Search results

You can't mark CDS to a fantasy model, sadly...

Yes, that was a business model for a few IBs and insurers. Not the case any more, though, that's for sure... Take a look at this for a more detailed explain: http://accruedint.blogspot.com/2009/04/muni-swaps-lets-hope-we-dont-have.html

What's interesting is that some banks may have profited twice from this... Apparently, GS has stated that they hedged their cpty exposure to AIG. If they have done this through shorting AIG stock, they made a tidy profit both sides. A nice Texas hedge, that...

Who knows? It's all up to you... You can buy OTM puts, buy OTM strangles, anything, whatever... It's up to you to decide what sort of risk you're trying to anticipate.

It may have something to do with the Dec08 loss per share of $2.15 that, due to the transition in their reporting calendar (from an IB to a bank holding co), sorta fell through the cracks. See here: http://www.bloomberg.com/apps/news?pid=20601087&sid=a8W.Rc26LwA8&refer=home

It's Bp Change * $/bp * contracts. In your case, this means 50bps * $25/bp * 10 = $12,500, in fact.

What sort of info do you possibly need? It's EUR cash curve 5s10s slope, expressed in futures...

An interesting article, and it would be great to read the original paper... One thing to keep in mind is that never during the authors' sampling period had the market experienced the type of stimulus that is being applied to the system now, which would suggest taking their findings with a...

Dude, you're somewhat behind the times here. The Muni debacle had been in the mkt for a long time now. As usual, the downgrade is not news, 'cause this storm has been brewing a long time now. People who needed to get out have already gotten out (in 2007 and in 2008, when munis effectively...

Do you have a couple of lawyers on your payroll to deal with ISDA/CSA? You got facilities for posting collateral?

I'd go with the Eurodollars, as they offer the best liquidity... As to whether to choose options or do outright, that's something you have to decide for yourself (it's a trade-off between transaction costs and a smoother payout)

'Goose' is not to be found in the actual FOMC minutes released by the Fed. The word used was the reporter's, not the committee's... With a punchy name like Rex Nutting (honestly, this sounds like a name for a pornstar, not a financial reporter), I suppose, 'goose' comes all natural-like.

It's old news, amico... We have gone through similar episodes in EUR, GBP and, finally, USD (funny how everything converged to look like GBP). Somewhat different specific dynamics (pensions, CMS, PRDC), but the main driver, i.e. relative lack of balance sheet/capital still prevails and trumps...

Agreed, don't really see how they get the answer to the first question. As to the second question, they do mention that you need to talk about marginal utility etc. IMHO, the notion of utility provides one of the few feasible ways to resolve the various paradoxes.

ZBM9 (or USM9) current CTD is 7.5 Novie 24s (T 7.5% 11/15/2024). From what I can see (and I have not been focusing on the USM9), vol in the longer tails has been coming off quite aggressively. Part of the reason looks to be the general optimism, but some is due to the general perception, I...

It's $70bn in notional, which is a piddly amount...

Here's another 'un for ya, folks... Not as juicy, as it's the front month. In Apr09 EuroStoxx someone bot 100k of the 20/19/18/17 put condors.

I ain't giving him a hard time. In fact, I am gonna name my firstborn Juergen! I see where he and other hawks on the ECB Governing Council (Weber, Bini-Smaghi, etc) are coming from. I don't necessarily disagree with their arguments, but it really worries me that they keep saying that they...

The WSJ article is by Gjerstad and Smith (2002 Economics Nobel laureate)... http://online.wsj.com/article/SB123897612802791281.html

Good ol' Juergen... Of course he's gonna say something like that. He needs to try to justify the ECB's approach in the face of almost universal criticism.