July 6, 2020

I missed this earlier, but Scotiabank issued US$1,250,000,000 of 4.900% Fixed Rate Resetting Perpetual Subordinated Additional Tier 1 Capital Notes (Non-Viability Contingent Capital (NVCC)) closing on 2020-6-4:

The US$1,250,000,000 aggregate principal amount of 4.900% Fixed Rate Resetting Perpetual Subordinated Additional Tier 1 Capital Notes (Non-Viability Contingent Capital (NVCC)) (subordinated indebtedness) (the “Notes”) offered by this prospectus supplement (this “Prospectus Supplement”) have no scheduled maturity or scheduled redemption date. From and including June 4, 2020 (the “Issue Date”) to, but excluding, June 4, 2025 (such date and each fifth (5th) anniversary date thereafter, a “Reset Date”), interest will accrue on the Notes at an initial rate equal to 4.900% per annum. From and including each Reset Date to, but excluding, the next following Reset Date, interest will accrue on the Notes at a rate per annum equal to the sum, as determined by the Calculation Agent (as defined herein), of (i) the then-prevailing U.S. Treasury Rate (as defined herein) on the relevant Reset Rate Determination Date (as defined herein) and (ii) 4.551%. Subject to the cancellation rights described below, The Bank of Nova Scotia (the “Bank”) will pay interest on the Notes quarterly in arrears on March 4, June 4, September 4 and December 4 of each year, commencing on September 4, 2020 (each, an “Interest Payment Date”).

So that’s pretty close to the initial coupon and spread to five-years as you’d see on a Canadian dollar preferred shares … but the bank can deduct the interest from income for tax purposes. Who needs preferred shares?

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.6772 % 1,456.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6772 % 2,672.2
Floater 5.73 % 5.78 % 74,899 14.26 3 1.6772 % 1,540.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0687 % 3,452.0
SplitShare 4.87 % 5.02 % 66,079 3.79 7 -0.0687 % 4,122.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0687 % 3,216.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 1 0.4010 % 3,025.0
Perpetual-Discount 5.60 % 5.78 % 80,247 14.23 35 0.4010 % 3,244.7
FixedReset Disc 6.11 % 5.08 % 143,175 15.07 75 0.1551 % 1,844.6
Deemed-Retractible 5.33 % 5.61 % 87,337 14.42 27 0.0016 % 3,212.1
FloatingReset 2.47 % 3.27 % 33,861 1.55 4 0.0968 % 1,717.4
FixedReset Prem 0.00 % 0.00 % 0 0.00 3 0.1551 % 2,551.0
FixedReset Bank Non 1.98 % 3.16 % 119,921 1.54 2 0.0183 % 2,786.1
FixedReset Ins Non 6.46 % 5.18 % 107,577 14.84 22 0.3221 % 1,843.9
Performance Highlights
Issue Index Change Notes
CCS.PR.C Deemed-Retractible -6.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.00 %
TD.PF.E FixedReset Disc -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 5.01 %
NA.PR.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.98 %
NA.PR.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 23.49
Evaluated at bid price : 24.00
Bid-YTW : 5.23 %
TD.PF.J FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.79 %
NA.PR.S FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.95 %
NA.PR.E FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.84 %
BMO.PR.F FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.07 %
GWO.PR.N FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 8.88
Evaluated at bid price : 8.88
Bid-YTW : 4.78 %
IAF.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 5.16 %
TRP.PR.G FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.92 %
GWO.PR.H Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 21.40
Evaluated at bid price : 21.67
Bid-YTW : 5.62 %
SLF.PR.G FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 4.98 %
MFC.PR.G FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 15.93
Evaluated at bid price : 15.93
Bid-YTW : 5.26 %
BAM.PF.B FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 6.06 %
BAM.PF.F FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 14.38
Evaluated at bid price : 14.38
Bid-YTW : 6.02 %
GWO.PR.S Deemed-Retractible 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 23.12
Evaluated at bid price : 23.38
Bid-YTW : 5.64 %
SLF.PR.J FloatingReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 8.63
Evaluated at bid price : 8.63
Bid-YTW : 4.69 %
BMO.PR.C FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.98 %
BMO.PR.B FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 22.61
Evaluated at bid price : 23.00
Bid-YTW : 4.90 %
BAM.PF.I FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 23.14
Evaluated at bid price : 23.52
Bid-YTW : 5.12 %
CM.PR.Q FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 15.12
Evaluated at bid price : 15.12
Bid-YTW : 5.24 %
TRP.PR.D FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 5.82 %
CU.PR.G Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 21.74
Evaluated at bid price : 21.74
Bid-YTW : 5.24 %
IFC.PR.I Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 23.80
Evaluated at bid price : 24.15
Bid-YTW : 5.62 %
MFC.PR.I FixedReset Ins Non 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.19 %
TRP.PR.E FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 5.84 %
BAM.PR.R FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 5.89 %
MFC.PR.N FixedReset Ins Non 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 5.07 %
CU.PR.H Perpetual-Discount 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 24.26
Evaluated at bid price : 24.56
Bid-YTW : 5.40 %
BAM.PF.E FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 5.98 %
CU.PR.E Perpetual-Discount 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 22.82
Evaluated at bid price : 23.19
Bid-YTW : 5.33 %
BAM.PR.K Floater 4.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 7.46
Evaluated at bid price : 7.46
Bid-YTW : 5.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.M FixedReset Disc 90,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 21.69
Evaluated at bid price : 22.01
Bid-YTW : 4.83 %
TD.PF.A FixedReset Disc 77,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.76 %
SLF.PR.B Deemed-Retractible 53,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 22.69
Evaluated at bid price : 22.93
Bid-YTW : 5.26 %
BAM.PF.I FixedReset Disc 41,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 23.14
Evaluated at bid price : 23.52
Bid-YTW : 5.12 %
BAM.PF.F FixedReset Disc 30,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 14.38
Evaluated at bid price : 14.38
Bid-YTW : 6.02 %
BAM.PR.K Floater 29,405 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 7.46
Evaluated at bid price : 7.46
Bid-YTW : 5.79 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 14.40 – 17.00
Spot Rate : 2.6000
Average : 1.7273

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.26 %

CCS.PR.C Deemed-Retractible Quote: 21.00 – 23.00
Spot Rate : 2.0000
Average : 1.3322

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.00 %

BAM.PF.B FixedReset Disc Quote: 13.92 – 14.85
Spot Rate : 0.9300
Average : 0.6502

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 6.06 %

PWF.PR.P FixedReset Disc Quote: 9.27 – 10.19
Spot Rate : 0.9200
Average : 0.7010

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 9.27
Evaluated at bid price : 9.27
Bid-YTW : 5.45 %

MFC.PR.H FixedReset Ins Non Quote: 17.10 – 18.02
Spot Rate : 0.9200
Average : 0.7015

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.28 %

MFC.PR.J FixedReset Ins Non Quote: 15.83 – 16.50
Spot Rate : 0.6700
Average : 0.4784

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 5.18 %

One Response to “July 6, 2020”

  1. prefQC says:

    In the event of a credit crisis at a bank, will these Tier 1 subordinated capital notes be “converted” before the extant NVCC prefs?

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