Yesterday RON.PR.A closed at 25.61-71, with a YTW of 4.01%-3.98% to perpetuity.<\/p>\n
After the close it was downgraded to Pfd-4(high) by DBRS<\/a>.<\/p>\n Today it closed at 21.85-25, with a YTW of 4.77%-4.65% to perpetuity. It went ex-dividend for 0.328125, but this still represents a decline of 13.40%.<\/p>\n It is interesting to speculate as to whether this is all due to the normal reaction of retail to a downgrade, or whether it might reflect institutional players positioning themselves for the removal of this issue from the indices at the next rebalancing. There’s going to be an awful lot of forced selling – and for an issue rated Pfd-4(high) by DBRS, the field of potential buyers will be more restricted than is usually the case when issues are removed from the indices on grounds of volume.<\/p>\n ZPR is comprised 0.51% of RON.PR.A<\/a> and is a $345.3-million fund<\/a>, so that’s $1.76-million worth, or about 68,800 shares (at yesterday’s prices).<\/p>\n CPD is comprised 0.33% of RON.PR.A<\/a> which the fund helpfully points out is worth $5,075,673, or 198,200 shares. (CPD is worth $1,453-million<\/a> now. Wow!)<\/p>\n So that’s a total of 267,000 shares in these two funds alone and there are 6-million shares outstanding, so that’s about 4.5% of the entire issue. To put it another way, HIMIPref™ calculates that the Average Trading Value (which deprecates isolated block trades) is about $164,000 per day, or about 6,400 shares. In other words, over forty days worth of trading will hit the market on the next index rebalancing. Now, that’s what I call a flood!<\/p>\n