Corporate Bond Market Trends 25 January 2016 Stock of corporate - - PowerPoint PPT Presentation
Corporate Bond Market Trends 25 January 2016 Stock of corporate bonds has increased Debt Securities Outstanding (maturity > 1year) 1,400 14,000 US - Financials (LHS) 1,200 US - Non-Financial Corporates (LHS) 12,000 Canada - Financials
2
200 400 600 800 1,000 1,200 1,400 2,000 4,000 6,000 8,000 10,000 12,000 14,000 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014
CAD (bn) USD (bn)
Debt Securities Outstanding
(maturity > 1year) US - Financials (LHS) US - Non-Financial Corporates (LHS) Canada - Financials (RHS) Canada - Non-Financial Corporates (RHS) Source: Fed Flow of Funds, Statistics Canada
3
2010 2011 2012 2013 2014 2015
Canada US Canada US Canada US Canada US Canada US Canada US*
Total Trading Volume ($bn) 233 2,631 240 2,619 275 2,758 332 2,992 334 3,029 360 1,428 Average Trade Size ($m) 0.60 1.50 0.57 1.40 0.50 1.30 0.58 1.30 0.61 1.20 0.65 1.25 Turnover Proxy 18% 37% 18% 36% 19% 31% 23% 31% 22% 30% 20% 28%
*Up to May 29, 2015 Note: Canadian and US amounts are in the currencies of their respective countries. Turnover is calculated as the median across all individual bonds (each bond’s trading volume divided by the bond’s outstanding amount) Source: TRACE, CDS, Statistics Canada, Bloomberg, SIFMA, Bank of Canada calculations
4
500 1000 1500 2000 2500 3000 3500 4000 2010 2011 2012 2013 2014 2015 (C$bn)
Trading Volume
Mortgage Bonds Corporate Bonds Provincial Bonds
Source: CDS, Bank of Canada calculations
5
Trading Concentration
0% 10% 20% 30% 40% 50% 60% 500 1000 1500 2000 2500
Share of Annual Trading Volume
United States
2006 2008 2010 2012 2014 2015
Most Traded Least Traded Source: TRACE
About 22,000 unique bonds traded per year About 2,500 unique bonds traded per year
0% 10% 20% 30% 40% 50% 60% 100 200 300 400 500
Canada
Most Traded Least Traded Source: CDS
6
0% 10% 20% 30% 40% 50% Less than 1 year 1-2 years 2-3 years 3-4 years 4-5 years Less than 1 year 1-2 years 2-3 years 3-4 years 4-5 years Less than 1 year 1-2 years 2-3 years 3-4 years 4-5 years 2010 2012 2014
United States
Source: TRACE
Age of Bond
Distribution of trading volume by age of the bond
0% 10% 20% 30% 40% 50% Less than 1 year 1-2 years 2-3 years 3-4 years 4-5 years Less than 1 year 1-2 years 2-3 years 3-4 years 4-5 years Less than 1 year 1-2 years 2-3 years 3-4 years 4-5 years 2010 2012 2014
Canada
Source: CDS
Age of Bond
7
20 40 60 80 100 120 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Gross New Issuance ($bn)
Gross New Corporate and Financial Issuance in Canada
Non-Fin Corporates Financials
Source: Bank of Canada