Here’s a few more interesting papers on the inflation risk premium, for those who have been clamouring for them. At some point I hope to highlight them properly, but for now I just want to store the links, because finding them was a pain.
- Inflation risk and the inflation risk premium, Geert Bekaert and Xiaozheng Wang
- ESTIMATING INFLATION RISK PREMIA USING INFLATION-LINKED BONDS: A REVIEW, Alexander Kupfer
- The impact of liquidity on inflation-linked bonds: A hypothetical indexed bonds approach, Julia Auckenthaler, Alexander Kupfer, Rupert Sendlhofer
- Accounting for Low Long-Term Interest Rates: Evidence from Canada, Jens H. E. Christensen, Glenn D. Rudebusch, Patrick J. Shultz
Update, 2023-1-25: I was interested in the claim by Kupfer in the second link that:
For the United Kingdom, a publication by the Debt Management Office reveals that ILBs ‘have led to a significant reduction in the cost of funding’ (UK Debt Management Office, 2001, p. 39)
… so I looked up the reference:
Index-linked gilts have proved a valuable addition to the Government’s portfolio. In addition to increasing the diversity of the portfolio, index-linked gilts have led to a significant reduction in the cost of funding. This has partly been due to the reduction of inflation risk but more importantly because of the fact that market expectations of inflation have exceeded the inflation outturn for much of the last 20 years
| 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 | 1.1805 % | 2,553.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.1805 % | 4,897.6 |
| Floater | 8.50 % | 8.63 % | 67,342 | 10.72 | 2 | 1.1805 % | 2,822.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6812 % | 3,393.9 |
| SplitShare | 4.95 % | 6.59 % | 60,478 | 2.82 | 7 | 0.6812 % | 4,053.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6812 % | 3,162.4 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1770 % | 2,884.1 |
| Perpetual-Discount | 5.91 % | 5.97 % | 92,840 | 13.93 | 35 | 0.1770 % | 3,144.9 |
| FixedReset Disc | 5.34 % | 7.01 % | 97,357 | 12.68 | 62 | -0.7713 % | 2,269.4 |
| Insurance Straight | 5.81 % | 5.95 % | 97,474 | 13.96 | 20 | 0.0494 % | 3,089.1 |
| FloatingReset | 9.65 % | 9.94 % | 40,791 | 9.56 | 2 | -0.4390 % | 2,577.0 |
| FixedReset Prem | 6.59 % | 6.28 % | 174,064 | 4.09 | 2 | -0.1579 % | 2,384.7 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.7713 % | 2,319.8 |
| FixedReset Ins Non | 5.41 % | 6.82 % | 52,671 | 12.83 | 14 | -0.5055 % | 2,385.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CM.PR.O | FixedReset Disc | -5.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 7.37 % |
| MFC.PR.M | FixedReset Ins Non | -4.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 7.68 % |
| NA.PR.G | FixedReset Disc | -3.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.68 % |
| PWF.PR.T | FixedReset Disc | -2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 18.43 Evaluated at bid price : 18.43 Bid-YTW : 7.22 % |
| BMO.PR.T | FixedReset Disc | -2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 7.25 % |
| NA.PR.W | FixedReset Disc | -2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 17.39 Evaluated at bid price : 17.39 Bid-YTW : 7.28 % |
| IFC.PR.A | FixedReset Ins Non | -2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 6.66 % |
| BMO.PR.F | FixedReset Disc | -2.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 23.77 Evaluated at bid price : 24.20 Bid-YTW : 6.69 % |
| CU.PR.D | Perpetual-Discount | -2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.94 % |
| RY.PR.Z | FixedReset Disc | -2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 7.00 % |
| BMO.PR.S | FixedReset Disc | -2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 18.68 Evaluated at bid price : 18.68 Bid-YTW : 7.07 % |
| TRP.PR.B | FixedReset Disc | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 11.58 Evaluated at bid price : 11.58 Bid-YTW : 8.31 % |
| NA.PR.S | FixedReset Disc | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 7.31 % |
| BMO.PR.Y | FixedReset Disc | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.90 % |
| RY.PR.M | FixedReset Disc | -1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 6.87 % |
| CM.PR.Y | FixedReset Disc | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 23.81 Evaluated at bid price : 24.20 Bid-YTW : 6.68 % |
| BN.PF.H | FixedReset Disc | -1.44 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 23.95 Bid-YTW : 6.77 % |
| FTS.PR.H | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 13.31 Evaluated at bid price : 13.31 Bid-YTW : 7.64 % |
| TRP.PR.D | FixedReset Disc | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 8.10 % |
| BN.PF.F | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 17.39 Evaluated at bid price : 17.39 Bid-YTW : 8.20 % |
| CM.PR.T | FixedReset Disc | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 23.37 Evaluated at bid price : 23.85 Bid-YTW : 6.51 % |
| FTS.PR.M | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 7.52 % |
| CM.PR.P | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 7.03 % |
| PWF.PR.G | Perpetual-Discount | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 24.09 Evaluated at bid price : 24.35 Bid-YTW : 6.08 % |
| MFC.PR.K | FixedReset Ins Non | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 7.18 % |
| RY.PR.H | FixedReset Disc | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 6.90 % |
| BN.PF.I | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 22.15 Evaluated at bid price : 22.71 Bid-YTW : 7.15 % |
| SLF.PR.G | FixedReset Ins Non | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 13.44 Evaluated at bid price : 13.44 Bid-YTW : 7.46 % |
| RY.PR.N | Perpetual-Discount | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 23.09 Evaluated at bid price : 23.50 Bid-YTW : 5.28 % |
| IAF.PR.I | FixedReset Ins Non | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 22.15 Evaluated at bid price : 22.80 Bid-YTW : 6.33 % |
| IAF.PR.B | Insurance Straight | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 20.78 Evaluated at bid price : 20.78 Bid-YTW : 5.60 % |
| RY.PR.O | Perpetual-Discount | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 23.18 Evaluated at bid price : 23.61 Bid-YTW : 5.25 % |
| BN.PR.K | Floater | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 13.27 Evaluated at bid price : 13.27 Bid-YTW : 8.65 % |
| PWF.PR.P | FixedReset Disc | 3.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 13.52 Evaluated at bid price : 13.52 Bid-YTW : 7.53 % |
| CU.PR.H | Perpetual-Discount | 8.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 22.43 Evaluated at bid price : 22.70 Bid-YTW : 5.87 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.I | FixedReset Prem | 159,546 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 23.13 Evaluated at bid price : 24.85 Bid-YTW : 6.07 % |
| RY.PR.J | FixedReset Disc | 86,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 6.75 % |
| BMO.PR.E | FixedReset Disc | 54,881 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 21.61 Evaluated at bid price : 22.00 Bid-YTW : 6.49 % |
| BN.PR.K | Floater | 52,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 13.27 Evaluated at bid price : 13.27 Bid-YTW : 8.65 % |
| BMO.PR.Y | FixedReset Disc | 47,153 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-24 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.90 % |
| BN.PF.H | FixedReset Disc | 34,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 23.95 Bid-YTW : 6.77 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PVS.PR.J | SplitShare | Quote: 22.61 – 23.80 Spot Rate : 1.1900 Average : 0.7415 YTW SCENARIO |
| CM.PR.O | FixedReset Disc | Quote: 17.50 – 18.55 Spot Rate : 1.0500 Average : 0.6329 YTW SCENARIO |
| BN.PR.N | Perpetual-Discount | Quote: 19.42 – 20.80 Spot Rate : 1.3800 Average : 0.9879 YTW SCENARIO |
| BN.PF.A | FixedReset Disc | Quote: 19.82 – 21.95 Spot Rate : 2.1300 Average : 1.8212 YTW SCENARIO |
| MFC.PR.B | Insurance Straight | Quote: 20.67 – 21.48 Spot Rate : 0.8100 Average : 0.5503 YTW SCENARIO |
| NA.PR.G | FixedReset Disc | Quote: 21.50 – 22.30 Spot Rate : 0.8000 Average : 0.5434 YTW SCENARIO |