Archive for the ‘Publications’ Category

DeemedRetractible Review: September, 2016

Monday, April 17th, 2017

As an example of DeemedRetractible analysis, and as an aid to PrefLetter subscribers who are referred to previous issues, I am publishing the PrefLetter DeemedRetractible Review September 2016. It’s rather a large file!

This is notable for its lengthy argument justifying my belief that the NVCC rules currently applied to banks will be extended by OSFI to preferred shares issued by insurers and insurance holding companies. This argument has recently been buttressed by OSFI’s public commentary on the revision of the global insurance rules, as reported in the post OSFI Dovish on Insurance Tier 1 Eligibility Rule.

Update, 2018-11-3: Consultations continue as we slowly grind to a resolution of this issue. See Comment Period Expires for IAIS Public Consultation on ICS 2.0.

Update, 2018-12-5: The IAIS has released its November / December 2018 newsletter, which reiterates its intentions regarding ICS 2.0:

In a session moderated by Secretary General Jonathan Dixon, the Chairs of the Policy Development, Macroprudential, and Implementation and Assessment Committees [Elise Liebers, Alberto Corinti and Jose (Pepe) Lopez Hoyo, respectively] provided updates on key IAIS initiatives within their respective areas, including revisions to the ICPs and ComFrame, along with progress in developing ICS Version 2.0, and the holistic framework for systemic risk. These projects are all on track, with delivery slated for year-end 2019.

Update, 2018-12-26: ‘Deemed Maturity’ Date for Insurance Issues Changed to 2030-1-31.

Update, 2019-3-22: The International Association of Insurance Supervisors has announced:

The CSFWG will host an ICS Stakeholder Meeting in Orlando on 10 April. The stakeholder meeting is intended to provide a forum for constructive feedback on ICS Version 2.0. Stakeholders who wish to provide presentations on key issues related to the ICS should contact and by 22 March 2019 indicating the topics they wish to cover. Presentation materials should be provided no later than 29 March 2019. To register, please click here.

Update, 2019-4-6: Responses to the 2018 call for comments on the IAIS Public Consultation on ICS 2.0 have been released.

Update, 2019-5-27: Schedule update consistent with previous estimates.

Update, 2019-11-17: The IAIS has decided against requiring a Principal Loss Absorbency Mechanism in its testing phase. Although such a requirement is still within the bounds of possibility once the testing has been completed and final adjustments are made to the capital requirements rules, such a reversal should not be considered likely without additional supporting evidence.

FixedReset Review: October, 2016

Monday, April 17th, 2017

As an example of FixedReset analysis, and as an aid to PrefLetter subscribers who are referred to previous issues, I am publishing the PrefLetter FixedReset Notes October 2016. It’s rather a large file!

The specifics are outdated, of course, but I hope that the techniques and their justification will be useful to Assiduous Readers.

Implied Volatility For FixedResets: 2016 Edition

Thursday, February 11th, 2016

The theory of Implied Volatility for FixedResets was published in the 2013 edition of PrefLetter and made public last year.

It has now been updated with further explanations, examples and discussion and the 2016 edition may be downloaded by clicking here.

The calculator (an Excel Spreadsheet) has been publicly available for some time, linked on the right-hand navigation panel under the heading “Calculators”.

Many readers will wish to read the companion essay Implied Volatility for Straight Perpetuals as it is conceptually similar with fewer parameters.

Implied Volatility of Straight Perpetuals

Saturday, January 30th, 2016

While revising and expanding my essay regarding Implied Volatility for FixedResets I realized that it would be useful to refer to my prior effort regarding Implied Volatility for Straight Perpetuals, which was published in the January, 2010, edition of PrefLetter.

So, the essay Implied Volatility in Perpetual Preferreds (with its addendum, Portfolio Management Implications of Implied Volatility in Perpetual Preferreds) is now publicly available.

Implied Volatility For FixedResets

Sunday, February 1st, 2015

In response to overwhelming demand (Assiduous Reader MW wrote me) I have decided to publish my essay Implied Volatility for FixedResets, which originally appeared as an appendix to the September, 2013, edition of PrefLetter.

The calculator (an Excel Spreadsheet) has been publicly available for some time, linked on the right-hand navigation panel under the heading “Calculators”.

Update, 2016-2-11: An updated and expanded 2016 edition is now available.

Opinion: OSFI's Academic Foray

Tuesday, January 22nd, 2013

OSFI published a paper in March, 2012, titled Evidence for Mean Reversion in Equity Prices. It wasn’t very good, as I explained in a recent article.

Look for the Opinion Link!

Also available: Draft version with footnotes.

Research: It's All About Sequence

Wednesday, October 17th, 2012

I wrote an article about SplitShares for the Advisor’s Edge Report, which has been published on-line.

Look for the research link!

Research: 6 safe places for returns in a low rate world

Monday, October 15th, 2012

My article titled 6 safe places for returns in a low rate world has been published on the Star’s Moneyville site.

So far it has two “recommends” and five Facebook likes!

Research: Split Share Credit Quality

Sunday, May 20th, 2012

This was published some time ago, but for some reason I forgot to put it on the Web!

Anyway, the credit quality of SplitShare corporation preferreds is subject to numerous factors – the NAV of the underlying portfolio is only the most obvious. These influences can be quantified; an introduction to this quantification is presented in this article.

Click on the research link!

Research: Security of Income vs. Security of Principal

Friday, October 28th, 2011

I have previously decried the practice of automatic investment in five-year bond ladders and touched briefly in that essay on the importance of differentiating security of income from security of principal. In this effort, I delve more deeply into this question – which is the fundamental consideration in fixed-income portfolio design – and attempt to explain why security of income is much more important than is usually thought.

Look for the research link!