TD.PF.D Soft On Good Volume

TD.PF.D is a FixedReset, 3.60%+279, announced February 27. It is NVCC-compliant and will be tracked by HIMIPref™ and has been assigned to the FixedReset subindex.

The issue traded 1,077,395 shares today in a range of 24.795-96 before closing at 24.95-97. Vital statistics are:

Maturity Type : Limit Maturity
Maturity Date : 2045-03-10
Maturity Price : 23.12
Evaluated at bid price : 24.95
Bid-YTW : 3.57 %

The Implied Volatility calculation has some points of interest:

Click for Big

Firstly, the market does not appear to be differentiated between the NVCC compliant and non-compliant issues, as the latter appear to be plotted on a line more or less defined by the former. Additionally, the Implied Volatility is very high – ridiculously high, for NVCC-compliant issues – so I would expect TD.PF.D to outperform the three other compliant issues (TD.PF.A, TD.PF.B and TD.PF.C) as the market comes to realize what the word “perpetual” means.

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