Wednesday, March 12, 2008

Probably not, as roll costs are only around 1bp - CPDOs will typically roll into the new index over a 10 day period. Provisional constituents are out from Markit - BAA is on the list

http://www.noelwatson.com/blog/PermaLink,guid,f5c355be-b7ad-4e93-96b1-4dee8b737444.aspx

Some more CPDO documentation...

JPMCPDO.pdf (82.85 KB)

SANDPCPDO.pdf (239.16 KB)

UBSCPDOs.pdf (538.82 KB)
Wednesday, March 12, 2008 5:23:40 PM (GMT Standard Time, UTC+00:00)  #    Comments [0]  |  Trackback

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