7 Responses to “April 30, 2024”

1. brian says:

   May 1, 2024 at 10:51 am

   With CM.T and TD.L being redeemed yesterday, I kind of expected increased activity in the pref market. I assumed the big preferred share ETFs would own some of these redeemed prefs and thus have a big chunk of cash to reinvest in the pref market. Also, the individual retail owners of CM.T/TD.L might want to reinvest some of their cash.
   The pref market yesterday and today has been fairly quiet. Does anyone know what ACTUALLY happens at those big ETFs when they have a large redemption?

2. IrateAR says:

   May 2, 2024 at 12:38 pm

   There was large buying in the MOC on Tuesday and smaller buying yesterday. The broader market being down on Tuesday likely dampened the price move.

   It varies by funds some buy in MOC to track their index and some just do what they feel like.

3. brian says:

   May 2, 2024 at 9:31 pm

   Thanks IrateAR.
   I read about Market on Close orders but I’m still unclear on how it would work for prefs. With pref shares having such wide spreads and such low volume, how would a market-maker handle a very large MOC buy order if there’s no corresponding sellers? Wouldn’t the price have to shoot way up to accommodate the buy order?
   I trade at Scotia and have access to Level 2 data but I’ve never seen any MOC data or the option to place a MOC order – is this something only available to the big players? Thanks for any help.

4. DR says:

   May 3, 2024 at 5:58 am

   my 2 bits as someone who used to use MOC a lot when working at a bank dealer…

   firstly i would advice you to never actually place an MOC order yourself even if the facility were to be available to you. its little different than a market order and strange things can happen

   but if you suspect that there were to be large buy MOC orders like in this instance, then participate by having sell orders in the book at end of day (ie dont use a day order but rather gtc to be safe) at whatever price you wish above the market.

   the MOC clearing mechanism is much like the open and you may just get lucky if its a high clearing price

5. DR says:

   May 3, 2024 at 5:59 am

   advise…

6. IrateAR says:

   May 6, 2024 at 2:37 pm

   Brian – As far as the MOC mechanics go it’s explained at https://www.tsx.com/trading/tsx-venture-exchange/order-types-and-features/market-on-close.

   Starting a 3:50 the TSX begins distributing imbalance information. You can see the initial imbalance a little later at https://www.tsx.com/trading/market-data-and-statistics/market-statistics-and-reports/moc-imbalances/tsx-moc-imbalances.

   This used to be all of the information but now they distribute more details continuously until the close at 4pm which I’m not aware of a free source of. But the web site is a pretty good indication of if something is going on. There is a link there to see any names which are extended and don’t close until 4:10. This updates a bit after 4pm.

   So there’s a ten minute window for people to enter orders to help offset but you’re at the mercy of who is paying attention and how charitable they are feeling. For rebalance/redemption days where there are expected MOC flows people may be more prepared to offset and the price movements might be less than if the same basket was put in on a random day.

   Scotia does not provide access to MOC orders. If you put a regular limit order in before the close I believe it will participate in the MOC though so you’re could try putting something in outside the quote and hoping as DR said. I think Interactive Brokers provides MOC orders, not sure about others.

7. MAPF Performance: April, 2024 « PrefBlog says:

   May 11, 2024 at 10:13 am

   […] yield more, in general, than PerpetualDiscounts although the spread has narrowed considerably; on April 30, I reported median YTWs of 7.12% and 6.83%, respectively, for these two indices; compare with mean […]