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:
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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.
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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.
[…] was issued as a FixedReset, 4.50%+301, NVCC-compliant issue that commenced trading 2017-7-14 after being announced 2017-07-05. It is tracked by HIMIPref™ and is assigned to the FixedResets […]
[…] was issued as a FixedReset, 4.50%+301, NVCC-compliant issue that commenced trading 2017-7-14 after being announced 2017-07-05. The issue reset to 6.301% in 2022. It is tracked by HIMIPref™ […]