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:
Click for Big
| 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 | -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 |
| IFC.PR.A | FixedReset Ins Non | Quote: 13.67 – 14.60 Spot Rate : 0.9300 Average : 0.6668 YTW SCENARIO |
| CCS.PR.C | Deemed-Retractible | Quote: 23.72 – 24.54 Spot Rate : 0.8200 Average : 0.6394 YTW SCENARIO |
| CU.PR.F | Perpetual-Discount | Quote: 21.00 – 21.45 Spot Rate : 0.4500 Average : 0.2733 YTW SCENARIO |
| TRP.PR.E | FixedReset Disc | Quote: 13.95 – 14.38 Spot Rate : 0.4300 Average : 0.3002 YTW SCENARIO |
| HSE.PR.A | FixedReset Disc | Quote: 10.18 – 10.60 Spot Rate : 0.4200 Average : 0.2937 YTW SCENARIO |
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.
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.