DAILY SOVEREIGN BOND REPORT
CANADA EDITION
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
| Canada 3-Month | 1-day | 1-week | 1-month | 1-year |
| 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]
Price Dynamics:
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]
Price Dynamics:
+ 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
Price 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.
| PV$1000 | 1-week | 1-month | 1-year |
| Canada 3-Month.T | 1,001 | 1,000 | 996 |
SECTION 4 ONGOING BEARISH PARAMETERS
4.1 Thinly traded Bond: Days Untraded
Past five years, 12 months ended Sep 12
| Year | Days Untraded |
| 2023 | 22 |
| 2021 | 11 |
| 2020 | 9 |
| 2019 | 7 |
Liquidity has deteriorated from 7 Days Untraded five years ago to 22 days in the past year.
SECTION 5 MACROECONOMIC INDICATORS: CANADA
| Indicator | Value |
| 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 |
| Population (million) | 35.6 |
SECTION 6 CREDIT RATING SUMMARY
Canada:
| Rating Agency | Long Term | Foreign Currency | Description |
| Moody's | Aaa | ||
| 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. |
Source: www.BuySellSignals.com