DAILY SOVEREIGN BOND REPORT
Canada Treasury 3-Month bond, extended its gains Tuesday, rising an additional 1.60c (or 0.02%) to trade at CAD98.81. The bond increased 0.01% on Friday and 0.04% on Monday bringing its 6-day rise to 0.2%. It is now testing its 28-day high of CAD98.81.
Change in YTM
|Price Change %||0.02||0.1||0.01||-0.4|
THE PAST WEEK
Canada 3-Month bond was up 10.0c or 0.1% in the past week.
|Sep 2023||Headline||YTM %||Change in BPS||Comment on YTM|
|Tue 05||Canada Treasury 3-Month bond YTM increases by 2.0 Basis Points||5.12||2.0|
|Wed 06||Canada Treasury 3-Month bond rises for a second consecutive day, a two-day rise of 0.1% [Implied Yield 5.12%]||5.12||0|
|Thu 07||Canada Treasury 3-Month bond rises for a third consecutive day, a three-day rise of 0.1% [Implied Yield rises to 5.194%]||5.194||7.4|
|Fri 08||Canada Treasury 3-Month bond rises for a fourth consecutive day, a four-day rise of 0.1% [Implied Yield falls to 5.11%]||5.11||-8.4||Week-low of 5.11%; Steepest Fall 8.4 BPS|
|Mon 11||Canada Treasury 3-Month bond rises for a fifth consecutive day, a five-day rise of 0.1% [Implied Yield rises to 5.198%]||5.198||8.8||Week-high of 5.2%; Top Rise 8.8 BPS|
TOP RISE AND STEEPEST FALL IN THE PAST MONTH
Yield-to-maturity fluctuated between a low of 5.15% and a high of 5.198% in the past month.
|Day||Headline||YTM %||Change in BPS||Comment on YTM|
|Monday||3-Month bond rises for a fifth consecutive day, a five-day rise of 0.1% [Implied Yield rises to 5.198%]||5.198||8.8||Top Rise 8.8 BPS|
|Thursday||3-Month bond YTM decreases by 9.5 Basis Points||5.15||-9.5||Steepest Fall 9.5 BPS|
CANADA TREASURY - OTHER MATURITIES
Yield-to-maturity varies between a low of 3.528% for the 30-Year bond to 5.2% for the 3-Month bond.
|Headline||YTM %||Change in Yield (Basis Points)|
|30-Year bond falls for a second consecutive day, a two-day fall of 1.1% [Implied Yield rises to 3.528%]||3.53||4.50|
|20-Year bond falls for a second consecutive day, a two-day fall of 0.6% [Implied Yield rises to 3.677%]||3.68||4.30|
|10-Year bond falls for a second consecutive day, a two-day fall of 0.5% [Implied Yield rises to 3.73%]||3.73||2.10|
|7-Year bond YTM decreases by 0.2 Basis Points||3.81||-0.20|
|5-Year bond YTM decreases by 3.2 Basis Points||3.97||-3.20|
|4-Year bond falls for a second consecutive day, a two-day fall of 0.2% [Implied Yield rises to 4.287%]||4.29||0.90|
|3-Year bond falls for a second consecutive day, a two-day fall of 0.2% [Implied Yield rises to 4.427%]||4.43||0.80|
|2-Year bond falls for a second consecutive day, a two-day fall of 0.1% [Implied Yield rises to 4.737%]||4.74||0.70|
|1-Month bond rises for a second consecutive day, a two-day rise of 0.1% [Implied Yield 4.95%]||4.95|
|2-Month bond rises for a third consecutive day, a three-day rise of 0.1% [Implied Yield falls to 5.0%]||5.00||-1.00|
|6-Month in 5th consecutive rise, nears three-month high [Implied Yield 5.14%]||5.14|
|1-Year bond hits two-month high [Implied Yield rises to 5.19%]||5.19||1.00|
SECTION 1 CANADA 3-MONTH BULLISH PRICE SIGNALS [or YIELD DOWNTREND]
Uptrend [or Yield Downtrend]: The bond increased, rising for a sixth consecutive day.
+ The price increased 0.1% in the past week and 0.01% in the past month.
+ Rises to Falls in the past month: the number of rises outnumbered falls 18:2 or 9:1. The bond traded in 20 of the 22 trading days.
SECTION 2 CANADA 3-MONTH BEARISH PRICE SIGNALS [or YIELD UPTREND]
+ In the last three months the bond has hit a new 52-week low seven times, pointing to a significant downtrend.
SECTION 3 PRICE VOLUME DYNAMICS
+ The Canada 3-Month is at a discount of 0.4% to its 12-month high of CAD99.22 traded on September 13, 2022.
+ It is at a premium of 0.2% to its 12-month low of CAD98.62 traded on August 30.
+ The present value of CAD1,000 (PV1000) invested one year ago in Canada 3-Month is CAD996, for a capital loss of CAD4.
SECTION 4 ONGOING BEARISH PARAMETERS
4.1 Thinly traded Bond: Days Untraded
Past five years, 12 months ended Sep 12
Liquidity has deteriorated from 7 Days Untraded five years ago to 22 days in the past year.
SECTION 5 MACROECONOMIC INDICATORS: CANADA
|GDP (USD Billion)||2,140|
|GDP growth yoy (%)||2.21|
|Interest rate (%)||5.0|
|Inflation rate (%)||3.3|
|Public debt (USD) (billion)||1,719|
|Public debt per person (USD)||48,478|
|Total annual debt change (%)||4.0|
|Debt to GDP (%)||112.8|
|Budget Deficit to GDP (%)||3.6|
|CAD to GDP (%)||0.4|
|Unemployment rate (%)||5.5|
SECTION 6 CREDIT RATING SUMMARY
|Rating Agency||Long Term||Foreign Currency||Description|
|S&P||AAA||Extremely strong capacity to meet financial commitments. Highest Rating.|
|FITCH||AAA||Highest credit quality: 'AAA' ratings denote the lowest expectation of default risk. This capacity is highly unlikely to be adversely affected by foreseeable events.|
|DAGONG||AA+||"AA" ratings denote expectations of very low default risk. It indicates that the issuer has a very strong capacity for payment of financial commitments. Although due to its relatively higher long-term risk, this capacity is not significantly vulnerable to any foreseeable event. The plus (+) sign shows relative standing within the major rating category.|