January 2009
Intermediate to advanced
224 pages
4h 48m
English
Content preview from CDS Delivery Option: Better Pricing of Credit Default Swaps
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INDEX
bear market case study, 171, 173, 175–184
CDX index compared to, 176, 177
See also Fannie Mae; Federal Home Loan Bank system; Freddie Mac
ABX bear market case study, 171, 173, 175–184
contract design for Agency futures, 123–130, 132–133, 135–141, 143–147, 149–163
credit derivatives, Agency use of, 21, 133
defined, 16
foreign governments, purchases from, 33–35, 37
medium-term note (MTN) programs, 30–33
regular issuance calendar, 22–24, 30
relationship with U.S. Treasury, 18–20
Bank of America, 140
Bear Stearns Asset Management
Federal Reserve bailout, xiii,
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