(Un)Calculated Risk | by Peter Orr of Intuitive Analytics

Issuers BEWARE: Tax risk is NOT in LIBOR Swaps!

Posted by Peter Orr on Oct 13, 2010

The other day I was perusing the swap notes in the financial statements of a big city I won’t name. In it I found a statement in the section on swaps:

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The Flaw of Averages, Muni Style: SIFMA/LIBOR and Rates

Posted by Peter Orr on Jul 28, 2010

Here’s a quick quiz. If over the last 10 years 1M LIBOR reset weekly averaged 2.814%, and the average of SIFMA / 1M LIBOR was 82.0%, what was the SIFMA average over the same time period (all rates unadjusted for day counts, holidays etc.)?

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My beef with the NYTimes and Morgenson on Municipal Swaps, pt1

Posted by Peter Orr on May 08, 2010

One of the (few) benefits of leaving a perfectly functional Street job is that I'm now free to have a free dialogue with the free press using my now free(er) speech.  To that end, I decided to engage the NYT a few weeks back regarding Gretchen Morgenson'sThe Swaps That Swallowed Your Town article.  This is the first of 3 posts recounting the transcript as surprisingly, they did engage.   

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Are munis over-hedged with swaps? Pt3

Posted by Peter Orr on Oct 25, 2009

"It is better to understand a little, than to misunderstand a lot."

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Topics: SIFMA, libor, swaps, hedging, muni

Are munis over-hedged with swaps? pt2

Posted by Peter Orr on Aug 09, 2009

"Our lives improve only when we take chances - and the first and most difficult risk we can take is to be honest with ourselves."

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Are munis over-hedged with swaps? pt1

Posted by Peter Orr on Jun 25, 2009

"Opportunity is missed by most people because it is dressed in overalls and looks like work."

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