negative convexity bond in $C

Discussion in 'Trading' started by zf trader, Feb 15, 2010.

  1. Anyone know where I can find prices for negative convexity bonds denominated in Canadian dollars? I have been hunting around the internet and I can't find what I'm looking for.

    Maybe a better question is does such a thing exist? The Ft article that spark this thought program was about American MBS, which of course factor in all the re-finance and walk away provisions that American consumers have

    With the steep yield curve in Canada I was thinking that some negative convexity assets could be a good hedge for those borrowing at short term floating rates.

    Any thoughts?
  2. If too much scared money stepped into this - aka speculative capital unleashed by easy money, you could create a bond rout.

    Basis trades would blow out yet again especially if they have a fixed view of the curve...

    I think the feds QE effect steepens the curve(artificial stimulus of course), but the MBS effect will flatten the curve, as will risk aversion over time, and other macro effects such as the USD

    Convertible Bonds have the same negative consequences because of negative convexity...

    As for Canadian denominated... I have no clue.. As an example, Maybe convertible bonds in Canadian Banks have this issue?