<t>Not necessarily, bats66. MBS is simply a security that is backed by mortgage collateral. MBS can be tranched up (various classes like a CMO/CDO/CLO) or simply pass through where each investor gets a proportional share of cash flow. There are also stripped MBS or SMBS where the interest and princi...

<t>Probably too late, but I think the key difference is that CFDs can be traded on margin and are exempt from U.K. stamp duty. Similar to a vanilla equity swap (and often called just that) since they're cash settled, marked daily, trade OTC, etc. You can get great leverage through a CFD (20:1 or bet...

Aaron,I agree that there is some implausibility, which is why I ignored the possibility of negative interest rates. There seems to be a dichotomy here; you can't have the 3% trading at par if the implied ten-year curve is much greater than that yield.N.

<t>If you're replicating the 6% bond with two 3% bonds, then per your correct logic that the only difference is £100 discounted back 10 years, why not discount it using the 3% YTM? This results in the same answer as your colleague.stilyo: for the £200 face value, simply double the price of the £100 ...

I believe that is correct. PV01 is the present value change of 1 bps move in interest rates and DV01 is the dollar value change of the same. If the underlying currency is USD, PV01 = DV01.N.