PrefBlog

The major strength of capitalism is that people will make and sell what other people want. The major weakness of capitalism is that sometimes the appeal is not in the actual product. The random nature of mutual fund fees is basically a truism:

It seems reasonable to believe that investors would be willing to pay more if they received a higher rate of return. However, expense ratios and turnover are negatively correlated with return (Carhart, 1997; Dellva & Olson, 1998; O’Neal, 2004). Funds with low expense ratios outperform those with high expense ratios (Haslem, Baker, & Smith, 2008). Similarly, lower performing fund have higher fees, and high-quality funds do not charge comparatively higher fees (Gil-Bazo & Ruiz-Verdu, 2008). In general, mutual funds underperform by about the amount of fees and expenses (Carhart, 1997; Fama & French, 2008).
…
Mutual funds on average underperform benchmarks by approximately the amount of fees and expenses (Fama and French, 2008). As a result of lower expenses, broad index funds tend to outperform actively managed funds with equivalent risk (Malkiel, 2003). Therefore, the best way for most investors to improve performance is to have a broad index fund with minimal costs (Malkiel, 2003).

Do consumers tend to follow this advice? Mahoney (2004) finds that mutual funds with low fees tend to be larger than funds with high fees, suggesting that many investors follow the wisdom of minimizing expenses. However, such investments in a broad market index fund do not necessarily coincide with low costs. For example, S&P 500 index funds are designed to follow the index and should be relatively similar. As a result, investors should seek the lowest costs for such funds. Surprisingly, returns vary by 2% per year, and expense ratios range from 6 bps to 135 bps per year (Elton, Gruber, & Busse, 2004). Even though less expensive alternatives exist, S&P fund investors also buy funds with loads and funds that spend more on marketing (Elton et al., 2004).

As noted above there is great emphasis on marketing:

Once invested in a high expense fund, investors may be less willing to search for lower cost alternatives. With thousands of mutual funds offered by hundreds of fund families, sorting through the choices is daunting. Sirri and Tufano (1998) contend that when search costs are high, individual investors turn to rating services and periodicals for advice. They document that fund flows relate directly to the size of the fund complex and level of media attention received by the fund. Since most mutual fund advertising focuses on past performance rather than cost, funds that spend disproportionately on marketing and distribution will tend to attract the less knowledgeable investors that rely on these publications.

This marketing-that-misses-the-point has spread to universities:

Harvard University said applications for this fall’s freshman class jumped 9 percent, to a record 37,305, after the school heightened recruiting on social media and publicized a $150 million gift mostly for financial aid.

Harvard joins six of eight Ivy League schools announcing more hopefuls this year, suggesting their admit rates may decline when decisions are announced next month. Columbia, Princeton, Brown and the University of Pennsylvania also reported records.

Colleges say they are increasing marketing efforts to reach top students, especially those from underrepresented groups. Some high school advisers wonder whether the institutions are trying to buff up their images of selectivity.

This has not gone unnoticed:

Colleges also boost applications by deluging students with brochures and book-length “viewbooks” featuring attractive students and famous alumni. Further tactics have included waiving application fees, making essays optional, and counting incomplete entries in application statistics. Colleges track down kids after buying names of students after they take SAT or ACT college entrance exams. Taking the bait isn’t cheap: Colleges typically charge from $50 to $75 to apply.

A survey last year of 1,500 university deans and high school counselors by the National Association for College Admission Counseling reported concern about a shift toward a “sales culture in college admission.” Non-emergency deadline extensions are the latest example, according to David Hawkins, the trade group’s executive director for policy.

Bloomberg’s got its own marketing to do … the phrase “sales culture” appears in the press release announcing the availability of survey report but not in the report itself.

But the report gets close enough:

College admission has become big business over the last decade. At some schools, vice presidents of enrollment oversee multi-million dollar admission budgets and hire high-priced marketing consultants to improve brand recognition and manage search campaigns. Our national conferences resemble trade shows, with massive vendor halls and corporate sponsors. Institutional pressures have increased in this competitive and public admission environment, leading to a shift in how admission offices operate. Institutional interest in selectivity and rankings can influence decisions on recruitment and review strategies.

This has bothered me for quite some time, and has come to a head with a report on Colby College:

Maine’s Colby College, founded in 1813, doubled its debt load last month by borrowing about $101 million for athletics, performing arts and other upgrades on its campus in Waterville. The plans reflect the ambitions of David Greene, the school’s president since last year, who’s seeking to boost applications and improve its standing in national rankings.
…
“There is a tremendous risk taking on debt to build facilities that don’t serve the educational goals and are just to attract a particular type of student,” said David Bergeron, a vice president in Washington at Center for American Progress, a nonprofit that promotes access to higher education. “The bigger concern is that all of these efforts just lead to greater expense.”

This is craziness and just adds to the problem of student loan debt, which is beginning to have a significant economic effect as discussed on December 10, 2014. But it’s a crazy world.

The US Treasury is extending term:

As the insatiable demand for Treasuries pushes down yields, the U.S. has locked in low-cost financing for years to come by issuing more long-term debt. The average maturity of Treasuries is now poised to reach an all-time high this year.

The shift is saving money for American taxpayers — but it’s also made Treasuries more perilous for bond investors as the strength of the U.S. economy bolsters the Federal Reserve’s case for raising interest rates. Holders stand to lose about $570 billion if yields rise by a percentage point, data compiled by Bloomberg show. In 2009, it was $170 billion.
…
The 30-year bond, the longest maturity security issued by the Treasury, returned 29 percent, double that for U.S. equities. The rally accelerated in 2015, pushing down yields to a record-low 2.22 percent on Jan. 30.

A year ago, yields were closer to 4 percent.
…
Treasuries due three years or less make up 48 percent of the market for U.S. debt, versus 58 percent six years ago.

The share of bills, due in one year or less, is approaching the least since the 1950s.

That’s given the U.S. more time to repay its obligations. The average maturity has reached 68.7 months, or two months short of its high in 2001. With the U.S. budget deficit falling to a six-year low, the government is in better shape to finance its record debt burden when interest rates do rise.

The U.S. pays less in interest now than it did in 2008, even after the amount of U.S. debt outstanding more than doubled to $12.5 trillion.

There has been some echo of this in Canada:

In the 2012–13 Debt Management Strategy, the Government announced a temporary increase in 10-year bond issuance through an additional 10-year bond auction in the first quarter of 2012–13 and the discontinuation of regular bond buyback operations on a cash basis for the 10-year sector.

In September 2012, the Minister of Finance announced that a further $10 billion of issuance would be temporarily reallocated into 10- and 30-year nominal bonds (split 75/25 per cent) over a two-year period. Details were provided in a market notice accompanying the Quarterly Bond Schedule for the third quarter.[1]

These adjustments are advantageous and prudent because they contribute to a reduction in refinancing risk at a low cost, consistent with the key objectives of the Government’s medium-term debt strategy.

.. and in 2013-14:

In 2013–14, there was a further transition towards a more even distribution of market debt by remaining term to maturity to help reduce exposure to debt rollover risk. As projected in the Debt Management Strategy for 2013–14, the stock of treasury bills declined mainly as a result of about $42 billion of mortgage-backed securities purchased under the IMPP maturing in the latter half of 2013–14. The increase in the stock of bonds with remaining terms to maturity of 10 years or more reflects the temporary increase in longer-term issuance first announced in Budget 2012 and confirmed again in Budget 2013 (see Chart 2).

How the mighty have fallen! Sprott is accentuating its survivor bias:

Sprott Inc. has abruptly shuttered one of its hedge funds after it was hammered by the Swiss National Bank’s shocking mid-January decision to drop its currency peg to the euro.

The Sprott Absolute Return Income Fund, launched in Aug. 31, 2010, had $21-million in assets under management and a stated investment objective to “maximize absolute total returns on investments with low volatility” primarily by investing in fixed income securities, currencies and derivatives. It had just enjoyed a solid 2014, generating an 11.6-per-cent return – well in excess of the main hedge fund indexes – when disaster struck on Jan. 15.
…
Its managers had staked 10 per cent of the fund’s assets selling a Euro-Swiss franc put, an option that would generate value for the fund as long as the Swiss central bank held to the currency peg.
…
Sprott closed out the position at a huge loss: by the end of January, the fund’s assets under management had fallen by 17.8 per cent over the month, almost entirely due to the euro-Swiss franc put bet gone bad. By contrast, the index which tracks similar hedge funds, the HFRX Absolute Return Index, posted a 0.6 per cent gain.

Another media favourite is beating his breast and flaunting crocodile tears:

Famed investor Jeremy Grantham is still kicking himself for missing out on one of the more lucrative trading opportunities in recent years – buying put options on oil in 2014.

The sharp decline in crude prices was both inevitable and predictable, because global demand was not growing fast enough to absorb the increased supply coming from U.S. frackers, Mr. Grantham writes in his latest quarterly letter to institutional clients
…
He exclaims: “How on Earth did I miss this!” Psychologists might label this a classic case of hindsight bias – the tendency to regard market-shifting developments as entirely predictable.

If you can’t actually foresee anything, the next best thing is to tell your clients that to a person of your calibre it should have been obvious. But I’ve had a look at Grantham’s firm’s performance – well, he’s better than the average stockbroker, anyway. No more than that.

Longevity risk is getting more important all the time:

AT&T Inc. last month absorbed a $7.9 billion non-cash charge from rising pension costs, including retirees’ longer lifespans. At Northrop Grumman Corp., updated mortality estimates boosted its pension obligations by $1.8 billion to $30.5 billion, while shareholders in International Business Machines Corp. saw their equity shrink by around $6 billion after the company recalculated its pension bill, in part because of the mortality changes.
…
In September, Motorola Solutions Inc. cut its pension obligations by $4.2 billion by transferring responsibility for 30,000 retirees to Prudential Financial Inc. and offering others lump sum payments. Now, if Motorola retirees live longer, Prudential will be on the hook, not their former employer.

Dozens of additional deals are likely this year. In a MetLife Inc. survey of 228 pension plans, 29 percent said they are considering similar transactions over the next two years.

Demand for such pension risk transfer deals eventually will eclipse the insurance industry’s capacity and provide an opening for investment banks to sell securities known as “death derivatives,” some experts say.
…
The trigger for corporate pension plans to update their lifespan assumptions was the October release of new mortality tables from the Society of Actuaries in Schaumburg, Illinois. Starting in 2009, society researchers pored over private pension plan data on 220,000 deaths and 10.5 million life-years, said Dale Hall, the society’s managing director for research.

The new estimates, the first update since 2000, were designed to provide more realistic guidance for plan sponsors who have generally done a poor job of keeping pace with the steady improvement in life expectancy in recent decades.

A 65-year-old male now can expect to live 21.6 additional years, two years longer than in the old tables.

Publication of the new tables — a standard reference for plan sponsors — began having a financial impact in fourth-quarter earnings statements.

That’s a double whammy for some:

U.S. public pensions reported median returns of 6.8 percent last year, the sixth year in a row of gains after the financial crisis, according to Wilshire Associates.

The gains, though, are less than the annual investment returns of 7.5 percent to 8 percent that many state and local governments count on to pay benefits for teachers, police and other employees. In the 10 years through Dec. 31, public pensions had a median return of 6.6 percent.
…
Assets of the 100 largest U.S. public pension funds rose to $3.31 trillion in the third quarter of 2014 from $3.06 trillion in the same period of 2013, according to the U.S. Census Bureau. The average funding of state and local pensions has deteriorated even though investment returns have improved, partly because of inadequate contributions by governments, according to a report last year from Moody’s Investors Service on the 25 largest public plans. Unfunded liabilities tripled to almost $2 trillion from 2004 through 2013.

Nationwide, state and local pensions had a median allocation of 45.4 percent in U.S. stocks and 13 percent in foreign stocks, according to Wilshire’s Trust Universe Comparison Service.

Greece is planning to borrow now, default later:

Greece will seek about 10 billion euros ($11.3 billion) in short-term financing as it tries to stave off a funding crunch while buying time to push its creditors to ease austerity demands.

Greece’s Finance Minister Yanis Varoufakis will present a proposal at a Wednesday meeting of euro area finance ministers in Brussels that will ask for an 8 billion-euro increase in the stock of Treasury Bills the country is allowed, said a government official who asked not to be named as the negotiations are confidential. It will also seek the disbursement of 1.9 billion euros of profits that euro area central banks made on their Greek bonds holdings.
…
Investors are less enthusiastic. Greek government bonds fell for a fourth day on Feb. 9, with yields on three-year notes jumping 308 basis points to 21.08 percent, while bank stocks fell 12.2 percent in the Athens Stock Exchange.

And here’s some more proof that millennials are useless:

Note that the figures represent the percentage of respondents who have personally observed this behaviour, not the percentage of parents who indulge. Respondents were 725 employers who responded to the Michigan State University’s 2006-2007 recruiting survey.

It was another good day for the Canadian preferred share market, with PerpetualDiscounts gaining 3bp, FixedResets winning 22bp and DeemedRetractibles up 10bp. The Performance Highlights table is lengthy again, dominated by winning FixedResets. Volume was low.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.33 to be $0.85 rich, while TRP.PR.A, resetting 2019-12-31 at +192, is bid at a very suspicious 19.00 (with an enormous spread) to be $1.23 cheap.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.J, resetting at +281 on 2018-3-19, bid at 25.45 to be $0.27 rich, while MFC.PR.K, resetting at +222 on 2018-9-19, is bid at 23.62 to be $0.50 cheap.

Here’s another good fit to reasonable numbers (it’s the scale that makes it look so awful!). I hope this market doesn’t start making sense, or I’ll be out of work!

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 21.68 to be $0.45 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.34 and appears to be $0.68 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 17.00, looks $0.86 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, bid at 23.63, and is $0.96 rich.

All the break-even rates are scattered around zero – which is at least somewhat more reasonable than being negative!

On the other hand, the market’s distaste for product linked to Money Market rates does not extend to prime, as shown by the FixedFloater/RatchetRate pairs:

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.5962 %	2,195.0
FixedFloater	4.33 %	3.50 %	21,095	18.42	1	1.6698 %	4,078.2
Floater	3.28 %	3.46 %	59,380	18.59	4	0.5962 %	2,333.4
OpRet	4.04 %	1.95 %	100,068	0.35	1	0.0395 %	2,753.1
SplitShare	4.28 %	4.05 %	32,867	3.56	5	0.0203 %	3,195.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0395 %	2,517.4
Perpetual-Premium	5.33 %	-5.46 %	60,894	0.08	24	-0.0424 %	2,514.4
Perpetual-Discount	4.95 %	4.81 %	127,430	15.26	10	0.0292 %	2,789.3
FixedReset	4.37 %	3.38 %	218,977	17.00	79	0.2233 %	2,444.4
Deemed-Retractible	4.91 %	0.89 %	108,317	0.12	39	0.0969 %	2,647.5
FloatingReset	2.48 %	2.91 %	84,742	6.42	7	0.1611 %	2,312.7

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.A	FixedReset	-5.00 %	Not entirely real, but indicative of a bad day nonetheless. There was a sale of 2,200 shares at 3:59pm that took out the bids; executions of this order (possibly more than just one, but the seller [anonymous] and timestamp are the same) started at 19.73 and continued until 100 were executed at 19.43. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 3.73 %
TRP.PR.F	FloatingReset	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 3.43 %
BAM.PF.B	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 22.91 Evaluated at bid price : 24.16 Bid-YTW : 3.60 %
IFC.PR.C	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.63 Bid-YTW : 3.79 %
BAM.PR.C	Floater	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 14.45 Evaluated at bid price : 14.45 Bid-YTW : 3.48 %
ENB.PF.G	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 22.63 Evaluated at bid price : 23.74 Bid-YTW : 3.87 %
TRP.PR.D	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 22.92 Evaluated at bid price : 24.20 Bid-YTW : 3.32 %
BMO.PR.Q	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.16 Bid-YTW : 3.53 %
NA.PR.W	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 23.11 Evaluated at bid price : 24.84 Bid-YTW : 3.09 %
HSE.PR.A	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 17.96 Evaluated at bid price : 17.96 Bid-YTW : 3.63 %
PWF.PR.T	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 23.35 Evaluated at bid price : 25.30 Bid-YTW : 3.13 %
ENB.PR.F	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 21.47 Evaluated at bid price : 21.47 Bid-YTW : 4.00 %
MFC.PR.F	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 4.83 %
ENB.PR.Y	FixedReset	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 4.01 %
BAM.PR.G	FixedFloater	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 21.99 Evaluated at bid price : 21.92 Bid-YTW : 3.50 %
IFC.PR.A	FixedReset	1.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.19 Bid-YTW : 5.66 %
TRP.PR.C	FixedReset	2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 3.45 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.J	FixedReset	119,507	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 23.21 Evaluated at bid price : 25.21 Bid-YTW : 3.34 %
NA.PR.W	FixedReset	89,388	TD crossed blocks of 60,000 and 25,000 at 24.83. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 23.11 Evaluated at bid price : 24.84 Bid-YTW : 3.09 %
GWO.PR.N	FixedReset	59,248	Desjardins sold 41,200 to anonymous at 19.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 5.08 %
MFC.PR.M	FixedReset	53,993	Scotia crossed 40,000 at 24.65. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.74 Bid-YTW : 3.72 %
FTS.PR.M	FixedReset	47,700	RBC crossed 10,000 at 25.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 23.22 Evaluated at bid price : 25.15 Bid-YTW : 3.30 %
CM.PR.O	FixedReset	36,230	TD crossed 27,000 at 24.88. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 23.15 Evaluated at bid price : 24.85 Bid-YTW : 3.14 %
There were 23 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.A	FixedReset	Quote: 19.00 – 20.45 Spot Rate : 1.4500 Average : 0.9583 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 3.73 %
PWF.PR.P	FixedReset	Quote: 19.01 – 19.52 Spot Rate : 0.5100 Average : 0.3088 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 3.20 %
TRP.PR.F	FloatingReset	Quote: 17.91 – 18.49 Spot Rate : 0.5800 Average : 0.4194 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 3.43 %
CU.PR.F	Perpetual-Discount	Quote: 23.59 – 24.00 Spot Rate : 0.4100 Average : 0.3053 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 23.25 Evaluated at bid price : 23.59 Bid-YTW : 4.76 %
CU.PR.E	Perpetual-Premium	Quote: 25.01 – 25.50 Spot Rate : 0.4900 Average : 0.3892 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-01 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 4.87 %
FTS.PR.J	Perpetual-Discount	Quote: 25.00 – 25.40 Spot Rate : 0.4000 Average : 0.3022 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-02-09 Maturity Price : 24.57 Evaluated at bid price : 25.00 Bid-YTW : 4.81 %

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