The TXPR price index set a new 52-week high of 694.10 today, beating the old mark of 693.91 set on November 11.
TXPR was helped along by amazing performance of PWF.PR.P, up 11.06% on a close-close basis, due to four trades executed at 3:46-3:47pm, all buys by RBC from CIBC. This took the market from a close of 19.26 yesterday, through 20.00 at 3:18, through the first two of the four trades at 20.69, through the third at 20.70 to 100 shares at the close of 21.39. It is of interest to note that RBC was on the buy side all day long; not quite monopolizing the market but making a damn good effort!
By my count, RBC was the buyer in 22 of the 27 TSX trades today, accounting for 6,600 of the 7,100 shares traded at the venue. Consolidated volume (including all the ATSs) was 19,750, so I’ll guess they bought somewhere a little north of $300,000 worth altogether (actual numbers are probably available somewhere). This is too much – and spread over too much time – to be some idiot placing a market or fat-finger order; and it seems unlikely that somebody with that much money to spend suddenly realized that PWF.PR.P will reset soon and, um, might therefore go up. So I’m gonna guess that it’s a buy-in, with RBC getting aggressive (while still reasonably patient – most TSX trades are for 100 shares) at about 3pm. The buy-in could be because of an unmargined short or a failed delivery.
Thanks to the newly arrived Assiduous Reader Le_bib for bringing this to my attention!
| 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 | -0.0254 % | 2,428.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0254 % | 4,604.4 |
| Floater | 5.93 % | 6.14 % | 59,277 | 13.74 | 3 | -0.0254 % | 2,653.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1892 % | 3,667.3 |
| SplitShare | 4.76 % | 4.16 % | 72,301 | 3.17 | 5 | 0.1892 % | 4,379.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1892 % | 3,417.1 |
| Perpetual-Premium | 5.63 % | 0.61 % | 85,129 | 0.09 | 7 | 0.2079 % | 3,119.7 |
| Perpetual-Discount | 5.52 % | 5.64 % | 51,943 | 14.38 | 26 | 0.0892 % | 3,423.4 |
| FixedReset Disc | 5.81 % | 5.98 % | 105,062 | 13.58 | 31 | 0.2008 % | 3,143.0 |
| Insurance Straight | 5.57 % | 5.49 % | 59,788 | 14.65 | 21 | -2.0779 % | 3,258.8 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2008 % | 3,739.0 |
| FixedReset Prem | 5.90 % | 4.39 % | 98,427 | 2.52 | 20 | -0.0883 % | 2,657.3 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2008 % | 3,212.8 |
| FixedReset Ins Non | 5.25 % | 5.50 % | 81,935 | 14.42 | 13 | -0.0132 % | 3,126.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.L | Insurance Straight | -38.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 9.20 % |
| ENB.PR.F | FixedReset Disc | -2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 6.59 % |
| ENB.PR.B | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.48 % |
| IFC.PR.E | Insurance Straight | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 23.48 Evaluated at bid price : 23.78 Bid-YTW : 5.48 % |
| RY.PR.S | FixedReset Prem | -1.23 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-02-24 Maturity Price : 25.00 Evaluated at bid price : 26.54 Bid-YTW : 3.98 % |
| SLF.PR.C | Insurance Straight | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 21.34 Evaluated at bid price : 21.61 Bid-YTW : 5.16 % |
| GWO.PR.Q | Insurance Straight | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 22.71 Evaluated at bid price : 22.95 Bid-YTW : 5.63 % |
| BN.PF.F | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 23.13 Evaluated at bid price : 24.60 Bid-YTW : 5.91 % |
| PWF.PR.S | Perpetual-Discount | 1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 22.12 Evaluated at bid price : 22.40 Bid-YTW : 5.43 % |
| ENB.PF.C | FixedReset Disc | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 21.91 Evaluated at bid price : 22.34 Bid-YTW : 6.32 % |
| ENB.PR.D | FixedReset Disc | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.33 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| G WO.PR.M |
Insurance Straight | 72,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2026-01-21 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : -31.52 % |
| BIP.PR.B | FixedReset Disc | 41,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2026-01-30 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 6.63 % |
| FTS.PR.M | FixedReset Disc | 31,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 23.11 Evaluated at bid price : 24.60 Bid-YTW : 5.55 % |
| ENB.PF.K | FixedReset Prem | 30,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 23.56 Evaluated at bid price : 25.06 Bid-YTW : 6.16 % |
| FFH.PR.I | FixedReset Disc | 21,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2026-01-30 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 5.31 % |
| BN.PF.C | Perpetual-Discount | 13,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.75 % |
| There were 5 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| See TMX DataLinx: ‘Last’ != ‘Close’ and the posts linked th erein for an idea of why these quotes are so horrible. |
||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.L | Insurance Straight | Quote: 15.50 – 25.36 Spot Rate : 9.8600 Average : 5.3201 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 9.20 % |
| PWF.PR.P | FixedReset Disc | Quote: 19.36 – 21.35 Spot Rate : 1.9900 Average : 1.1113 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 19.36 Evaluated at bid price : 19.36 Bid-YTW : 5.98 % |
| ENB.PR.F | FixedReset Disc | Quote: 21.20 – 21.96 Spot Rate : 0.7600 Average : 0.4697 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 6.59 % |
| PVS.PR.L | SplitShare | Quote: 25.85 – 27.00 Spot Rate : 1.1500 Average : 0.8760 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 4.75 % |
| POW.PR.C | Perpetual-Premium | Quote: 26.00 – 26.60 Spot Rate : 0.6000 Average : 0.3737 YTW SCENARIO Maturity Type : Call Maturity Date : 2026-01-21 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : -27.14 % |
| ENB.PF.A | FixedReset Disc | Quote: 22.22 – 23.15 Spot Rate : 0.9300 Average : 0.7682 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-22 Maturity Price : 21.85 Evaluated at bid price : 22.22 Bid-YTW : 6.43 % |
According to Stockwatch the close was different than what the TMX shows.
https://www.stockwatch.com/Quote/Detail.aspx?C:PWF.PR.P
This show the consolidated volume was 25.7K shares for $507K, with two trades at 3:58PM for 100 shares @ $20.72 done on CXD without RBC involvement. The volume on the NEO ATS is shown as 13K.
None of this changes Mr. Hymas’s analysis of the situation. I am just adding for clarity or correction. If Stockwatch data is garbage please tell me. I often look at it before trading.