PrefBlog

Well! There’s going to be a little bounce in the tracking error reports next time the ETF figures come out!

TXPR was down 0.81%:

See that? Just a tiny little sliver of vertical drop at 3:59pm, from about 676.70 to what the TMX claims is 672.10, although that’s off the chart.

But the ETF based on TXPR, CPD? Down a mere 0.37%:

TXPL? Down 1.15% … you can just see a little sliver at the end, where the index moves from about 728.25 to a claimed 721.77, which is again off the chart.

How about the ETF based on TXPL, ZPR? Down a mere 0.18%:

It’s rather odd. Unfortunately the Exchange’s indices are based on prices while my indices and all my data are based on quotes, but we’ll see what we can do … let’s look at some of the big losers on a bid/bid basis:

The day’s range was 21.38-66 (quite reasonable!), but the closing quote was 20.44-50, 40×2, which must be some kind of record for separation between the two measures. There are nine trades timestamped 3:59, totalling 1,680 shares, executed in a range of 21.38-40. Six of these trades are listed with RBC as the seller, three with anonymous.

The day’s range was 22.64-23.95 (!) with a closing quote of 22.82-24.05 (!), 17×20. There are five trades timestamped 3:59, totalling 600 shares, executed in a range of 22.64-82. Four of these trades have an anonymous seller, one RBC.

The day’s range was 11.70-32 with a closing quote of 11.75-24, 19×3. There were no trades timestamped 3:59.

The day’s range was 14.18-92 with a closing quote of 14.18-55, 8×1. There are 24 trades timestamped 3:59, totalling 2,460 shares, executed in a range of 14.18-50. Fourteen of these trades have an anonymous seller, nine RBC, one Nesbitt.

The day’s range was 15.23-85 with a closing quote of 15.19-74, 5×3. There are six trades timestamped 3:59, totalling 700 shares, executed in a range of 15.23-38. Five of these trades have an anonymous seller, one RBC.

The day’s range was 21.00-91 with a closing quote of 21.00-55, 15×1. There are thirteen trades timestamped 3:59, totalling 1,666 shares, executed in a range of 21.00-70 (!) There is one sale from Laurentian, five from RBC and seven anonymous.

The day’s range was 21.00-94 with a closing quote of 21.00-67, 15×1. There are fourteen trades timestamped 3:59, totalling 1,366 shares, executed in a range of 21.00-65 (!). There are two sales from National, four from RBC and eight anonymous.

The day’s range was 20.01-21.54 (!) with a closing quote of 20.65-21.75 (!), 8×56. There are six trades timestamped 3:59, totalling 700 shares, all executed at 20.67 (the day’s low of 20.01 was 400 shares executed at 3:12, seller was National). Five of the last minute sales were anonymous, one RBC.

The day’s range was 18.42-10, with a closing quote of 18.42-06, 3×1. There are thirteen trades timestamped 3:59, totalling 2,400 shares, executed in a range of 18.42-95. Seven of these trades are RBC, six anonymous.

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Well, that’s enough examples to be getting along with!

Here’s my guess: a broker from RBC decided to get a lot of his clients out of the preferred share market and his Sales Assistant spent all day inputting the orders for execution at 3:59. Some of these were put in as anonymous, some as RBC (maybe their algorithm input screen has a tick box and default?). The behaviour of BMO.PR.W suggests that these were limit orders (maybe a limit of 20.50 on those?) but other evidence (e.g., CM.PR.Q) suggests that if there was a limit, it was pretty low relative to the day’s trading.

Then the clock ticked 3:59 and presto! The market, being thin, got moronized on relatively tiny volume!

I will emphasize that the above is a guess! I have no way of telling whether the orders listed as anonymous were in fact coming out of RBC. The RBC broker might have been given explicit instructions by clients about how they wanted the trades executed. Each of these tiny little sales that I do know came out of RBC could have been from a different broker. They could also have come directly out of individual investors independently via RBC Direct Investing. It could have been an institutional client with Direct Market Access via RBC (or even RBC’s preferred desk itself), doing something silly with an algorithm. It could have been a lot of things.

This entry was posted on Wednesday, August 19th, 2015 at 9:04 pm and is filed under Issue Comments. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.