August 15, 2019

The slide wasn’t big today, but we did see new lows!

TXPR closed at 582.66, down 0.34% on the day after setting a new 52-week low of 582.32. Volume was 3.33-million (within rounding error of yesterday’s figure), second only to July 19 in the past 30 days.

CPD closed at 11.635, down 0.13% on the day after setting a new 52-week low of 11.61. Volume of 120,970 was high, but not extraordinary in the context of the past thirty days.

ZPR closed at 9.23, down 0.32% on the day after setting a new 52-week low of 9.21. Volume of 219,493 was high, but not extraordinary in the context of the past thirty days.

Five-year Canada yields were down 3bp to 1.16% today.

Mohamed El-Erian provided an update of my favourite financial market chart:

negativeyielddebt_190815
Click for Big
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 -1.1666 % 1,829.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1666 % 3,357.5
Floater 6.53 % 6.70 % 40,952 12.86 4 -1.1666 % 1,934.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0282 % 3,337.4
SplitShare 4.67 % 4.74 % 63,782 4.06 7 0.0282 % 3,985.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0282 % 3,109.7
Perpetual-Premium 5.62 % -8.16 % 57,668 0.09 9 -0.1141 % 2,980.5
Perpetual-Discount 5.47 % 5.60 % 53,590 14.51 25 -0.1695 % 3,115.3
FixedReset Disc 5.89 % 5.54 % 148,047 14.55 66 -0.6673 % 1,978.0
Deemed-Retractible 5.27 % 6.05 % 71,931 7.87 27 -0.0239 % 3,092.7
FloatingReset 4.65 % 7.43 % 62,758 7.98 3 -0.1007 % 2,278.7
FixedReset Prem 5.19 % 4.66 % 168,440 1.92 21 -0.1716 % 2,564.4
FixedReset Bank Non 2.00 % 4.44 % 96,537 2.38 3 -0.3220 % 2,633.3
FixedReset Ins Non 5.55 % 8.19 % 103,638 7.93 21 -0.1137 % 2,053.5
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 10.18
Evaluated at bid price : 10.18
Bid-YTW : 7.18 %
NA.PR.W FixedReset Disc -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 5.79 %
BAM.PR.K Floater -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 10.24
Evaluated at bid price : 10.24
Bid-YTW : 6.87 %
BAM.PR.Z FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.32 %
TRP.PR.G FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 6.50 %
BAM.PF.G FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 6.54 %
BAM.PF.F FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 6.45 %
BAM.PR.T FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 13.86
Evaluated at bid price : 13.86
Bid-YTW : 6.44 %
HSE.PR.G FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.29 %
CM.PR.O FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 5.62 %
TRP.PR.E FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.45 %
PWF.PR.T FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 5.40 %
TRP.PR.F FloatingReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 7.43 %
BAM.PF.E FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 6.55 %
BMO.PR.D FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 5.42 %
CU.PR.G Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.45 %
CCS.PR.C Deemed-Retractible -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.77 %
IFC.PR.G FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.74
Bid-YTW : 7.97 %
CM.PR.R FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 5.69 %
TRP.PR.B FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 9.99
Evaluated at bid price : 9.99
Bid-YTW : 6.29 %
MFC.PR.F FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.69
Bid-YTW : 10.45 %
BAM.PR.B Floater -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 10.38
Evaluated at bid price : 10.38
Bid-YTW : 6.77 %
CU.PR.H Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 23.89
Evaluated at bid price : 24.35
Bid-YTW : 5.38 %
TD.PF.K FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 5.34 %
IAF.PR.G FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.65
Bid-YTW : 7.64 %
TRP.PR.A FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 12.23
Evaluated at bid price : 12.23
Bid-YTW : 6.52 %
BAM.PF.A FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.22 %
IFC.PR.A FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.67
Bid-YTW : 10.48 %
CU.PR.F Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.38 %
CM.PR.P FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 5.68 %
HSE.PR.E FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 7.29 %
SLF.PR.J FloatingReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.14
Bid-YTW : 10.81 %
MFC.PR.K FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.30
Bid-YTW : 8.56 %
CU.PR.C FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 5.56 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 320,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 5.41 %
TD.PF.H FixedReset Prem 129,273 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.89 %
TD.PF.M FixedReset Prem 118,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 22.91
Evaluated at bid price : 24.32
Bid-YTW : 5.01 %
TD.PF.B FixedReset Disc 109,840 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.29 %
BAM.PR.R FixedReset Disc 68,313 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.29 %
RY.PR.J FixedReset Disc 67,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 5.41 %
There were 49 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 16.01 – 17.00
Spot Rate : 0.9900
Average : 0.6493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 6.50 %

IFC.PR.A FixedReset Ins Non Quote: 13.67 – 14.60
Spot Rate : 0.9300
Average : 0.6668

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.67
Bid-YTW : 10.48 %

CCS.PR.C Deemed-Retractible Quote: 23.72 – 24.54
Spot Rate : 0.8200
Average : 0.6394

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.77 %

CU.PR.F Perpetual-Discount Quote: 21.00 – 21.45
Spot Rate : 0.4500
Average : 0.2733

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.38 %

TRP.PR.E FixedReset Disc Quote: 13.95 – 14.38
Spot Rate : 0.4300
Average : 0.3002

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.45 %

HSE.PR.A FixedReset Disc Quote: 10.18 – 10.60
Spot Rate : 0.4200
Average : 0.2937

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 10.18
Evaluated at bid price : 10.18
Bid-YTW : 7.18 %

2 Responses to “August 15, 2019”

  1. RAV4guy says:

    Re chart showing the increasing market value of negative yield debt.

    Why does someone own negative yield debt? Do they intend to hold it to maturity and take their loss?

    The only chance for a positive return that I see is that the current owner has to sell the debt for more than the purchase price. In that case the pool of buyers will soon be exhausted and this bubble will collapse.

  2. skeptical says:

    In that case the pool of buyers will soon be exhausted and this bubble will collapse.

    Not so fast. There are assured buyers of such products. By regulation, insurance companies, for example, have to hold a certain portion of their asset base in government bonds of certain credit quality. The bond market is signaling deflation ahead.

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