Free Trial

RBC Weigh In On CAD Bond Expectations

MONTH-END EXTENSIONS

RBC note that “the September 1 FTSE Russell Canada Universe Index extension is one of the secondary extension dates after the closely followed early June extension.”

  • “This is mainly due to sizable amounts of bonds exiting the Universe (GoC and QUE) and moving between maturity buckets in September.”
  • “We estimate a duration extension of 0.045 for September 1, about half the size of the extension last year and below the 0.075-0.078 range seen for 2019-2021.”
  • “This is due to a small amount of bonds rolling out (C$12.5bn, evenly split between GoC and QUE). Total coupons are C$2.28bn (~C$1bn each for GoCs and QUE), which is about C$0.5bn higher than last year.”
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.