{"id":48607,"date":"2017-07-14T23:07:00","date_gmt":"2017-07-15T03:07:00","guid":{"rendered":"https:\/\/prefblog.com\/?p=48607"},"modified":"2025-07-22T23:08:53","modified_gmt":"2025-07-23T03:08:53","slug":"td-pf-i-firm-on-decent-volume","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=48607","title":{"rendered":"TD.PF.I Firm On Decent Volume"},"content":{"rendered":"<p>TD.PF.I, a FixedReset, 4.50%+301, NVCC-compliant issue <a href=\"http:\/\/prefblog.com\/?p=35102\">announced 2017-07-05<\/a> closed today. It will be tracked by HIMIPref\u2122 and has been assigned to the FixedResets subindex.<\/p>\n<p>The issue traded 775,498 shares today in a tight range of 24.97-02 before closing at 25.00-01. Vital statistics are:<\/p>\n<div align=\"center\">\n<table border=\"1\">\n<tr>\n<td>TD.PF.I<\/td>\n<td>FixedReset<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-07-14<br \/>\nMaturity Price  : 23.14<br \/>\nEvaluated at bid price : 25.00<br \/>\nBid-YTW : 4.41 %<\/td>\n<\/tr>\n<\/table>\n<\/div>\n<p><a href=\"http:\/\/prefblog.com\/?p=32354\">Implied Volatility for FixedResets<\/a> analysis shows:<\/p>\n<div align=\"center\"><a href=\"http:\/\/prefblog.com\/wp-content\/uploads\/2017\/07\/impVol_TD_170714.jpg\"><img loading=\"lazy\" decoding=\"async\" src=\"http:\/\/prefblog.com\/wp-content\/uploads\/2017\/07\/impVol_TD_170714-300x247.jpg\" alt=\"impvol_td_170714\" width=\"400\" height=\"329\" class=\"alignnone size-medium wp-image-35127\" ><\/a><br \/><i>Click for Big<\/i><\/div>\n<p>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.<\/p>\n<div align=\"center\"><a href=\"http:\/\/prefblog.com\/wp-content\/uploads\/2017\/07\/impVol_TD_170714adj.jpg\"><img loading=\"lazy\" decoding=\"async\" src=\"http:\/\/prefblog.com\/wp-content\/uploads\/2017\/07\/impVol_TD_170714adj-300x247.jpg\" alt=\"impvol_td_170714adj\" width=\"400\" height=\"329\" class=\"alignnone size-medium wp-image-35128\" ><\/a><br \/><i>Click for Big<\/i><\/div>\n<p>The new fit is significantly better, with a sum of squared errors of 1.40 compared to 1.86 when today&#8217;s data is imposed on the prior parameters.<\/p>\n<p>One thing that hasn&#8217;t change is the apparent richness of TD.PF.I &#8211; the theoretical price is now 24.28 compared to 24.30 on announcement day.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>TD.PF.I, a FixedReset, 4.50%+301, NVCC-compliant issue announced 2017-07-05 closed today. It will be tracked by HIMIPref\u2122 and has been assigned to the FixedResets subindex. The issue traded 775,498 shares today in a tight range of &hellip;<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[13],"tags":[],"class_list":["post-48607","post","type-post","status-publish","format-standard","hentry","category-issue-comments"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48607","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=48607"}],"version-history":[{"count":1,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48607\/revisions"}],"predecessor-version":[{"id":48608,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48607\/revisions\/48608"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=48607"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=48607"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=48607"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}