The recent slide in PerpetualDiscounts has been particularly hard on insurers – and particularly the lower coupon issues in a continuation of the trend discussed in MAPF: February Performance. In fact, implied volatility has gone …
Search Results for: performance
March 22, 2010
The Office of the Chief Actuary (part of OSFI) has released its eighth actuarial study, titled Technical Aspects of the Financing of the Canada Pension Plan, complete with OSFI’s usual dollop of patronizing paternalistic Panglossian …
March 19, 2010
Spend-Every-Penny gave a speech to the UK Chamber of Commerce deemed to be too boring for the Department of Finance website. Highlights were: “Issues like the concept of ‘too big to fail’ and ‘systemically important’ …
FixedReset Index Sets New Yield Low
A new low in yield was set by the FixedReset sub-index today. Some charts will illustrate: Click for Big In the past year, FixedReset yields have declined from 5.72% to 3.46%, while PerpetualDiscounts have declined …
March 18, 2010
Brinksmanship regarding the Greek bail-out is getting … er … brinkier: Greek Prime Minister George Papandreou set a one-week deadline for the European Union to craft a financial aid mechanism for Greece, challenging Germany to …
The Story of the CDO Market Meltdown
Anna Katherine Barnett-Hart’s senior thesis has attracted some media interest, so I’ll highlight it here – since a kind soul on Financial Webring Forum went to the trouble of finding the link. The title is …
March 17, 2010
Former Lehman executives (and note that an “executive” can be anybody with a title) who, it would seem, prefer to remain anonymous, are trying to play down Repo 105, discussed on PrefBlog on March 12. …
S&P Releases 2009 Transition Study
Standard & Poor’s has released its 2009 Annual Global Corporate Default Study And Rating Transitions: Last year set many new records in terms of global corporate default and transition performance. There were 264 defaults globally, …
March 16, 2010
The IMF has released the March 2010 edition of Finance & Development. Europe will bail out Greece, if necessary: Europe’s blueprint for a financial lifeline to Greece amounts to an unprecedented bet by finance ministers …
March 15, 2010
Under proposed legislation, the New York Fed will be politicized: The Federal Reserve Bank of New York president, who supervises five of the seven largest U.S. banks, would be subject to White House appointment and …