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liability driven investing swaps racehorse

Horse Racing net revenue decreased as a higher portion of our patrons returned The decrease in our equity investments is also driven by. Del Mar's exclusive race book offers off-track wagering on live, adrenaline-pumping thoroughbred, quarter horse and harness racing from tracks around the. Form N-Q is to be used by management investment companies, Thoroughbred Offshore Fund Ltd. 3,, Other Assets and Liabilities, net - %. STEFAN BETTINGER

Horse racing proved a big hit, and the plan seemed bound for success. Stories like that have become frustratingly common around the country. State and local borrowing, once thought of as a way to finance essential infrastructure, has mutated into a source of constant abuse. Like homeowners before the housing bubble burst, states and cities have gorged on debt, extended repayment times, and used devious means to avoid limits on borrowing—all in order to finance risky projects and kick fiscal problems down the road.

Even as Tea Party protesters and taxpayer groups revolt against excessive government spending and taxes, they are paying too little attention to the gigantic state and local debt bomb. Government debt helped finance the expansion of the American republic. The first municipal bond on record in the United States was an New York City offering to pay for digging a canal.

Though the early muni-bond market helped the young country grow, the borrowing could be risky. Some of the toll roads, railroads, and other endeavors were highly speculative and failed to generate enough income to pay back investors. Realizing that the defaults would interfere with their ability to borrow in the future, some states imposed debt restrictions on themselves, and eventually inserted requirements into their constitutions that voters approve future bond offerings.

Then the Great Depression arrived, drying up tax revenues and leaving governments unable to meet their debts. The s would see 4, defaults by state and local governments. Though the immediate postwar years proved tranquil, they also saw some troubling changes in the market. States and cities began to expand the scope of what bonds financed to include everything from subsidized housing to private hospitals to urban redevelopment to private industrial development, and they found new ways to skirt state constitutional limits on borrowing.

The borrowing craze led to a series of spectacular fiscal crises in the s. Beginning in the previous decade, New York City, under Mayor John Lindsay, had rapidly increased spending on an ambitious menu of social welfare programs, borrowing hefty sums to paper over the resulting deficits.

Eventually, the banks that managed the debt offerings refused to underwrite further borrowing, fearing that in the increasingly likely event of a default by the city, they might be held liable. New York State and the federal government were forced to bail Gotham out.

Cleveland spent two years unable to borrow and had to make big spending cuts before returning to solvency. These debt crises woke politicians up. But such salutary responsibility went by the wayside at the start of the twenty-first century. As memories of the earlier crises faded, politicians, eyeing splashy new development projects and confronted by powerful constituencies like public unions that agitated for plush benefits, began loading up on debt again.

When that debt is added to other growing obligations that governments are racking up, using techniques like not paying their bills on time, state and local liabilities have increased from 15 percent of GDP in to an estimated 22 percent this year. In , they were 12 percent. Even more disconcerting than the crushing debt is what it has paid for: giant development projects, for starters, including many in which the private sector has wisely shown little interest, except when government subsidizes them.

These projects trace their origin to the urban-renewal movement of the s, when states and the federal government cleared tracts of supposedly blighted urban slums and replaced them with large, centrally planned housing projects. Over time, such efforts became so widespread that even thriving communities were declaring themselves blighted to justify construction. The nature of the projects changed, too, as politicians increasingly issued bonds to make bets on private ventures whose economic benefits were uncertain, at best.

Starting in the s, the state gave localities the right to create public agencies, funded by increases in property taxes, which could issue debt to finance redevelopment in blighted areas. A whopping such entities now exist in California. Originally designed to expire after they have improved an area, the agencies go on forever by claiming that blight never disappears.

Blight was getting worse in the city, the agency argued—52 years after it was created to eliminate it. In , Fresno conceived plans to revive its downtown area with various projects, including a baseball stadium for the minor-league Grizzlies, whom it had lured from Phoenix.

The plan was to repay the debt with help from the rent that the Grizzlies would pay. In , two reporters for the Press-Enterprise in Riverside surveyed the record of California sports venues built with public subsidies. Cities that use municipal debt to subsidize expensive private projects often get into fierce competitions for the privilege of subsidizing them.

Further, back in , when Charlotte had made its bid, the city was on a roll, with budget surpluses and plenty of ability to issue debt and pay for it; but after the worldwide financial-sector meltdown, Charlotte, a regional banking center, watched unemployment skyrocket from under 5 percent to The city has already had to dip into a reserve fund to pay the debt service on the just-opened Hall of Fame.

Unemployment is stubbornly high. The real estate market is anemic. Public revenues are challenged. Across America, states and cities have heaped on the debt to build facilities aimed at luring tourists and conventioneers away from other states and cities. The result: a market with perhaps 40 percent more space than demand warrants, underperforming facilities, operating deficits, and little economic payoff.

Institutions can be grouped by their risk tolerances. Insurance companies, for both cultural and regulatory reasons, manage their liabilities much more closely than pension funds. An increasing trend towards liability driven investment LDI is creating a growing dislocation in the UK inflation market.

Thus as pension funds move further into LDI, this shortfall becomes more acutely felt, driving up the cost of inflation matching. The trend is further exacerbated when pension funds transfer their liabilities to insurance companies, since the insurers have a price-insensitive regulatory obligation to closely match liabilities. The inflation problem is less acute outside the UK, Brindley said, although many countries — particularly the Netherlands, the US and Scandinavian countries — face similar cashflow matching issues.

A reopening of the securitisation market with a supply of quality index-linked cashflow would also help to alleviate the bottleneck. But ultimately, to resolve the structural mismatch, the market will need new quasi-insurance players to emerge with the capacity and flexibility to retain much of this long-term inflation risk — replacing those hedge funds that have backed out of the market as they adopt more defensive positions.

Growing pension liabilities and increasing moves to LDI are also boosting demand for debt at the long end of the curve — a phenomenon that utilities have been particularly quick to respond to, said Tarik Ben-Saud, head of LDI at BGI Europe.

But ultimately, said Ben-Saud, institutional demand is driving bank innovation in developing derivatives and then stripping the cash flows out into their component risk elements, such as inflation and interest rate risk, and repacking them individually. This allows investors to manage their exposures more accurately. It is not all bad news for institutions, however, since in at least one instance the credit crunch has had a beneficial impact: the increasing cost of inflation is being offset by the enhanced rates banks are willing to pay to secure long-term funding.

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The PPF's Liability-Driven Investment (LDI) strategy

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liability driven investing swaps racehorse


Let's assume the discount factor is implied from UK gilts, so the liability is discounted using the yield on the year gilt. You select the legs to match the duration of the liabilities. In our simplistic case, all liabilities are assumed in 30 years. In reality, there will be liabilities and assets of various maturities, and so the IRS will be chosen across all maturities to neutralize duration in those maturities.

I believe the funds hedge their duration regularly. The term will always be say year fixed vs. But volumes actually purchased have been modest. On Tuesday, the Bank of England bought just 1. Not just yet.

Even after several Bank of England interventions, including a decision to extend the emergency bond-buying programme to include index-linked gilts, the task facing pension funds is intensifying - partly due to fresh collateral calls on newer hedging strategies. Other assets like property and corporate bonds are also being sold to raise cash, but these can be harder to sell in a hurry and some are being sold at hefty discounts.

The yield on the benchmark year government bonds remains stubbornly above historic norms. It finished September 75 basis points higher than its closing level in August, the biggest monthly rise since However, some industry bodies and investment managers are calling for an extension to the scheme, and some media reports suggest Bailey has privately discussed continuing past Oct.

Pension funds are a cornerstone of the economy, helping scoop up huge amounts of stocks and bonds issued by companies that need cash to operate and grow. LDI has worked in times of steady markets and rates, but has been found wanting when markets move suddenly, potentially freezing pension funds.

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Liability-Driven Investing - Benefit Bits

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