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by jimjohn
July 8th, 2008, 2:24 pm
Forum: General Forum
Topic: ITM/ATM split
Replies: 0
Views: 50987

ITM/ATM split

can someone plz explain what it means if you say the FTP will be charging us a 60/40 ITM/ATM split. I'm familiar with the definitions of In the money and at the money, but not sure what this means.Thanks!
by jimjohn
June 18th, 2008, 1:45 am
Forum: General Forum
Topic: Mortgage commitments
Replies: 0
Views: 51911

Mortgage commitments

<t>i jsut have some more basic qs about mortgage commitments, can someone plz help:1) Do all fixed-rate mortgages start off as mortgage commitments? Or, is it that whenever a mortgage is about to be originated, the bank gives the customer the option to lock in their rate or to just wait till the clo...
by jimjohn
June 11th, 2008, 4:42 pm
Forum: General Forum
Topic: 90-day BA rate - 30 dat BA rate to measure fallout rate on mortgage commitments?
Replies: 0
Views: 52774

90-day BA rate - 30 dat BA rate to measure fallout rate on mortgage commitments?

<t>in a mortgage commitment, one of the factors that helps determine what percentage of the customers will fund the mortgage and waht percentage will not fund is the difference between the 90 day BA rate and the 30 day BA rate. can someone plz explain in basic terms how this difference explains this...
by jimjohn
June 5th, 2008, 7:48 pm
Forum: General Forum
Topic: how to calculate the mid-market swap rate?
Replies: 8
Views: 69061

how to calculate the mid-market swap rate?

thanks a lot martinghoul! that does make sense generally, sorry for the delay in replying. and yes i do have access to the treasury yield curve but not the LIBOR.
by jimjohn
May 20th, 2008, 1:42 pm
Forum: General Forum
Topic: how to calculate the mid-market swap rate?
Replies: 8
Views: 69061

how to calculate the mid-market swap rate?

<t>thx. im just new to all this, so just wasn't sure hwo they come up with these rates. so they use the on the run yields to come up with the mid market swap rates? how are the on the run yield curves calculated then? sorry if my qs are too basic. i just want to understand the theory behind the mid ...
by jimjohn
May 20th, 2008, 1:20 pm
Forum: General Forum
Topic: how to calculate the mid-market swap rate?
Replies: 8
Views: 69061

how to calculate the mid-market swap rate?

<t>hey thx martinghoul yes i believe so. all i know is that every day, we are provided with a yield curve. So for each term, we are provided with the Canada bond risk free par yield, and then we are provided with mid-market swap spreads and cost of funds spreads, and all these other spreads over the...
by jimjohn
May 20th, 2008, 12:57 pm
Forum: General Forum
Topic: how to calculate the mid-market swap rate?
Replies: 8
Views: 69061

how to calculate the mid-market swap rate?

<t>im trying to figure out how to calculate Canada's mid market swap rates. Let's say I want to calculate the 1-year mid market swap rate for a particular date. then, for each financial institution in canada, i find A) the rate they offer on fixed, non-redeemable 1 year deposits on that date and B) ...
by jimjohn
May 15th, 2008, 1:11 pm
Forum: General Forum
Topic: regression: log log transformation
Replies: 1
Views: 54523

regression: log log transformation

<t>can someone plz help me with this:im looking at a sample regression analysis done, and the dependent variable(rate) was transformed to the log log function ln (-ln (1-r/100)) and the regression was conducted with the transformed variable.when would a log log transformation like this be a better r...
by jimjohn
April 30th, 2008, 8:20 pm
Forum: Student Forum
Topic: duration calculation
Replies: 7
Views: 55282

duration calculation

thx! but this formula for duration doesnt seem to take the yield curve shift of .2 into account? because if i change the yield curve shift value, the duration output changes.
by jimjohn
April 30th, 2008, 7:48 pm
Forum: Student Forum
Topic: duration calculation
Replies: 7
Views: 55282

duration calculation

<t>thanks a lot daveangel!but just wondering how do you work out the correct ytm?what i did is i interpolated the yield curve points at 1 year and 1.5 years to get:4.31 (182.5 - .74948735) + 4.201 (.74948735) / 182.5(because the term given in the output assumes .74948735 days more than one year)= 4....
by jimjohn
April 30th, 2008, 4:31 pm
Forum: Student Forum
Topic: duration calculation
Replies: 7
Views: 55282

duration calculation

thanks but if effective duration = (PV1-PV0)/dr/PV0jus twondering what is DR in this formula.
by jimjohn
April 30th, 2008, 2:25 pm
Forum: Student Forum
Topic: duration calculation
Replies: 7
Views: 55282

duration calculation

<t>can someone plz help me with this:theres a 1-year term deposit (GIC), with a balance of $1000 and a coupon rate of 4.2%. so at teh end of one year, the investor receives 1000 + 42 = 1042. i have a tool that calculates the duration of this investment. can someone plz tell me what the formula is us...
by jimjohn
April 27th, 2008, 2:57 pm
Forum: General Forum
Topic: mbs: impact of increase in prepayment rate on pv
Replies: 6
Views: 56219

mbs: impact of increase in prepayment rate on pv

thx. but can someone help me just interpret this statement: "The FV of the fair value book has decreased to ..."Does FV stand for future value here? thx.
by jimjohn
April 25th, 2008, 6:35 pm
Forum: General Forum
Topic: mbs: impact of increase in prepayment rate on pv
Replies: 6
Views: 56219

mbs: impact of increase in prepayment rate on pv

<t>ok guys thx im going to try and explain what i know. sorry if it doesnt make sense, ive just been introduced to a lot of this material and having a hard time understanding. so if an increase in prepayment rate was recommended, we are analyzing how this will impact will effect the accounting books...
by jimjohn
April 23rd, 2008, 4:43 pm
Forum: General Forum
Topic: mbs: impact of increase in prepayment rate on pv
Replies: 6
Views: 56219

mbs: impact of increase in prepayment rate on pv

<t>can someone plz help me with this:im analyzing the effect of an increase in prepayment rates on fixed-rate MBS's. For a 1% increase in the annualized prepayment rates, there will be more early prepayment and so the average life of the MBS decreases. I've been given output as to how this change ef...