{"id":29337,"date":"2015-06-05T23:06:43","date_gmt":"2015-06-06T04:06:43","guid":{"rendered":"http:\/\/prefblog.com\/?p=29337"},"modified":"2015-06-05T23:06:43","modified_gmt":"2015-06-06T04:06:43","slug":"bmo-pr-y","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=29337","title":{"rendered":"BMO.PR.Y Weak On Middling Volume"},"content":{"rendered":"<p>Bank of Montreal <a href=\"http:\/\/newsroom.bmo.com\/press-releases\/bank-of-montreal-completes-200-million-preferred--tsx-bmo-201506051011035003\">has announced<\/a>:<\/p>\n<blockquote><p>it has closed its domestic public offering of Non-Cumulative 5-Year Rate Reset Class B Preferred Shares Series 33 (Non-Viability Contingent Capital (NVCC)) (the &#8220;Preferred Shares Series 33&#8221;). The offering was underwritten on a bought deal basis by a syndicate of underwriters led by BMO Capital Markets. Bank of Montreal issued 8 million Preferred Shares Series 33 at a price of $25 per share to raise gross proceeds of $200 million.<\/p>\n<p>The Preferred Shares Series 33 were issued under a prospectus supplement dated May 29, 2015, to the Bank&#8217;s short form base shelf prospectus dated March 13, 2014. Such shares will commence trading on the Toronto Stock Exchange today under the ticker symbol BMO.PR.Y.<\/p><\/blockquote>\n<p>BMO.PR.Y is a FixedReset, 3.80%+271, <a href=\"http:\/\/prefblog.com\/?p=29202\">announced May 27<\/a>. It will be tracked by HIMIPref&trade; and has been assigned to the FixedReset subindex.<\/p>\n<p>The issue traded 651,560 shares today (consolidated exchanges) in a range of 24.46-65 before closing at 24.65-73. Vital statistics are:<\/p>\n<div align=\"center\">\n<table border=\"1\">\n<tr>\n<td>BMO.PR.Y<\/td>\n<td>FixedReset<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2045-06-05<br \/>\nMaturity Price  : 23.02<br \/>\nEvaluated at bid price : 24.65<br \/>\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n<\/table>\n<\/div>\n<p>This issue looks reasonably good according to Implied Volatility theory:<\/p>\n<div align=\"center\"><a href=\"http:\/\/prefblog.com\/wp-content\/uploads\/2015\/06\/impVol_BMO_150605.jpg\"><img loading=\"lazy\" decoding=\"async\" src=\"http:\/\/prefblog.com\/wp-content\/uploads\/2015\/06\/impVol_BMO_150605-300x246.jpg\" alt=\"impVol_BMO_150605\" width=\"400\" height=\"328\" class=\"alignnone size-medium wp-image-29343\" \/><\/a><br \/><i>Click for Big<\/i><\/div>\n<p>Note that the very high level of Implied Volatility is also calculated when only the NVCC-compliant issues are considered \u2013 for these issues alone, I get a spread of 99bp and Implied Volatility of 40%. This level of Implied Volatility is silly and will generally arise when the issues concerned are trading with an expectation of directionality in prices; I suggest that there are a lot of investors who figure that anything with the BMO brand name on it will trade somewhere near par forever.<\/p>\n<p>This has the effect of making the lower spread issues vulnerable to a decline in credit quality and\/or an increase in spreads; in other words, the higher-spread issues (such as this new issue) are getting a boatload of downside protection for free (when compared to other BMO issues ONLY!).<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Bank of Montreal has announced: it has closed its domestic public offering of Non-Cumulative 5-Year Rate Reset Class B Preferred Shares Series 33 (Non-Viability Contingent Capital (NVCC)) (the &#8220;Preferred Shares Series 33&#8221;). The offering was &hellip;<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[13],"tags":[],"class_list":["post-29337","post","type-post","status-publish","format-standard","hentry","category-issue-comments"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/29337","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=29337"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/29337\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=29337"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=29337"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=29337"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}