LIBOR SCHMIBOR: What’s Next? SOFR Part II

In LIBOR SCHMIBOR: What’s Next? SOFR Part I we covered the following topics: Explanation of LIBOR Potential replacements Repurchase agreements (repos) and Tri-party Repo International benchmarks Looking ahead This article looks to: Define SOFR Discuss applications and new products Update international benchmarks Secured Overnight Financing Rate (SOFR): Definition and Features As discussed in Part I […]

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LIBOR SCHMIBOR: What’s Next? SOFR Part I

The LIBOR manipulation scandal has led regulators to recommend new money market benchmarks. This article briefly reviews LIBOR and what the potential replacements will be. LIBOR LIBOR, or London Inter-Bank Offered Rate, is a money market benchmark/index, less than one-year, that has been used throughout the financial/capital markets since 1986. Some products or instruments that […]

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VIX, Volatilities and Exchange Traded Products

Volatility in the stock market was subdued through 2017 as can be seen in Figure 11. Many people began to sell volatility to capture this “non-movement.” In trading parlance, it is referred to as a short vol trade. But in February of 2018, the VIX had a massive move up in volatility. From the close […]

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Settlement Risk and Blockchain

Settlement risk has been part of the capital markets since its inception. Blockchain is the new kid on the block. Can Blockchain, sometimes referred to as Distributed Ledger Technology (DLT), help mitigate settlement risk or is it all a pipe dream? Speaking of pipes, the industry infrastructure (sometimes referred to as the “plumbing”) includes many […]

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Electronic Trading and Flash Crashes – Part II

Part I of this article discussed electronic trading, the differences between algorithmic trading (AT) and high frequency trading (HFT), types of systems/platforms, exchange traded versus OTC transactions, and other considerations such as colocation. In Part II, we will address different strategies and the three main flash crashes/events. Automated Strategies Strategies are generally broken down into […]

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Electronic Trading and Flash Crashes – Part 1

Quite often, the media has pointed its fingers at electronic trading as the cause of various flash crashes. When delivering training on Electronic Trading, I often find that people are confused by the various terms and intricacies of this market. I thought it might be a good idea to give an overview of electronic trading […]

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SoFi: The Rise of Online Marketplace Lenders

Millennials are the first generation to have grown up with access to the Internet and technology for their entire lives. They have done their homework on it, taken classes, and accessed all of their information through it. So, it is no stretch for millennials to search for and obtain their financial tools online. As this […]

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The Multiplier Effect

The Multiplier Effect and GDP Growth I came across this table (see below) in a recent Wall Street Journal Blog (WSJ’s Daily Shot: America: Too Many Retirees, Not Enough Workers). Although the article isn’t about fiscal policy per se, I thought the reference to the multiplier effect—or, more specifically, the depiction of the impact of […]

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The Long and Short of It: An Overview of XVA

Introduction to Counterparty Credit Risk The evolution of counterparty credit risk started with counterparty (credit) limits, settlement limits and exposure measurements such as potential future exposure. This progressed to the use of unilateral collateral, then the bilateral exchange of collateral. To assist in the pricing for the cost of dealing with a counterparty in a […]

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The Long and Short of It: An Overview of STACR and CAS

Introduction to STACR and CAS Fannie Mae and Freddie Mac now have issued numerous credit risk transfer notes in this ever evolving market. This article summarizes some of the highlights of the issues/securities called Structured Agency Credit Risk or STACR, which are issued by Freddie Mac, and Connecticut Avenue Securities or CAS, which are issued by Fannie Mae. Origin […]

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The Federal Reserve Tools: Past and Present

The Federal Reserve Tools: Past and Present Pundits all seem to agree that, later this year, the Federal Reserve will finally raise rates. Some seem to think that will occur in June while others believe it will be September. Regardless of when it happens, now would be a good time to review how the Federal […]

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The Perfect Storm: October 2008

What were the Reasons for the Subprime/Credit Crunch in 2008? There have been a plethora of reasons given by the media for what created the subprime/credit crunch crises. However, in speaking with people within the industry, as well as friends and family, it appears not everyone understands the various reasons culminating in the credit crunch […]

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