Page 6 Fixed Income Quarterly—Benchmark Barometer
Table 4.3: March Index Rolls
Issuer
Coupon %
Maturity
Par Value ($mm)
Weight (%)
Modified Duration
Sector
Long to Mid
Canadian Utilities Inc.
Brookfield Asset Management Inc. Rogers Communication Inc. AltaGas Ltd.
Total
6.22 5.04 4.00 4.40
6-Mar-24
8-Mar-24 13-Mar-24 15-Mar-24
 120
500
600
200
1,420
0.01 0.04 0.05 0.02
7.66 7.81 8.13 8.04
Energy Industrial Communication Energy
Mid to Short
Canada
Saskatchewan
British Columbia
Bank of Montreal
BCIMC Realty Corp.
MCAP Commercial LP Loblaw Companies Ltd. Rogers Communication Inc. Bank of Nova Scotia Reliance LP
Artis REIT
Total
1.75 1.95 2.25 2.43 2.96 3.96 3.75 2.80 2.46 5.19 3.75
1-Mar-19 1-Mar-19 1-Mar-19 4-Mar-19 7-Mar-19 11-Mar-19 12-Mar-19 13-Mar-19 14-Mar-19 15-Mar-19 27-Mar-19
8,160 250 1,100 750 500 150 800 400 1,250 325 125 13,810
0.64 0.02 0.09 0.06 0.04 0.01 0.07 0.03 0.10 0.03 0.01
4.69 4.66 4.63 4.61 4.57 4.44 4.50 4.59 4.63 4.37 4.51
Federal Provincial Provincial Financial
Real Estate Financial Industrial Communication Financial Industrial
Real Estate
Deletions
C.I.B.C.
Ontario
Husky Energy Inc.
Canada Housing Trust
Royal Bank of Cda Covered Bank of Nova Scotia Trans-Northern Pipelines Inc. Total
3.10 4.50 3.75 2.95 3.18 3.34 4.74
2-Mar-15
8-Mar-15 12-Mar-15 15-Mar-15 16-Mar-15 25-Mar-15 31-Mar-15
1,500 2,894 300 6,000 850 1,000 51 12,595
0.12 0.24 0.02 0.48 0.07 0.08 0.00
0.98 0.97 0.97 0.98 0.98 0.97 0.82
Financial Provincial Energy Federal Financial Financial Energy
Source: PCBond, a business unit of TSX Inc.