IamArkad Wrote: ------------------------------------------------------- > 9,975,000, got the same answer. Don’t remember > the question. same here. I remember calculating this number although I don’t know for what.
comp_sci_kid Wrote: ------------------------------------------------------- > IamArkad Wrote: > -------------------------------------------------- > ----- > > 9,975,000, got the same answer. Don’t remember > > the question. > > same +1
thetank Wrote: ------------------------------------------------------- > right, i mean any time you enter into a lending > agreement one of the first thing you do is a > credit analysis on the borrower, everything else > depends on that assessment I think the “general interest rates prevailing in economy” was incorrect. Repos can be very customized and depend on collateral, quality, and the term
hezagenius Wrote: ------------------------------------------------------- > IamArkad Wrote: > -------------------------------------------------- > ----- > > 9,975,000, got the same answer. Don’t remember > > the question. > > > same here. I remember calculating this number > although I don’t know for what. Definitely 9975. This one was pretty straight forward i thought.
s23dino Wrote: ------------------------------------------------------- > ^^^ that is complete cr@p, all mbs are > callable…? US mortgages, by law, include a prepayment option for the borrower the way i reason it, it promotes labor flexibility in the economy, therefore the law… other countries are not the same - india for example, you always have 2% penalty
No matter how good the quality of the collateral (e.g. Treasury Bills), it can still drop in price. I want to be sure you’ll buy it back from me at the agreed upon price.
9,975,000 here too
mo34 Wrote: ------------------------------------------------------- > s23dino Wrote: > -------------------------------------------------- > ----- > > What did everyone get for the holdings and > return > > based it boiled down to returns are based on > past > > info and returns summarizes entire portfolio > and > > holdings summarizes individual securites? I > went > > with returns based relies on past info since > the > > major disadvantage of returns based is it > detects > > style drift slower as it is based on past > returns > > while holdings looks at your portfolio right > now. > > > Correct. Did you think the style was OK ? that’s > what I picked. Portfolio was actively managed with > more than 80% in mid-cap growth/core. voted past record. voted style was OK. the betas on the other ones were pretty evenly distributed small numbers, maybe a bit more on core and value in same size class, but you can put that down to security classification issues.
For yield curve I put longer maturity. I had embedded options at first but longer maturity was a magnet for my pencil. I think it may have actually been longer matirty because od the non-bullet structure of a MBS. I think they are both sorta rigght thi but I went with longer maturity.
rohufish Wrote: ------------------------------------------------------- > mo34 Wrote: > -------------------------------------------------- > ----- > > s23dino Wrote: > > > -------------------------------------------------- > > > ----- > > > What did everyone get for the holdings and > > return > > > based it boiled down to returns are based on > > past > > > info and returns summarizes entire portfolio > > and > > > holdings summarizes individual securites? I > > went > > > with returns based relies on past info since > > the > > > major disadvantage of returns based is it > > detects > > > style drift slower as it is based on past > > returns > > > while holdings looks at your portfolio right > > now. > > > > > > Correct. Did you think the style was OK ? > that’s > > what I picked. Portfolio was actively managed > with > > more than 80% in mid-cap growth/core. > > > voted past record. voted style was OK. the betas > on the other ones were pretty evenly distributed > small numbers, maybe a bit more on core and value > in same size class, but you can put that down to > security classification issues. same
the derivatives section anyone… buy payer swaption?
i had sell something payee maybe?
rohufish Wrote: ------------------------------------------------------- > the derivatives section anyone… > > buy payer swaption? I did the same. : )
ChiTownShane Wrote: ------------------------------------------------------- > For yield curve I put longer maturity. I had > embedded options at first but longer maturity was > a magnet for my pencil. I think it may have > actually been longer matirty because od the > non-bullet structure of a MBS. I think they are > both sorta rigght thi but I went with longer > maturity. Answer was embedded options. The MBS did have longer maturities but they had a lower duration then at least one of the other strategies; lower duration means price will be affected less for a given change in interest rates.
Payer Swaption
sean08 Wrote: ------------------------------------------------------- > rohufish Wrote: > -------------------------------------------------- > ----- > > the derivatives section anyone… > > > > buy payer swaption? > > > I did the same. : ) isnt a payer swaption the right to pay fixed? they were paying fixed already
sean08 Wrote: ------------------------------------------------------- > rohufish Wrote: > -------------------------------------------------- > ----- > > the derivatives section anyone… > > > > buy payer swaption? > > > I did the same. : ) correct
thetank Wrote: ------------------------------------------------------- > sean08 Wrote: > -------------------------------------------------- > ----- > > rohufish Wrote: > > > -------------------------------------------------- > > > ----- > > > the derivatives section anyone… > > > > > > buy payer swaption? > > > > > > I did the same. : ) > > isnt a payer swaption the right to pay fixed? > they were paying fixed already they got into a spread to pay-floating expecting rates to go down. Payer swaption is correct
i thought it was sell payee swapation because that would cancel out the trade.
oskigo Wrote: ------------------------------------------------------- > i thought it was sell payee swapation because that > would cancel out the trade. Isn’t that the same as entering into a payer swaption?