tag:blogger.com,1999:blog-5908830827135060852.post4581306090609131060..comments2024-03-01T02:40:14.946-05:00Comments on Bond Economics: Geopolitics And UncertaintyBrian Romanchukhttp://www.blogger.com/profile/02699198289421951151noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-5908830827135060852.post-23476433142269355982022-03-02T03:44:00.893-05:002022-03-02T03:44:00.893-05:00https://www.icmagroup.org/market-practice-and-regu...https://www.icmagroup.org/market-practice-and-regulatory-policy/repo-and-collateral-markets/icma-ercc-publications/frequently-asked-questions-on-repo/9-what-is-a-special-in-the-repo-market/<br /><br />《A special is an issue of securities that is subject to exceptional demand in the repo and cash markets compared with very similar issues. Competition to buy or borrow a special causes potential buyers in the repo market to offer cheap cash in exchange. A special is therefore identified by a repo rate that is distinctly lower than the GC repo rate (see question 8). The demand for some specials can become so strong that the repo rate on that particular issue falls to zero or even goes negative in an otherwise positive interest rate environment. The repo market is the only financial market in which, historically, a negative rate of return has not been unusual.》rsmhttp://subbot.orgnoreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-10109244091573356482022-02-27T00:38:43.098-05:002022-02-27T00:38:43.098-05:00《Unfortunately, all of their trades ended being co...《Unfortunately, all of their trades ended being correlated to the same risk factors, and all blew up at the same time.》<br /><br />Couldn't AIG have handled it, absent the irrational, spreading panic that arbitrarily and emotionally devalued perfectly safe assets held as collateral? <br /><br />《SFC models》<br /><br />From a previous blog:<br /><br />《The algorithm assumes that the flexprice variable is strictly positive (like a sensible price).》<br /><br />Can you model bond specials?<br />rsmhttp://subbot.orgnoreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-26920450935063912742022-02-21T19:41:48.864-05:002022-02-21T19:41:48.864-05:00I have yet to encounter a logical, coherent reason...I have yet to encounter a logical, coherent reason for a Russian invasion of Ukraine. That doesn't meant that they won't -- it just means that if they do they're stupid (as far as I can tell).eghttps://www.blogger.com/profile/00785993737401518690noreply@blogger.com