Hi,I want to unwind BDK (Black&Decker) protection bought. Expires in about 10 month. Composite MarkIt mid 1y ~10bp.Any guesses/advise at what spread I could unwind?tkss

<t>Not sure if I understand what you mean or how to do this. Do you mean the correlations for a [0-5] and a [0-10] tranche, how would my simulation look like?Tried one other thing: if I setup a portfolio of independent tranches (premium legs start paying at forward start dates) - in year one 5%-6% a...

<t>You understood 100% correctly, many tks!What I was wondering about is: this is a tranche on the CDX.IG.S4. I do have a base correlation surface. Each MC drawing for a given correlation delivers me a set of default times for the underlyings. I calculate my payoff for this path and do the next draw...

MC vs Numeric? I'm looking at a 5%-6% CDO tranche that changes subordination by 1% after 1,2,3 years. In case loss exceeds att A by amount L, shift is applied to Att-L, tranche thickness is reduced by LIs this a case where I need (conditional?) Monte Carlo?Is there an easier way?

<t>Was wondering:I'm looking at a (5%-6%)-CDO tranche that changes subordination level up by 1% after 1, 2, 3 years etc... In case loss exceeds att point A by amount L, next shift is applied to A-L, tranche thickness is reduced by L.Is this something I would need conditional Monte Carlo for:- simula...

<t>we've seen a couple of synth. CDO^2 trades that reference a set of (AAA, AA) ABS and several inner single-tranche CDOs that are defined ona pool of 200-300 corp names. Those trades price fairly well using CDS-spreads on the corporates and the (very low) rating implied default prob on the ABS. Thi...

A CDO with several step-up's of subordination - just be price it as a combination of forward starting CDOs?What's the motivation for a dealer to offer this deal?

<t>Actually, I found it difficult to obtain reasonable prices using copula based models from the corp synth tranches on tranches of ABS backed cash-flow CDOs. I wonder if the binary prepayment-of-recovery events of those models are appropriate to mimic the dynamics of an ABS backed CDO. In those tra...

Just wondering - anyone employs already a semi-analytic model for CDO Squared with inner tranches that cross-reference same names? - can that be done at all?

<t>CDX.NA.IG S4Tranche Strikes Base Corr. Tranche Corr.0%-3% 121% 17.661% 17.661%3%-7% 282% 30.768% 2.921%7%-10% 403% 38.681% 12.946%10%-15% 605% 51.028% 19.365%15%-30% 1210% 72.881% 31.523%- tried to do this as of today - do figures look more or less ok?- also my numerics break down for CDX.NA.HY S...

I see0-10% points upfront10-15% points upfront15-25% BPS annum25-35% BPS annum

Where could I get a spread for lets say a 7-10 tranche referencing the CDX high-yield portfolio...