tag:blogger.com,1999:blog-30643134.post7822017363376156015..comments2023-12-26T01:10:26.319-05:00Comments on Accrued Interest: How are bonds quoted?Accrued Interesthttp://www.blogger.com/profile/05096191765979971184noreply@blogger.comBlogger13125tag:blogger.com,1999:blog-30643134.post-61184282015552630442009-11-05T10:56:05.299-05:002009-11-05T10:56:05.299-05:00The Bloomberg is one of the weakest possible sourc...The Bloomberg is one of the weakest possible sources for any market. Try Asset Backed Alert. Anyone following this, take it with a grain of salt. I work in the industry, and trusting the Bloomberg is my last possible resort for literally any news or information whatsoever on the market.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-30643134.post-37181647426245661692009-06-22T12:38:45.973-05:002009-06-22T12:38:45.973-05:00Pepper:
BTMM is a good base page. CT5 is the 5-ye...Pepper:<br /><br />BTMM is a good base page. CT5 is the 5-year. The on USSW shows swaps. If you have a 3-year bond, find the 3-year swap and add 70bps.Accrued Interesthttps://www.blogger.com/profile/05096191765979971184noreply@blogger.comtag:blogger.com,1999:blog-30643134.post-87095674142998659012009-06-22T10:16:54.296-05:002009-06-22T10:16:54.296-05:00hi, could you guide me where on bloomberg should i...hi, could you guide me where on bloomberg should i look under if for example someone quoted me CT5+380? or MS+70?pepperhttps://www.blogger.com/profile/06873061265624455685noreply@blogger.comtag:blogger.com,1999:blog-30643134.post-68820564956564856902008-06-13T15:10:00.000-05:002008-06-13T15:10:00.000-05:00ThanksThanksAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-30643134.post-73302279227458125612008-06-13T06:34:00.000-05:002008-06-13T06:34:00.000-05:00Sometimes mark to model works against you! I have ...Sometimes mark to model works against you! I have that problem all the time. As a overwhelmingly high-grade buyer, I rarely have the problem of a bond that's become a problem yet the pricing service doesn't know it. Its more often that I own something that's been improving and the service doesn't know that. You just have to live with it.Accrued Interesthttps://www.blogger.com/profile/05096191765979971184noreply@blogger.comtag:blogger.com,1999:blog-30643134.post-49392374587373319432008-06-12T16:45:00.000-05:002008-06-12T16:45:00.000-05:00Maybe you can help me with my problem. I can't fin...Maybe you can help me with my problem. I can't find 9% FHR or FNR ttibs with a 6 strike on the street at par right now but I still have my clearing firm pricing them at 94. What gives?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-30643134.post-25951104984265703142008-06-12T08:56:00.000-05:002008-06-12T08:56:00.000-05:00I don't personally trade futures, so my knowledge ...I don't personally trade futures, so my knowledge of them is purely academic. You have to be careful in that futures operate on a cheapest-to-deliver basis. The CTD is almost never the bond named in the future. For example, TYA (10-year future) will almost never have the actual 10-year as the CTD.Accrued Interesthttps://www.blogger.com/profile/05096191765979971184noreply@blogger.comtag:blogger.com,1999:blog-30643134.post-27690681233688706722008-06-12T08:31:00.000-05:002008-06-12T08:31:00.000-05:00Is there a quick way to calculate implied yield fr...Is there a quick way to calculate implied yield from treasury FUTURE prices?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-30643134.post-86067196132133101682008-06-12T08:20:00.000-05:002008-06-12T08:20:00.000-05:00Its the flat prepayment method. I've never been a ...Its the flat prepayment method. I've never been a fan of trading MBS on spread anyway, because prepayments make such a difference, and that's always an estimate. But it makes even less sense to assume all bonds will prepay at the same speed!Accrued Interesthttps://www.blogger.com/profile/05096191765979971184noreply@blogger.comtag:blogger.com,1999:blog-30643134.post-64408219817916437542008-06-12T07:56:00.000-05:002008-06-12T07:56:00.000-05:00"Hybrid-ARM MBS trade on a Z-spread basis. This is..."Hybrid-ARM MBS trade on a Z-spread basis. This is a spread to the interpolated spot curve as calculated by Bloomberg. When calculating this it is assumed the bond will pay 15 CPR until the reset date, no matter what the coupon or structure. Its kind of stupid but that's what's done."<BR/><BR/>Is it stupid because there's an embedded option, and Z-spread doesn't account for that? As well as the flat prepayment assumptions? (Does this also mean that there are much greater miss-pricing opportunities?)Iggyhttps://www.blogger.com/profile/15392248170244641527noreply@blogger.comtag:blogger.com,1999:blog-30643134.post-79466157164906998812008-06-11T16:49:00.000-05:002008-06-11T16:49:00.000-05:00Thank you, by the way. These are very helpful.Thank you, by the way. These are very helpful.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-30643134.post-29737895527945052702008-06-11T14:06:00.000-05:002008-06-11T14:06:00.000-05:00Yeah. There was a time when there was a large diff...Yeah. There was a time when there was a large difference in yield between old 30's and OTR 30's. Now not really. But old habits die hard.Accrued Interesthttps://www.blogger.com/profile/05096191765979971184noreply@blogger.comtag:blogger.com,1999:blog-30643134.post-73856951525744711862008-06-11T12:52:00.000-05:002008-06-11T12:52:00.000-05:00One thing I've noticed is that many longer dated c...One thing I've noticed is that many longer dated corporates are quoted against the one-old long bond instead of the OTR. Is this done to avoid some technical factor in the long bond? Thanks in advance.PNL4LYFEhttps://www.blogger.com/profile/10009165302340487456noreply@blogger.com