FTSE Canada Fixed Income Indexes for Commuted Value Calculation

FTSE Canada Fixed Income Indexes selected by the Canadian Institute of Actuaries in the enhanced standards of practice for Commuted Value calculation

On January 24, 2020, following extensive review and consultation, the Actuarial Standards Board of the Canadian Institute of Actuaries (CIA) introduced enhancements to its Standards of Practice, which become effective December 2020. The updated standards provide detailed guidance on the method used to calculate Commuted Values, a key component of which involves the use of select FTSE Canada Fixed Income Indexes to represent the market-based spread component for provincial and investment grade corporate bonds[1].

In support of the pension community in Canada and in recognition of the updated standards, FTSE Russell has introduced this dedicated webpage to publish the yield values for a number of FTSE Canada Fixed Income Indexes, including the FTSE Canada Provincial Bond Index and the FTSE Canada Corporate Bond Index. The standards specify the use of the index average yield to maturity as of the close of the last Wednesday of each month[2] as an input to the Commuted Value calculation, and as such, the yield values will be updated to the web page on the business day following the last Wednesday of each month. 

DATE  INDEX NAME YTM*
Apr 28, 2021 FTSE Canada Mid-Term Federal Non-Agency Bond Index 1.357
Apr 28, 2021 FTSE Canada Long-Term Federal Non-Agency Bond Index 1.953
Apr 28, 2021 FTSE Canada Mid-Term Provincial Bond Index 1.749
Apr 28, 2021 FTSE Canada Long-Term Provincial Bond Index 2.748
Apr 28, 2021 FTSE Canada Mid-Term Corporate Bond Index 2.428
Apr 28, 2021 FTSE Canada Long-Term Corporate Bond Index 3.615
* YTM represents the published semi-annual average yield to maturity for the relevant index

 

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[1] The FTSE Canada Fixed Income Index Yields represent published index semi-annual average yield to maturity values for the relevant indexes which are a key component of calculating Commuted Values. Please refer to the CIA Standards of Practice section 3500 for detailed guidance on the assumptions and methods to be used to calculate Commuted Values.
[2] Please see subsection 3540 of the CIA Standards of Practice for additional information.
 
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