Government of Canada Securities

Transcription

1 A Publication of the Department of Finance Canadian Economy October OECD economic forecast for (June ).. 99 (actual) (forecast) 99 (forecast) Consumer price index year over year CPI CPI excl. food and energy Target range.... Real GDP growth GDP Inflation () 9-day finance company paper. () over -year federal government bonds. Source: OECD. Short-term interest rate () Long-term interest rate () Source: Statistics and Bank of. -month Treasury bill rates -year government bond rates 9 United States United States Source: Bank of and Federal Reserve Source: Bank of and Federal Reserve. Upcoming economic data releases of interest November December uary October Labour Force Survey Q National Accounts December Labour Force Survey (November ) (December ) (uary 9) October CPI November Labour Force Survey December CPI (November 9) (December ) (uary ) November CPI (December 9)

2 Canadian Economy Selected Canadian economic statistics Q Q Q Annualized growth rates Real gross domestic product GDP excluding inventories Final domestic demand Employment Government of net debt and deficit of GDP Deficit of GDP Net debt Other Unemployment rate Current account balance ( of nominal GDP) Source: Statistics s current account balance and merchandise trade balance of GDP Current account Merchandise trade - Exchange rate C$ / US$ Q 99 Q Q Monetary conditions index uary 9 = Canadian monetary aggregates year over year M M

3 Primary Market Outstanding Government of Treasury bills, bonds (by term maturity) and retail debt (as of October, ) T-bills - yrs - yrs - yrs - yrs - yrs retail Bonds, RRBs Recent Government of bond auction results Auction Maturity Coupon Issue Average Average Auction date Term date rate amount price yield coverage Tail (years) (%) (milions of dollars) (%) (basis points) Jul /9 Jun /.,.... Aug /9 Jun /., Aug /9 /.,.... /9 Dec /.*... n.a. /9 /99., Coverage is defined as the ratio of total bids at auction to the amount auctioned. Tail is defined as the high accepted yield minus the average yield. *Real Return Bonds. Forthcoming Government of bond auctions Auction Further details Dated and date of issue delivered Amount Type of issue () () () maturing (millions of dollars) -year auction* October 9 October November -year auction* November October November -year auction* November November December RRB auction** December November tember -year auction* December December December *Quarterly issue. **Single-price auction format.

4 Primary Market Government of bond market benchmarks (October, ) Amount Yield Term Maturity Coupon outstanding Oct./9 (%) (millions (%) of dollars) Fixed coupon -year Mar /99.,. -year /.,. -year Jun /. 9,. -year Jun /.,. Average term to maturity of Government of marketable debt years Real return -year Dec /.,. The normal bid-ask spread on these bonds is cents Forthcoming Government of marketable bond maturities October-December uary-march April-June July-tember October-December (millions of dollars),,,, Outstanding Government of / U.S. dollar-denominated debt (as of tember, ) (millions) s level of liquid foreign reserves billions of U.S. dollars Bills Notes Outstanding under EMTN program Floating rate note maturing February 999 (paying LIBOR less basis points) US$,9 US$,9 US$.9 US$, % bonds maturing, US$, % bonds maturing, US$, % bonds maturing July, US$, % bonds maturing July, US$, % bonds maturing Aug, US$,

5 Secondary Market Canadian yield-to-maturity curve 9 October, April 9, October 9, 99 month months months year years years years years years years Government of bonds trading volume and turnover ratio,,,, Turnover ratio Government of Treasury bills trading volume and turnover ratio, Turnover ratio,, is total trading volume in each quarter is total trading volume in each quarter. 99 Primary Distributors Bank of America Bank of Montreal (Treasury bills only) Beacon Securities BLC Securities Inc. La Caisse centrale Desjardins Canadian Imperial Bank of Commerce (Treasury bills only) Casgrain & Company Limited CIBC Wood Gundy Securities Inc. (marketable bonds only) CTI Capital Inc. Deutsche Morgan Grenfell Limited First Securities Limited Golden Capital Securities Limited Goldman Sachs Hongkong Bank of Lehman Brothers Inc. Lévesque Beaubien Geoffrion Inc. Merrill Lynch Inc. Midland Walwyn Capital Inc. J.P. Morgan Securities Inc. Morgan Stanley Limited Nesbitt Burns (marketable bonds only) Odlum Brown Limited C.M. Oliver & Company Limited RBC Dominion Securities Salomon Brothers Inc. ScotiaMcLeod Inc. Société Générale Valeurs Mobilières Inc. Tassé & Associates, Limited The Toronto-Dominion Bank Whalen, Béliveau & Associates Inc.

6 Secondary Market Government of bond repos trading volume and turnover ratio, Government of Treasury bill repos trading volume and turnover ratio 9,,, Turnover ratio Turnover ratio,, is total trading volume in each quarter. is total trading volume in each quarter. -year Government of bond futures,,,,,,,,,,,,,,,,,, 99 month-end open interest Source: The Montreal Exchange. Month-end open interest Average daily volume average daily volume,,,,,,,,,,,,, -month bankers acceptance futures,,,,,,,, 9,,,,,,,,, 99 month-end open interest Source: The Montreal Exchange. Month-end open interest Average daily volume average daily volume, 9,,,,,,,,,, 9,,,,,,,,, Government of long-term credit ratings (as of October, ) Standard Moody s Investor Canadian Bond Dominion Bond and Poor s Service Rating Service Rating Service Domestic Debt AAA Aa AA+ AAA Trend Stable _ Stable Stable Foreign Debt AA+ Aa AA+ AA(high) Trend Stable _ Stable Stable This publication is also available on the Internet at Except as noted, the information in Government of Securities is based upon data available as of tember,. For further information, contact either Geneviève Lavallée at () 99-9 or Nigel Stephens at () 9-9. Cet imprimé est également disponible en français. Department of Finance Ministère des Finances