{"id":49856,"date":"2018-12-03T20:32:00","date_gmt":"2018-12-04T01:32:00","guid":{"rendered":"https:\/\/prefblog.com\/?p=49856"},"modified":"2025-08-27T20:33:34","modified_gmt":"2025-08-28T00:33:34","slug":"december-3-2018","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=49856","title":{"rendered":"December 3, 2018"},"content":{"rendered":"

A number of big names from the Fed – Kenechukwu Anadu, Mathias Kruttli, Patrick E. McCabe, Emilio Osambela and Chaehee Shin – have published a working paper titled The Shift From Active to Passive Investing: Potential Risks to Financial Stability?<\/a>:<\/p>\n

\n

The past couple of decades have seen a significant shift in assets from active to passive investment strategies. We examine the potential effects of this shift on financial stability through four different channels: (1) effects on investment funds\u2019 liquidity transformation and redemption risks; (2) passive strategies that amplify market volatility; (3) increases in asset-management industry concentration; and (4) the effects on valuations, volatility, and co-movement of assets that are included in indexes. Overall, the shift from active to passive investment strategies appears to be increasing some types of risk while diminishing others: The shift has probably reduced liquidity transformation risks, although some passive strategies amplify market volatility, and passive-fund growth is increasing asset-management industry concentration. We find mixed evidence that passive investing is contributing to the co-movement of assets. Finally, we use our framework to assess how financial stability risks are likely to evolve if the shift to passive investing continues, noting that some of the repercussions of passive investing ultimately may slow its growth.<\/p>\n<\/blockquote>\n

The Harvard Law School Forum on Corporate Governance and Financial Regulation has published a summary of the work<\/a>.<\/p>\n

Speaking of the Fed, I learned today that the New York Fed has a webpage titled Measuring the Natural Rate of Interest<\/a>, which estimates the Natural Rate of Interest in the US as about 0.75% and 0.5% for ‘Advanced Economies’. Canada is estimated at 1.43%<\/a>.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.8679 %<\/td>\n2,637.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.8679 %<\/td>\n4,839.2<\/td>\n<\/tr>\n
Floater<\/td>\n4.41 %<\/td>\n4.74 %<\/td>\n39,947<\/td>\n15.89<\/td>\n4<\/td>\n0.8679 %<\/td>\n2,788.9<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2272 %<\/td>\n3,176.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.64 %<\/td>\n5.26 %<\/td>\n85,102<\/td>\n4.64<\/td>\n7<\/td>\n0.2272 %<\/td>\n3,792.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2272 %<\/td>\n2,959.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.58 %<\/td>\n-1.02 %<\/td>\n128,756<\/td>\n0.08<\/td>\n2<\/td>\n0.5786 %<\/td>\n2,866.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.77 %<\/td>\n5.95 %<\/td>\n73,304<\/td>\n13.91<\/td>\n33<\/td>\n0.1077 %<\/td>\n2,859.7<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n4.91 %<\/td>\n5.53 %<\/td>\n186,234<\/td>\n14.64<\/td>\n66<\/td>\n0.0703 %<\/td>\n2,280.7<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.53 %<\/td>\n7.60 %<\/td>\n87,744<\/td>\n5.17<\/td>\n27<\/td>\n-0.0234 %<\/td>\n2,857.1<\/td>\n<\/tr>\n
FloatingReset<\/td>\n4.02 %<\/td>\n4.83 %<\/td>\n34,950<\/td>\n3.00<\/td>\n7<\/td>\n0.0504 %<\/td>\n2,557.3<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n5.17 %<\/td>\n4.37 %<\/td>\n288,966<\/td>\n2.32<\/td>\n14<\/td>\n0.2100 %<\/td>\n2,502.8<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n2.98 %<\/td>\n4.17 %<\/td>\n122,291<\/td>\n2.94<\/td>\n6<\/td>\n0.0551 %<\/td>\n2,568.9<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n4.92 %<\/td>\n7.92 %<\/td>\n125,621<\/td>\n5.22<\/td>\n22<\/td>\n-0.0531 %<\/td>\n2,287.0<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BNS.PR.I<\/td>\nFixedReset Disc<\/td>\n-2.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 22.31
\nEvaluated at bid price : 23.08
\nBid-YTW : 5.14 %<\/td>\n<\/tr>\n
HSE.PR.G<\/td>\nFixedReset Disc<\/td>\n-1.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 20.59
\nEvaluated at bid price : 20.59
\nBid-YTW : 6.85 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset Disc<\/td>\n-1.70 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 20.80
\nEvaluated at bid price : 20.80
\nBid-YTW : 6.81 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset Disc<\/td>\n-1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 17.65
\nEvaluated at bid price : 17.65
\nBid-YTW : 6.18 %<\/td>\n<\/tr>\n
ELF.PR.H<\/td>\nPerpetual-Discount<\/td>\n-1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 23.11
\nEvaluated at bid price : 23.55
\nBid-YTW : 5.91 %<\/td>\n<\/tr>\n
GWO.PR.M<\/td>\nDeemed-Retractible<\/td>\n-1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.43
\nBid-YTW : 6.21 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset Disc<\/td>\n-1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 16.04
\nEvaluated at bid price : 16.04
\nBid-YTW : 5.92 %<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset Disc<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 20.05
\nEvaluated at bid price : 20.05
\nBid-YTW : 6.29 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 16.75
\nEvaluated at bid price : 16.75
\nBid-YTW : 5.40 %<\/td>\n<\/tr>\n
CGI.PR.D<\/td>\nSplitShare<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2023-06-14
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.55
\nBid-YTW : 4.18 %<\/td>\n<\/tr>\n
EMA.PR.F<\/td>\nFixedReset Disc<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 20.17
\nEvaluated at bid price : 20.17
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n
PWF.PR.Q<\/td>\nFloatingReset<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 18.55
\nEvaluated at bid price : 18.55
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 19.41
\nEvaluated at bid price : 19.41
\nBid-YTW : 6.24 %<\/td>\n<\/tr>\n
EIT.PR.A<\/td>\nSplitShare<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2024-03-14
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.67
\nBid-YTW : 5.09 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 21.71
\nEvaluated at bid price : 22.11
\nBid-YTW : 5.22 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset Disc<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 20.55
\nEvaluated at bid price : 20.55
\nBid-YTW : 5.98 %<\/td>\n<\/tr>\n
BMO.PR.E<\/td>\nFixedReset Disc<\/td>\n1.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 22.54
\nEvaluated at bid price : 23.49
\nBid-YTW : 5.24 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 22.38
\nEvaluated at bid price : 22.70
\nBid-YTW : 5.47 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n1.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 14.80
\nEvaluated at bid price : 14.80
\nBid-YTW : 4.74 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset Disc<\/td>\n1.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 14.39
\nEvaluated at bid price : 14.39
\nBid-YTW : 6.48 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n2.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 14.80
\nEvaluated at bid price : 14.80
\nBid-YTW : 4.74 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n523,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 21.63
\nEvaluated at bid price : 22.05
\nBid-YTW : 5.53 %<\/td>\n<\/tr>\n
BIP.PR.B<\/td>\nFixedReset Disc<\/td>\n143,970<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2020-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.80
\nBid-YTW : 5.73 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset Disc<\/td>\n113,816<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 20.85
\nEvaluated at bid price : 20.85
\nBid-YTW : 5.33 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset Disc<\/td>\n67,538<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 21.42
\nEvaluated at bid price : 21.75
\nBid-YTW : 5.55 %<\/td>\n<\/tr>\n
BAM.PF.F<\/td>\nFixedReset Disc<\/td>\n58,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 20.85
\nEvaluated at bid price : 20.85
\nBid-YTW : 6.17 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset Disc<\/td>\n58,498<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 14.90
\nEvaluated at bid price : 14.90
\nBid-YTW : 6.04 %<\/td>\n<\/tr>\n
There were 34 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
CU.PR.E<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.22 – 21.88
\nSpot Rate : 0.6600
\nAverage : 0.3829<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 21.22
\nEvaluated at bid price : 21.22
\nBid-YTW : 5.82 %<\/td>\n<\/tr>\n

ELF.PR.H<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.55 – 24.38
\nSpot Rate : 0.8300
\nAverage : 0.6085<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 23.11
\nEvaluated at bid price : 23.55
\nBid-YTW : 5.91 %<\/td>\n<\/tr>\n

GWO.PR.T<\/td>\nDeemed-Retractible<\/td>\nQuote: 21.98 – 22.55
\nSpot Rate : 0.5700
\nAverage : 0.4211<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.98
\nBid-YTW : 7.61 %<\/td>\n<\/tr>\n

MFC.PR.O<\/td>\nFixedReset Ins Non<\/td>\nQuote: 25.38 – 25.72
\nSpot Rate : 0.3400
\nAverage : 0.2134<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-06-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.38
\nBid-YTW : 4.89 %<\/td>\n<\/tr>\n

BAM.PF.C<\/td>\nPerpetual-Discount<\/td>\nQuote: 19.90 – 20.38
\nSpot Rate : 0.4800
\nAverage : 0.3644<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-12-03
\nMaturity Price : 19.90
\nEvaluated at bid price : 19.90
\nBid-YTW : 6.22 %<\/td>\n<\/tr>\n

CGI.PR.D<\/td>\nSplitShare<\/td>\nQuote: 24.55 – 24.96
\nSpot Rate : 0.4100
\nAverage : 0.3088<\/p>\n

YTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2023-06-14
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.55
\nBid-YTW : 4.18 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

A number of big names from the Fed – Kenechukwu Anadu, Mathias Kruttli, Patrick E. McCabe, Emilio Osambela and Chaehee Shin – have published a working paper titled The Shift From Active to Passive Investing: …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-49856","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49856","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=49856"}],"version-history":[{"count":1,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49856\/revisions"}],"predecessor-version":[{"id":49857,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49856\/revisions\/49857"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=49856"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=49856"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=49856"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}