<r>There is iBoxx EUR ABS 50 which is a cash index: <URL url="http://www.iboxx.com">www.iboxx.com</URL> "The iBoxx EUR ABS 50 Index contains the 50 largest and most liquid European AAA-rated floating rate ABS/MBS securities. The index launch is the result of increased growth in the ABS/MBS market in...

<t>Yes that's SFAS 157 - 160 pages of bedtime reading.For those unfamiliar, it applies to institutions accounting under US GAAP so it does not apply to the Asian banks but it does apply to the majority of hedge funds. It splits the accounting statements into observable and unobservable gains and los...

You could callibrate against the monthly fixingMonthly iTraxx FixingsThese fixings are designed to provide a robust consensus price

The spreads correspond to IMM roll dates so 5 years spread listed will generally be between 5 years and 5.25 years depending on when the next IMM date is.IMM dates are 20Mar, 20Jun, 20Sep, 20Dec.

<r>Minded,The website Credit Fixings <URL url="http://www.creditfixings.com">www.creditfixings.com</URL> has the details which describe the weekly iTraxx index fixings and monthly index tranche fixings.The Eurex futures contract is based on the "index" not the "index tranche"."I would like also to a...

The definitive list in oncreditfixings.comLook under "Credit Event Fixings" either 2005 or 2006There have been none in any iTraxx. Dura is US credit so CDX.Hope that helps

<t>CDX is roughly 3-7% is 80bps and delta of 5.2 7-10% is 18bps and delta of 1.4For a 1bps change in the underlying CDX index you would expect a change of 5.2 and 1.4 bps in each tranche respectively. I leave out equity of the example because it has upfront payment which complicates slightly. It is ...

UK also has a sales tax / VAT at 17.5% and hefty fuel taxes give a lot of extra money to the government.

In this threadhttp://www.wilmott.com/messageview.cfm?catid=3&threadid=41740

<t>Zub, The protection seller does not pay an upfront.The buyer of protection has pay the running spread (500 bps per annum) and also pay the upfront for the equity tranche. Is this where you are going wrong? The 3 year point for index tranches is a much less established point than the 5,7, and 10 y...

<t>Seems like CME is also planning some form of completely new default-linked future on single name. Anyone have any idea what format this is taking? Seems to me that if it remarkable different than a CDS contract, no one will trade it over an exchange.CHICAGO (Dow Jones)--The Chicago Mercantile Exc...

<r>Hello, Does anyone have a document which describes the itraxx or CDX indices in a wordy kindergarden format. Something you might send to a corporate client. If that can be posted, it would be really helpful. The info on the <URL url="http://www.indexco.com">www.indexco.com</URL> site is in powerp...

Bespoke means made-to-measure and comes from British "bespoke" tailoring.Bespoke in this case means custom synthetic CDO tranches that have different portfolio constituents from iTraxx and CDX and different attachment/detachment points etc.

www.defaultrisk.com has a large collection of papers relating to credit risk/ credit derivatives. They have rankings by popularity etc. Probably a good starting point. DefaultRisk.com