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Supposedly, the employee whose name was mentioned hasn't worked at the Census Bureau since August 2011. At any rate, I am going to wait until we actually have the results of the investigation. I have read some of the follow-up articles by John Crudele and he seems to be doing a good job...

You're correct when you start thinking of options when you hear "convexity", as there's a connection of sorts. Speaking very generally, "convexity" in fixed income is used to refer to second order effects of the underlying yield/rate move on PNL. In this way it's sort of like gamma for...

Yes, correct re the "indifference" logic... Don't be silly, Maverick... Eurodollars (and other STIRs, e.g. Euribors, etc) represent quite a large market with very good liquidity, options, relative ease of use and a large number of diffferent combinations/RV structures that can be traded...

Like for many of the trades LTCM did, the idea that this "old bond" vs the "on-the-run" strategy makes money is, sadly, a misconception propagated by the press. In reality, the actual PNL on these strategies was very close to zero, 'cause the repo mkt just didn't play ball. A typical example...

The formula is derived by applying the following "no arbitrage" logic. Suppose someone wants to borrow $100 from you and you give them terms such that the 2y rate is, say, 5%, while the 1y rate is, say, 2% (assume interest simply paid at maturity). You extend a 2y loan in one of two ways: a)...

I would suggest you forget about the basis stuff for now, w/ all due respect to maverick. "Basis" in this context means the spread between a cash bond and the bond futures. It's an entirely different kettle of fish and, as far as I understand it, you want to confine yourself to exchange-traded...

Sounds like you need to move, mate...

Whether or not we will know the truth is unclear. I hope we do. However, the New York Post story is increasingly starting to look suspect to me. I will reserve judgement until actual facts are known (if ever that comes about).

Firstly, your previous post was correct about the spot and par curves. Secondly, the forward curve is built out of a set of rates that the mkt expects to prevail in the future at different times. For example, the 1y 1y forward rate is a 1y spot rate that the mkt expects in 1y time. Forwards...

If the claims of manipulation of Census data are proven, it's a disgrace and needs to be dealt with harshly. I am a bit cautious about the claims made by the author of the article, however, since he also says a couple of things that don't make a lot of sense. For example, the "inexplicable"...

I have read the TARP bill, while you, clearly, haven't. It appears that your assertion regarding the use of TARP funds is about as accurate as your claim about the chronology of it. For your guide, let me quote you the relevant part of the TARP legislation (H.R. 1424, Sec. 113): The...

Really? And you know the exact purpose for which TARP was created how, exactly? And I have to ask - although I really don't want to know - how "dipsh1ts" like me are the reason for the existence of toxic assets? There's some "special" logic at work here, clearly. [B] Whatever you say, dear...

I agree and this is an interesting phenomenon. Some people, most notably Ray Dalio and Bridgewater's "risk parity" method, have made a LOT of money on this. How long will it persist and is it really true that "it shouldn't be this way" (the original Fed model which the negative correlation is...

You have gone "full retard" here, my friend. Again, as atti has pointed out, you're bringing politics into this discussion for no good reason whatsoever. So let me just set you straight here. What you're referring to here is the TARP CPP (Capital Purchase Program), which consisted of the US...

I am not suggesting anything of the sort. I have made no claim about who benefited more or less. I only wondered whether your statement meant that a broad class of people who are, in some shape or form, invested in the stock mkt benefited. It wasn't a statement, but rather a question...

You might wanna check on this, as things have changed recently...

LKY, a communist and a mumbler? You truly are a monumental idiot, tj... Occasionally, I start imagining for a moment that you might be sensible. But then you go and spout some random bullsh1t and it's back to square one.

It's really rather premature to draw conclusions about the bond mkt of 2014 based on a couple of auctions (and I have no idea what "derilects" are, either). That said, you're absolutely correct in suggesting that, if QE3 continues at $85bn/month AND, at the same time, the deficit keeps...

These papers are really there to advertise CME products. I would suggest "Understanding the Yield Curve" papers by Antti Ilmanen (you can google for them), as well as the "Eurodollar Futures and Options Handbook" (that's a proper book).

So, basically, you're suggesting that QE has helped corporate America, as well as various shareholders, such as employees who had been partly paid in shares, pension plans etc?