Thank for replies Jim & Bearish,Talked to my trading desk and apparently it was no problem pricing these structure but rather a question about monitoring the risk and hedging the positions due to lack of underlying market. Thanks bearish for correct name.

<t>Suppose I have a portfolio of mortgages and package them as a bond in one currency (e.g. USD).I want to issue the bond as a EUR denominated bond and hence I would need to invlove cross currency swap.However, there is a risk for both pre payments and defaults in the underlying portfolio.How can I ...

<t>This question relates to how a corporate treasurer can hedge against rising funding costs.Suppose a corporate plans to issue a bond 6 months from now. The yield could basically be divided into three parts: Liquidity Price (for cash) + Credit Spread for Corporate + Swap RateThe swap rate could be ...

<t>Yes I mean the loan is paid back. There could be a prepayment penalty in some cases but not always.My first idea was to look at this as a bermudan swaption with the credit spread as the underlying, but not sure that is the correct way or what volatility to use as input (CDS spread vol)?I'm not lo...

<t>A bank loan (for e.g. a company) usually looks something like:100 MEUR 5y loan. Up-front fee Xbps and interest Euribor + credit spreadUnlike many bonds, a loan can be cancelled by the company at any time (or within e.g. 1 year) and one can assume that the company will cancel the loan if it can re...

<t>Suppose I buy a corporate loan or bond at e.g. 75% of par in the market. I can hold the loan/bond until maturity and hope I will get the full face value (100) back or I could sell the upside (all above 75) to someone. How would I price an option that pays off MAX(0,RecoveryRate-75)? I'm intereste...

Thanks for info. Will have Reuters up and running tomorrow...

<t>I have a choice of using Bloomberg costing me X or using Reuters for free. I like Bloomberg but have no experience with Reuters. Would highly appreciate input from people familiar with Reuters and Bloomberg. I am especially interested in Reuters' capabilities regarding Excel interface.What I need...

<t>I have a loan note with the option of defering interest payment, i.e. capitalize these a number of time during the life of the loan.It has the following features:Notional amount, 30MUSDMaturity, 5yrsInterest, Cash Margin 500bps + Base Rate Libor 6m paid SATerms, Borrower may choose to defer inter...

<t>I need to protect myself against a sudden jump in EURUSD a year from now. I use the following notations:K = Strike s12 = Spot rate 12 months from now (settlement date)avg12 = Average spot rate between today and 12 months from now1. I want my payout to be (s12-avg12)I can achieve this by:Buying EU...

<t>It’s true that my only (or at least main) concern is spot risk. With long term hedge I actually mean around 5 years, but as I don’t know when I will exit my USD asset It might as well show to be 10 years (although I hope not). I’m not too worried about liquidity at this stage as I know from exper...

<t>I have a SEK based company with a large goodwill post in USD. A 15% depreciation of USD ag SEK would make my equity negative.I want to apply a long-term hedge against this translation risk. What would be the best way to do this: FX forwards or a basis swap? What would be the difference? How would...

<t>I want to arrange a secondary market for a loan that is originated to a large group of members. I will not act as a market maker, but only facilitate trading in the loan. Bids and offers can be submitted at any time, but the actual buy/sell transactions take place only once every quarter. It’s po...

<t>I'd like to access (for free) economic research, as well as any research, strategy, ideas etc. material covering interest rates, fx and commodities from other banks than my own. If you know a link to any source of that kind, please add to this thread.I add below a few I knwo of so far.Deutsche Ba...

<t>I have a question regarding average rate options.Suppose I want to sell EURUSD on 3m forward. I could1) Do a 3m forward contract2) Do a 3m synthetic forward through VANILLA optionsMy first question is: If I buy and sell options at the same strike, will the volatility bid-offer spread result in a ...