October 29, 2020

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
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 Quote: 22.72 – 24.03
Spot Rate : 1.3100
Average : 0.7323

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 %

CIU.PR.A Perpetual-Discount Quote: 23.12 – 24.00
Spot Rate : 0.8800
Average : 0.5585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 22.84
Evaluated at bid price : 23.12
Bid-YTW : 5.04 %

TRP.PR.D FixedReset Disc Quote: 12.90 – 13.70
Spot Rate : 0.8000
Average : 0.4938

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.86 %

MFC.PR.J FixedReset Ins Non Quote: 18.72 – 19.55
Spot Rate : 0.8300
Average : 0.6148

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 %

TRP.PR.G FixedReset Disc Quote: 14.26 – 14.85
Spot Rate : 0.5900
Average : 0.3859

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 %

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