There was a late afternoon rally in the market yesterday which I mentioned but did not even guess at a cause. Assiduous Reader AB writes in and says:
TD issued a note tied to ZPR. They had to hedge some of their risk into the close.
He even provided a link to the product description. There’s an ongoing link to the prospectus, which states:
As of the date of this Pricing Supplement, the Bank estimates that the value of the Notes is $97.10 per $100 in principal amount.
There are a lot of moving parts in the valuation of this note and I’m not even going to try to come up with my own valuation. But the issue sold out, $20-million worth, so there’s clearly some speculative interest in buying at these levels.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -3.1071 % | 2,006.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -3.1071 % | 3,682.5 |
| Floater | 5.83 % | 5.96 % | 41,243 | 13.96 | 3 | -3.1071 % | 2,122.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1789 % | 3,284.7 |
| SplitShare | 4.87 % | 4.45 % | 75,064 | 3.87 | 8 | 0.1789 % | 3,922.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1789 % | 3,060.6 |
| Perpetual-Premium | 5.67 % | -3.59 % | 61,997 | 0.08 | 7 | -0.0393 % | 2,934.9 |
| Perpetual-Discount | 5.36 % | 5.42 % | 86,145 | 14.64 | 26 | -0.0043 % | 3,113.6 |
| FixedReset Disc | 5.28 % | 5.27 % | 194,193 | 14.99 | 64 | 0.1287 % | 2,159.6 |
| Deemed-Retractible | 5.21 % | 5.74 % | 100,210 | 8.19 | 27 | -0.1479 % | 3,077.1 |
| FloatingReset | 4.27 % | 4.11 % | 41,066 | 2.71 | 5 | -0.2951 % | 2,368.4 |
| FixedReset Prem | 5.08 % | 3.83 % | 314,807 | 2.22 | 19 | -0.1264 % | 2,568.1 |
| FixedReset Bank Non | 1.98 % | 4.04 % | 146,938 | 2.74 | 3 | 0.1255 % | 2,630.1 |
| FixedReset Ins Non | 5.03 % | 6.37 % | 117,981 | 8.37 | 22 | 0.4075 % | 2,242.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.T | FixedReset Disc | -7.97 % | A nonsensical quote provided at high cost by Nonsense Central, as the issue traded 1400 shares today in a range of 16.00-03 before being quoted at 14.79-16.25. The closing price was 16.03.
I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO |
| BAM.PR.B | Floater | -5.15 % | A nonsensical quote provided at high cost by Nonsense Central, as the issue traded 3212 shares today in a range of 11.99-08 before being quoted at 11.41-00. The closing price was 12.00.
I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO |
| TD.PF.E | FixedReset Disc | -2.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 5.28 % |
| PWF.PR.A | Floater | -2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 12.50 Evaluated at bid price : 12.50 Bid-YTW : 5.60 % |
| IFC.PR.A | FixedReset Ins Non | -2.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.10 Bid-YTW : 8.36 % |
| BAM.PR.K | Floater | -2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 11.64 Evaluated at bid price : 11.64 Bid-YTW : 5.96 % |
| CCS.PR.C | Deemed-Retractible | -1.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.65 Bid-YTW : 6.24 % |
| GWO.PR.S | Deemed-Retractible | -1.82 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.30 Bid-YTW : 5.63 % |
| PWF.PR.S | Perpetual-Discount | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 21.82 Evaluated at bid price : 22.10 Bid-YTW : 5.51 % |
| PWF.PR.K | Perpetual-Discount | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 22.73 Evaluated at bid price : 23.02 Bid-YTW : 5.45 % |
| NA.PR.G | FixedReset Disc | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 21.65 Evaluated at bid price : 22.00 Bid-YTW : 5.07 % |
| BMO.PR.S | FixedReset Disc | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 5.12 % |
| HSE.PR.C | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 6.36 % |
| PWF.PR.P | FixedReset Disc | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 13.68 Evaluated at bid price : 13.68 Bid-YTW : 5.53 % |
| BAM.PR.X | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 13.70 Evaluated at bid price : 13.70 Bid-YTW : 5.80 % |
| PWF.PR.L | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 23.25 Evaluated at bid price : 23.55 Bid-YTW : 5.49 % |
| RY.PR.O | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 23.89 Evaluated at bid price : 24.36 Bid-YTW : 5.06 % |
| BAM.PF.F | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 5.64 % |
| MFC.PR.M | FixedReset Ins Non | 1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.62 Bid-YTW : 7.32 % |
| MFC.PR.I | FixedReset Ins Non | 1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 6.11 % |
| SLF.PR.I | FixedReset Ins Non | 1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.60 Bid-YTW : 6.37 % |
| BMO.PR.E | FixedReset Disc | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 22.18 Evaluated at bid price : 22.80 Bid-YTW : 4.75 % |
| MFC.PR.G | FixedReset Ins Non | 1.40 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 6.32 % |
| IAF.PR.G | FixedReset Ins Non | 1.47 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.70 Bid-YTW : 6.37 % |
| SLF.PR.H | FixedReset Ins Non | 1.65 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.28 Bid-YTW : 7.68 % |
| MFC.PR.L | FixedReset Ins Non | 1.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.70 Bid-YTW : 7.68 % |
| VNR.PR.A | FixedReset Disc | 17.60 % | In response to the proposed acquisition at 25.00.
YTW SCENARIO |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| VNR.PR.A | FixedReset Disc | 362,380 | In response to the proposed acquisition at 25.00.
YTW SCENARIO |
| SLF.PR.D | Deemed-Retractible | 207,600 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.10 Bid-YTW : 6.51 % |
| GWO.PR.S | Deemed-Retractible | 89,300 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.30 Bid-YTW : 5.63 % |
| GWO.PR.P | Deemed-Retractible | 87,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-03-31 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 5.44 % |
| RY.PR.O | Perpetual-Discount | 85,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 23.89 Evaluated at bid price : 24.36 Bid-YTW : 5.06 % |
| RY.PR.S | FixedReset Disc | 82,910 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-28 Maturity Price : 21.64 Evaluated at bid price : 22.00 Bid-YTW : 4.68 % |
| There were 39 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.G | FixedReset Ins Non | Quote: 21.00 – 25.00 Spot Rate : 4.0000 Average : 2.8193 YTW SCENARIO |
| BAM.PR.T | FixedReset Disc | Quote: 14.79 – 16.25 Spot Rate : 1.4600 Average : 0.8857 YTW SCENARIO |
| TD.PF.B | FixedReset Disc | Quote: 18.55 – 19.65 Spot Rate : 1.1000 Average : 0.6569 YTW SCENARIO |
| IFC.PR.A | FixedReset Ins Non | Quote: 16.10 – 16.88 Spot Rate : 0.7800 Average : 0.4449 YTW SCENARIO |
| TRP.PR.G | FixedReset Disc | Quote: 18.24 – 19.35 Spot Rate : 1.1100 Average : 0.8310 YTW SCENARIO |
| BAM.PR.B | Floater | Quote: 11.41 – 12.00 Spot Rate : 0.5900 Average : 0.3588 YTW SCENARIO |