TD.PF.I Firm On Decent Volume

TD.PF.I, a FixedReset, 4.50%+301, NVCC-compliant issue announced 2017-07-05 closed today. It will be tracked by HIMIPref™ and has been assigned to the FixedResets subindex.

The issue traded 775,498 shares today in a tight range of 24.97-02 before closing at 25.00-01. Vital statistics are:

TD.PF.I FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-14
Maturity Price : 23.14
Evaluated at bid price : 25.00
Bid-YTW : 4.41 %

Implied Volatility for FixedResets analysis shows:

impvol_td_170714
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The numbers show a large change from the parameters determined on issue date, which were GOC5=1.43%; Spread=204bp and Implied Volatility=26%. Plugging in the new values for the last two parameters demonstrates a clear steepening during the interval.

impvol_td_170714adj
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The new fit is significantly better, with a sum of squared errors of 1.40 compared to 1.86 when today’s data is imposed on the prior parameters.

One thing that hasn’t change is the apparent richness of TD.PF.I – the theoretical price is now 24.28 compared to 24.30 on announcement day.

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