<t>Well, generally the idea of a super senior tranche, or an unfunded one, is to support the unfunded portion of the deal. Consider a synthetic deal with a notional of 1b with 250m cash bonds and the rest cds. The cdo is selling protection on all the names in the deal. Keeping in mind that the spv i...

<t>Thanks so much. I will look into the details of some potential CSA's. It sounds like novations will not be in our best interest these days. I'm hoping that we can get a reliable standard model working so that we can be comfortable when it comes time to unwind our swap. It would be nice if swpm se...

What do you think the advantages would be of a 2s 10s flattener using futures versus cash treasurys?

<t>So you're long the synthetic bond by receiving fixed. If you were long a treasury the price change or holding period m2m or roll down would be found by calculating the expected price of your 10yr bond one year from now at a yield that you expect your bond to yield in 1 year. In your example your ...

So it might depend on the time to unwind? What about like a 2 year in 3 months? Might bloomberg swpm be a reasonable basis to get within a basis point? What else might it depend on? If i do it with one dealer might it be a more established convention?

<t>So there's a ton of stuff on the forums about all the new swap discounting conventions and separate bank funding curves etc. Over two years ago now, we used to use a relatively simple swap model that would price a swap (using eurodollars/swaps etc.) and could also be used to find the unwind value...

<t>Hi,I am trying to use 3m - 12m LIBOR basis quotes to generate a 12m LIBOR forward path. I have my 3m LIBOR forwards but i am wondering how to back in to the implied 12m LIBOR forward path given 1y, 2y, 3y - 30y basis quotes. I have daily df's from my swap curve to discount with. I am also not sur...

<t>Does anybody have any opinion on the merits of using Yieldbook versus AFT or ADCO using Polypaths? I realize that Yieldbook is a web based system and AFT/ADCO would run on a Polypaths type of platform on your servers. Does anyone know of the widespread use of Yieldbook these days? Does anyone sug...

<t>Does anybody have any opinion on the merits of yieldbook versus AFT using Polypath. I realize that Yieldbook is a web based system and AFT would run on Polypath on your own servers. Does anyone know of the widespread use of Yieldbook these days? We are looking at getting AFT through the Polypath ...

<t>Say I am using a combination of 2's and 10's to hedge the partial durations of an agency MBS. The partial durations are derived from an OAS model. After hedging according to the model partials I have now hedged against curve movements, but I still have mbs spread risk? I basically have an MBS bas...

The perpetrator was caught and found to be 11 trillion dollars in debt(whad'ya know)

Indeed Mr. Blankfein himself was first denied and now....

<t>I can't quite put my finger on it, although i think bits and pieces have been thrown around here, and while i like to see that the banks are doing well again, something seems amiss about the rest of the "real" economy (unemployed public etc.) doing so poorly while the banks are doing so very well...

oops:If anyone still has it could they send me nomatt's spreadsheet please? Thank you mareharbor@yahoo.com

If anyone still has it could they send me nomatt's spreadsheet please? Thank you