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TXPR closed at 579.36, down 0.85% on the day. Volume today was 2.88-million, very high in the context of the past thirty days.
CPD closed at 11.55, down 0.69% on the day. Volume was 50,155, below the median of the past 30 trading days.
ZPR closed at 9.12, down 0.76% on the day. Volume of 221,471 was near the median of the past 30 trading days.
Five-year Canada yields were down 2bp to 0.36% today.
Bank of Canada Governor Tiff Macklem has had some things to say:
In text prepared for a speech delivered via video-conference Thursday, Mr. Macklem said that the nature of the pandemic, and the close-contact sectors of the economy that remain the most strained, have meant disproportionate job losses for women, young Canadians and low-income workers, despite the strong rebound in employment since broad virus-containment measures were lifted.
While the federal government’s Canadian Emergency Response Benefit has done a good job replacing the lost incomes for these most-affected groups, he said, the risk is that many of these workers will suffer permanent job losses. That, he said, would not only hurt these individuals, but would threaten to weigh down the economy more generally.
CIBC finally got its press release announcing its LRCN issue out the door:
CIBC (TSX: CM) (NYSE: CM) today announced an offering of $750 million of 4.375% Limited Recourse Capital Notes Series 1 (Non-Viability Contingent Capital (NVCC)) (Subordinated Indebtedness) (the “LRCNs”). The LRCNs will be sold through a dealer syndicate led by CIBC Capital Markets.
The LRCNs will bear interest at a rate of 4.375% annually, payable semi-annually, for the initial period ending on, but excluding, October 28, 2025. Thereafter, the interest rate on the LRCNs will reset every five years at a rate equal to the prevailing 5-year Government of Canada Yield plus 4.000%. The LRCNs will mature on October 28, 2080. The expected closing date of the offering is September 16, 2020.
In connection with the issuance of the LRCNs, CIBC will issue Non-Cumulative 5-Year Fixed Rate Reset Class A Preferred Shares Series 53 (Non-Viability Contingent Capital (NVCC)) (the “Series 53 Shares”) to be held by Computershare Trust Company of Canada as trustee of a newly formed trust (the “Limited Recourse Trust”). In case of non-payment of interest on or principal of the LRCNs when due, the recourse of each LRCN holder will be limited to that holder’s proportionate share of the Limited Recourse Trust’s assets, which will consist of Series 53 Shares except in limited circumstances.
CIBC may redeem the LRCNs during the period from September 28 to and including October 28, commencing in 2025 and every five years thereafter with the prior written approval of the Superintendent of Financial Institutions (Canada), in whole or in part on not less than 15 nor more than 60 days’ prior notice.
The net proceeds from this transaction will be used for general banking purposes of CIBC.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | -0.0776 % | 1,671.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0776 % | 3,067.7 |
| Floater | 5.00 % | 5.08 % | 58,551 | 15.26 | 3 | -0.0776 % | 1,767.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0396 % | 3,536.1 |
| SplitShare | 4.81 % | 4.47 % | 40,222 | 3.67 | 7 | 0.0396 % | 4,222.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0396 % | 3,294.8 |
| Perpetual-Premium | 5.37 % | 4.92 % | 75,960 | 14.35 | 17 | -0.2610 % | 3,108.5 |
| Perpetual-Discount | 5.26 % | 5.32 % | 89,035 | 14.87 | 17 | 0.0424 % | 3,473.9 |
| FixedReset Disc | 5.49 % | 4.21 % | 128,199 | 16.29 | 68 | -1.0484 % | 2,076.2 |
| Deemed-Retractible | 5.07 % | 4.90 % | 115,626 | 14.97 | 27 | -0.0811 % | 3,420.8 |
| FloatingReset | 2.88 % | 2.40 % | 52,499 | 1.37 | 3 | -1.0733 % | 1,783.6 |
| FixedReset Prem | 5.29 % | 4.96 % | 231,297 | 15.32 | 11 | -0.2561 % | 2,600.1 |
| FixedReset Bank Non | 1.96 % | 2.49 % | 136,971 | 1.36 | 2 | -0.1817 % | 2,832.0 |
| FixedReset Ins Non | 5.75 % | 4.47 % | 91,840 | 16.04 | 22 | -0.7533 % | 2,097.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.Z | FixedReset Disc | -34.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 11.25 Evaluated at bid price : 11.25 Bid-YTW : 8.21 % |
| MFC.PR.N | FixedReset Ins Non | -8.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 4.71 % |
| BMO.PR.W | FixedReset Disc | -4.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.23 % |
| MFC.PR.K | FixedReset Ins Non | -4.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 16.08 Evaluated at bid price : 16.08 Bid-YTW : 4.49 % |
| GWO.PR.Q | Deemed-Retractible | -3.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 23.41 Evaluated at bid price : 23.71 Bid-YTW : 5.43 % |
| MFC.PR.L | FixedReset Ins Non | -3.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 4.61 % |
| BIP.PR.F | FixedReset Disc | -3.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 21.38 Evaluated at bid price : 21.38 Bid-YTW : 5.99 % |
| BAM.PR.R | FixedReset Disc | -3.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 13.05 Evaluated at bid price : 13.05 Bid-YTW : 5.23 % |
| MFC.PR.M | FixedReset Ins Non | -3.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 16.18 Evaluated at bid price : 16.18 Bid-YTW : 4.60 % |
| GWO.PR.G | Deemed-Retractible | -3.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 5.42 % |
| SLF.PR.J | FloatingReset | -3.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 9.30 Evaluated at bid price : 9.30 Bid-YTW : 4.16 % |
| BAM.PF.F | FixedReset Disc | -2.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 5.43 % |
| MFC.PR.I | FixedReset Ins Non | -2.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 4.41 % |
| BAM.PF.H | FixedReset Disc | -2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 23.29 Evaluated at bid price : 24.20 Bid-YTW : 5.21 % |
| BMO.PR.Y | FixedReset Disc | -2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.18 % |
| MFC.PR.Q | FixedReset Ins Non | -2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.42 % |
| NA.PR.W | FixedReset Disc | -2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 4.33 % |
| BAM.PF.B | FixedReset Disc | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 15.76 Evaluated at bid price : 15.76 Bid-YTW : 5.37 % |
| TD.PF.I | FixedReset Disc | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 22.06 Evaluated at bid price : 22.30 Bid-YTW : 3.94 % |
| TRP.PR.F | FloatingReset | -1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 10.21 Evaluated at bid price : 10.21 Bid-YTW : 5.04 % |
| TD.PF.A | FixedReset Disc | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 17.53 Evaluated at bid price : 17.53 Bid-YTW : 4.08 % |
| BAM.PR.T | FixedReset Disc | -1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 13.43 Evaluated at bid price : 13.43 Bid-YTW : 5.24 % |
| BAM.PF.E | FixedReset Disc | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 14.95 Evaluated at bid price : 14.95 Bid-YTW : 5.27 % |
| CU.PR.C | FixedReset Disc | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 4.50 % |
| IFC.PR.G | FixedReset Ins Non | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.63 % |
| TD.PF.C | FixedReset Disc | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 18.08 Evaluated at bid price : 18.08 Bid-YTW : 4.05 % |
| TRP.PR.A | FixedReset Disc | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 12.03 Evaluated at bid price : 12.03 Bid-YTW : 5.39 % |
| MFC.PR.G | FixedReset Ins Non | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 18.76 Evaluated at bid price : 18.76 Bid-YTW : 4.41 % |
| CU.PR.I | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 23.47 Evaluated at bid price : 24.45 Bid-YTW : 4.57 % |
| BMO.PR.E | FixedReset Disc | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.09 % |
| TD.PF.J | FixedReset Disc | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 3.99 % |
| BAM.PF.A | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.31 % |
| BMO.PR.C | FixedReset Disc | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 23.12 Evaluated at bid price : 23.51 Bid-YTW : 4.00 % |
| BIP.PR.D | FixedReset Disc | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 21.74 Evaluated at bid price : 22.20 Bid-YTW : 5.62 % |
| TD.PF.B | FixedReset Disc | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 17.62 Evaluated at bid price : 17.62 Bid-YTW : 4.08 % |
| BAM.PR.X | FixedReset Disc | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 11.33 Evaluated at bid price : 11.33 Bid-YTW : 5.00 % |
| TD.PF.K | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.10 % |
| BMO.PR.D | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 22.52 Evaluated at bid price : 22.85 Bid-YTW : 3.96 % |
| CM.PR.S | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.05 % |
| TD.PF.D | FixedReset Disc | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 4.00 % |
| IAF.PR.B | Deemed-Retractible | 4.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 23.38 Evaluated at bid price : 23.67 Bid-YTW : 4.85 % |
| TRP.PR.G | FixedReset Disc | 7.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 15.29 Evaluated at bid price : 15.29 Bid-YTW : 5.47 % |
| MFC.PR.J | FixedReset Ins Non | 12.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 4.45 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.H | FixedReset Prem | 106,180 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 23.87 Evaluated at bid price : 25.02 Bid-YTW : 4.48 % |
| MFC.PR.O | FixedReset Ins Non | 85,522 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 4.63 % |
| RY.PR.Z | FixedReset Disc | 77,711 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 3.89 % |
| CM.PR.P | FixedReset Disc | 72,614 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 4.19 % |
| PWF.PR.T | FixedReset Disc | 55,850 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 4.64 % |
| POW.PR.D | Perpetual-Discount | 55,318 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-10 Maturity Price : 23.85 Evaluated at bid price : 24.10 Bid-YTW : 5.26 % |
| There were 56 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.Z | FixedReset Disc | Quote: 11.25 – 17.01 Spot Rate : 5.7600 Average : 3.1992 YTW SCENARIO |
| EIT.PR.A | SplitShare | Quote: 25.39 – 27.00 Spot Rate : 1.6100 Average : 0.9752 YTW SCENARIO |
| GWO.PR.Q | Deemed-Retractible | Quote: 23.71 – 24.85 Spot Rate : 1.1400 Average : 0.6686 YTW SCENARIO |
| GWO.PR.G | Deemed-Retractible | Quote: 24.00 – 24.87 Spot Rate : 0.8700 Average : 0.5427 YTW SCENARIO |
| MFC.PR.L | FixedReset Ins Non | Quote: 15.10 – 16.20 Spot Rate : 1.1000 Average : 0.7911 YTW SCENARIO |
| RY.PR.J | FixedReset Disc | Quote: 20.10 – 21.00 Spot Rate : 0.9000 Average : 0.6228 YTW SCENARIO |