Comments on: Back to Basics: First to Default Swap http://www.aleablog.com/back-to-basics-first-to-default-swap/ Alea Jacta Est Fri, 25 Jul 2008 01:32:08 +0000 http://wordpress.org/?v=2.6 By: jck http://www.aleablog.com/back-to-basics-first-to-default-swap/#comment-854 jck Thu, 13 Mar 2008 14:25:24 +0000 http://www.aleablog.com/back-to-basics-first-to-default-swap/#comment-854 anon: In theory, no it's not a bad thing. I doubt that the Fed mounted yet another rescue, having failed to stop the rot since last august with the intention to get yet more investment funds blow-ups. This is Bernanke, not the Mellon of "liquidate everything.." in 30s. anon:
In theory, no it’s not a bad thing. I doubt that the Fed mounted yet another rescue, having failed to stop the rot since last august with the intention to get yet more investment funds blow-ups. This is Bernanke, not the Mellon of “liquidate everything..” in 30s.

]]> By: anon http://www.aleablog.com/back-to-basics-first-to-default-swap/#comment-853 anon Thu, 13 Mar 2008 13:38:33 +0000 http://www.aleablog.com/back-to-basics-first-to-default-swap/#comment-853 Unintended? Is it necessariliy a bad thing if the Fed's liquidity facility helps move a bankrupt mortgage fund out of the credit logjam? Unintended?

Is it necessariliy a bad thing if the Fed’s liquidity facility helps move a bankrupt mortgage fund out of the credit logjam?

]]> By: jck http://www.aleablog.com/back-to-basics-first-to-default-swap/#comment-852 jck Thu, 13 Mar 2008 13:33:59 +0000 http://www.aleablog.com/back-to-basics-first-to-default-swap/#comment-852 Noel: I have the Bloomberg book as well, very good [have loads of them..] I follow the market pretty closely and I must say that if F2D are making a comeback it's more because of marketing than popular demand as you suggest. You are right about the correlation modelling same problem, there is no such thing as correct mark to market with CDSs whatever the packaging. One day perhaps we will have exchange trade zero coupon CDS on indices and that would be better but won't happen any time soon. Noel:
I have the Bloomberg book as well, very good [have loads of them..]
I follow the market pretty closely and I must say that if F2D are making a comeback it’s more because of marketing than popular demand as you suggest.
You are right about the correlation modelling same problem, there is no such thing as correct mark to market with CDSs whatever the packaging. One day perhaps we will have exchange trade zero coupon CDS on indices and that would be better but won’t happen any time soon.

]]> By: Noel http://www.aleablog.com/back-to-basics-first-to-default-swap/#comment-851 Noel Thu, 13 Mar 2008 13:22:10 +0000 http://www.aleablog.com/back-to-basics-first-to-default-swap/#comment-851 jck, I wonder if this demand for FTDs is a marketing driven exercise. Now the banks are unable to sell tranches of CDOs they move to another structured product. Surely it is going to suffer from some of the same problems as the ITraxx CDOs - namely correlation modelling. How do you get an accurate mark to market if you have a bespoke FTD? Agree with the Chaplin recommendation, another good book release recently is http://www.amazon.co.uk/exec/obidos/ASIN/1576601870 jck,

I wonder if this demand for FTDs is a marketing driven exercise. Now the banks are unable to sell tranches of CDOs they move to another structured product.
Surely it is going to suffer from some of the same problems as the ITraxx CDOs - namely correlation modelling. How do you get an accurate mark to market if you have a bespoke FTD?

Agree with the Chaplin recommendation, another good book release recently is

http://www.amazon.co.uk/exec/obidos/ASIN/1576601870

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