TD.PF.L Holds Its Own on Muted Volume

The Toronto-Dominion Bank new issue closed today without a formal announcement from the company.

TD.PF.L is a FixedReset, 5.20%+327, announced 2019-01-17. It has been assigned to the FixedReset-Discount subindex.

TD.PF.L traded 688,942 shares today in a range of 24.75-92 before settling at 24.85-88. Vital statistics are:

Maturity Type : Limit Maturity
Maturity Date : 2049-01-28
Maturity Price : 23.09
Evaluated at bid price : 24.85
Bid-YTW : 5.13 %

The new issue is ridiculously expensive according to Implied Volatility Analysis:

Click for Big

According to this analysis, the fair value of the new issue on January 28 is 22.93, down from 23.32 on January 19. Note that TD.PF.K, a FixedReset, 4.75%+259, NVCC Compliant issue that commenced trading 2018-9-13 after being announced 2018-9-4, was quoted today at 20.80-21, compared to 22.50-65 on January 19. The fair value of TD.PF.K is 20.68 on January 28, according to the analysis, compared to 21.24 on January 19; it is now merely 0.12 rich, compared to 1.26 rich on the TD.PF.L announcement date.

It’s interesting to note that the theoretical spread (on a notional non-callable perpetual resettable annuity) is just a bit more than the actual issue spread for TD.PF.L – which means that TD is basically not just getting the call options on the issue for free, they’re actually being paid to take them!

One Response to “TD.PF.L Holds Its Own on Muted Volume”

  1. […] was issued as a FixedReset, 5.20%+327, that commenced trading 2019-1-28 after being announced 2019-01-17. It is currently assigned to the FixedReset-Discount […]

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