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Looks like AUDJPY (as one would expect)... I guess I can see scenarios where certain countries "decouple". I think it's a decent outright short, since, as you said, carry/roll is relatively low. To me, it has an asymmetric option-like payout.

It's one of my "Golden Shorts"

Well, I am looking at the 5y instead and it's mighty close to the all-time low (in yield, that is) that happened in 2003. The 10y has a way to go till it gets there, so I sorta prefer the 5y. But I do think JGB is one of the better-quality shorts out there.

There was also a 100y GM issue and a very recent RaboBank one, I think.

Nice convexity in this baby...

Not again... Is it that time of year again when we all trash-talk Japan, sell JGBs, only to stop out a few weeks later?

I think you got an answer to your question on another forum... There's a relatively simple, intuitive reason for this.

Well, at least we know there's another guy hoping for hyperinflation :).

They do many other things... I'm curious about your name. You a fan of the Swiss National Bank?

Do you propose that they should be paid in gold or smth? What's more interesting is that some CBs have pension schemes linked to domestic inflation... How 'bout 'em apples?

Liquidity in CME futures options is ludicrous. OTC FX options is where it's all at.

Hmmm, you're 100% right and I am dead wrong. I was just looking at Dec10 and Mar11, for some reason. I'll check on this tomorrow see what gives and if anyone can offer some color on this.

Ah, yes, I thought it might have been that... Guess that makes me a high falutin jackass troll wannabe, then?

I don't really see that, but no matter... The big puzzle at the moment is that O/N GC is trading quite a bit higher than FF Eff, so it's not clear to me at all how this all evolves.

And there you go... The issues come out. The flip side of doing the practical thing is that there's arbitrage, in theory. Obviously, whether it's exploitable is another matter altogether. I might add that the institutional mkt is, at the moment, struggling with these very same issues (on a...

Well, IIRC, it did cause no end of consternation among the equity options types during '08, when LIBOR went crazy. So that "one day" seems to have come and gone with nobody the wiser.

Huh? What have I done this time?

Again, don't really know about the others, but, looking at the first one, it's a rather simple deal. Apart from the bond-like structure (i.e. you pay par up front, receive future cash flows plus get principal back), it's a structure, whose risk is very easy to hedge in the mkt. To me, as the...

So I just priced this first one (the collared LIBOR floater, aka capped floored floater). It's actually priced rather generously (arnd 4.5% cheaper than the fairish mkt mid). Guess that's the price of long-dated funding.

I can't see why FF effective would go lower...