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You also have to remember that (particularly in mortgage backs) that Face
and Principle amount are often vastly different. You might buy a 100mm
block of discount coupons that have been paid down to a factor of 2 or 3
and that trade at a discount (although there aren't very many discount
coupons around right now). In essence you may have 100mm position on the
books but a funding amount of only 5-10mm. Also a lot of products
(treasury strips, IO and PO and CMO) trade at huge discounts from par.
At 11:55 AM 10/15/98 -0500, Timothy Morge wrote:
>Robert:
>
>Actually, $20 billion in bond-like instruments isn't a huge position. It
sounds
>like a gagging amount, but proprietary traders at large money center banks
trade
>positions that large. The key is: What's the duration of the instrument [$20
>billion in two year US cash notes isn't that much, $20 billion in 30 year US
>bonds is quite a bit more and $20 billion of non US bonds is a large and
>unwieldy load] and which government issued it?
>
>Best,
>
>Tim Morge
>
>Robert W Cummings wrote:
>>
>> Bankamerica said it bought $20 billion yep thats with a B fixed-income
>> securities in the restructuring of its relationship with a
>> trading/Investment firm. Media reports had the bank liquidating the entire
>> 20 billion portfolio. Lot of capital been moving around of late to
>> different places dealing with these Hedge Funds.
>> Hedge funds needs a place to hedge themselves seems the American tax payer
>> is the one there using by default.
>>
>> Robert
>
>
Stewart Taylor
Taylor Fixed Income Outlook
Voice: 501-219-9774
Fax: 501-228-0963
E-Mail: staylor@xxxxxxx
Web Site: http://www.cei.net/~staylor/
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