Page 16 Fixed Income Quarterly—Benchmark Barometer
Table 10.3: Ten Best Performers Ranked by Total Return According to Macaulay Duration (4 to 8 years)
Coupon Macaulay Modified Interest Price Total Issue (%) Maturity Duration Duration Par Value Return Return Return
Monthly
AltaLink Invest L.P. - 02137PAC0 Fairfax Finl Holdings Ltd - 303901AV4 Algonquin Power Co. - 01585PAE5 Calloway REIT - 131253AM8
TMX Group Ltd - 87262KAB1 Genworth MI Canada Inc. - 37252BAA0 Granite REIT Hld LP - 387427AA5 Fairfax Finl Holdings Ltd - 303901AR3 Calloway REIT - 131253AL0
RioCan REIT - 766910AW3
3.67 5.84 4.65 3.99 4.46 5.68 4.61 7.25 4.05 3.73
06/05/2019 10/14/2022 02/15/2022 05/30/2023 10/03/2023 06/15/2020 10/02/2018 06/22/2020 07/27/2020 04/18/2023
4.7308 6.7491 6.6845 7.6619 7.7405 5.3137 4.0501 5.1373 5.6298 7.6241
4.6638 6.5901 6.5500 7.5050 7.5936 5.2266 3.9805 5.0300 5.5353 7.4733
200,000,000 400,100,000 200,000,000 150,000,000 250,000,000 227,900,000 200,000,000 200,240,000 150,000,000 200,000,000
0.27% 0.40% 0.34% 0.30% 0.32% 0.38% 0.33% 0.47% 0.30% 0.29%
0.58% 0.42% 0.41% 0.43% 0.35% 0.26% 0.29% 0.12% 0.23% 0.22%
0.84% 0.83% 0.75% 0.74% 0.67% 0.64% 0.61% 0.59% 0.53% 0.51%
YTD
Choice Properties REIT - 17039AAB2 Fairfax Finl Holdings Ltd - 303901AV4 RioCan REIT - 766910AW3
Calloway REIT - 131253AM8
First Capital Realty Inc. - 31943BBR0 First Capital Realty Inc. - 31943BBU3 Tim Hortons Inc. - 88706MAC7 Sobeys Inc. - 833577AE9
Cogeco Cable Inc - 19238VAJ4 Loblaw Companies Ltd. - 539481AJ0
4.90 5.84 3.73 3.99 3.95 3.90 4.52 4.70 4.18 4.86
07/05/2023 10/14/2022 04/18/2023 05/30/2023 12/05/2022 10/30/2023 12/01/2023 08/08/2023 05/26/2023 09/12/2023
7.5496 6.7491 7.6241 7.6619 7.3524 7.9528 7.8805 7.6900 7.6168 7.7520
7.4002 6.5901 7.4733 7.5050 7.2109 7.7942 7.7276 7.5380 7.4682 7.6036
200,000,000 400,100,000 200,000,000 150,000,000 250,000,000 300,000,000 450,000,000 500,000,000 300,000,000 800,000,000
1.17% 1.30% 0.92% 1.00% 0.98% 0.96% 1.07% 1.06% 1.02% 1.06%
5.77% 5.40% 5.55% 5.41% 5.38% 5.33% 5.05% 4.88% 4.89% 4.82%
6.94% 6.71% 6.46% 6.41% 6.36% 6.29% 6.12% 5.94% 5.91% 5.88%
Source: PCBond, a business unit of TSX Inc.
Table 10.4: Ten Worst Performers Ranked by Total Return According to Macaulay Duration (4 to 8 years)
Coupon Macaulay Modified Interest Price Total Issue (%) Maturity Duration Duration Par Value Return Return Return
Monthly
Farm Credit Corp. - 30766ZXG3 Centre Street Trust - 156327AB4 British Columbia - 110709GB2 Alberta - 013051DG9
New Brunswick - 642869AD3
Canada Housing Trust - 13509PCS0
Farm Credit Corp. - 30766ZXM0
British Columbia - 110709BJ0
Ontario - 68323AAW4
Business Dev Bank Canada - 12290ZGW0
4.55 3.69 2.70 2.55 3.35 3.80 4.60 3.25 3.15 4.35
04/12/2021 06/14/2022 12/18/2022 12/15/2022 12/03/2021 06/15/2021 06/01/2021 12/18/2021 06/02/2022 02/28/2022
6.0617 6.4580 7.7669 7.8009 6.7860 6.3611 6.1918 6.8552 7.2135 6.8449
5.9886 6.3340 7.6566 7.6901 6.6895 6.2848 6.1175 6.7641 7.1086 6.7576
240,956,200
242,938,331 1,400,000,000 1,820,000,000
900,000,000 7,247,740,000 70,813,000 1,750,000,000 10,750,000,000 97,601,000
0.32% 0.29% 0.21% 0.20% 0.25% 0.27% 0.31% 0.24% 0.24% 0.29%
-1.73% -1.24% -0.99% -0.96% -0.97% -0.98% -1.01% -0.92% -0.92% -0.96%
-1.40% -0.94% -0.77% -0.75% -0.71% -0.71% -0.70% -0.68% -0.67% -0.67%
YTD
Can Pac Rail - 13645RAA2
Canada Housing Trust - 13509PDT7 Canada Housing Trust - 13509PDX8 Alberta - 013051DJ3
Farm Credit Corp. - 30766ZXG3 Canada Housing Trust - 13509PBN2 Quebec - 74814ZDU4
British Columbia - 11070ZAG9 Manitoba - 56344ZBB4
Canada - 135087B37
6.91 1.75 2.05 1.60 4.55 4.10 4.50 9.00 5.50 1.25
10/01/2024 06/15/2018 06/15/2018 06/15/2018 04/12/2021 12/15/2018 12/01/2018 06/17/2019 11/15/2018 09/01/2018
4.9191 4.0640 4.0400 4.0760 6.0617 4.3137 4.2409 4.3449 4.1213 4.3153
4.8360 4.0281 4.0045 4.0395 5.9886 4.2730 4.1966 4.2973 4.0804 4.2809
166,474,398 5,000,000,000 5,000,000,000 1,050,000,000
240,956,200 7,403,400,000 4,500,000,000
50,000,000 445,000,000 8,160,000,000
1.39% 0.43% 0.49% 0.39% 0.96% 0.90% 0.98% 1.63% 1.15% 0.31%
-0.38% 1.11% 1.06% 1.32% 0.78% 0.87% 0.80% 0.18% 0.66% 1.52%
1.01% 1.54% 1.55% 1.72% 1.74% 1.78% 1.78% 1.81% 1.81% 1.83%
Source: PCBond, a business unit of TSX Inc.