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Fixed Income Quarterly—Benchmark Barometer
Duration and Weightings
Modified duration for the FTSE TMX Canada (formerly DEX) Universe Bond Index decreased by 0.3 during February as additions, re-openings and deletions were insufficient to off- set the natural roll of the curve. During the month there were $13.7 billion of index additions and $6 billion of re-openings, along with $12.6 billion of deletions. With most ($9 billion) of the deletions taking place in the government segment of the index and over $8 billion of additions in the corporate space,
Table 3.1: FTSE TMX Canada (formerly DEX) Universe Bond Index Modified Duration Projections
the weighting for all corporates rose by 31 basis points during the month to 30.7%.
For April, the index’s modified duration is forecast to drop 0.05 since deletions are relatively modest, at $4.2 billion, which is expected to be insufficient to offset the natural roll of the index. All of the deletions take place in the Corporate segment during April, which is projected to keep its modified duration relatively flat, while its weighting is forecast to drop by 30 basis points.
Table 3.2: FTSE TMX Canada (formerly DEX) Universe Bond Index Weightings Projections (%)
Sector
31-Mar-14
30-Apr-14
Change
Broad
Composite
All Government(1)
Canada Agency Provincial Municipal
All Corporate
6.81 7.39
6.31 4.72 9.31 8.08 5.43
6.76 7.31
6.23 4.64 9.24 8.02 5.43
(0.05) (0.08)
(0.08) (0.08) (0.07) (0.06) (0.01)
Short
Composite
All Government(1)
Canada Agency Provincial Municipal
All Corporate
2.72 2.72
2.43 2.97 3.07 3.04 2.73
2.68 2.64
2.35 2.89 2.99 3.06 2.73
(0.05) (0.08)
(0.08) (0.08) (0.08)
0.02 0.00
Mid
Composite
All Government(1)
Canada Agency Provincial Municipal
All Corporate
6.18 6.33
6.23 6.58 6.32 6.08 5.78
6.14 6.26
6.15 6.51 6.24 6.10 5.82
(0.04) (0.08)
(0.08) (0.08) (0.08)
0.02 0.04
Long
Composite
All Government(1)
Canada Agency Provincial Municipal
All Corporate
13.81 13.99
13.92 14.56 14.01 14.89 13.06
13.77 13.92
13.84 14.48 13.94 14.84 13.12
(0.04) (0.07)
(0.08) (0.08) (0.07) (0.06)
0.06
Sector
31-Mar-14
30-Apr-14
Change
Broad
Composite
All Government(1)
Canada Agency Provincial Municipal
All Corporate
100.00 70.24
26.54 11.58 30.15 1.81 29.76
100.00 70.54
26.65 11.63 30.29 1.81 29.46
0.00 0.30
0.11 0.05 0.14 0.00
(0.30)
Short
Composite
All Government(1)
Canada Agency Provincial Municipal
All Corporate
44.79 27.90 13.90 7.48 5.93 0.57 16.88
44.98 28.04 13.95 7.51 5.95 0.60 16.94
0.19 0.14
0.05 0.03 0.02 0.04 0.05
Mid
Composite
All Government(1)
Canada Agency Provincial Municipal
All Corporate
26.73 19.52 5.48 3.43 9.98 0.64 7.21
26.52 19.57 5.50 3.44 10.02 0.60 6.95
(0.21) 0.05 0.02 0.01 0.05
(0.03) (0.26)
Long
Composite
All Government(1)
Canada Agency Provincial Municipal
All Corporate
28.48 22.82 7.15 0.68 14.25 0.60 5.66
28.51 22.93 7.19 0.68 14.32 0.61 5.58
0.02 0.11
0.04 0.00 0.07 0.00
(0.09)
Note: (1) Supranationals category has not been broken out of All Govern- ment total (2) Duration figures exclude impact of amortizing securities. Source: PCBond, a business unit of TSX Inc., BMO Capital Markets
Note: (1) Supranationals category has not been broken out of All Govern- ment total (2) Duration figures exclude impact of amortizing securities. Source: PCBond, a business unit of TSX Inc., BMO Capital Markets