Fixed Income Quarterly—Benchmark Barometer Page 17
Table 10.5: Ten Best Performers Ranked by Total Return According to Macaulay Duration (greater than 8 years)
Coupon Macaulay Modified Interest Price Total Issue (%) Maturity Duration Duration Par Value Return Return Return
Monthly
Weston Ltd. George - 96115ZAD4
Bell Canada PRYDES - 078149DV0 TransCanada PipeLines - 89353ZAY4 Transalta Corporation - 89347ZAE7 C.I.B.C. Capital Trust - 12544UAB7 Shaw Communications Inc. - 82028KAQ4 Loblaw Companies Ltd. - 53947ZAF4 Loblaw Companies Ltd. - 53947ZAH0 Loblaw Companies Ltd. - 53947ZAT4 Cameco Corporation - 13321LAJ7
7.10 7.65 6.27 6.90 10.25 6.75 6.50 6.45 6.54 5.09
02/05/2032 12/30/2031 07/18/2028 11/15/2030 06/30/2039 11/09/2039 01/22/2029 03/01/2039 02/17/2033 11/14/2042
11.0544 10.7062 9.7357 10.0405 11.5293 13.3531 10.1063 13.7087 11.7219 15.1499
10.7770 10.4266 9.5335 9.7251 11.1643 13.0096 9.8757 13.3725 11.4376 14.7783
150,000,000 150,000,000 106,900,000 147,210,000 300,000,000
1,429,300,000 175,000,000 120,000,000 188,000,000 100,000,000
0.44% 0.45% 0.41% 0.48% 0.53% 0.41% 0.42% 0.41% 0.42% 0.37%
2.65% 1.63% 1.57% 1.32% 1.20% 1.29% 1.24% 1.14% 1.05% 1.04%
3.10% 2.08% 1.98% 1.80% 1.72% 1.69% 1.66% 1.55% 1.47% 1.41%
YTD
Cameco Corporation - 13321LAJ7 Loblaw Companies Ltd. - 53947ZAH0 Loblaw Companies Ltd. - 53947ZAY3 Loblaw Companies Ltd. - 53947ZAX5 Loblaw Companies Ltd. - 53947ZAU1 Sobeys Inc. - 83357ZAL1
Shaw Communications Inc. - 82028KAQ4 Hydro One Inc. - 44810ZBG4
Loblaw Companies Ltd. - 53947ZAT4 Toronto Hydro Corp. - 89119ZAF0
5.09 6.45 5.90 6.15 6.05 6.64 6.75 3.79 6.54 3.96
11/14/2042 03/01/2039 01/18/2036 01/29/2035 06/09/2034 06/07/2040 11/09/2039 07/31/2062 02/17/2033 04/09/2063
15.1499 13.7087 12.9480 12.5397 12.2613 13.6069 13.3531 21.1019 11.7219 20.6171
14.7783 13.3725 12.6334 12.2357 11.9634 13.2574 13.0096 20.6598 11.4376 20.1803
100,000,000 120,000,000 300,000,000 200,000,000 200,000,000 150,000,000
1,429,300,000 310,000,000 188,000,000 200,000,000
1.26% 1.28% 1.24% 1.23% 1.34% 1.40% 1.38% 0.93% 1.30% 1.02%
10.04% 7.69% 7.46% 7.32% 7.18% 7.06% 6.97% 7.40% 6.98% 7.18%
11.29% 8.98% 8.71% 8.54% 8.53% 8.46% 8.35% 8.34% 8.28% 8.20%
Source: PCBond, a business unit of TSX Inc.
Table 10.6: Ten Worst Performers Ranked by Total Return According to Macaulay Duration (greater than 8 years)
Coupon Macaulay Modified Interest Price Total Issue (%) Maturity Duration Duration Par Value Return Return Return
Monthly
University of B.C. - 914104AB0
SEC LP & Arci Ltd - 784103AA1
Canadian Utilities Inc. - 12657ZAZ6
Ontario Infrastructure Projects Corp. - 683086AA0 Alberta - 01306ZDC2
Newfoundland - 651333FM3
University of B.C. - 914104AA2
New Brunswick - 642866FR3
Prince Edward Island - 741666CL3
TransLink - 83740TAC1
4.82 5.19 3.83 4.70 3.90 5.60 6.65 5.50 6.80 3.85
07/26/2035 08/29/2033 09/11/2062 06/01/2037 12/01/2033 10/17/2033 12/01/2031 01/27/2034 02/21/2030 02/09/2052
13.7643 9.7573 21.0566 14.4439 13.8511 12.6915 11.4121 12.9793 10.8007 19.5020
13.4769 9.5271 20.6108 14.1424 13.6012 12.4533 11.1809 12.7307 10.5986 19.1002
125,000,000 544,509,116 200,000,000 300,000,000
1,215,000,000 272,500,000 125,000,000 529,100,000
80,000,000 250,000,000
0.34% 0.38% 0.39% 0.35% 0.30% 0.36% 0.40% 0.35% 0.38% 0.32%
-1.78% -1.81% -1.77% -1.70% -1.52% -1.56% -1.59% -1.53% -1.56% -1.49%
-1.44% -1.43% -1.39% -1.35% -1.23% -1.20% -1.20% -1.18% -1.18% -1.17%
YTD
Nova Gas Transmission Ltd - 66975ZAM6 Quebec - 748148PZ0
University of Toronto - 383660AA5
SEC LP & Arci Ltd - 784103AA1 Nfld-Labrador Hydro - 651329AW4 Aeroports De Montreal - 007863AD5 Quebec - 74814ZDE0
Investors Group - 46152HAB7 Ontario - 683234JQ2
Ontario - 683234KN7
6.05 8.50 6.78 5.19 8.40 6.61 5.35 6.65 8.50 8.00
07/16/2027 04/01/2026 07/18/2031 08/29/2033 02/27/2026 10/11/2033 06/01/2025 12/13/2027 12/02/2025 12/02/2026
9.2015
8.3300 11.2348 9.7573 8.5136 9.0341 8.6577 9.4745 8.2684 8.8752
8.9828
8.1835 10.9996 9.5271 8.3685 8.8373 8.5083 9.2566 8.1303 8.7236
50,000,000 1,191,022,945 160,000,000 544,509,116 179,600,000 146,329,182 652,000,000 125,000,000 756,471,853 164,145,000
1.37% 1.37% 1.21% 1.12% 1.30% 1.31% 1.12% 1.36% 1.39% 1.34%
0.00% 1.87% 2.04% 2.33% 2.17% 2.17% 2.39% 2.18% 2.20% 2.30%
1.37% 3.24% 3.25% 3.46% 3.47% 3.48% 3.51% 3.55% 3.59% 3.64%
Source: PCBond, a business unit of TSX Inc.