This paper proposes Entity-Netted Notionals (ENNs) as a metric of interest rate risk transfer in the interest rate swap (IRS) market. Unlike the ubiquitous metric of notional amount, ENNs normalize for risk and account for the netting of longs and shorts within counter party relationships. Using...

Markets with time priority rules incentivize e orts to increase trading speeds. In particular, revenues resulting from liquidity provision due to discrete pricing can often accrue to the fastest traders, those who can hold favorable queue positions. We examine the impact of precedence rules for...