Treasury Plan: MBS/Govt Bond swap

[MrGecko]

I'm not taking any outright positions overnight at the moment, that's just asking for trouble imo.

aren't the spreads just the same? I mean if you are in Dec 08 Dec 09, and tomorrow there is an announcement that BBA will publish a report in 9 months, don't they have you by the short and curlies? The pre - post new LIBOR spread is going to go crazy.

there might even be an opportunity there, just to trade the news? (I am still in STIR school)

 

[arabianights]

Yep that would be nuts but I'm not a spread trader anyway - wouldn't call that a spread to be honest. Imagine june 08 09 today!

All I have overnight is 23 lot swiss spread short sep 08 dec 08 at minus one which is hardly going to kill me even with a fifty tick move but if it does happen I'll still be ****ed in terms of explaining it.

Thanks for giving you scenario though as I hadn't considered that... thinking about it it's completely plausible and on consideration I probably won't be taking any overnights at all.

 

[MrGecko]

I agree that it's not probable, but it's plausible;

given that, couldnt you play this out with a straddle of the dec 08 dec 09 spread? As long as the BBA say or do something that effects the LIBOR before the furthest leg of your spread, which will send the IVs through the roof.

 

[gooseman]

just watch vol ramp here.....

 

[MrGecko]

what's the reaction to Darling's BBA review comments?