BMO Canadian Equity Plus ETF · NEO:ZBEC
BMO Canadian Equity Plus ETF — BMO Global Asset Management — Life Insurance Capital Adequacy Test Symposium 2025
13 slides from BMO Canadian Equity Plus ETF's conference presentation, Jan 28, 2025
Slide 1: Fixed Income ETFs: Life Insurance Capital Adequacy Test Symposium
Fixed Income ETFs: Life Insurance Capital Adequacy Test Symposium January 28, 2025 For Institutional Use Only
Slide 2: Bank of Canada July 2020 Report: ETF warehousing
Bank of Canada July 2020 Report ETF warehousing could bring efficiencies and drawbacks The growth of ETF warehousing could bring benefits to the bond market, though we also foresee some vulnerabilities. In Table 1, we present the potential advantages and disadvantages of ETF warehousing for bond mar
Slide 3: Fixed Income is Critical to Insurance General Accounts
Fixed Income is Critical to Insurance General Accounts Debt securities and loans are the primary financial instruments used by Canadian life insurers in their general accounts Debt securities: corporate & other ($342 b) 42% Mortgages and loans ($148 b) 18% Debt securities: government & related ($148
Slide 4: OSFI Capital Charge Proposal - an Even Playing Field
OSFI Capital Charge Proposal - an Even Playing Field Rating Category 1 2 3 4 5 10 AAA 0.25% 0.25% 0.50% 0.50% 1.00% 1.25% AA 0.25% 0.50% 0.75% 1.00% 1.25% 1.75% A 0.75% 1.00% 1.50% 1.75% 2.00% 3.00% BBB 1.50% 2.75% 3.25% 3.75% 4.00% 4.75% BB 3.75% 6.00% 7.25% 7.75% 8.00% 8.00% B 7.50% 10.00% 10.50%
Slide 5: US Insurance Company ETF Usage
US Insurance Company ETF Usage Source: NAIC via S&P Global Market Intelligence. Data as of Dec. 31, 2023. Charts are provided for illustrative purposes. For Institutional Use Only 5
Slide 6: ETFs Usage – Market Segmentation
ETFs Usage – Market Segmentation Source: NAIC via S&P Global Market Intelligence. Data as of Dec. 31, 2023. Charts are provided for illustrative purposes. For Institutional Use Only 6
Slide 7: How an ETF Trades – Three Levels of Liquidity
How an ETF Trades – Three Levels of Liquidity e.g. Individual Bonds Buyer Continuous Basket of Bid and Offer securities Natural Liquidity Exchange Market Maker ETF Provider ETF Units Seller e.g. ZAG (ticker) First Level: Second Level: Third Level: The Exchange The Market Maker Unit Creation The natu
Slide 8: Using ETFs in Times of Extreme Market Turbulence – A Case Study
Using ETFs in Times of Extreme Market Turbulence – A Case Study • ETF: BMO Aggregate Bond Index ETF (ZAG) • Date: March 27, 2020 (“March Meltdown”). Many bond desks on the street were going no bid at this time. • The Trade: An institutional client came in seeking liquidity by selling 12.8MM shares (
Slide 9: Downgrades / Defaults from the Index in History
Downgrades / Defaults from the Index in History The flagship measure for Canadian investment-grade fixed income market is FTSE Canada Universe Bond Index, which contains bonds CAD government and corporate bonds with term / sector / quality breakdown to satisfy different investor needs. FTSE Canada U
Slide 10: Basis Points of Price vs Basis Points of Yield – Cost of Trading ETFs
Basis Points of Price vs Basis Points of Yield – Cost of Trading ETFs ZCM Details YAS Screen on ZCM • MER = 34bps of price • Duration = ~6yrs • Price value of 1bp (PV01) = $0.009 • Typical ETF Trading commission = $0.01 ETF Trading Costs Expressed as Bps of Yield • Bid/ask spread on the ETF is usual
Slide 11: Q&A
Q&A Daniel Stanley MD, Institutional Sales & Service 416-418-2354 Daniel.Stanley@bmo.com Mark Webster Director, Institutional Sales & Service 604-562-2851 Mark.Webster@bmo.com For Institutional Use Only 11
Slide 12: Disclaimer
Disclaimer Any statement that necessarily depends on future events may be a forward-looking statement. Forward-looking statements are not guarantees of performance. They involve risks, uncertainties and assumptions. Although such statements are based on assumptions that are believed to be reasonable
Slide 13: Disclaimer / About FTSE Russell (LSEG)
Disclaimer © 2024 London Stock Exchange Group plc and its applicable group undertakings (“LSEG”). LSEG includes (1) FTSE International Limited (“FTSE”), (2) Frank Russell Company (“Russell”), (3) FTSE Global About FTSE Russell (LSEG) Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Lim
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