http://www.telegraph.co.uk/money/main.jhtml?view=DETAILS&grid=&xml=/money/2008/03/14/bcnbear414.xml

As discussed in the counterparty example a couple of days ago

http://www.noelwatson.com/blog/PermaLink,guid,98491b4a-d1ef-40a0-b115-3252e87ae62a.aspx

There seems to have been some confusion between various Markit indices

http://www.markit.com/information/products/category/indices.html

with some saying there is no liquidity in the indices

http://www.ft.com/cms/s/af1e1c18-ee04-11dc-a5c1-0000779fd2ac.html

"Liquidating structured credit instruments requires buying large amounts of protection using credit default swaps. This, in turn, drives the cost of protection higher, potentially triggering a chain reaction."

http://www.portfolio.com/views/blogs/market-movers/2008/03/12/how-the-cds-market-can-support-the-bond-market

"a mark to market problem and, to boot"

I am assuming that they are talking about indices, as structured credit vehicles, such as CDOs tend to hedge against these rather than single name. There are no liquidity problems on the ITRAXX Europe, Xover or HiVol, and I believe the same to be true of the CDX. Furthmore, Markit are still publishing end of day curves, so why is mark to markit a problem?

Perhaps people are getting confused between the credit and the ABX indices?

I've written about the NSX several times

http://www.noelwatson.com/blog/PermaLink,guid,35b51c27-802c-449f-b794-0ad5d4560c45.aspx

and after achieving 162 mph at last weekend's VMax

http://www.pistonheads.co.uk/gassing/topic.asp?h=0&t=507510

 I have decided that I will not be able to make it go any faster. I am starting to wonder if the NSX's time has gone - it woke up the established car players in the early 90's, but as time has moved on and other manufacturers have improved the range (Ferrari for instance went from 348-355-360-430), the NSX stayed still.

Recently the car magazines have begun testing the new Nissan GTR, with all saying it surpasses the opposition.

http://www.m3post.com/forums/showthread.php?t=122409

http://www.carmagazine.co.uk/Video/Search-Results/Video/Features/Nissan-GT-R-vs-Porsche-911-Turbo---part-one/

http://www.carmagazine.co.uk/Video/Search-Results/Video/Features/Nissan-GT-R-blasts-around-Rockingham/

http://www.nagtroc.org/forums/index.php?showtopic=22031

http://www.autocar.co.uk/VideosWallpapers/Videos.aspx?AR=231443&CT=V

http://www.autocar.co.uk/VideosWallpapers/Videos.aspx?AR=231444&CT=V

http://www.roadandtrack.com/article.asp?section_id=31&article_id=6594

Now 55k isn't cheap, but when 05 plate NSX's are going for 45k, and 911 Turbos >100k, it starts to look like remarkably good value. Especially when you consider it can get round the 'ring in 07:38. Astonishing!

http://www.youtube.com/watch?v=R2U1Fw5nE-8

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)

We are now in the strange world of buying protection from a counterparty on a name that has a lower CDS spread than the counterparty - and the counterparty doesn't have to post collateral.

Collateral posting requirements in CDS trades are typically reserved for lower credit quality counterparties in order to ensure payments are made. Because other monoline mortgage insurers – such as MBIA Insurance Corp., Ambac Assurance Corp. and Radian Asset Assurance – are AA and AAA rated, their CDS contracts are unlikely to include the provisions, said the market participant.

http://www.ft.com/cms/s/2/57f389b0-8f0d-11dc-87ee-0000779fd2ac.html

If I were to buy protection on Diageo for 5 years @ 80bps from Bear Stearns which is AAA rated and therefore doesn't have to post collateral, judging by the spreads, there is more chance of the counterparty defaulting than the reference entity.

People are starting to complain about the ABX indices and how the limited number of names mean they indices is being pushed wider than fair value due to short selling

http://www.aleablog.com/dont-mark-to-markit/#comment-828

It will be interesting to see how the CDS indices are affected

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

On a Markit related issue, some are unhappy that Markit have a monopoly

http://www.alternet.org/story/74510/?page=entire

http://www.irdonline.com/public/showPage.html?page=331456

http://www.irdonline.com/public/showPage.html?page=339382

As someone who had to work with reference data before red codes I see Markit as a good thing

http://www.microsoft.com/windows/products/winfamily/ie/ie8/default.mspx

One thing I forgot to mention about Wim's talk the other evening

http://www.noelwatson.com/blog/PermaLink,guid,136d4b18-8d46-4687-8a83-0ef2f97ab805.aspx

was that he mentioned that conventional Gaussian copula models were starting to throw up some strange number in the current distressed markets. This was discussed in a Bloomberg article yesterday.

http://www.bloomberg.com/apps/news?pid=20601009&sid=aWl_spgXiGIc&refer=bond

The article is written in a rather confusing manner (in my opinion), but what it is saying is that attempting to value certain tranches of the CDX index is proving impossible (correlation greater than one) with the Gaussian model.

There is a discussion on the Wilmott forum

http://www.wilmott.com/messageview.cfm?catid=4&threadid=59608

WimLevyBC.pdf (170.21 KB)

http://www.zoopla.co.uk/

http://uk.techcrunch.com/2008/01/17/zoopla-launches-property-command-and-control-system/

http://www.tavakolistructuredfinance.com/press.html

I keep reading several articles similar to below

http://uk.reuters.com/article/fundsNews/idUKNOA53111420080225

and recently discovered that you can now trade the ITRAXX indices (need to check where these can be traded)

http://www.db.com/presse/en/content/press_releases_2007_3451.htm

although that's not to say the spreads won't go higher

http://www.bloomberg.com/apps/news?pid=20601087&sid=abYMR9fvFB1Y&refer=home

 - note that people have said this for some time

http://www.noelwatson.com/blog/PermaLink,guid,3a000888-e5df-4208-9515-01586f6332f2.aspx

People are also saying the leveraged loan market is oversold, saying we would have to be facing Armageddon for the current valuations to reflect fair value

http://www.moneyweek.com/file/43319/a-chance-to-generate-extraordinarily-attractive-returns.html

Firstly Ben proposed that lenders allow borrowers off some of the principal

http://www.federalreserve.gov/newsevents/speech/bernanke20080304a.htm

as this will be cheaper than allow the borrower to foreclose

Then we have Darling saying that we should have a gold standard of mortgage to get the MBS market moving again

http://www.ft.com/cms/s/0/cfb0b2ca-ea2f-11dc-b3c9-0000779fd2ac.html

No doubt this will make the same flawed assumptions that the other rating agencies made - using historically low levels of defaults and not taking into account fat tails in their calculations.

I think these two should stop trying to influence the market and let it run its course - even if there is some pain along the way

On a related note, Darling is planning to exclude Northern Rock from the budget

http://business.timesonline.co.uk/tol/business/economics/article3486125.ece

thereby keeping the net debt below the 40% GDP rule (something that Gordon has manipulated in the past). I wonder if PFI will make an appearance

http://www.guardian.co.uk/business/2008/feb/19/northernrock.banking3

DISCLAIMER: Work in progress. I used this as a way of testing the performance of C# relative to VBA

TranchePricer.zip (147.79 KB)

Spreadsheet here

http://www.noelwatson.com/blog/PermaLink,guid,297c1bf3-25b8-4d15-913d-41e9b697ce1c.aspx

• Non lethal ray gun

http://www.cbsnews.com/stories/2008/02/29/60minutes/main3891865.shtml

• Aborted A320 landing at Hamburg

http://www.liveleak.com/view?i=ddb_1204404185

http://img.photobucket.com/albums/v70/alexisbad/xwind.jpg

• Sign of things to come?

http://www.youwalkaway.com/index.html

Until recently, Xenomorph has been using a proprietary model to store data. However, reading in the latest Wilmott magazine (January 2008 - "Spreading Wings"),

(article should appear here at some point)

http://www.xenomorph.com/news/

CEO Brian Sentance talks about how Xenomorph are working with Microsoft to store the data on SQL Server. It will be interesting to see what performance can be achieved in the relational world (assuming that is how it is implemented).

On a related note, SQL Server is falling down the rankings on the TPC-C league

http://www.tpc.org/tpcc/results/tpcc_perf_results.asp?resulttype=noncluster

if SQL 2008 offered any tangible performance improvements I would have expected to see an entry by now

There are new records in other areas

http://blogs.msdn.com/sqlperf/archive/2008/02/27/sql-server-2008-launched-today-with-great-performance-amp-scalability.aspx

http://www.tpc.org/tpce/tpce_perf_results.asp

but could this be down to hardware improvements? Furthermore, the absence of competing databases implies that other vendors don't take this as seriously