DBRS finalized the rating on the CWB LRCNs at BB(high):
DBRS Limited (DBRS Morningstar) finalized its provisional rating of BB (high) with a Negative trend on Canadian Western Bank’s (CWB or the Bank) NVCC Additional Tier 1 (AT1) Limited Recourse Capital Notes (the Capital Notes).
Following the review of documentation associated with the recent offering, DBRS Morningstar confirmed that the terms of the issuance are consistent with those reviewed at the time the provisional rating was assigned on October 23, 2020. For further details on the provisional rating, please see the DBRS Morningstar press release entitled “DBRS Morningstar Assigns Provisional Rating of BB (high), Negative, to Canadian Western Bank’s NVCC Additional Tier 1 (AT1) Limited Recourse Capital Notes.”
The Bank plans to issue $175 million of Capital Notes on October 30, 2020. The Capital Notes mature on April 30, 2081, and will have an initial five-year fixed rate of 6.00%. DBRS Morningstar notes that the Office of the Superintendent of Financial Institutions granted Tier 1 capital treatment to the Capital Notes.
RATING DRIVERS
Given the Negative trend, an upgrade is unlikely at this time. The trend could change to Stable if the impact of the current economic crisis on CWB’s earnings and credit quality metrics is manageable.Conversely, material losses in the loan portfolio as a result of the oil price shock and a longer-than-expected adverse impact of the Coronavirus Disease (COVID-19) pandemic, or significant pressures on funding and liquidity, could result in a rating downgrade.
| 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 | 0.4922 % | 1,620.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4922 % | 2,974.0 |
| Floater | 5.25 % | 5.31 % | 38,209 | 14.95 | 3 | 0.4922 % | 1,713.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0744 % | 3,526.5 |
| SplitShare | 4.81 % | 4.80 % | 46,925 | 3.53 | 8 | -0.0744 % | 4,211.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0744 % | 3,285.9 |
| Perpetual-Premium | 5.31 % | -1.23 % | 89,012 | 0.15 | 17 | 0.0645 % | 3,189.5 |
| Perpetual-Discount | 5.18 % | 5.16 % | 83,417 | 15.23 | 17 | 0.0519 % | 3,555.3 |
| FixedReset Disc | 5.54 % | 4.29 % | 134,984 | 16.43 | 65 | -0.5207 % | 2,089.1 |
| Deemed-Retractible | 5.14 % | 5.00 % | 114,376 | 15.16 | 22 | 0.0580 % | 3,456.9 |
| FloatingReset | 1.97 % | 2.28 % | 50,447 | 1.24 | 3 | 0.0168 % | 1,793.9 |
| FixedReset Prem | 5.22 % | 3.48 % | 260,903 | 0.78 | 14 | 0.0000 % | 2,645.6 |
| FixedReset Bank Non | 1.94 % | 2.09 % | 143,697 | 1.23 | 2 | 0.0201 % | 2,861.2 |
| FixedReset Ins Non | 5.49 % | 4.25 % | 75,728 | 16.32 | 22 | 0.0835 % | 2,200.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PF.L | FixedReset Disc | -22.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 5.21 % |
| NA.PR.C | FixedReset Disc | -5.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 22.41 Evaluated at bid price : 22.72 Bid-YTW : 4.25 % |
| TRP.PR.G | FixedReset Disc | -3.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 14.26 Evaluated at bid price : 14.26 Bid-YTW : 5.97 % |
| TD.PF.E | FixedReset Disc | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 4.13 % |
| BAM.PR.X | FixedReset Disc | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 10.58 Evaluated at bid price : 10.58 Bid-YTW : 5.34 % |
| BAM.PR.R | FixedReset Disc | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 12.90 Evaluated at bid price : 12.90 Bid-YTW : 5.28 % |
| BAM.PF.D | Perpetual-Discount | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 22.67 Evaluated at bid price : 22.95 Bid-YTW : 5.39 % |
| BAM.PF.B | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 15.41 Evaluated at bid price : 15.41 Bid-YTW : 5.45 % |
| MFC.PR.J | FixedReset Ins Non | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 4.34 % |
| BAM.PF.I | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 24.08 Evaluated at bid price : 24.45 Bid-YTW : 4.94 % |
| RY.PR.M | FixedReset Disc | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 18.32 Evaluated at bid price : 18.32 Bid-YTW : 4.10 % |
| BIP.PR.E | FixedReset Disc | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 21.46 Evaluated at bid price : 21.81 Bid-YTW : 5.78 % |
| CU.PR.G | Perpetual-Discount | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 22.97 Evaluated at bid price : 23.25 Bid-YTW : 4.90 % |
| TRP.PR.A | FixedReset Disc | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 11.56 Evaluated at bid price : 11.56 Bid-YTW : 5.71 % |
| CU.PR.C | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 4.31 % |
| NA.PR.G | FixedReset Disc | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.30 % |
| BAM.PF.C | Perpetual-Discount | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 21.86 Evaluated at bid price : 22.28 Bid-YTW : 5.48 % |
| BAM.PF.G | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 5.45 % |
| TD.PF.C | FixedReset Disc | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 3.96 % |
| POW.PR.B | Perpetual-Discount | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 24.34 Evaluated at bid price : 24.65 Bid-YTW : 5.46 % |
| NA.PR.W | FixedReset Disc | 1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.40 % |
| SLF.PR.H | FixedReset Ins Non | 1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 4.24 % |
| BAM.PR.M | Perpetual-Discount | 2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 21.76 Evaluated at bid price : 22.01 Bid-YTW : 5.45 % |
| SLF.PR.G | FixedReset Ins Non | 2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 4.22 % |
| TD.PF.D | FixedReset Disc | 3.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 4.06 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.M | FixedReset Disc | 90,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 18.32 Evaluated at bid price : 18.32 Bid-YTW : 4.10 % |
| TD.PF.G | FixedReset Prem | 52,150 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : 2.82 % |
| PWF.PR.O | Perpetual-Premium | 41,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-11-28 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : -8.46 % |
| TRP.PR.A | FixedReset Disc | 36,643 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 11.56 Evaluated at bid price : 11.56 Bid-YTW : 5.71 % |
| PWF.PR.K | Perpetual-Discount | 35,150 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 23.75 Evaluated at bid price : 24.06 Bid-YTW : 5.16 % |
| BMO.PR.S | FixedReset Disc | 22,556 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-29 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 4.16 % |
| There were 14 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PF.L | FixedReset Disc | Quote: 19.10 – 24.40 Spot Rate : 5.3000 Average : 2.8330 YTW SCENARIO |
| NA.PR.C | FixedReset Disc | Quote: 22.72 – 24.03 Spot Rate : 1.3100 Average : 0.7323 YTW SCENARIO |
| CIU.PR.A | Perpetual-Discount | Quote: 23.12 – 24.00 Spot Rate : 0.8800 Average : 0.5585 YTW SCENARIO |
| TRP.PR.D | FixedReset Disc | Quote: 12.90 – 13.70 Spot Rate : 0.8000 Average : 0.4938 YTW SCENARIO |
| MFC.PR.J | FixedReset Ins Non | Quote: 18.72 – 19.55 Spot Rate : 0.8300 Average : 0.6148 YTW SCENARIO |
| TRP.PR.G | FixedReset Disc | Quote: 14.26 – 14.85 Spot Rate : 0.5900 Average : 0.3859 YTW SCENARIO |