Issue Comments

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:

TD.PF.D FixedReset YTW SCENARIO
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:

impVol_TD_150310
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.

One comment TD.PF.D Soft On Good Volume

[…] is a FixedReset, 3.60%+279, that commenced trading 2015-3-10 after being announced 2015-2-27. Notice of extension was provided on 2020-6-18. The issue reset at […]

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