Page 8 Fixed Income Quarterly—Outlook
Table 4: Modified Duration Matrix
Sector
30-Apr-13
31-May-13
28-Jun-13
31-Jul-13
30-Aug-13
30-Sep-13
31-Oct-13
29-Nov-13
31-Dec-13
31-Jan-14
28-Feb-14
31-Mar-14
Broad
Composite
6.91
6.80
6.82
6.74
6.67
6.68
6.67
6.60
6.72
6.83
6.87
6.84
All Government
Canada Agencies Provincials Municipals
7.30
6.28 4.14 9.49 7.92
7.19
6.23 4.10 9.31 7.87
7.29
6.36 4.24 9.32 7.92
7.18
6.22 4.15 9.23 7.90
7.13
6.24 4.12 9.09 7.87
7.15
6.14 4.24 9.17 7.89
7.12
6.08 4.18 9.18 7.92
7.05
6.08 4.16 9.03 7.74
7.25
6.19 4.72 9.15 7.93
7.34
6.21 4.71 9.33 8.07
7.41
6.40 4.69 9.30 8.16
7.39
6.31 4.77 9.28 8.06
All Corporates
Corporate AA Corporate A Corporate BBB
5.93
3.31 7.01 6.72
5.81
3.22 6.88 6.64
5.70
3.23 6.79 6.50
5.68
3.24 6.77 6.51
5.57
3.18 6.67 6.39
5.57
3.13 6.73 6.35
5.59
3.12 6.88 6.30
5.57
3.15 6.85 6.24
5.52
3.13 6.78 6.25
5.64
3.17 6.91 6.34
5.63
3.19 6.87 6.33
5.61
3.23 6.81 6.30
Short
Composite
2.67
2.64
2.78
2.72
2.69
2.71
2.66
2.65
2.78
2.72
2.71
2.72
All Government
Canada Agencies Provincials Municipals
2.56
2.34 2.70 2.95 2.99
2.51
2.32 2.61 2.88 2.95
2.73
2.52 2.92 2.99 3.18
2.64
2.43 2.83 2.90 3.10
2.61
2.45 2.75 2.82 3.02
2.67
2.47 2.81 3.01 2.97
2.60
2.40 2.74 2.97 2.94
2.57
2.38 2.66 2.90 2.98
2.77
2.42 3.08 3.12 3.26
2.70
2.35 3.01 3.05 3.20
2.70
2.38 2.93 3.02 3.13
2.72
2.43 2.97 3.07 3.04
All Corporates
Corporate AA Corporate A Corporate BBB
2.89
2.99 2.80 2.85
2.87
2.93 2.78 2.90
2.88
2.89 2.83 2.95
2.87
2.89 2.79 3.00
2.83
2.86 2.72 2.98
2.78
2.80 2.67 2.95
2.76
2.77 2.70 2.85
2.80
2.81 2.75 2.83
2.79
2.80 2.71 2.88
2.76
2.79 2.66 2.83
2.73
2.75 2.62 2.85
2.73
2.78 2.55 2.87
Mid
Composite
6.27
6.17
6.42
6.35
6.26
6.32
6.27
6.21
6.33
6.28
6.21
6.17
All Government
Canada Agencies Provincials Municipals
6.39
6.21 6.57 6.44 5.98
6.27
6.06 6.46 6.34 5.88
6.59
6.80 6.63 6.50 5.93
6.49
6.64 6.54 6.42 5.85
6.38
6.49 6.45 6.34 5.76
6.48
6.61 6.42 6.46 6.01
6.42
6.54 6.35 6.41 5.97
6.34
6.39 6.35 6.33 5.93
6.51
6.38 6.93 6.47 6.15
6.45
6.28 6.88 6.43 6.17
6.37
6.15 6.81 6.38 6.10
6.32
6.23 6.56 6.31 6.08
All Corporates
Corporate AA Corporate A Corporate BBB
5.91
5.47 5.92 5.96
5.87
5.72 5.82 5.94
5.90
6.00 5.85 5.93
5.91
5.85 5.93 5.90
5.88
5.86 5.87 5.89
5.84
5.79 5.79 5.90
5.83
5.87 5.76 5.88
5.80
5.79 5.78 5.81
5.80
5.77 5.78 5.82
5.81
5.80 5.78 5.83
5.79
5.75 5.77 5.82
5.77
5.64 5.74 5.83
Long
Composite
13.82
13.56
13.67
13.59
13.38
13.53
13.53
13.41
13.55
13.72
13.67
13.58
All Government
Canada Agencies Provincials Municipals
14.07
14.22 11.00 14.05 15.06
13.77
13.91 10.25 13.79 14.84
14.02
14.61 10.06 13.88 14.63
13.91
14.52 10.00 13.74 14.64
13.67
14.23 9.49 13.57 14.48
13.90
14.15 10.50 13.85 14.58
13.87
13.99 10.47 13.89 14.55
13.72
13.88 10.54 13.71 14.40
13.91
13.99 14.64 13.85 14.55
14.07
14.14 14.95 14.00 14.76
14.00
14.01 13.71 14.02 14.82
13.88
13.92 13.58 13.88 14.68
All Corporates
Corporate AA Corporate A Corporate BBB
12.95
8.97 13.19 12.91
12.80
8.81 13.05 12.74
12.49
8.68 12.78 12.35
12.52
8.66 12.86 12.29
12.41
8.55 12.71 12.25
12.34
8.56 12.59 12.23
12.44
8.50 12.70 12.32
12.41
8.40 12.69 12.24
12.37
8.33 12.66 12.19
12.57
8.41 12.88 12.37
12.54
8.35 12.88 12.31
12.57
8.42 12.91 12.32
Source: PCBond, a business unit of TSX Inc. As of March 31, 2014