Does anyone have a good primer on sequential pay AAA for resi ABS?

Sorry, I should have clarified. Everything I was doing was based on percentage changes thus the order of the events should not matter I believe.

<t>I am trying to come up with a scenario where a set of daily realized vols is less than monthly vols. I have tried assuming 250 days/year and including 238 days with the same price change, ie zero daily vol and including one day per month of a random, very large move. This, however, is overpowered...

yes, standard pricing for most equity tranches on subrpime RMBS, 0.

Bear Stearns has an ABS index for almost every sector. Just look on Bloomberg or call the Bear Stearns desk, they will give you all the data.

no, not even close. A studio maybe... Two bedroom is closer to $1mm.

"Can't beleive some people are still trading without knowing that stuff!!"This is because its not all that important. In Nassim's great tradition, he is more of a philosopher than a trader. Still, an interesting read.

<t>spread is just a function of liquidity and ability to hedge. The best way to determine this is to look for the hedge and determine how much slippage there is in putting this on (in either direction) and how strong the hedge is (and how much variance there is here). From this, you can determine ho...

VIX is NOT a once month variance swap son the S&P. VIX is priced off of a composite to create a 30 day implied variance. The terminal value is a rolling form of this and has no derivation (directly) from realized.

Apparently Citi just put out a good research piece on drivers of EMN problems recently. Does anyone have this?

no one trades it really, its a busted product. the reason for various spread differences btwn ABX and TABX is an effect, I would think, of true waterfall structuring vs. linear combinations.

Not as important for S&P options but also look at trading volume during stress periods, i.e. times when you might be forced to sell. This is what really matters.

Is it sadder that you spent the time to post that or that I spent the time to read it?

Which funds at those two shops are in trouble, both have several funds

<t>While I think that you made a good call IceQueen, the comparison (which you implicitly make in phrasing your statement) to LTCM by you and the media is REDICULOUS. This is orders of magnitude smaller and will in the end have zero effect on anything. The fund really is not down that much and the o...