USD Swaps (semi swap vs Annual swap)

LGOMEZ · July 18th, 2011, 9:34 pm

Which is a more liquid refference to build a curve ???The USD Swap with the fixed leg being paid semi annual (float is 3M LIBOR) (curve 23 in bloomberg) or the USD swap with the fixed leg being paid Annual (float is 3M LIBOR) (curve 47 in bloomberg). I have always believe that the benhcmark is the curve 23 (the semi annual) but I recently heard that a lot of people uses the annual curve (the 47 curve)......Thanks for any comments on this...

bearish · July 19th, 2011, 1:24 am

Weird. Annual fixed legs are common in EUR, but I have not heard much (if any) reference to them in USD. I'd go with S23, with all the caveats that come from the inter-dealer market being based around OIS discounting, which BBG is in the process of rolling out.

Martinghoul · July 19th, 2011, 5:45 am

I am with bearish... Semi vs 3s is the mkt convention.

TinMan · July 19th, 2011, 8:43 am

Isn't there annual vs 3 and semi annual vs 3 bond basis?I remember reading that annual is often traded before lunch to be in line with Eurobonds and then the semi which is standard in US takes over,but that may or not be true.ICAP quote both IIRC.