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on 31-Dec-2014 (Wed)

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#asset-swap #finance #gale-using-and-tradning-asset-swaps
A credit default swap (CDS) is an option to sell (put) bon ds at face value with the writer of the option.

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#asset-swap #finance #gale-using-and-tradning-asset-swaps
The CDS premium is typically paid quarterly.

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#asset-swap #finance #gale-using-and-tradning-asset-swaps
CDS tend not to trade on governments in their own currenc y – CDS on US government debt denominate d in USD, for example. But in Europe, euro-denominate d CDS are popular for the issuers whose paper is most actively trade d on a spread basis from a credit point of view: Italy , and Greece.

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#asset-swap #finance #gale-using-and-tradning-asset-swaps
a Greek redenomination of debt to Drachma is a credit event, because it is low quality currency

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#asset-swap #finance #gale-using-and-tradning-asset-swaps
Italian redenomination of debt to Lira would not trigger standard CDS, because it is high quality currency

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#finance #steiner-mastering-financial-calculations-3ed
a "flat" short-term yield curve - in our example, the 3-month and 6-month rates are the same at 10.0% - does not imply that the market expects interest rates to remain stable. Rather, it expects them to fall.

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#finance #steiner-mastering-financial-calculations-3ed
which comes first. Are forward-forward rates (and hence futures prices and FRA rates) the mathematical result of the yield curve? Or are the market's expectations of future rates (i.e. forward-forwards, futures and FRAs) the starting point, and from these it is possible to create the yield curve? The question is a circular one to some extent, but market traders increasingly look at constructing a yield curve from expected future rates for various periods and maturities

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#finance #steiner-mastering-financial-calculations-3ed
If the cash curve is flat, the forward curve is below the cash curve and negative

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#finance #steiner-mastering-financial-calculations-3ed
If the cash curve is negative, the forward curve is below the cash curve but not necessarily negative.

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#finance #steiner-mastering-financial-calculations-3ed
If the cash curve is positive, the forward curve could be above or below the cash curve

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#finance #steiner-mastering-financial-calculations-3ed
If I wish to borrow money for 3 months, the interest rate is likely to be different - possibly higher and possibly lower - from what the rate would be if I wished instead to borrow for 6 months. The "yield curve" is a graph showing how interest rates vary with term to maturity.

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Flashcard 149655933

Tags
#finance #steiner-mastering-financial-calculations-3ed
Question
If I wish to borrow money for 3 months, the interest rate is likely to be different - possibly higher and possibly lower - from what the rate would be if I wished instead to borrow for 6 months. The "[...]" is a graph showing how interest rates vary with term to maturity.
Answer
yield curve (cash curve)


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repetition number in this series0memorised on               scheduled repetition               
scheduled repetition interval               last repetition or drill

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If I wish to borrow money for 3 months, the interest rate is likely to be different - possibly higher and possibly lower - from what the rate would be if I wished instead to borrow for 6 months. The "yield curve" is a graph showing how interest rates vary with term to maturity.

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Flashcard 149655940

Tags
#finance #steiner-mastering-financial-calculations-3ed
Question
another name for yield curve
Answer
cash curve


statusnot learnedmeasured difficulty37% [default]last interval [days]               
repetition number in this series0memorised on               scheduled repetition               
scheduled repetition interval               last repetition or drill

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Flashcard 149655951

Tags
#finance #steiner-mastering-financial-calculations-3ed
Question
another name for cash curve
Answer
yield curve


statusnot learnedmeasured difficulty37% [default]last interval [days]               
repetition number in this series0memorised on               scheduled repetition               
scheduled repetition interval               last repetition or drill

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