Fixed Income Quarterly—Benchmark Barometer
Page 15
Table 10.1: Ten Best Performers Ranked by Total Return According to Macaulay Duration (1 to 4 years)
Coupon Macaulay Modified Interest Price Total Issue (%) Maturity Duration Duration Par Value Return Return Return
Monthly
Alberta CF Amrtzing Deb - 013051CR6 Veresen Inc. - 92343ZAC9
Calloway REIT - 131253AC0 Algonquin Power Co. - 01585PAA3 Aimia Inc - 00900QAB9
MI Developments Inc. - 55304XAA2
Genworth MI Canada Inc. - 37252BAB8
Aimia Inc - 00900QAD5
Manulife Fin. Delaware LP - 56502FAB7 Great-West Lifeco Fin. (Delaware) LPII - 391385AA
5.93 3.95 5.37 5.50 6.95 6.05 4.59 4.35 4.45 7.13
09/16/2016 03/14/2017 10/12/2016 07/25/2018 01/26/2017 12/22/2016 12/15/2015 01/22/2018 12/15/2016 06/26/2018
1.4607 2.8241 2.3623 3.9017 2.6066 2.5336 1.6525 3.5431 2.5646 3.7330
1.4511 2.7911 2.3399 3.8429 2.5723 2.4917 1.6352 3.4901 2.5378 3.6875
127,853,952 300,000,000 250,000,000 135,000,000 167,400,000 265,000,000 150,000,000 200,000,000 550,000,000 500,000,000
0.43% 0.30% 0.37% 0.38% 0.47% 0.43% 0.33% 0.32% 0.32% 0.46%
0.44% 0.31% 0.19% 0.15% 0.06% 0.07% 0.08% 0.08% 0.01% -0.15%
0.87% 0.61% 0.56% 0.54% 0.53% 0.50% 0.42% 0.40% 0.33% 0.30%
YTD
Algonquin Power Co. - 01585PAA3
Aimia Inc - 00900QAD5
H&R Real Estate Invest. Trust - 403925AR1 Choice Properties REIT - 17039AAA4
Great-West Lifeco Fin. (Delaware) LPII - 391385AA Holcim Finance Canada - 43474PAC5
Calloway REIT - 131253AN6
RioCan REIT - 766910AV5
Borealis Infrastr Tr - 09972BAA8
Aimia Inc - 00900QAB9
5.50 4.35 3.34 3.55 7.13 3.65 3.39 2.87 6.35 6.95
07/25/2018 01/22/2018 06/20/2018 07/05/2018 06/26/2018 04/10/2018 12/01/2017 03/05/2018 12/01/2020 01/26/2017
3.9017 3.5431 3.9492 3.9788 3.7330 3.7341 3.4570 3.7458 3.3116 2.6066
3.8429 3.4901 3.8928 3.9268 3.6875 3.6852 3.4120 3.6968 3.2642 2.5723
135,000,000 200,000,000 175,000,000 400,000,000 500,000,000 300,000,000 150,000,000 250,000,000
80,460,813 167,400,000
1.18% 0.98% 0.81% 0.84% 1.47% 0.84% 0.80% 0.69% 1.37% 1.46%
2.49% 2.46% 2.45% 2.20% 1.52% 2.06% 1.98% 1.99% 1.30% 1.20%
3.67% 3.45% 3.26% 3.05% 2.99% 2.90% 2.79% 2.68% 2.68% 2.66%
9
9
Source: PCBond, a business unit of TSX Inc.
Table 10.2: Ten Worst Performers Ranked by Total Return According to Macaulay Duration (1 to 4 years)
Coupon Macaulay Modified Interest Price Total Issue (%) Maturity Duration Duration Par Value Return Return Return
Monthly
Nova Scotia Schools Tr. - 80927YAB3 Ontario - 683234TQ1
Manitoba - 563469FP5
B.C. MFA - 626209JD3
Canada - 135087YL2
Alberta - 013051DH7
Nova Scotia Schools Tr. - 80927YAA5 British Columbia - 11070ZDE1 Ontario - 683234ZQ4
7.31 5.50 4.25 4.60 4.25 1.70 6.22 5.60 4.20
09/17/2020 06/02/2018 03/05/2018 04/23/2018 06/01/2018 12/15/2017 07/13/2020 06/01/2018 03/08/2018
3.3626 3.7656 3.6729 3.7118 3.8453 3.6011 3.2465 3.7579 3.6833
3.3114 3.7296 3.6406 3.6764 3.8165 3.5714 3.2237 3.7237 3.6499
19,817,598 715,000,000 250,000,000 440,000,000
9,232,664,000 1,250,000,000 32,552,295 200,000,000 3,000,000,000
0.62% 0.37% 0.32% 0.32% 0.29% 0.13% 0.41% 0.37% 0.31%
-4.82% -0.66% -0.59% -0.57% -0.55% -0.38% -0.66% -0.62% -0.56%
-4.19% -0.29% -0.27% -0.25% -0.25% -0.25% -0.25% -0.25% -0.25%
YTD
Nova Scotia Schools Tr. - 80927YAB3 Daimler Canada Finance - 23384NAE7 Nova Scotia - 669827FN2
Royal Bank Of Canada - 7800855Q5 Canada - 135087ZX5
New Brunswick - 642866FT9
BCIMC Realty Corp. - 07329VAG5 Terasen Pipelines Corridor - 88079VAB8 Nat Bank Of Canada - 633067UW1
7.31 3.02 4.70 2.05 1.00 4.50 3.38 5.03 2.23
09/17/2020 01/07/2015 01/14/2015 01/13/2015 02/01/2015 02/04/2015 01/29/2015 02/02/2015 01/30/2015
3.3626 0.9808 0.9695 0.9930 0.9953 0.9708 0.9783 0.9697 0.9864
3.3114 0.9735 0.9645 0.9867 0.9906 0.9658 0.9717 0.9617 0.9799
19,817,598 300,000,000 200,000,000
1,100,000,000 12,380,000,000 550,000,000 200,000,000 150,000,000 1,500,000,000
1.56% 0.03% 0.13% 0.05% 0.08% 0.37% 0.23% 0.40% 0.16%
-4.88% 0.00% -0.07% 0.04% 0.05% -0.23% -0.08% -0.23% 0.02%
-3.32% 0.03% 0.06% 0.09% 0.13% 0.14% 0.15% 0.17% 0.18%
Source: PCBond, a business unit of TSX Inc.