{"id":2232,"date":"2008-06-04T21:24:36","date_gmt":"2008-06-05T01:24:36","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2232"},"modified":"2008-06-04T21:24:36","modified_gmt":"2008-06-05T01:24:36","slug":"june-4-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2232","title":{"rendered":"June 4, 2008"},"content":{"rendered":"

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<\/a> with an interesting chart.<\/p>\n

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

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.<\/p><\/blockquote>\n

Covered bonds are a relatively new thing in Canada<\/a>.<\/p>\n

A mixed day on the market, but volume continues to hold up.<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
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<\/strong><\/td>\n<\/tr>\n
Index<\/td>\nMean Current Yield (at bid)<\/td>\nMean YTW<\/td>\nMean Average Trading Value<\/td>\nMean Mod Dur (YTW)<\/td>\nIssues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n4.21%<\/td>\n4.22%<\/td>\n59,394<\/td>\n17.0<\/td>\n1<\/td>\n+0.0000%<\/td>\n1,113.3<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.87%<\/td>\n4.64%<\/td>\n62,485<\/td>\n16.08<\/td>\n7<\/td>\n+0.1966%<\/td>\n1,027.8<\/td>\n<\/tr>\n
Floater<\/td>\n4.05%<\/td>\n4.10%<\/td>\n61,688<\/td>\n17.13<\/td>\n2<\/td>\n+0.1979%<\/td>\n931.5<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.83%<\/td>\n2.26%<\/td>\n89,164<\/td>\n2.67<\/td>\n15<\/td>\n+0.0105%<\/td>\n1,057.2<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.25%<\/td>\n5.33%<\/td>\n73,136<\/td>\n4.21<\/td>\n15<\/td>\n-0.0471%<\/td>\n1,057.4<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.09%<\/td>\n6.08%<\/td>\n50,353<\/td>\n3.80<\/td>\n3<\/td>\n+0.1676%<\/td>\n1,118.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.83%<\/td>\n5.60%<\/td>\n418,315<\/td>\n8.00<\/td>\n13<\/td>\n+0.0492%<\/td>\n1,026.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.66%<\/td>\n5.72%<\/td>\n225,214<\/td>\n14.30<\/td>\n59<\/td>\n-0.0483%<\/td>\n925.1<\/td>\n<\/tr>\n<\/table>\n<\/div>\n
\n\n\n\n\n\n\n\n\n\n
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BNA.PR.B<\/td>\nSplitShare<\/td>\n-1.8544%<\/td>\nAsset coverage of just under 3.2:1 as of April 30, according to the company<\/a>. Now with a pre-tax bid-YTW of 7.23% based on a bid of 21.70 and a hardMaturity<\/a> 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).<\/td>\n<\/tr>\n
SBC.PR.A<\/td>\nSplitShare<\/td>\n-1.4549%<\/td>\nAsset coverage of just under 2.2:1 as of May 29, according to Brompton Group<\/a>. 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.<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetualDiscount<\/td>\n-1.4329%<\/td>\nNow with a pre-tax bid-YTW of 5.69% based on a bid of 22.70 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n+1.2189%<\/td>\nAsset coverage of just under 3.2:1 as of April 30, according to the company<\/a>. 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).<\/td>\n<\/tr>\n
BCE.PR.G<\/td>\nFixFloat<\/td>\n+1.9265%<\/td>\n <\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetualDiscount<\/td>\n+3.5000%<\/td>\nNow with a pre-tax bid-YTW of 5.60% based on a bid of 29.70 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n
\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nVolume<\/td>\nNotes<\/td>\n<\/tr>\n
TD.PR.R<\/td>\nPerpetualPremium<\/td>\n187,840<\/td>\nAnonymous 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.<\/td>\n<\/tr>\n
CM.PR.D<\/td>\nPerpetualDiscount<\/td>\n153,750<\/td>\nDesjardins 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.<\/td>\n<\/tr>\n
GWO.PR.F<\/td>\nPerpetualPremium<\/td>\n52,596<\/td>\nScotia 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.<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetualDiscount<\/td>\n49,455<\/td>\nNow with a pre-tax bid-YTW of 5.69% based on a bid of 22.30 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n46,490<\/td>\nNow with a pre-tax bid-YTW of 5.38% based on a bid of 20.95 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

There were twenty-one other index-included $25-pv-equivalent issues trading over 10,000 shares today.<\/p>\n","protected":false},"excerpt":{"rendered":"

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 …<\/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-2232","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2232","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=2232"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2232\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2232"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2232"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2232"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}