Interest rate swaps
Yen rates losses from tariff volatility top $1 billion
Pay fixed, curve flattener and vol steepener positions were hit hard as yields swung wildly
Podcast: adventures in autoencoding
Trio of senior quants explain how autoencoders can reduce dimensionality in yield curves
AmEx derivatives book grows on interest rate swap surge
Receive-fixed swaps dominate hedging portfolio as clearing rate spikes
ALM desks await rebound after euro swap spread hit
Bank treasury desks still feeling pain on bond and asset swap positions that saw big losses last year
German defence announcement hits steepener trades
Rapid euro curve flattening following Merz’s comments last week caught out a number of hedge funds, say dealers
Hedge funds flock to US swap spreads on SLR easing talk
‘Trade of the year’ sees investors position for shrinking negative basis as Treasuries predicted to outperform swaps
EU racing to comply with active account rules
Industry wants simpler route to exemptions ahead of ‘challenging’ deadline for new clearing regime
BlackRock bucks trend in shrinking IRS market for Ucits
Counterparty Radar: Pimco boosts pay-fixed book by $27.5 billion in H1 2024
Clients’ share of IRS clearing margin hit record high
Data from CME, Eurex and LCH shows clearing members’ house IM fell in January, pushing client proportion to 67.7%
Hong Kong dealers make Honia transition push
Standard Chartered ramps up swaps quoting for Hibor alternative; calls for industry transition group
Legal battle over Italian swaps drags on, frustrating dealers
Despite banks claiming victory in London over disputed interest rate swaps, parallel Italian proceedings could delay payouts
First Citizens doubled pay-fixed interest rate swap book in Q4
Rejig of hedging instruments hints at higher-for-longer rate assumption
US block size changes reveal trillions in swaps trading
Fears of information leakage force some large buy-side users to adjust execution strategy
‘Street Fighter’ Sef RTX grows in interdealer swaps market
Focus on functionality and fees helped volumes on start-up venue from Cawley and Jonns jump fivefold last year
Euro swap spread volatility challenges Bund’s hedging role
German Bunds face scrutiny as euro swap spreads turn negative, forcing traders to rethink hedging strategies
Diversification of LDI liquidity buffers sparks debate
Funds using credit assets to top up collateral waterfall, but some risk managers are sceptical
Ice’s AFX swoop shines spotlight on Ameribor prospects
CEO John Shay steps down after exchange group buys firm for mortgage and index synergies
Complex EU active account reporting could drive trades out of UK
Draft Emir rules might not force large volumes to move to EU, but will make compliance difficult
Profit and pain as macro turmoil engulfs Brazil
FX options trades pay off, while sharp jump in rates caught traders by surprise
US senators press CFTC on Japan swap clearing
Boozman and Hagerty urge action on yen swap clearing access to JSCC in letter to US regulator
Cross-currency futures could ease bilateral burden – CME
Quarterly €STR-vs-SOFR contract could be used by Stir desks to manage currency basis risk