I am interested in getting a ballpark figure for the cost of a $100M notional total return swap on the Lehman Aggregate Bond Index.... please let me know if you have any insights on this, or if you could point me in the direction of someone who has! Thanks -

if you want to swap the index itself it will be pretty expensive (as with all bond incides) and illiquid. I think LBA trades around L + 40-50bps. You are better off trading a replicating index which trades somewhere around L+15bps. the problem with bond indices is that they usually are propriatery (ie based the sponsor, no one really knows the exact composition), it's a one-way market (everybody wants to receive the total return, but not pay), there are many index constituants (in the LBA universe there are over 10'000) a lot of which become illiquid, and finally it's super balancesheet intensive (the bonds have to be bought, can't be hedged through derivs). The advantage of the replicating indices is they are replicated and hedged through derivs (ie IRS and CDS), so much more liquidity and less balance sheet intense. Downside is there will be tracking error to the actual index, however this is usually significantly less then the higher cost of trading the actual index.