Archive

• Rothesay Life buys £860m in equity release mortgages

  28 September 2018

  Assets from collapsed Northern Rock and Bradford & Bingley will sell for net loss with sale price heavily discounted over NNEG

• Pimco to buy £5bn of collapsed bank mortgages

  26 April 2018

  Pimco, the largest bond fund manager in the world, is to buy £5bn ($5.7bn) of mortgages from collapsed British banks, Northern Rock and Bradford & Bingley, according to Sky News.

• The challenge of hedging under the volatility adjustment

  29 April 2015

  The multiple factors used to calculate the Solvency II risk-free rate when using the volatility adjustment (VA) render it almost impossible to hedge perfectly while maintaining capital efficiency, but that in turn creates an opportunity for value-added asset-liability management, says Paul Fulcher