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 |
Re: structured notes, I was curious enough to click on the link to the prospectus, and I’d like to know who in their right mind would be dumb enough to participate in a product like this? Notwithstanding the criminal commission structure, this product has capped upside, tail risk downside, and on top of this, the income is converted from dividends eligible for the enhanced dtc, to interest! And it sold out!
jingaly , you say ” and it sold out ” who would be dumb enough to buy ? i always ask the same question about the purchasers of the negative int rate bonds ( there are over 9 trillion , yes with a T outstanding) and the new issues are reported to be oversubscribed . so i guess the same people that buy the neg rate bonds buy the notes you are talking about . we live in a bazarro world .