Fixed Income Quarterly—Benchmark Barometer Page 9
Table 6.1: FTSE TMX Canada (formerly DEX) Universe Bond Index Total Return and Spread – Corporates
Short Mid Long Broad
Sector
Return
Spread (bps)
Return
Spread (bps)
Return
Spread (bps)
Return
Spread (bps)
MoM
YTD
MoM
YTD
MoM
YTD
MoM
YTD
MoM
YTD
MoM
YTD
MoM
YTD
MoM
YTD
All Corporates
0.07%
1.39%
-1.90
-8.59
0.11%
3.85%
-4.99
-13.90
0.29%
6.06%
-3.31
-9.33
0.13%
2.95%
-2.98
-8.68
Communication - Media Communication - Telecommunication Energy - Distribution
Energy - Exploration
Energy - Generation
Energy - Pipelines
Financial - Auto Finance
Financial - Bank
Financial - Insurance
Financial - Services
Infrastructure - Health
Infrastructure - Transportation Infrastructure - Utility
Other
Real Estate
Retail
Securitization
0.15% 0.16% 0.04% 0.15% 0.23% 0.11% 0.07% 0.03% 0.16% 0.08% 0.20% 0.05% 0.07% 0.17% 0.31% 0.18% 0.07%
0.99% 1.42% 1.31% 1.69% 1.95% 1.34% 1.50% 1.32% 1.55% 1.44% 1.04% 1.27% 1.53% 1.72% 2.31% 1.58% 1.10%
-3.67 -4.98 -2.41 -2.24 -7.87 -4.61 -3.53 -0.60 -5.74 -2.14 -8.38 -2.81 -3.51 -3.00
-12.72 -3.30 -2.31
-14.23 -13.09 -4.69 -9.89 -9.15 -4.10 -5.99 -8.07 -13.61 -8.11 -12.89 -8.15 -6.87 -15.15 -19.57 -12.39 -9.70
0.24% 0.20% -0.07% 0.25% 0.19% 0.00%
0.01% 0.19% 0.09% -0.01% -0.09% -0.10% 0.31% 0.15% 0.47%
4.11% 4.05% 3.56% 3.32% 4.42% 3.69% 0.42% 3.48% 3.73% 3.40% 0.39% 3.23% 3.83% 4.17% 4.37% 4.84%
-7.22 -5.16 -1.12 -8.70 -5.63 -1.51
-6.75 -6.67 -5.87 -4.45 -3.26 -1.92 -7.29 0.03 -2.74
-17.11 -13.82 -3.95 -12.56 -18.17 -5.01
-22.01 -15.61 -10.31
-8.33
-7.43 -18.69 -6.50 -14.43
1.75% 0.83% 0.11% 0.33% -0.02% 0.21%
0.35% 0.44% 0.57% 0.12% 0.06% 0.06% 0.76% -0.65% 1.10%
8.72% 6.48% 5.97% 5.55% 5.32% 5.70%
6.12% 6.21% 5.96% 5.83% 5.42% 6.15% 7.05% 4.82% 7.94%
-14.23 -7.34 -2.20 -4.80 0.10 -2.31
-3.25 -5.08 -6.22 -0.67 -0.71 -1.87 0.62 6.04
-10.75
-28.20 -13.21 -5.58 -4.49 -14.29 -7.18
-12.81 -10.60 -8.55 -11.48 -6.12 -6.00 -10.46 -4.14 -26.26
0.52% 0.35% 0.07% 0.22% 0.11% 0.10% 0.07% 0.04% 0.22% 0.13% 0.12% 0.03% 0.03% 0.30% 0.15% 0.54% 0.07%
4.17% 3.75% 4.92% 2.79% 4.40% 3.87% 1.51% 1.70% 3.05% 2.33% 5.12% 4.22% 4.83% 3.60% 3.53% 4.58% 1.10%
-7.15 -6.13 -2.60 -3.49 -3.86 -2.22 -3.53 -1.18 -5.86 -3.15 -2.02 -1.65 -2.22 -9.75 -5.15 -9.25 -2.31
-17.24 -13.30 -5.43 -8.28 -16.97 -5.69 -5.99 -8.06 -13.96 -7.20 -6.56 -6.73 -5.22 -17.80 -8.98 -20.22 -9.70
Source: PCBond, a business unit of TSX Inc., BMO Capital Markets
Table 6.2: FTSE TMX Canada (formerly DEX) Universe Bond Index Total Return and Spread – Bank Debt
Short Mid Long Broad
Bank Debt
Return
Spread (bps)
Return
Spread (bps)
Return
Spread (bps)
Return
Spread (bps)
MoM
YTD
MoM
YTD
MoM
YTD
MoM
YTD
MoM
YTD
MoM
YTD
MoM
YTD
MoM
YTD
Bank - Covered Bank - Senior Bank - Sub Bank - Tier 1 Bank - Tier 2A
0.00% -0.01% 0.13% 0.06% 0.20%
1.43% 1.31% 1.16% 1.71% 1.50%
9.29 0.34 -3.92 -3.06 -6.97
-0.24
-7.07 -12.88 -9.88 -13.21
-0.02% 0.00% 0.05%
3.62% 3.47% 3.31%
-5.82 -4.56 -5.37
-12.09 -17.03 -15.60
0.15% 0.25% 0.52%
5.98% 4.92% 6.41%
-2.09 -2.96 -5.24
-15.79 -8.82 -12.89
0.00% 0.00% 0.11% 0.13% 0.20%
1.43% 1.56% 1.62% 3.11% 1.50%
9.29 -0.06 -4.02 -4.25 -6.97
-0.24
-6.17 -13.46 -11.69 -13.21
Source: PCBond, a business unit of TSX Inc., BMO Capital Markets
Chart 6.1: FTSE TMX Canada (formerly DEX) Universe Bond Index Ranked Monthly Total Return – Corporates
Chart 6.2: FTSE TMX Canada (formerly DEX) Universe Bond Index Ranked Monthly Spread – Corporates
Retail Communication - Media Communication - Telecommunication Other Financial - Insurance Energy - Exploration Real Estate All Corporates Financial - Services Infrastructure - Health Energy - Generation Energy - Pipelines Financial - Auto Finance Securitization Energy - Distribution Financial - Bank Infrastructure - Transportation Infrastructure - Utility
0.00% 0.20% 0.40% 0.60% 0.80%
Total Return
0.54% 0.52%
0.35% 0.30%
0.22%
0.22% 0.15%
0.13% 0.13% 0.12%
0.11% 0.10%
0.07% 0.07% 0.07%
0.04% 0.03% 0.03%
Other
Retail Communication - Media Communication - Telecommunication Financial - Insurance Real Estate Energy - Generation Financial - Auto Finance Energy - Exploration Financial - Services All Corporates Energy - Distribution Securitization Energy - Pipelines Infrastructure - Utility Infrastructure - Health Infrastructure - Transportation Financial - Bank
- (4.00) (8.00) (12.00)
Spread (bps)
(9.75) (9.25)
(7.15) (6.13)
(5.86) (5.15)
(3.86) (3.53)
(3.49) (3.15)
(2.98) (2.60)
(2.31) (2.22) (2.22)
(2.02) (1.65)
(1.18)
Source: PCBond, a business unit of TMX Group Inc., BMO Capital Markets
More BBBs, Please
Corporate bonds were the mainstay of investor focus during March, tightening by another three basis points in the month. Unlike the start of the year, however, investor fancy for BBBs start to become more pronounced with sectors such as Media, Telecom, Real Estate, Retail and Insurance all experiencing the
Source: PCBond, a business unit of TMX Group Inc., BMO Capital Markets
best spread moves inwards. While the high-quality sectors did trail, their performance was not too shabby either. We expect the strong start to last a little longer, which has been typical the past couple of years, along with higher beta receiving early investor favour. We still advise investors to remain selective in the current environment of heightened uncertainty, as event risk can emerge at any time.