15) Furthermore, survivor swaption
dealers will likely need to hedge positions in swaptions
on different cohorts, which will be self-hedging to a certain extent and so reduce basis risk.
Represents at-the-money swap prices as of the date the swaption
contracts were entered into.
1) Core Earnings is a non-GAAP measure that the company defines as GAAP net income, excluding impairment losses, gains or losses on sales of securities and termination of interest rate swaps, unrealized gains or losses on trading securities, interest rate swaps and swaptions
and certain gains or losses on derivative instruments.
House Transportation Chairman Joseph Wagner, D-Chicopee, who supported the refinancing plan and helped get it through the House earlier this month, has said the plan "makes sense" because it would give the Turnpike Authority a way out of the onerous swaption
fees without having the state pick up repayment of Turnpike debt out of the state budget.
LeBovidge said yesterday that, for the time being, the Turnpike Authority is "monitoring" the bond market and gave no indication that the authority could get out of the swaption
7 million associated with its interest rate swaps and swaptions
economically hedging its repurchase agreements and an unrealized gain, net of tax, of $4.
In addition to maintenance of a sound financial profile, long-term stability of the rating also hinges on the city's ability to manage the potential synthetic refunding of its series 2003 bonds and related swaption
(exercise date in late 2013) together with the financing of its capital plan.
However, the market calibration of such a model can be complex, particularly given the lack of liquidity in Treasury-based option models (although a proxy may be achieved by taking volatility assumptions from the swaptions
Quadratic Capital employs liquid options and swaptions
across asset classes and seeks to deliver an absolute return, fundamental global macro strategy with low volatility and defined risk.
The pension opted for swaptions
and equity collars because of the cost and in order to benefit from rising markets, Grootendorst explains.
His emphasis is on a step-by-step introduction of concepts and explicit calculations, particularly for pricing associated derivatives such as caps and swaptions
hedge funds, which have become skeptical about Japan, are resorting to an over-the-counter option called swaptions
that they expect will be extremely profitable for them should Japanese bonds yields rise.