Archive for the ‘Publications’ Category

Opinion: IIROC's Slush Fund

Wednesday, July 27th, 2011

Why does IIROC have so much money to spend? Where does it go? What changes are necessary?

Look for the opinion link!

See also the draft version with footnotes.

Update, 2011-8-29: Janet McFarland of the Globe published a piece today titled Regulators mum on plans for ABCP settlement payments. It focussed on the delays in spending the new money rather than past improprieties, but there was one nugget of new information:

In an e-mailed statement, IIROC said it is working with the OSC “on a co-ordinated and consistent approach” for the money, and “public disclosure will be made at an appropriate time.”

Hmm … they’ve never ‘worked with the OSC’ before to determine how to spend their cash … one wonders what is going on in the background.

Opinion: OSFI and the Bond Indices

Wednesday, May 18th, 2011

OSFI wants to include contingent capital in the bond indices … even though Contingent Capital issues are not bonds!

Look for the opinion link!

Also available is the draft version with footnotes

The article has also been published on-line by Advisors’ Edge Report with the title OSFI Targets Bond Investors.

Update, 2011-6-21: Investors with an interest in the subject are urged to read Rowland Fleming’s explanation of how Bre-X became an index constituent.

Update, 2015-4-26: In the article, I attempt to differentiate between “good indices” and “bad indices”; the proliferation of ETFs has caused a corresponding proliferation of indices, which concerns a few US-based heavyweight lobbies:

ETFs – Since the Commission first permitted the creation of exchange-traded funds through an exemption from the Investment Advisers Act, well over a trillion dollars have been invested in these funds. ETFs, which were originally conceived as plain vanilla, index-tracking investments, can offer significant benefits to retail investors. In recent years, however, the Commission staff has approved through ad-hoc exemptive orders new and exotic versions of ETFs, many of which pose significant risks that are likely to be poorly understood by unsophisticated retail investors. For example, Commission staff has permitted ETF providers to: create their own indices just so they can create an ETF to track those indices, create inverse and leveraged ETFs, and even create actively managed ETFs.

Research: The Annuity Decision

Monday, April 25th, 2011

Annuities are very popular for retirees – and, indeed, were until recently compulsory when an insolvent pension plan was being wound down – but are largely misunderstood. I examined some of their investment characteristics in my recent article “The Annuity Decision”, published in the March/April, 2011, edition of Canadian Moneysaver.

Look for the research link!

Update, 2011-6-15: Regretably, the link to the publicly available annuity rate information given in the article is no longer operational.

Update, 2011-9-27: Canadian annuity rate data, collected by CANNEX, is now being published by the Globe & Mail.

Opinion: Predatory Trading

Thursday, July 15th, 2010

Pegged Orders have the potential to allow retail investors to compete more effectively with institutions … if their brokerages let them!

Look for the research link!

Pairs Equivalency Calculator

Monday, June 21st, 2010

I discussed the concept during my seminar on Floating Rate Issues; prepared a spreadsheet that was linked in the February 2010 Edition of PrefLetter; and have finally linked it in a “PrefPick” in Canadian Moneysaver … so it’s time to link to it publicly.

The Pairs Equivalency Calculator allows for easy valuation comparison between elements of a Strong Pair. ‘Nuff said?

Research: Bond ETFs

Friday, April 16th, 2010

Bond ETFs have gained in popularity in the decade since their inauguration in Canada, but there are subtleties in their investment characteristics that are often misunderstood.

Look for the research link!

Also, see the draft version with footnotes, tables and a chart.

Opinion: Contingent Capital

Thursday, February 25th, 2010

The concept and implications of Contingent Capital have been discussed extensively on PrefBlog. This commentary has been distilled into an article published by Advisors’ Edge Report.

Look for the Opinion Link!

The draft version with footnotes is also available.

Straight Perpetual Implied Volatility Calculator

Tuesday, February 16th, 2010

As previously announced, the January edition of PrefLetter discussed the pricing of embedded options:

The January edition contains an appendix examining the calculation of Implied Volatility for PerpetualDiscount preferred shares and a discussion of the model and its applicability for portfolio management.

A calculator was developed to accompany this article and is available for download, with the permanent link under “On-Line Resources” in the right hand panel.

As always, I recognize that improvements are possible. If anybody sends me an improvement which I incorporate into the version of the spreadsheet published here, rest assured that this contribution will be fully credited.

Update, 2010-3-22: More issues now incorporated on spreadsheet.

Research: The Bond Portfolio Jigsaw Puzzle

Wednesday, January 20th, 2010

Bond portfolios should be constructed from the top-down, adding pieces with useful characteristics relative to the rest of the portfolio as the dealers and issuers make them available.

Look for the research link!

Research: The Future of Money Market Fund Regulation

Friday, December 4th, 2009

This is a follow-up to my previous article, A Collateral Proposal, in which I suggested that MMFs be consolidated with the sponsors’ books for capital calculation purposes.

Recent proposals go farther than that, largely due to the effect of the Reserve Primary buck-breaking and its global ramifications. Look for the research link!

Links to source documents are available in the draft version.