Skip to main content

Main menu

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

User menu

  • Sample our Content
  • Subscribe Now
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Trading
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Subscribe Now
  • Log in
The Journal of Trading

The Journal of Trading

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter
Article

A Primer on Trading SIFMA Swaps

Pavan Wadhwa, Peter DeGroot, Srini Ramaswamy, Alberto Iglesias and Joshua D. Younger
The Journal of Trading Fall 2013, 8 (4) 26-36; DOI: https://doi.org/10.3905/jot.2013.8.4.026
Pavan Wadhwa
was managing director at J.P. Morgan Securities LLC in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: pavan_wadhwa@yahoo.com
Peter DeGroot
is a managing director at J.P. Morgan Securities LLC in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: peter.degroot@jpmorgan.com
Srini Ramaswamy
is a managing director at J.P. Morgan Chase Bank NA in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: srini.ramaswamy@jpmorgan.com
Alberto Iglesias
is a vice president at J.P. Morgan Securities LLC in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: alberto.d.iglesias@jpmorgan.com
Joshua D. Younger
is a vice president at J.P. Morgan Securities LLC in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: joshua.d.younger@jpmorgan.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.
Don’t have access? Sign up today to begin your trial to the PMR platform 

Abstract

SIFMA/LIBOR ratios tend to underperform in the wake of tax reform proposals and during rallies (especially risk-off trades). Because of the relative “stickiness” of municipal yields, receive-fixed SIFMA swaps offer better risk-adjusted carry than comparable LIBOR swaps.

In recent years, the municipal cash market has become more credit focused; trading ratios versus high-grade corporate credit indexes (e.g., CDX.IG) presents relative value opportunities with good risk–reward characteristics. SFIMA swaps are better suited to hedging municipal cash bonds because of their lower tracking error compared to taxable market products such as LIBOR swaps. Additionally, trading municipal cash bonds against SIFMA swaps offers a good risk–reward dynamic when bonds are trading substantially away from swaps.

  • © 2013 Pageant Media Ltd
View Full Text

Don’t have access? Register today to begin unrestricted access to our database of research.

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Trading: 8 (4)
The Journal of Trading
Vol. 8, Issue 4
Fall 2013
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Trading.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
A Primer on Trading SIFMA Swaps
(Your Name) has sent you a message from The Journal of Trading
(Your Name) thought you would like to see the The Journal of Trading web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
A Primer on Trading SIFMA Swaps
Pavan Wadhwa, Peter DeGroot, Srini Ramaswamy, Alberto Iglesias, Joshua D. Younger
The Journal of Trading Sep 2013, 8 (4) 26-36; DOI: 10.3905/jot.2013.8.4.026

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
A Primer on Trading SIFMA Swaps
Pavan Wadhwa, Peter DeGroot, Srini Ramaswamy, Alberto Iglesias, Joshua D. Younger
The Journal of Trading Sep 2013, 8 (4) 26-36; DOI: 10.3905/jot.2013.8.4.026
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • BASICS OF SIFMA/LIBOR RATIO SWAPS
    • TRADING STRATEGIES USING SIFMA/LIBOR RATIO SWAPS AND FIXED-FOR-FLOATING SIFMA SWAPS
    • CONCLUSION
    • APPENDIX A
    • APPENDIX B
    • ENDNOTES
    • REFERENCE
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • COMMENTARY: Space Unicorns and the Intermarket Trading System: Revisiting Myths
  • COMMENTARY: Commentary on “If Best Execution Is a Process, What Does That Process Look Like?”1
  • COMMENTARY: Beyond the Black Box Revisited: Algorithmic Trading and TCA Analysis Using Excel
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1559-3967 | E-ISSN: 2168-8427

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies