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  #21  
Old 02-12-2014, 01:09 AM
Will Hunting Will Hunting is offline
 
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Default 125 Cap on Spreads

How are people interpreting the 125 bp cap on spreads from #7 of the 2013 special considerations letter? Specifically, does the cap apply to the treasury curve as of the valuation date, or as of the asset purchase date?

And why is the term "Net Yield Pick-Up"?

Thanks!
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  #22  
Old 02-12-2014, 09:16 AM
Steve Grondin Steve Grondin is offline
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Quote:
Originally Posted by Will Hunting View Post
How are people interpreting the 125 bp cap on spreads from #7 of the 2013 special considerations letter? Specifically, does the cap apply to the treasury curve as of the valuation date, or as of the asset purchase date?

And why is the term "Net Yield Pick-Up"?

Thanks!
Quote:
Originally Posted by SpecConLtr
For this purpose, net yield pick-up is defined as the yield pick-up versus comparable investments that are generally regarded as “risk free” with respect to default risk (e.g., U.S. Treasuries) minus default provision based on current market values.
...


This “125 bps net yield pickup test” should be performed for both existing assets (as of the valuation date) and for assumed reinvestments.
Bold is mine, not source. Seems very likely to mean as of asset purchase date.

I'm guessing that the "net" means over assumed default costs, "Yield pick-up" means the extra yield you are getting over risk free assets by choosing a risky asset.
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  #23  
Old 04-18-2014, 10:30 AM
TJF TJF is offline
 
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I don't understand what is meant by treating the duration column as projection years. Initially, I viewed Box 1 to be the book value of all assets with durations under 1 year, durations between 1 and 3 years,...

If this means projection years, are they asking for the book value of all assets for these projection years? Do you give the book value at the start of the range or an average book value for that range? Not sure I see how this is meaningful.

What are people doing for this? Thanks.
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  #24  
Old 04-29-2014, 07:12 PM
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Anyone else want to provide thoughts/insights on this?
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  #25  
Old 10-26-2017, 03:36 PM
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Has there been any updates to the NY Special Considerations letter from 2013? If so, could you please point me to it?
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  #26  
Old 10-26-2017, 03:42 PM
Steve Grondin Steve Grondin is offline
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They have one every year.

Here is 2016's.
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