John Swarr

Derivative Security Specialist
    Connect with John:
John Swarr

Mr. Swarr serves as a Derivative Security Specialist and works on the hedging programs for Penn Mutual Life’s Indexed Universal Life and Variable Annuity products. His primary responsibilities include equity and interest rate derivative trading, portfolio analysis and research, and advising clients with their equity hedging programs. Mr. Swarr joined The Penn Mutual Life Insurance Company in 2012 as an Actuarial Analyst where he previously worked on Asset/Liability Management and Hedging programs.

Mr. Swarr holds a Bachelor of Arts degree in Economics, Applied Mathematics and Statistics from The Johns Hopkins University, graduating in 2010. Mr. Swarr has been a Chartered Financial Analyst (CFA) Charterholder since 2017. He also has been an Associate of the Society of Actuaries (ASA) since 2017.

Stories by John Swarr

What has changed in equity markets?

By John Swarr | May 3, 2018

The U.S. equity market had strong performance and low volatility in 2017, which continued through January this year. This trend ended the first Friday in February when Average Hourly Earnings… Read More

It’s the End of the LIBOR as We Know It

By John Swarr | March 1, 2018

The London Interbank Offered Rate (LIBOR) has been the most widely traded and referenced short-term interest rate index for the U.S. Dollar (USD) in financial markets in recent history. Each… Read More

Can the Short-Volatility Trade Continue to Carry in 2018?

By John Swarr | December 21, 2017

Before bitcoin grabbed all of the headlines this November, a widely talked about trade in 2017 had been the short-volatility trade. One popular trade investors have used to monetize the low volatility environment, XIV, has gained almost 200% this year. Although these returns don’t stack up with bitcoin’s run in 2017, the fundamentals driving short-volatility strategies are much clearer. But before discussing why the past year has been supportive of short-volatility strategies, I want to discuss two types of strategies first.

A Quick Guide to the Fed Chair Nominees

By John Swarr | October 26, 2017

This week’s Monday Morning O’Malley highlighted the upcoming selection of the next Federal Reserve (Fed) chair. The top candidates for the nomination include Jerome Powell, John Taylor, Janet Yellen, Kevin Warsh, and Gary Cohn. The Chart of the Week shows recent betting odds on who will receive the nomination. While the odds are fun to talk about, this week’s write-up covers the candidates’ viewpoints and policy stances so the risks behind the candidates can be anticipated. Investors should be prepared for any outcome by understanding how each candidate would lead the Fed on key issues including monetary policy, the balance sheet, transparency, and regulation.

Washington DC, North Korea Have Skew at Multi-Year Highs

By John Swarr | August 31, 2017

Despite the S&P500 (SPX) being less than 2% off the all-time high it achieved a mere three weeks ago, market signals are suggesting that investors are beginning to turn bearish on equities. Turbulence within the Trump administration, the potential for a government shutdown, and tension with North Korea all have investors nervous as volatility starts to pick up after a historically low period the past several months. As a sign market participants are wary of a pullback in equities, traditional safe-haven assets such as gold and the Japanese Yen have been rallying since mid-July.

30-Year Swap Spreads Get a Boost Wider from Capital Relief

By John Swarr | July 6, 2017

Second quarter U.S. dollar (USD) interest rate markets were very unexciting when looking at absolute movements in both swap rates and Treasury yields. However, an interesting development arose concerning the relative movement between the 30-year points of these two curves that will likely have the attention of market participants through the end of the year. The 30-year swap spread – defined as the difference between the 30-year swap rate and 30-year Treasury yield – has widened (or become less negative) significantly since June 13th, when the Treasury released its recommendations for financial industry reform, including a proposal to remove U.S. Treasuries (USTs) from the denominator of the supplementary leverage ratio (SLR) calculation. This proposal would effectively make USTs “cheaper” for banks to hold from a capital requirement perspective.

Is the Trump Trade in Equities Over?

By John Swarr | May 11, 2017

Donald Trump’s election to the U.S. presidency late last year started what has been termed the “Trump reflation trade,” or the “Trump Trade” for short, in the financial markets. The Trump Trade is focused on the idea that the incoming president would spur economic growth and inflation with his stances on fiscal, regulatory and trade policies, which would lead to higher equity prices, higher interest rates/lower bond prices and a stronger U.S. dollar. The market’s initial reaction to the Trump Trade was strong – yields on the 10-year Treasury increased 80 basis points (bps) to north of 2.6%, the U.S. Dollar Index (DXY) rose 6.5% to 103, and the S&P 500 Index rallied 15% to 2400 at the highs. Since hitting their post-election highs, however, only equities have kept momentum from the rally as the markets question the president’s ability to push his agenda through a divided Congress.

Signals to Watch Through the Current Fed Rate Hike Cycle

By John Swarr | March 15, 2017

The Federal Open Market Committee (FOMC) is set to release its policy rate decision today at 2:00PM EST. The broad market consensus is the Federal Reserve (Fed) will raise the federal funds rate by 25 basis points (bps) this afternoon. However, market participants will also be anticipating the release of the “dot plot,” which FOMC members use to signal their outlook for the number and timing of future policy rate increases. The dot plot was last released at the December 2016 meeting, and the median dots showed three 25 bps rate hikes for 2017. Although the dots can help investors understand what FOMC members are thinking, the dot plot can differ from the market’s forecast of future short rates in the Eurodollar futures market.

Animal Spirits: Solid Tailwind or Just an Apparition?

By John Swarr | January 19, 2017

Risk assets have recently lifted higher thanks to the rejuvenation of “animal spirits” and the rising sentiment among spenders in the U.S. Gauges such as the Conference Board’s Consumer Confidence Index and the National Federation of Independent Business’ (NFIB) Index of Small Business Optimism are the most optimistic they’ve been in a decade, while equities hover near all-time highs. Believers in the animal spirits are calling for an increase in consumption-driven growth to provide additional tailwinds to risk assets this year. However, the market may be quick in overlooking a popular headline from yesteryear: the rise of the “smart” consumer.

What the Brexit Vote Means to U.S. Investors

By John Swarr | June 23, 2016

The European Union (EU) referendum vote tonight has created a series of unknowns for investors. The first unknown is whether or not the U.K. remains in the EU. Should the U.K. vote to leave the EU, investors will face a second set of unknowns.