- A selection of FTSE Canada bond indexes will now represent the market-based spread component for provincial and investment grade corporate bonds recommended by the Canadian Institute of Actuaries (CIA) in an enhanced commuted value calculation.
- FTSE Russell Canada was the natural choice by the CIA to represent the Canadian bond market for this calculation.
- FTSE Russell Canada introduces a new dedicated web page with historical index rates and background information for transparency & education.
Today, the Canadian arm of leading global index provider FTSE Russell announced that it has been selected by the Canadian Institute of Actuaries (CIA) to represent the Canada provincial and investment-grade corporate bond spread to be used for the CIA’s new enhanced market-based Commuted Value calculation.
The Canadian commuted value actuarial standard of practice is used to determine how much to pay a member of a registered defined benefit pension plan who leaves the plan and elects to receive their pension entitlement as a lump sum payment This calculation, historically based on the yields of long-term Government of Canada bonds, will now also reflect blended spreads of provincial and investment grade corporate bond yields. These market rates will now be derived by actuaries from yields calculated and published by FTSE Russell for a number of FTSE Canada Fixed Income Indexes, including the FTSE Canada Provincial Bond Index and FTSE Canada Corporate Bond Index. This enhancement to the calculation standard follows a thorough review by the CIA.
Marina Mets, Head of Americas Fixed Income & Multi-Asset Product Management, FTSE Russell:
“We are so excited to be selected by the CIA to provide the underlying market data to support the new market-based commuted value computation. For decades, the FTSE Canada indexes have been viewed by investors as providing the most relevant and accurate representation of the Canada fixed income market and it is fitting that they be used as the basis for the CIA’s new market-based approach to commuted value calculations. We are also happy to work with the CIA going forward to educate Canada actuaries, pension plan managers and the public on our indexes as this new association with the CIA will provide a much broader platform of engagement.”
Michel St-Germain, FCIA, President, Canadian Institute of Actuaries:
“We gave it a great deal of thought and sought feedback from across the Canada actuarial and pension community when we decided to modernize our approach to commuted value computation. And when we decided to go to a more market-based approach to the determination of commuted value interest rates, FTSE Russell Canada was the natural choice. We also appreciate that FTSE Russell Canada is making the relevant index values accessible on their website to all those who need this information. We look forward to working with a well-respected global index provider to provide relevant rates and standards for CIA members and the Canadian pension community.”
This new collaboration for FTSE Russell with the CIA builds on work FTSE Russell has done globally to help underscore reference rates in other markets. The FTSE Pension Liability Index and the associated Pension Discount Curve, created in 1994 by Yield Book, part of FTSE Russell, is widely used by plan sponsors and actuaries in the U.S. to value defined benefits liabilities in compliance with SEC and FASB discount rate requirements. And in July, FTSE Russell began publishing indicative term Sonia reference rates to help the industry’s planned transition from the Libor benchmark rate at the end of 2021.
These changes to the commuted value standard, published by the CIA’s Actuarial Standards Board in January 2020, will take effect on December 1 of this year. FTSE Russell Canada has introduced a dedicated online portal for CIA members and clients to access the index values used in determining commuted value interest rates and learn more about commuted value and how it is calculated.
– Ends –
Media contacts
Tim Benedict, FTSE Russell
+1 (917) 582-0641; TBenedict@lseg.com
Sandra Caya, CIA
+1 (613) 218-6961; sandra.caya@cia-ica.ca
About FTSE Russell
FTSE Russell is a global index leader that provides innovative benchmarking, analytics and data solutions for investors worldwide. FTSE Russell calculates thousands of indexes that measure and benchmark markets and asset classes in more than 70 countries, covering 98% of the investable market globally.
FTSE Russell index expertise and products are used extensively by institutional and retail investors globally. Approximately $16 trillion is currently benchmarked to FTSE Russell indexes. For over 30 years, leading asset owners, asset managers, ETF providers and investment banks have chosen FTSE Russell indexes to benchmark their investment performance and create ETFs, structured products and index-based derivatives.
A core set of universal principles guides FTSE Russell index design and management: a transparent rules-based methodology is informed by independent committees of leading market participants. FTSE Russell is focused on applying the highest industry standards in index design and governance and embraces the IOSCO Principles. FTSE Russell is also focused on index innovation and customer partnerships as it seeks to enhance the breadth, depth and reach of its offering.
FTSE Russell is wholly owned by London Stock Exchange Group.
For more information, visit FTSE-Russell site.
© 2020 London Stock Exchange Group plc and its applicable group undertakings (the “LSE Group”). The LSE Group includes (1) FTSE International Limited (“FTSE”), (2) Frank Russell Company (“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, “FTSE Canada”), (4) FTSE Fixed Income Europe Limited (“FTSE FI Europe”), (5) FTSE Fixed Income LLC (“FTSE FI”), (6) The Yield Book Inc (“YB”) and (7) Beyond Ratings S.A.S. (“BR”). All rights reserved.
FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, YB and BR. “FTSE®”, “Russell®”, “FTSE Russell®”, “FTSE4Good®”, “ICB®”, “The Yield Book®”, “Beyond Ratings®” and all other trademarks and service marks used herein (whether registered or unregistered) are trademarks and/or service marks owned or licensed by the applicable member of the LSE Group or their respective licensors and are owned, or used under licence, by FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, YB or BR. FTSE International Limited is authorised and regulated by the Financial Conduct Authority as a benchmark administrator.
All information is provided for information purposes only. All information and data contained in this publication is obtained by the LSE Group, from sources believed by it to be accurate and reliable. Because of the possibility of human and mechanical error as well as other factors, however, such information and data is provided "as is" without warranty of any kind. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the accuracy, timeliness, completeness, merchantability of any information or of results to be obtained from the use of FTSE Russell products, including but not limited to indexes, data and analytics, or the fitness or suitability of the FTSE Russell products for any particular purpose to which they might be put. Any representation of historical data accessible through FTSE Russell products is provided for information purposes only and is not a reliable indicator of future performance.
No responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partners or licensors for (a) any loss or damage in whole or in part caused by, resulting from, or relating to any error (negligent or otherwise) or other circumstance involved in procuring, collecting, compiling, interpreting, analysing, editing, transcribing, transmitting, communicating or delivering any such information or data or from use of this document or links to this document or (b) any direct, indirect, special, consequential or incidental damages whatsoever, even if any member of the LSE Group is advised in advance of the possibility of such damages, resulting from the use of, or inability to use, such information.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing in this document should be taken as constituting financial or investment advice. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any representation regarding the advisability of investing in any asset or whether such investment creates any legal or compliance risks for the investor. A decision to invest in any such asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset nor confirmation that any particular investor may lawfully buy, sell or hold the asset or an index containing the asset. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional.
Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the index inception date is back-tested performance. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. However, back-tested data may reflect the application of the index methodology with the benefit of hindsight, and the historic calculations of an index may change from month to month based on revisions to the underlying economic data used in the calculation of the index.
This document may contain forward-looking assessments. These are based upon a number of assumptions concerning future conditions that ultimately may prove to be inaccurate. Such forward-looking assessments are subject to risks and uncertainties and may be affected by various factors that may cause actual results to differ materially. No member of the LSE Group nor their licensors assume any duty to and do not undertake to update forward-looking assessments.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the applicable member of the LSE Group. Use and distribution of the LSE Group data requires a licence from FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, YB, BR and/or their respective licensors.
