The Case for Trills: Giving Canadians and their Pension Funds a Stake in the Wealth of the Nation

This study proposes that the Government of Canada issue a new debt security, the “Trill,” which would essentially offer Canadian investors an equity stake in the Canadian economy. The Trill is so-named because its coupon payment would be one-trillionth of Canada’s GDP. Similar to shares issued by corporations paying a fraction of corporate earnings in dividends, the Trill would pay a fraction of the “earnings” of Canada. Coupon payments would rise and fall with the GDP.pension papers, governance and public institutions

The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation

We make the case for the U.S. government to issue a new security with a coupon tied to the United States’ current dollar GDP. This security might pay, for example, a coupon of one-trillionth of the GDP, and we propose the name "Trill" be used to refer to this new security. This new debt instrument should be of great interest to the Government for its stabilizing influence on the budget (as coupon payments fall in a recession with declining tax revenues) and for its yield, based on our valuation. Standard asset pricing analysis also suggests that Trills would enable important new portfolio diversification strategies and, in contrast to available assets that protect relative standards of living in retirement, Trills would have virtually no counterparty risk. We believe there would be a lively appetite for the Trill from institutional investors, public and private pension funds, as well as the individual investor.GDP-linked bonds, Aggregate risk, Income risk, Inflation-indexed bonds, MacroShares, U.S. Treasury, Treasury Inflation Protection Securities (TIPS), Intergenerational risk sharing, International risk sharing, Hedging, Portfolio diversification, Market portfolio

The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation

We make the case for the U.S. government to issue a new security with a coupon tied to the United States’ current dollar GDP. This security might pay, for example, a coupon of one-trillionth of the GDP, and we propose the name “Trill” be used to refer to this new security. This new debt instrument should be of great interest to the Government for its stabilizing influence on the budget (as coupon payments fall in a recession with declining tax revenues) and for its yield, based on our valuation. Standard asset pricing analysis also suggests that Trills would enable important new portfolio diversification strategies and, in contrast to available assets that protect relative standards of living in retirement, Trills would have virtually no counterparty risk. We believe there would be a lively appetite for the Trill from institutional investors, public and private pension funds, as well as the individual investor

Continuous Workout Mortgages

This paper models Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index of the pertaining locality. Our main results include: (a) explicit modelling of repayment and interest-only CWMs; (b) closed form formulae for mortgage payment and mortgage balance of a repayment CWM; (c) a closed form formula for the actuarially fair mortgage rate of an interest-only CWM. For repayment CWMs we extend our analysis to include two negotiable parameters: adjustable "workout proportion" and adjustable "workout threshold." These results are of importance as they not only help understanding the mechanics of CWMs and estimating key contract parameters. These results are of importance as they not only help in the understanding of the mechanics of CWMs and estimating key contract parameters, but they also provide guidance on how to enhance the resilience of the financial architecture and mitigate systemic risk.Continuous Workout Mortgage (CWM), Repayment, Interest-only, House price index, Prepayment intensity, Cap and floor on continuous flow

Regional Patterns in the Otolith Chemistry of Juvenile Spotted Seatrout (\u3ci\u3eCynoscion nebulosus\u3c/i\u3e) Differ Under Contrasting Hydrological Regimes

The value of using otolith chemistry to characterize recruitment in terms of natal source regions depends on how consistently spatio-temporal variation can be resolved. The objective of this study was to compare regional classification patterns in the otolith chemistry of juvenile Spotted Seatrout (Cynoscion nebulosus) between two years experiencing disparate hydrological regimes, and separated by a five year interlude. Spatial patterns in the whole-otolith chemistry of juveniles of this estuarine-dependent species were compared between years using five otolith elements and two stable isotopes. Consistent size-related trends in uptake and deposition were evidenced by parallel ontogenetic relationships for six otolith variables. Nine natal regions were discerned equally well in both years; and region accounted for similar overall amounts of variation in the seven otolith variables in both years. However, the otolith variables did not distinguish the nine regions in the same manner in both years, and natal regions varied in how similar they were in otolith chemistry between years. Consequently, between-year cross-classification accuracy varied widely among regions, and geographic distance per se was unimportant for explaining regional patterns in otolith chemistry. Salinity correlated significantly with regional patterns in otolith chemistry in 2001, but not at all in 2006 when conditions were much drier. Regional patterns in individual otolith variables reflected either a general trend based on hydrology, a regional-local effect whereby geographically closer regions exhibited similar otolith chemistry, or a location-specific effect for which there was either no correlation in otolith concentration among regions between years, or a significant but individualistic relationship. In addition to elucidating limitations of using otolith chemistry to identify natal source regions or for tracking fish movements, knowing more about how and why otolith chemistry varies could be used to address specific questions about early recruitment dynamics, or to aid in the development of more reliable instruments for discerning natal source contributions

Continuous Workout Mortgages

This paper models Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index of the pertaining locality. Our main results include: (a) explicit modelling of repayment and interest-only CWMs; (b) closed form formulae for mortgage payment and mortgage balance of a repayment CWM; (c) a closed form formula for the actuarially fair mortgage rate of an interest-only CWM. For repayment CWMs we extend our analysis to include two negotiable parameters: adjustable “workout proportion” and adjustable “workout threshold.” These results are of importance as they not only help understanding the mechanics of CWMs and estimating key contract parameters. These results are of importance as they not only help in the understanding of the mechanics of CWMs and estimating key contract parameters, but they also provide guidance on how to enhance the resilience of the financial architecture and mitigate systemic risk

It's Distributions All The Way Down!

The textual, big-data literature misses Bentley, O’Brien, & Brock’s (Bentley et al.’s) message on distributions; it largely examines the first-order effects of how a single, signature distribution can predict population behaviour, neglecting second- order effects involving distributional shifts, either between signature distributions or within a given signature distribution. Indeed, Bentley et al. themselves under-emphasise the potential richness of the latter, within-distribution effects

Continuous Workout Mortgages

Continuous Workout Mortgage (CWM) balance and payments are indexed using market-observable house price index in an economic environment with prepayments. Our main results include: (a) explicit modelling of repayment and interest-only CWMs; (b) closed form formulas for mortgage payment and mortgage balance of a repayment CWM; (c) a closed form formula for the actuarially fair mortgage rate of an interest-only CWM. For repayment CWMs we extend our analysis to include two negotiable parameters: adjustable "workout proportion" and adjustable "workout threshold." These results are of importance as they not only help in the understanding of the mechanics of CWMs and estimating key contract parameters, but they also provide guidance on how to enhance the resilience of the financial architecture and mitigate systemic risk.

Continuous Workout Mortgages:Efficient Pricing and Systemic Implications

This paper studies the Continuous Workout Mortgage (CWM), a two in one product: a fixed rate home loan coupled with negative equity insurance, to advocate its viability in mitigating financial fragility. In order to tackle the many issues that CWMs embrace, we perform a range of tasks. We optimally price CWMs and take a systemic market-based approach, stipulating that mortgage values and payments should be linked to housing prices and adjusted downward to prevent negative equity. We illustrate that amortizing CWMs can be the efficient home financing choice for many households. We price CWMs as American option style, defaulting debt in conjunction with prepayment within a continuous time, analytic framework. We introduce random prepayments via the intensity approach of We also model the optimal embedded option to default whose exercise is motivated by decreasing random house prices. We adapt the (BAW) approach to work within amortizing mortgage context. We derive new closed-form and new analytical approximation methodologies which apply both for pricing CWMs, as well as for pricing the standard US 30-year Fixed Rate Mortgage (FRM)