following the release of the 2014 bail-in consultation paper (Department of Finance Canada 2014), CRAs placed the credit ratings of the D-SIBs and Desjardins under negative watch, indicating they would likely be revised down \u201cin the near future.\u201d42 Moody\u2019s kicked off the revisions in July 2014 by changing the outlook of the seven largest Canadian banks\u2019 long-term senior unsecured debt and deposit notes\u2019 ratings to \u201cnegative\u201d from \u201cstable.\u201d S&P followed in August 2014, also revising the D-SIBs\u2019 outlook to \u201cnegative\u201d from \u201cstable,\u201d factoring in an expectation that extraordinary government support to D-SIBs\u2019 senior bondholders would become less certain.<\/p>\n

While bail-in legislation received Royal Assent in summer 2016, CRAs have not yet changed the support assumptions, publicly stating they are still awaiting more detail on the operational aspects of the regime. More recently, in a request for comments published on November 6, 2017, Moody\u2019s proposed designating Canada as an \u201coperational resolution regime,\u201d given the introduction of preliminary bail-in rules, signalling that government support expectations for D-SIBs are likely to decrease soon. This would be consistent with large bank ratings being lowered up to three notches in the US and the EU in response to Dodd\u2013Frank Title II and the EU Bank Recovery and Resolution Directive.<\/p>\n<\/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-0.6906 %<\/td>\n3,016.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.6906 %<\/td>\n5,535.6<\/td>\n<\/tr>\n
Floater<\/td>\n3.29 %<\/td>\n3.50 %<\/td>\n93,369<\/td>\n18.46<\/td>\n4<\/td>\n-0.6906 %<\/td>\n3,190.2<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2820 %<\/td>\n3,150.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.71 %<\/td>\n4.03 %<\/td>\n63,778<\/td>\n3.34<\/td>\n5<\/td>\n-0.2820 %<\/td>\n3,761.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2820 %<\/td>\n2,935.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.44 %<\/td>\n4.95 %<\/td>\n67,144<\/td>\n14.37<\/td>\n20<\/td>\n0.0220 %<\/td>\n2,830.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.42 %<\/td>\n5.40 %<\/td>\n82,695<\/td>\n14.77<\/td>\n14<\/td>\n-0.0412 %<\/td>\n2,935.1<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.25 %<\/td>\n4.62 %<\/td>\n157,407<\/td>\n4.28<\/td>\n102<\/td>\n0.0090 %<\/td>\n2,517.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.14 %<\/td>\n5.76 %<\/td>\n88,768<\/td>\n5.72<\/td>\n28<\/td>\n-0.0391 %<\/td>\n2,908.1<\/td>\n<\/tr>\n
FloatingReset<\/td>\n3.00 %<\/td>\n3.01 %<\/td>\n38,941<\/td>\n3.71<\/td>\n10<\/td>\n0.0478 %<\/td>\n2,768.1<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n-1.81 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-02-22
\nMaturity Price : 21.15
\nEvaluated at bid price : 21.15
\nBid-YTW : 2.87 %<\/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
TD.PF.C<\/td>\nFixedReset<\/td>\n164,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-02-22
\nMaturity Price : 22.82
\nEvaluated at bid price : 23.16
\nBid-YTW : 4.63 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n118,000<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.98
\nBid-YTW : 4.71 %<\/td>\n<\/tr>\n
MFC.PR.J<\/td>\nFixedReset<\/td>\n113,000<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.90
\nBid-YTW : 4.72 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nDeemed-Retractible<\/td>\n102,000<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.56
\nBid-YTW : 5.68 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n81,400<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.96
\nBid-YTW : 3.89 %<\/td>\n<\/tr>\n
BAM.PF.J<\/td>\nFixedReset<\/td>\n76,100<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.22
\nBid-YTW : 4.73 %<\/td>\n<\/tr>\n
There were 29 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
RY.PR.N<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.03 – 25.50
\nSpot Rate : 0.4700
\nAverage : 0.2834<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-11-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.03
\nBid-YTW : 4.91 %<\/td>\n<\/tr>\n

HSE.PR.A<\/td>\nFixedReset<\/td>\nQuote: 17.91 – 18.45
\nSpot Rate : 0.5400
\nAverage : 0.3681<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-02-22
\nMaturity Price : 17.91
\nEvaluated at bid price : 17.91
\nBid-YTW : 5.04 %<\/td>\n<\/tr>\n

IFC.PR.C<\/td>\nFixedReset<\/td>\nQuote: 23.60 – 23.90
\nSpot Rate : 0.3000
\nAverage : 0.1723<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.60
\nBid-YTW : 5.06 %<\/td>\n<\/tr>\n

SLF.PR.G<\/td>\nFixedReset<\/td>\nQuote: 19.30 – 19.66
\nSpot Rate : 0.3600
\nAverage : 0.2385<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.30
\nBid-YTW : 7.39 %<\/td>\n<\/tr>\n

CU.PR.G<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.32 – 21.60
\nSpot Rate : 0.2800
\nAverage : 0.2000<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-02-22
\nMaturity Price : 21.32
\nEvaluated at bid price : 21.32
\nBid-YTW : 5.30 %<\/td>\n<\/tr>\n

BAM.PR.B<\/td>\nFloater<\/td>\nQuote: 17.39 – 17.75
\nSpot Rate : 0.3600
\nAverage : 0.2817<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-02-22
\nMaturity Price : 17.39
\nEvaluated at bid price : 17.39
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

A Bank of Canada Staff Working Paper by Patricia Palhau Mora titled The \u201cToo Big to Fail\u201d Subsidy in Canada: Some Estimates contains a warning for future changes to Canadian bank credit ratings: Despite progress …<\/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-49132","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49132","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=49132"}],"version-history":[{"count":1,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49132\/revisions"}],"predecessor-version":[{"id":49133,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49132\/revisions\/49133"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=49132"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=49132"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=49132"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}