Have you thought of referencing Markit's CMBX index series?
Generally CMBS and the more recent vintages I think have been performing well all else being equal.

 I don't think you would want to do option a. You are basically locking yourself into an repo rate today for a future date accrual. If rates were to move meaningful enough, you would need to break the repo that could have then additional costs there as well. In practice you shouldn't have a 30 day s...

You can answer this is a few parts. You have committed capital (dry powder) and what I would call deployed capital. The entity would generally charge the management fee on committed capital (pay for research, staff, office space etc..) From here then you get into the distribution waterfall. We can t...

It would depend on how you traded the bond. Is it a bond forward, or just a bond with a forward settlement. Generally you would structure the repo on the settlement date of the bond to finance it which could then reduce/minimize your cash out-lay. I think your question gets more into the best cash m...

<t>I know this is an old topic, but let me know if people still need an answer to this topic.Basically in the market right now specific to IR derivatives and the like there are two forms of compounding supported.Flat and StraightThe difference is how the spread is handled in the compounding period.F...

<t>I agree with all of the comments hereThe notional reduction is not a loss, but a change of the amount coupons are calculated on, reflecting that the risk of the tranche (maximum loss) has decreased.When a name defaults, the actual loss (1-R) goes to the most junior tranche that is still "live". A...

I also like using the CDXT feature on BB to illustrate this point as well.

<t>Think of it this way....An accrual point of view you would need to look back, so if you trading a single-name following SNAC convention your effective date for accrual purposes would be the last reset date so 3/20/2013 based off today's trade date.Your upfront would be composed of two parts, upfr...

<t>Apologies, I should have been clearer.CME and ICE for example are providing Clean Prices ... so no accrued.They are providing one price.Ex.97.254 for Alcoa 1% 12/20/2017 contract.The way I interpret this then is as the 'price' goes down, means the probability of default is higher as market spread...

<t>As we all know with Dodd-Frank there are a lot of developments in the market with CDS and IRS.Given that CDS are more standardized they eventually should begin trading like a future.The quoted price that is provided in the market is always from the Buyer of Protection point of view?Ex.Alcoa 1% 3/...

Is there a convention in the marketplace on how resets should be handled where a deal is partially or fully termed on reset date?Ex.If I partially term a deal from 10MM to 5MM on 9/20 - should reset amount generated on 9/20 be based off the 5MM?

<t>One thing to keep in mind...Upon default the super-senior tranche has its notional adjusted.The reason being if the portfolio has 100 names, and 1 defaults, there is now only 99 possible names that can default.The super-senior tranche from a capital flow point of view would have notional and atta...

Since rates have been so long for so long, you are seeing more negative repo rates (special rates) where the lender is actually paying to lend out a security.....

<t>I have a client that is trading some One-Look Cap/Floors.My understanding on how these are structured is that there is only one determination date hence (one look) to observe market reference rates, and then there is a Min/Max formula based off strike to determine PnL.Your determination date ie o...

<t>To clarify as well you are talking about Equity Swaps (CFDs) as opposed to Equity TR?Difference being the latter has a set maturity while the first example would have nightly rolls and are typically statement compliant.While we are on the topic does anyone have any papers or discussions over ATS?...