June 4, 2008

As a side-benefit to my preparation of a post that will, in years to come, be widely recognized as the finest blog post ever written, I have updated Bank Regulation: The Assets to Capital Multiple with an interesting chart.

I don’t see a press release from CIBC, but DBRS has released a provisional ratings opinion on a new issue of covered bonds:

DBRS has assigned a provisional rating of AAA with a Stable trend to the Series [1] to be issued by CIBC under its Global Public Sector Covered Bond Programme. This is the first issuance of a covered bond programme collateralized entirely by CMHC-insured Canadian residential mortgages.

Covered bonds are a relatively new thing in Canada.

A mixed day on the market, but volume continues to hold up.

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.21% 4.22% 59,394 17.0 1 +0.0000% 1,113.3
Fixed-Floater 4.87% 4.64% 62,485 16.08 7 +0.1966% 1,027.8
Floater 4.05% 4.10% 61,688 17.13 2 +0.1979% 931.5
Op. Retract 4.83% 2.26% 89,164 2.67 15 +0.0105% 1,057.2
Split-Share 5.25% 5.33% 73,136 4.21 15 -0.0471% 1,057.4
Interest Bearing 6.09% 6.08% 50,353 3.80 3 +0.1676% 1,118.2
Perpetual-Premium 5.83% 5.60% 418,315 8.00 13 +0.0492% 1,026.4
Perpetual-Discount 5.66% 5.72% 225,214 14.30 59 -0.0483% 925.1
Major Price Changes
Issue Index Change Notes
BNA.PR.B SplitShare -1.8544% Asset coverage of just under 3.2:1 as of April 30, according to the company. Now with a pre-tax bid-YTW of 7.23% based on a bid of 21.70 and a hardMaturity 2016-3-25 at 25.00. Compare with BNA.PR.A (5.90% to 2010-9-30) and BNA.PR.C (6.63% to 2019-1-10).
SBC.PR.A SplitShare -1.4549% Asset coverage of just under 2.2:1 as of May 29, according to Brompton Group. Now with a pre-tax bid-YTW of 5.06% based on a bid of 10.16 and a hardMaturity 2012-11-30 at 10.00.
PWF.PR.L PerpetualDiscount -1.4329% Now with a pre-tax bid-YTW of 5.69% based on a bid of 22.70 and a limitMaturity.
BNA.PR.C SplitShare +1.2189% Asset coverage of just under 3.2:1 as of April 30, according to the company. Now with a pre-tax bid-YTW of 6.63% based on a bid of 20.76 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (5.90% to 2010-9-30) and BNA.PR.B (7.23% to 2016-3-25).
BCE.PR.G FixFloat +1.9265%  
CIU.PR.A PerpetualDiscount +3.5000% Now with a pre-tax bid-YTW of 5.60% based on a bid of 29.70 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
TD.PR.R PerpetualPremium 187,840 Anonymous closed the day with a purchase of 10,000 from Nesbitt at 25.30. Now with a pre-tax bid-YTW of 5.66% based on a bid of 25.25 and a limitMaturity.
CM.PR.D PerpetualDiscount 153,750 Desjardins crossed 100,000 at 24.85, then Nesbitt crossed 50,000 at the same price. Now with a pre-tax bid-YTW of 5.87% based on a bid of 24.80 and a limitMaturity.
GWO.PR.F PerpetualPremium 52,596 Scotia crossed 52,000 at 26.15. Now with a pre-tax bid-YTW of 3.70% based on a bid of 26.10 and a call 2008-10-30 at 26.00.
POW.PR.D PerpetualDiscount 49,455 Now with a pre-tax bid-YTW of 5.69% based on a bid of 22.30 and a limitMaturity.
GWO.PR.I PerpetualDiscount 46,490 Now with a pre-tax bid-YTW of 5.38% based on a bid of 20.95 and a limitMaturity.

There were twenty-one other index-included $25-pv-equivalent issues trading over 10,000 shares today.

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