interest rate swap

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and an estimated approximately $200 million pre-tax charge to earnings; a 2003 failure to correct a misapplication of financial accounting standards to certain GE interest-rate swaps; in 2002 and 2003, reported end-of-year sales of locomotives that had not yet occurred in order to accelerate more than $370 million in

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’s Bank of China. Meanwhile, days before its bankruptcy, Detroit paid out $250 million to UBS and Bank of America on debts inflated due to interest rate swap agreements, leaving it with pennies to cover almost $20 billion in pension and health-care obligations. Does China have a better model for managing central

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. This facilitates coordination when a deal involves multiple markets. The pricing and offering of a corporate bond, for example, might well involve the government bond, interest-rate swap, credit swap, and/or the interest rate futures desks. Thus, while no longer necessary to realize (in a single market) economies of scale, personal proximity

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) derivatives. According to the Bond Market Association in 2004, 25 platforms now allow users to execute transactions in 111 112 Electronic and Algorithmic Trading Technology interest rate swaps, credit default swaps, options, futures, and other derivative products. This is nearly double the number of platforms that supported derivatives trading in 2003. The equities

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to the Aite Group. Competition is expanding into less liquid Fixed-income instruments, which include European markets, algorithmic trading, and OTC derivative products such as interest rate swaps and credit derivatives. The marketplace has also witnessed contraction in the number of trading platforms from its peak in 2000, when over 70 electronic fixed

…

treasuries, but MarketAxess is the dominant player in illiquid markets. Fixed-income platforms are also moving into derivatives with most of the attention focused on interest rate swaps and credit derivatives (see Exhibit 11.7). Other trading venues such as algorithmic trading are still immature in market penetration for fixed-income instruments, with

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x x x Products supported. Source: Aite Group. Derivatives x x x Electronic and Algorithmic Trading for Different Asset Classes 119 Firms eSpeed Products Interest Rate Swaps ICAP Interest Rate Swaps Q3 2004 Europe Credit Derivatives Q4 2004 Europe and U.S. MarketAxess Thomson TradeWeb Exhibit 11.7 Launch Date 2003 Credit Derivatives Q3 2005 Q1

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2005 for Interest Rate Swaps Euro Q3 2005 for U.S. Q3 2005 for Credit Derivatives U.S. Market Focus Europe and U.S. Europe and U.S. Europe and

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from price anomalies between related interest rate securities. Most managers trade globally with a goal of generating steady returns with low volatility. This category includes interest rate swap arbitrage, U.S. and non-U.S. government bond arbitrage, forward yield curve arbitrage, and mortgage-backed securities (MBS) arbitrage. The mortgage-backed market is

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, shares, governments’ sovereign bonds, and foreign exchange—that are all comparable in that they are simple and highly liquid. (The research also encompassed options and interest-rate swaps, but the greater complexity of these instruments makes them less directly comparable. Apart from chapter 6, in which the options market offers an extreme case

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but only limited amounts of “classic” HFT; some face-to-face trading (suspended in coronavirus crisis) Some anonymous order-book trading but much dealer intermediation Interest-rate swaps Much electronic trading, but largely intact dealer-client market; only limited HFT Almost intact dealer-client market; little HFT Source: Author’s interviews. As indicated

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, because their greatest effects were on one of the markets that I researched but (to prevent this book from becoming overcomplicated) I have not discussed: interest-rate swaps, in which efforts to practice HFT have to date largely been unsuccessful.16 The legal crackdown on spoofing, touched on above, was, however, largely made

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lies in derivatives. Derivatives are financial contracts not considered securities. (Securities describe stocks and bonds for example, and derivatives describe stock options, futures contracts, and interest rate swaps.) Derivatives blossomed in the 1990s as a way to synthetically expose a portfolio to an array of outcomes, most commonly the fluctuation of interest rates

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the entire house of flimsy interbank risk. At the time of the LTCM bailout, the total market value of all the world’s derivatives including interest rate swaps, credit default swaps, and foreign exchange currency swaps was $3 trillion. To compare, the total supply of U.S. Treasuries was also about $3 trillion

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partner. We had not been only sitting on pending trades where we had sold them stocks, bonds and loans, but also ongoing contracts, credit and interest rate swaps, warehousing lines, you name it. So when Lehman’s stock started falling, from $65 per share at the beginning of 2008 to $12 in July

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how to spend it. The Melbourne native had made a small fortune working for nearly two decades in the financial industry as a broker trading interest rate swaps, financial instruments designed to help major corporations protect against and profit from future swings in rates. It was one of the most profitable and controversial

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file:///C:/Documents%20and%...

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