TXPR closed at 537.46, up 1.31% on the day. Volume today was 8.59-million, highest of the past 21 trading days and nearly five times as much as the second-ranking day.
CPD closed at 10.68, up 0.38% on the day. Volume was 36,290, near the median of the past 21 trading days.
ZPR closed at 8.97, down 0.33% on the day. Volume was 98,080, below the median of the past 21 trading days.
Five-year Canada yields were down to 3.85%.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| 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 | 0.5217 % | 2,233.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5217 % | 4,283.0 |
| Floater | 10.90 % | 11.12 % | 49,460 | 8.71 | 1 | 0.5217 % | 2,468.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1552 % | 3,318.9 |
| SplitShare | 5.08 % | 8.04 % | 46,226 | 2.40 | 7 | 0.1552 % | 3,963.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1552 % | 3,092.5 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1692 % | 2,545.6 |
| Perpetual-Discount | 6.69 % | 6.88 % | 48,289 | 12.74 | 28 | 0.1692 % | 2,775.9 |
| FixedReset Disc | 5.77 % | 8.38 % | 87,565 | 11.24 | 64 | 0.5134 % | 2,162.9 |
| Insurance Straight | 6.65 % | 6.81 % | 56,158 | 12.77 | 19 | 0.4192 % | 2,704.9 |
| FloatingReset | 11.39 % | 11.06 % | 36,684 | 8.74 | 2 | 0.7805 % | 2,410.6 |
| FixedReset Prem | 7.00 % | 6.85 % | 276,083 | 3.72 | 1 | 0.0000 % | 2,309.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5134 % | 2,210.9 |
| FixedReset Ins Non | 6.23 % | 7.97 % | 63,050 | 11.54 | 11 | 0.0103 % | 2,301.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| RY.PR.N | Perpetual-Discount | -2.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 5.87 % |
| SLF.PR.G | FixedReset Ins Non | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 12.65 Evaluated at bid price : 12.65 Bid-YTW : 9.41 % |
| CU.PR.D | Perpetual-Discount | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 18.14 Evaluated at bid price : 18.14 Bid-YTW : 6.88 % |
| FTS.PR.H | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 12.88 Evaluated at bid price : 12.88 Bid-YTW : 9.38 % |
| RY.PR.M | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 18.19 Evaluated at bid price : 18.19 Bid-YTW : 8.17 % |
| SLF.PR.C | Insurance Straight | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 6.31 % |
| CM.PR.O | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 8.31 % |
| TRP.PR.A | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 14.05 Evaluated at bid price : 14.05 Bid-YTW : 9.80 % |
| TD.PF.M | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 23.47 Evaluated at bid price : 24.00 Bid-YTW : 7.56 % |
| NA.PR.S | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 8.49 % |
| BN.PF.F | FixedReset Disc | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 10.07 % |
| BN.PR.X | FixedReset Disc | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 9.08 % |
| SLF.PR.J | FloatingReset | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 11.06 % |
| CU.PR.C | FixedReset Disc | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 8.29 % |
| MFC.PR.C | Insurance Straight | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 6.52 % |
| BN.PF.H | FixedReset Disc | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 9.25 % |
| IFC.PR.E | Insurance Straight | 1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.82 % |
| SLF.PR.E | Insurance Straight | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 6.40 % |
| BIP.PR.F | FixedReset Disc | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 8.20 % |
| BN.PR.R | FixedReset Disc | 2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 14.37 Evaluated at bid price : 14.37 Bid-YTW : 9.59 % |
| BIK.PR.A | FixedReset Disc | 2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 22.10 Evaluated at bid price : 22.75 Bid-YTW : 8.51 % |
| BN.PF.E | FixedReset Disc | 3.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 9.94 % |
| PWF.PR.P | FixedReset Disc | 7.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 12.40 Evaluated at bid price : 12.40 Bid-YTW : 9.59 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.Y | Insurance Straight | 241,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 16.53 Evaluated at bid price : 16.53 Bid-YTW : 6.89 % |
| PWF.PF.A | Perpetual-Discount | 241,177 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 16.31 Evaluated at bid price : 16.31 Bid-YTW : 6.94 % |
| GWO.PR.R | Insurance Straight | 240,894 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 17.63 Evaluated at bid price : 17.63 Bid-YTW : 6.89 % |
| CU.PR.J | Perpetual-Discount | 237,999 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 6.96 % |
| IFC.PR.E | Insurance Straight | 197,483 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.82 % |
| IFC.PR.K | Perpetual-Discount | 190,462 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 6.92 % |
| TD.PF.B | FixedReset Disc | 186,982 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 8.47 % |
| TD.PF.C | FixedReset Disc | 131,473 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-21 Maturity Price : 17.24 Evaluated at bid price : 17.24 Bid-YTW : 8.51 % |
| There were 98 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BMO.PR.T | FixedReset Disc | Quote: 17.29 – 24.00 Spot Rate : 6.7100 Average : 3.8284 YTW SCENARIO |
| CM.PR.O | FixedReset Disc | Quote: 17.95 – 23.92 Spot Rate : 5.9700 Average : 3.2035 YTW SCENARIO |
| CU.PR.C | FixedReset Disc | Quote: 18.25 – 22.72 Spot Rate : 4.4700 Average : 2.3714 YTW SCENARIO |
| RY.PR.M | FixedReset Disc | Quote: 18.19 – 22.70 Spot Rate : 4.5100 Average : 2.4370 YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | Quote: 17.46 – 20.85 Spot Rate : 3.3900 Average : 1.8558 YTW SCENARIO |
| POW.PR.C | Perpetual-Discount | Quote: 21.75 – 24.40 Spot Rate : 2.6500 Average : 1.5466 YTW SCENARIO |
In reply to the comments for the April 21, 2023 Market Action report, Abacin8 said:
“It was TXPR quarterly rebalance, why the volume and MOC orders.”
Friday, Jan. 20, 2023, April 21, 2023 and July 21, 2023 have all been commented upon in Market Action as the biggest volume days in the last 21 days. None of the other third Fridays in the other months of 2023 have had this remrkable amount of trading volume compared to the previous 21 days
Will the third Friday of October 2023, October 20, be commented on in a similar way? Is If this is a pattern is there any advantage to be gained by knowing about the pattern?.
“If this is a pattern is there any advantage to be gained by knowing about the pattern?”
RAV4guy, rebalancing for TXPR occurs after the close on the third Friday of
January, April, July, and October, so I am assuming we’ll see the benefits of high volume and good liquidity on each of those dates.
Since Blackrock’s CPD ETF is based on TXPR as the underlying index and therefore also rebalances quarterly, I also assume much of the market action is CPD buying and selling its underlying holdings into that market. What is interesting is that S&P’s “Index Policy” states that index rebalancing announcements are made available to its clients after the close of trading on the first Friday of the rebalancing month, ie. well before the effective date of rebalancing. So I am not sure what further “advantage”, as you put it, us lowly retail can derive from the quarterly rebalancing by the time it takes place if it is “baked in” already by that time …other than the aforementioned volume and liquidity.