Fixed Income Quarterly—Benchmark Barometer Page 7
Table 4.4: April Index Rolls
Issuer
Coupon %
Maturity
Par Value ($mm)
Weight (%)
Modified Duration
Sector
Long to Mid
Genworth MI Canada Inc. Telus Corp.
Total
4.24 3.35
1-Apr-24 1-Apr-24
160 1,100 1,260
0.01 0.08
8.09 8.24
Financial Communication
Mid to Short
Tim Hortons Inc. Toronto-Dominion Bk
Manulife Financial Corp.
IGM Financial Inc.
Brookfield Asset Management Inc. Nav Canada
Power Corporation of Cda York Ont Regl Munic. Total
2.85 2.45 7.77 7.35 3.95 5.30 7.57 5.00
1-Apr-19 2-Apr-19 8-Apr-19 8-Apr-19 9-Apr-19 17-Apr-19 22-Apr-19 29-Apr-19
450 2,000 465 364 600 350 203 400 4,831
0.04 0.16 0.05 0.04 0.05 0.03 0.02 0.04
4.63 4.68 4.16 4.18 4.47 4.39 4.20 4.45
Industrial Financial Financial Financial Industrial Infrastructure Financial Municipal
Deletions
Toronto-Dominion Bk John Deere Credit Inc. Telus Corp.
Bank of Montreal
Cdn Cr Card Tr 12-1 Bank of Montreal C.I.B.C.
Total
5.48 3.25 5.95 4.87 2.31 3.93 4.11
2-Apr-15
8-Apr-15 15-Apr-15 22-Apr-15 24-Apr-15 27-Apr-15 30-Apr-15
 775
150
490
238
330
1,250 975 4,207
0.06 0.01 0.04 0.02 0.03 0.10 0.08
0.96 0.99 0.99 1.02 1.04 1.04 1.04
Financial Financial Communication Financial Securitization Financial Financial
Source: PCBond, a business unit of TSX Inc.