exactly the point i’m trying to make abbefaria but so far we’re the only two i think…no real consensus on this one yet
Hedged return: (yield - rfr) of the foreign country. Unhedged return: (yield + expected ccy return): But here, you need to remember that yield can be substituted by the rfr, if rfr is higher. After all, I can invest in the foreign country’s rfr. And Japan and Germany fit those criteria.
35 Visited Japan Twice, took a random walk on the third. 2224 - never got the exact number but seemed the closest.
I put term. My thinking was how much would the rate really change for an overnight repo vs 1 week? But that was just my logic. I really had no idea on this one.
rf rate wasnt an option though it was somethign like prevailing interest rates in the economy…i think int rates were ok
the point of having collateral is that you don’t need to worry about the borrower’s quality jmychasi Wrote: ------------------------------------------------------- > exactly the point i’m trying to make abbefaria > > but so far we’re the only two i think…no real > consensus on this one yet
fsa-sucker: hedged return is your domestic risk-free rate plus excess premium (yield - risk free)
Quality of the collateral is listed as one of the factors. I had it in my notes. I just checked! If Citibank deposits a bunch of low grade CDO Squared as collateral do you give the same rate as when they deposit Treasury bonds?
damnit
jimmylegs Wrote: ------------------------------------------------------- > fsa-sucker: hedged return is your domestic > risk-free rate plus excess premium (yield - risk > free) Yes, but the domestic rfr is constant. It doesn’t matter when you are comparing different foreign mkts. What I meant is yield - rfr is what matters in those comparisions.
i still think collateral was the right answer if you consider each on individually: interest rates: direct impact borrower quality: direct impact if no collateral, if collateral, than less of an impact term: direct impact but collateral quality will have an impact, but less of an impact since the lender will at least have something in pocket.
really struggled with that- either borrower Q or int rates…
Volume 2, page 10. The answer is quality of borrower, all the others are listed… Ponpon
My thinking for borrower quality was if they post a treasury security for collateral does it really matter how good the quality of the borrower is…?
fed fund rate is the first answer you should eliminate… Three’s a charm Wrote: ------------------------------------------------------- > really struggled with that- either borrower Q or > int rates…
i had quality of borrower and changed it urg
fed funds rate wasn’t a choice…
anyone remember some 9,975,000 out there?
ponponpq Wrote: ------------------------------------------------------- > Volume 2, page 10. > > The answer is quality of borrower, all the others > are listed… > > Ponpon not interest rate in general economy. feds fund rate is not the same as interest rate in general economy.
Was the first part of Modified Dietz time weighted or money weighted? Money weighted you get 4.1 but time weighted you get 3.x. Second part should have been 4.5 i think