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It's in line... These futures convexity games have been played to death. You can look at Burghardt's Eurodollar book where he talks about this in mucho detail.

Well, if you're really "lucky", she's got one of them auction-rate loans, which is, basically, means you're SOL. I don't think there's a good hedge for those tasty morsels, although LIBOR probably comes closest.

Yes, and the hope is that instead of depositing it at the Riksbank and paying 50bps negative carry the banks will lend it out term, which is the whole point of all the shenanigans.

Forget swaps. You won't be able to trade swaps, unless you get an ISDA signed. First thing you need to confirm is whether your liabilities are, in fact, linked to LIBOR. If they are, your best bet, in my view, is use a mix of Eurodollars and USTs. You may be able to do the UST bit through...

STINA is fixing arnd 25bps with 1wk at arnd 30bps. As mentioned in the other thread, the negative CB depo rate doesn't actually mean that anything will trade there. PS: There are no futures in SEK money mkt. It's all OTC, i.e. FRAs and OIS swaps.

Well, that's fine as long as you realize that you're basically unhedged for the first 10 years. You just have to weigh the cost of the rolls against the risk of a 10s20s flattener. As I mentioned, doing it in treasuries also exposes you to asset swap risk. The other possibility, and this...

Firstly, I don't really understand why your friend suggested doing fwd-starting swaps. What's the structure of her liability? Surely, she doesn't have a 10y grace period? Or am I missing something... Secondly, there's nothing cheap that you, as a retail investor can do (unless there's an...

Trsy futures come to mind...

Google VAR and ye shall find...

The terms are not completely finalized yet, as I understand. It's a funny process and a bit different from what the ECB has done. Looks like it's a fixed rate tender, but the rate will be determined in an auction. I don't quite see how this works, but that's what the Riksbank has said so far.

You're not alone: http://www.bloomberg.com/apps/news?pid=newsarchive&sid=aAIJo685vdz4

There's a thread on this already, isn't there?

This blog demonstrates why placing indiscriminate trust in online commentators is hazardous to your intellectual health. The conclusions he seems to draw from the Riksbank's decision suggest that he doesn't have any idea how the money mkts operate. In reality all the Riksbank is trying to do...

No, I mean more... Separation as defined by two distinct regulatory frameworks.

There's a good speech by Volcker where he talks about his views on why Canadian banking system did so much better. I don't have the URL unfort. One of the reasons he mentions is a much better separation between commercial and investment banks.

Sorry, amico, I am not quite sure what you're saying here...

Yep, but the majority of that is the money lent to the banks at 1% in the 1y LTRO. I think 75bps is a relatively small price to pay to have guaranteed ECB funding for 1 year, don't you?

Huh? Bonds are insurance? I can insure my portfolio of bonds with some more bonds, you're saying?

Yes, that's right, but it's a fwd-starting fixed-to-floating swap (starts out of the date of futures maturity). That's precisely why the carry dynamics are different...

It's a pretty old book. Hasn't there been a fair bit of research since then that casts significant doubt on his conclusions?