Mohamed A. El-Erian has again updated my favourite financial market chart:
Click for Big
He also passed on another great chart:
Along with the chart showing that the stock of negative-yielding bonds now stands at some $17 trillion, this one, via Zerohedge on Austria’s 100-year bond, screams how unusual — very very very unusual — conditions are in global fixed income.
Issued two years ago with a yield of 2.1%, its price has doubled … implying that, if held to maturity, buyers today would recoup half of their investment.
Look tonight for a Bloomberg Opinion post on a related issue.
Click for Big
Husky, which has been a feature on the price-movement highlights charts recently, saw a modest counter-move today:
Shares in Husky Energy Inc. are up by about five per cent after an RBC Dominion Securities analyst suggested its low share price makes this a good time for the company to be taken private.
The stock jumped by as much as 47 cents to $9.24 on Monday morning, still well off its 52-week high of $22.98 set last Sept. 27.
In a report over the weekend, analyst Greg Pardy suggests that Husky’s near-15-year-low share prices make privatization attractive for the entities controlled by Hong Kong billionaire Li Ka-Shing which own 69.5 per cent of the equity.
There was more good news, of sorts, today: neither CPD nor ZPR made a new low!
TXPR closed at 580.66, down 0.07% on the day after setting a new 52-week low of 580.61. Volume was 1.54-million, the lowest since August 2 and nothing special in the context of the past 30 days.
CPD closed at 11.61, up 0.09% on the day. Volume of 84,120 was at about the median of the past 30 days.
ZPR closed at 9.25, up 0.22% on the day. Volume of 66,962 was very low in the context of the past thirty days.
Five-year Canada yields were up 2bp to 1.22% today.
So what’s going on with Structured Notes? BMO’s page shows JHN12544, to be issued August 21 with a seven year term; and JHN12545, to be issued August 21 with a seven year term. TD’s page shows Series 416 to be issued August 26 with a seven year term. National’s page shows nothing cooking after one was issued August 2 and four issued in July.
| 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 | -0.2375 % | 1,814.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2375 % | 3,329.8 |
| Floater | 6.58 % | 6.79 % | 42,081 | 12.73 | 4 | -0.2375 % | 1,919.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5703 % | 3,356.8 |
| SplitShare | 4.64 % | 4.67 % | 62,901 | 4.06 | 7 | 0.5703 % | 4,008.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5703 % | 3,127.8 |
| Perpetual-Premium | 5.64 % | -6.04 % | 61,829 | 0.09 | 9 | 0.1808 % | 2,974.1 |
| Perpetual-Discount | 5.47 % | 5.59 % | 53,920 | 14.50 | 25 | 0.1719 % | 3,113.8 |
| FixedReset Disc | 5.91 % | 5.55 % | 150,335 | 14.61 | 66 | -0.1448 % | 1,971.0 |
| Deemed-Retractible | 5.29 % | 6.07 % | 70,775 | 7.86 | 27 | 0.0450 % | 3,084.9 |
| FloatingReset | 4.69 % | 7.47 % | 59,638 | 7.93 | 3 | -0.1014 % | 2,263.5 |
| FixedReset Prem | 5.21 % | 4.85 % | 167,738 | 1.97 | 21 | 0.0057 % | 2,559.0 |
| FixedReset Bank Non | 1.99 % | 4.39 % | 93,987 | 2.37 | 3 | -0.0840 % | 2,641.0 |
| FixedReset Ins Non | 5.59 % | 8.10 % | 102,248 | 8.01 | 21 | 0.0367 % | 2,054.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.F | FixedReset Disc | -3.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 15.47 Evaluated at bid price : 15.47 Bid-YTW : 6.70 % |
| BAM.PR.R | FixedReset Disc | -2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 13.60 Evaluated at bid price : 13.60 Bid-YTW : 6.45 % |
| NA.PR.G | FixedReset Disc | -2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 18.83 Evaluated at bid price : 18.83 Bid-YTW : 5.64 % |
| CM.PR.S | FixedReset Disc | -1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.65 % |
| EMA.PR.F | FixedReset Disc | -1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 6.25 % |
| BAM.PR.T | FixedReset Disc | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 13.58 Evaluated at bid price : 13.58 Bid-YTW : 6.58 % |
| IAF.PR.G | FixedReset Ins Non | -1.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.53 Bid-YTW : 7.73 % |
| CU.PR.I | FixedReset Prem | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 24.35 Evaluated at bid price : 24.70 Bid-YTW : 4.93 % |
| CCS.PR.C | Deemed-Retractible | -1.60 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.36 Bid-YTW : 5.98 % |
| NA.PR.E | FixedReset Disc | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 17.88 Evaluated at bid price : 17.88 Bid-YTW : 5.59 % |
| MFC.PR.I | FixedReset Ins Non | -1.49 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.15 Bid-YTW : 8.10 % |
| TD.PF.E | FixedReset Disc | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 5.53 % |
| BMO.PR.Y | FixedReset Disc | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 5.46 % |
| TRP.PR.G | FixedReset Disc | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 6.49 % |
| NA.PR.S | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 16.11 Evaluated at bid price : 16.11 Bid-YTW : 5.83 % |
| TRP.PR.B | FixedReset Disc | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 9.90 Evaluated at bid price : 9.90 Bid-YTW : 6.35 % |
| NA.PR.W | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 15.16 Evaluated at bid price : 15.16 Bid-YTW : 5.76 % |
| BAM.PF.A | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 6.17 % |
| EIT.PR.A | SplitShare | 1.18 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2024-03-14 Maturity Price : 25.00 Evaluated at bid price : 25.71 Bid-YTW : 4.34 % |
| PVS.PR.G | SplitShare | 1.20 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 4.82 % |
| BIP.PR.A | FixedReset Disc | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 17.16 Evaluated at bid price : 17.16 Bid-YTW : 7.06 % |
| MFC.PR.J | FixedReset Ins Non | 1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.39 Bid-YTW : 7.96 % |
| IFC.PR.A | FixedReset Ins Non | 1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.96 Bid-YTW : 10.22 % |
| HSE.PR.E | FixedReset Disc | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 16.82 Evaluated at bid price : 16.82 Bid-YTW : 7.22 % |
| HSE.PR.G | FixedReset Disc | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 7.19 % |
| TD.PF.J | FixedReset Disc | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 19.59 Evaluated at bid price : 19.59 Bid-YTW : 5.25 % |
| PWF.PR.E | Perpetual-Discount | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 24.29 Evaluated at bid price : 24.60 Bid-YTW : 5.63 % |
| MFC.PR.Q | FixedReset Ins Non | 1.93 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.36 Bid-YTW : 7.95 % |
| MFC.PR.F | FixedReset Ins Non | 2.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.76 Bid-YTW : 10.27 % |
| PWF.PR.P | FixedReset Disc | 3.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 12.60 Evaluated at bid price : 12.60 Bid-YTW : 5.55 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.P | FixedReset Disc | 62,170 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 12.60 Evaluated at bid price : 12.60 Bid-YTW : 5.55 % |
| TD.PF.A | FixedReset Disc | 59,890 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 5.39 % |
| TD.PF.C | FixedReset Disc | 42,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 16.09 Evaluated at bid price : 16.09 Bid-YTW : 5.44 % |
| BNS.PR.I | FixedReset Disc | 32,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 5.20 % |
| TD.PF.K | FixedReset Disc | 31,002 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 5.35 % |
| CM.PR.S | FixedReset Disc | 29,015 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-19 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.65 % |
| There were 19 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| HSE.PR.A | FixedReset Disc | Quote: 10.50 – 11.30 Spot Rate : 0.8000 Average : 0.5825 YTW SCENARIO |
| BAM.PF.F | FixedReset Disc | Quote: 15.47 – 16.00 Spot Rate : 0.5300 Average : 0.3319 YTW SCENARIO |
| BAM.PR.R | FixedReset Disc | Quote: 13.60 – 14.15 Spot Rate : 0.5500 Average : 0.3535 YTW SCENARIO |
| TD.PF.E | FixedReset Disc | Quote: 18.51 – 19.03 Spot Rate : 0.5200 Average : 0.3290 YTW SCENARIO |
| CU.PR.C | FixedReset Disc | Quote: 16.12 – 16.75 Spot Rate : 0.6300 Average : 0.4557 YTW SCENARIO |
| BMO.PR.B | FixedReset Prem | Quote: 24.50 – 24.99 Spot Rate : 0.4900 Average : 0.3286 YTW SCENARIO |
i wonder, i just wonder, what would happen if all this deflation thesis is wrong, and we finally get a bout of inflation. just how violent will the reversal be in bond prices. the 100-year bond chart is simply amazing.
just how violent
Good question – question for the crowd: Anyone ever used bond paper as ass wipe?
A bit softer than pref paper!