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.