Swapnote futures

This is a discussion on Swapnote futures within the Money Markets forums, part of the Trading Choices category; Originally Posted by Martinghoul Ooooh-la-la, lucid, you're long some OLOs, you poor dear... Must have been a somewhat painful day ...

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Old Feb 12, 2009, 5:11am   #17
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Originally Posted by Martinghoul View Post
Ooooh-la-la, lucid, you're long some OLOs, you poor dear... Must have been a somewhat painful day for you today, what with Belgium (and Greece and other periphery) widening to Bunds massively.

Just out of curiosity, how did you end up with this eclectic portfolio? What MrGecko was alluding to is that, unbeknownst to you, you're running all these risks that you seem to be unaware of. Moreover, if you start hedging your bonds with swapnote futures, you're gonna be adding swapspread risk to the mix. I would STRONGLY advise you to stay away until you actually understand the nature of all these risks.
What Liffe says it that the swapnote is better than normal bond futures because it uses the swap rate curbe which is better than the bond yield curve.

I probably should have mentioned that what i am doing is just on paper for the moment. I don't actually own those bonds. I want to simulate this hedge to see how it handles and compare it to other methods.

Lucian

p.s: it talked with a guy from ISDAFIX and i got the quotes for the 10y swap as of yesterday.
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Old Feb 12, 2009, 6:55am   #18
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Originally Posted by lucidinbr View Post
What Liffe says it that the swapnote is better than normal bond futures because it uses the swap rate curbe which is better than the bond yield curve.

I probably should have mentioned that what i am doing is just on paper for the moment. I don't actually own those bonds. I want to simulate this hedge to see how it handles and compare it to other methods.

Lucian

p.s: it talked with a guy from ISDAFIX and i got the quotes for the 10y swap as of yesterday.
Do NOT listen to what LIFFE tells you, or rather take it with a large chunk of salt. How exactly can they, with a straight face, claim that one curve is 'better' than another?

As I said, the most important thing is that you need to understand what risks you're running. By hedging bonds with swaps you're adding a risk factor, not removing.

As mentioned earlier, you don't need ISDAFIX to price the swapnote. It's designed like a bond future, i.e. based on a price for a hypothetical forward-starting 2y swap.
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Old Jan 6, 2010, 10:26am   #19
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Do anyone know if there an equivalent instrument for USD ?
I'm using Euro SwapNote to hedge Swaps in EUR for 2 year and I love the fact of not having to manage the BOBL implied credit risk or TED spread.
Now i'm starting an USD Swaps book, but i would like to maintain the strategy. Anyone have an idea?
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Old Jan 6, 2010, 12:13pm   #20
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Do anyone know if there an equivalent instrument for USD ?
I'm using Euro SwapNote to hedge Swaps in EUR for 2 year and I love the fact of not having to manage the BOBL implied credit risk or TED spread.
Now i'm starting an USD Swaps book, but i would like to maintain the strategy. Anyone have an idea?
http://www.cmegroup.com/trading/inte...rate-swap.html
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Old Jan 7, 2010, 4:56am   #21
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Thanks Martin
I was searching in bloomberg.... even after I follow your link and saw the bloomberg tickers, but still no luck in bloomberg.
Did you trade this before ? is like EUR SwapNote or is even worst?
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Old Jan 7, 2010, 6:00am   #22
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Thanks Martin
I was searching in bloomberg.... even after I follow your link and saw the bloomberg tickers, but still no luck in bloomberg.
Did you trade this before ? is like EUR SwapNote or is even worst?
You kiddin'? I wouldn't touch this crap with a 10ft pole, whether EUR or USD...

If you can't find the CME version, you can also do the LIFFE $ swapnote. See here:
http://www.euronext.com/trader/contr...de=USW-LON-FUT

This one is def in BBG, ticker UZA Comdty.
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