http://ftalphaville.ft.com/blog/2007/07/30/6213/cds-report-its-a-very-brave-man-or-woman-who-calls-the-end-to-this/?source=rss

and one person thinks it may go to 1000bps

http://www.bloomberg.com/apps/news?pid=20601087&sid=a4CHnE.bPy6s&refer=home

I would be very surprised to see it go to this level - the underlying single names are currently trading around 400bps so assuming sufficient liquidity it would be possible to sell index protection and buy the underlying - however, liquidity in single name is nowhere near as high as in indices.

http://www.markit.com/marketing/press_releases.php?date=10Jul2007

A bit late to the market, with both BestQuotes

http://www.bquotes.com/

and my old company QuoteVision

http://www.quotevision.com/Home/index.php

having been around for a few years now. However, Markit will have a USP in that it holds the reference data set so will find it a lot easier to match quotes with entities.

There are 3 types of single name/indices trade

• New Deal
• Assignment
• Unwind

I covered new deals a while ago

http://www.noelwatson.com/blog/PermaLink,guid,90c9c561-95f0-46e5-a7a0-5030cdc07d60.aspx

but the logic is slightly more complex for assignments and unwinds

For single name, we have to use the following logic when calculating accrued coupon

If the original trade date is greater than a month before the last roll, we use the last roll date. If it is less than a month before the last roll date, we take the original trade date

So, taking some example, and assuming the effective date of the trade is 15/06/2007 (i.e. today is 14/06/2007)

• Original trade date is 07/05/2006

Here the trade is after the last roll (20/03/2007), so the accrued is calculated from then - 39 days

• Original trade date is 07/03/2007

The trade is within a month of the next roll date, so we assume a "long coupon" and calculate from original trade date - 100 days

• Original trade date is 07/03/2007

The trade is more than a month before the last roll date, so we calculate from the last roll date - 87 days

Indices are more simple, as you always pay the coupon from the last roll date, and all trades have a fee, as you are buying into a running contract.

This company claim they can create energy from nothing - something that violates the principle of conservation of energy

http://www.steorn.com/Default.aspx

http://en.wikipedia.org/wiki/Steorn

They are currently demoing at Spitalfields, although they are having a problem with the lighting, so it it not open to the public today

http://www.steorn.com/orbo/demo/

UPDATE:

It would appear that the demonstration has been postponed to a later date

http://news.bbc.co.uk/1/hi/technology/6283374.stm

I was looking at MoneySupermarket and comparing mortgage rates. A mortgage from Cheltenham and Gloucester came up as having the best rate of 4.99%, but further investigation showed that it came with a 2.5% initial fee

I therefore wrote a very simple calculator to work out how much the total cost of an interest only mortgage is for a given set of criteria taking the initial fee into account

In the example shown above, for a 2 year £100000 mortgage with an interest rate of 5.49% and fee of £899, the total cost is £11273.

Observing the collapse of the U.S. housing market, I am continually informed that it is different in the U.K. for some reason.

The FSA have released a report related to U.K> subprime mortgages - areas of concern include self certification.

http://ftalphaville.ft.com/blog/2007/07/04/5657/subprime-the-nasty-uk-truth/?source=rss

Future interest rates are still rising

http://www.futuresource.com/charts/charts.jsp?s=LSSM08

It's going to get messy!

I read this yesterday in the Torygraph

http://www.telegraph.co.uk/money/main.jhtml?xml=/money/2007/07/03/bcnitaly103.xml

but it wasn't until today that I had a closer look. Our application was flagging up a negative implied default rate (IDR)(arbitrage opportunity). I put together a spreadsheet to work out where the problem was (attached), and happened to notice that it was the first name that our desk trade that is trading inverted, with the 1Y spread over 100 bps. Note that almost all of the other banks have a 1Y spread of 10bps or less.

Note that I looked at IDR a while ago, but only up to 5 year

http://www.noelwatson.com/blog/PermaLink,guid,fa4d8579-f754-48e0-a485-dc7c6850405f.aspx

I was reading about this in the March 2007 issue of Wilmott. The article is also here.

http://www.xenomorph.com/news/inthepress/2007/mar/wilmott/xenomorph-mar.pdf

It talks about Microsoft's offering for Grid Computing

http://www.microsoft.com/windowsserver2003/ccs/default.aspx

and how MS has a result in the Top 500 supercomputer list #108 and 193

http://top500.cachefly.net/static/lists/2007/06/TOP500_200706.xls

http://goldnews.bullionvault.com/files/Investment_Landfill.pdf

I first did this last year

http://www.noelwatson.com/blog/PermaLink,guid,5c54efd9-9b42-480a-bb1a-01386a2c9d48.aspx

but realised that I hadn't got round to updating this when I was looking into a trader's query on DV01 calcs.

Changes include:

• Using maturity date rather than term
• Allowing Notional
• Calculating time to maturity using Actual/360 with effective date being T+1

Tests

1. Maturity 20/9/2012 (5 year trade) - 100bps

Our application gives 4489 (using I.R. of 4.73%)

and BBG gives 4487

 

2. Maturity 20/09/2017 (10 year trade) - 300bps

We get  6503 (using I.R. of 4.82%)

and BBG gets 6540

So we are within 1% of BBG which is adequate