Page 18 Fixed Income Quarterly—Benchmark Barometer
Table 11.1: Ten Best Short Performers – Ranked by Relative % Spread Change
Coupon Spread Relative Spread Issue (%) Maturity Par Value Change (bps) Change (%)
Monthly
Calloway REIT - 131253AC0
Alliance Pipelines Ltd - 01877PAA0
Genworth MI Canada Inc. - 37252BAB8
BMW Canada Inc. - 05590HAC1
Veresen Inc. - 92343ZAC9
Great-West Lifeco Fin. Delaware LPII - 391385AA9 Plenary Health Humber LP - 72908WAA9
GE Capital Cda Funding - 36158ZCA2
Crombie Real Est Inv Tr - 227107AF6
Cdn Cr Card Tr 12-1 - 13594ZAD9
5.37 7.23 4.59 3.15 3.95 7.13 2.63 2.42 3.99 2.31
10/12/2016 06/30/2015 12/15/2015 04/01/2015 03/14/2017 06/26/2018 05/18/2015 05/31/2018 10/31/2018 04/24/2015
250,000,000 30,464,400 150,000,000 175,000,000 300,000,000 500,000,000 482,389,000 1,000,000,000 175,000,000 330,000,000
-23.59 -14.58 -21.57 -7.61 -22.89 -16.45 -10.86 -10.97 -25.69 -5.56
-23.67% -22.36% -17.84% -17.48% -17.19% -15.57% -15.43% -14.65% -14.35% -13.53%
YTD
Calloway REIT - 131253AC0
Cdn Cr Card Tr 12-1 - 13594ZAD9
Aimia Inc - 00900QAB9
BMW Canada Inc. - 05590HAC1
Great-West Lifeco Fin. Delaware LPII - 391385AA9 Loblaw Companies Ltd. - 53947ZAR8
Genworth MI Canada Inc. - 37252BAB8
H&R Real Estate Invest. Trust - 403925AH3
Aimia Inc - 00900QAD5
Royal Bank of Cda Covered - 780085Y42
5.37 2.31 6.95 3.15 7.13 7.10 4.59 4.78 4.35 3.77
10/12/2016 04/24/2015 01/26/2017 04/01/2015 06/26/2018 06/01/2016 12/15/2015 07/27/2016 01/22/2018 03/30/2018
250,000,000 330,000,000 167,400,000 175,000,000 500,000,000 236,400,000 150,000,000 180,000,000 200,000,000
1,100,000,000
-64.23 -14.58 -59.53 -14.36 -34.19 -23.63 -33.11 -32.26 -49.30 -17.47
-45.78% -29.09% -29.04% -28.55% -27.71% -26.09% -25.00% -24.16% -23.89% -23.76%
Source: PCBond, a business unit of TSX Inc., BMO Capital Markets
Table 11.2: Ten Worst Short Performers – Ranked by Relative % Spread Change
Coupon Spread Relative Spread Issue (%) Maturity Par Value Change (bps) Change (%)
Monthly
Caisse Centrale Desj - 12801ZCC0 Enbridge Pipelines Inc. - 29250ZAN8 Caterpillar Fin. Ser. Corp - 14911ZAM3 Bank of Nova Scotia - 064149Z59 Vancouver Intl Air Auth - 921947AD9 Telus Corp. - 87971MAH6
HSBC Bank of Canada - 40427HSP9 Bank of Nova Scotia - 064149T23 Nat Bank Of Canada - 63306ZDL2 Nat Bank Of Canada - 633067VX8
3.79 2.93 2.20 2.10 5.02 5.95 2.57 1.80 3.58 2.69
06/08/2015 09/08/2015 06/01/2015 11/08/2016 11/13/2015 04/15/2015 11/23/2015 05/09/2016 04/26/2016 08/21/2017
500,000,000 250,000,000 300,000,000
1,500,000,000 200,000,000 490,000,000
1,000,000,000 1,300,000,000 750,000,000 750,000,000
3.52 2.40 2.89 2.91 1.50 2.08 1.70 1.62 1.55 1.75
8.84% 8.50% 7.03% 4.93% 3.54% 3.50% 3.38% 2.96% 2.71% 2.63%
Enbridge Gas Distribution - 29290ZAG5
5.16
12/04/2017
200,000,000
2.05
3.64%
YTD
Gaz Metropolitain - 368271AL6
Union Gas - 906667AW0
Trans Que & Maritime - 89332FAM0 First National Fin. Corp. - 33564PAA1 MI Developments Inc. - 55304XAA2 B.C. Gas Utility Ltd - 05534RAB0 Ford Credit Canada Ltd. - 34527ZXA8 Westcoast Energy Inc - 95751DAE2 Westcoast Energy Inc - 95751DAM4
10.45 9.70 4.25 5.07 6.05 10.30 7.50 8.50 8.50
10/31/2016 11/06/2017 09/15/2017 05/07/2015 12/22/2016 09/30/2016 08/18/2015 09/04/2018 11/23/2015
117,000,000 125,000,000 100,000,000 175,000,000 265,000,000 200,000,000 550,000,000 150,000,000 125,000,000
0.92 0.79 (0.30)
(1.81) (2.12) (1.09) (1.70) (3.12) (2.68)
1.06% 0.81% -0.30% -0.88% -0.97% -1.14% -1.46% -2.35% -2.73%
Source: PCBond, a business unit of TSX Inc., BMO Capital Markets