Financial Engineering Practitioners Seminar: Leon Tatevossian
Date: February 22, 2016 from 6:00 pm to 7:30 pm EST
Location: Davis Auditorium, CEPSR Building
Contact: For further information regarding this event, please contact IEOR Department by sending email to .
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Title: Treasury Yields or Swap Rates:  Who's Been Misbehaving?

Abstract: The differential between the fixed rate on an "at-the-market" interest-rate swap and the equal-maturity Treasury yield is known as the "swap spread."  Swap spreads are one of the most widely-monitored metrics in the fixed-income market.  In the years up to the 2008 crisis there was some measure of consensus on the variables that drove changes in swap spreads and on what backdrops made some factors more determinative than others.  Notably -- even in periods of market "stability" -- many of these factors did not reside in "pure" yield and financing space; dynamics from the mortgage and credit markets (in both cash and derivatives manifestations) could also have outsized effects on spreads.

Since the crisis the swaps market has confronted an unprecedented set of new realities in its defining economics, execution, regulation, and transparency.  Most dramatically swap spreads have moved into negative territory, a configuration that challenges some of the earlier-generation rules of the market.

This talk will attempt to shed some light on this new regime and on how it's being interpreted for fixed-income risk and reward.

Bio: Leon Tatevossian is a director in Group Risk Management at RBC Capital Markets, LLC, and an associate in IEOR's Financial Engineering Program.  At RBC he covers market risk for asset-backed security (ABS) and commercial mortgage-backed security (CMBS) trading.  Leon has twenty-seven years of experience in the fixed-income capital markets, including positions as a trader, quantitative strategist, derivatives modeler, and market-risk analyst.  His product background includes US Treasury securities, US agency securities, interest-rate derivatives, MBSs, and credit derivatives. Leon graduated from MIT (SB; mathematics) and was a graduate student in mathematics (algebraic number theory) at Brown University.

Presentation Slides