Interest rates
UBS sterling rates head joins RBC Capital Markets
Ian Hale joins the Canadian bank as head of European inflation trading
Political turmoil rattles Turkish lira carry trade
Echoes of March crackdown that sparked market rout leave traders on alert
Rates investors unmoved by stories of AI bliss, or doom
Research shows downward moves in US Treasury yields around generative AI model releases
Some European banks still failing net interest income test
Swedbank joins seven other outliers after it updates methodology assumptions
No progress on US banks’ EVE transparency in H1
Less than half of banks analysed disclose figures for key measure of long-term interest rate sensitivity
Sharper economic picture sets scene for dollar swaps rebound
Razor-thin bid/offer spreads and slim post-April trading volumes give way to an uptick in August
Brevan Howard: life beyond macro
Talking Heads 2025: Wider range of strategies helped firm rebound from 2018 low – but brought re-correlation risks
Barclays braces for a macro storm
Talking Heads 2025: Developed markets are racking up debt. Finding buyers could be difficult, says macro head Hossein Zaimi
BNPP, Deutsche among EU banks hit by VAR breaches in April
Sharpest rise in backtesting exceptions since 2022 Ukraine war shock largely linked to tariff chaos
JPM piles into Treasuries with record $72bn AFS surge
Portfolio reshaped with shift to medium-term maturities as Q2 glut boosts holdings to all-time high
As Fed meets, hedge funds buy ‘lottery’ FX options trades
Options bets reflect cautious pessimism over the dollar ahead of Jackson Hole conference
MUFG slashes JGB book by 27%
Second-quarter cuts lead to smallest AFS government bond portfolio since at least 2013
Fed’s new leverage ratio: the horse that never left the gate
Most of the biggest dealers aren’t leverage constrained now, and experts are sceptical that banks will use the extra capacity for Treasuries
Truist locks in $12bn long-term debt as rates hold high
Bank raises LTD and time deposits while slashing short-term borrowings
Barclays euro swap trading head departs
Ankur Aneja’s exit said to be unrelated to recent reports of job cuts
Investors hope US rate cuts will lower FX hedging costs
European investors in US assets set to boost hedge ratios as implied yields rise
Platforms expand portfolio trading to EGBs
Bloomberg and MTS to follow Tradeweb with extension of popular credit protocol
FMX set to extend trading hours for rates futures
New schedule matches CME’s hours, but some worry about clearing mismatch
High leverage in US REITs raises red flags, says FSB
Non-bank CRE investors at risk from falling prices and refinancing crunch
Simulation of Heston made simple
A new way to apply the classic stochastic volatility model is presented
Convexity adjustments à la Malliavin
This paper puts forward a novel means to approximate convexity adjustments in a general interest rate model using Malliavin calculcus.
Fixed income finesse: striking a balance amid shifting rates
An increasingly unpredictable economic environment leads investors to look for a wider range of products to satisfy evolving strategies
Barclays hires former Crédit Agricole swaptions head
Samy Ben Aoun joins bank as head of rates trading for Barclays Europe
Frustration grows over ‘messy’ active account rules
Isda AGM: Less than two months until deadline, firms seek clarity on threshold calculation and scope of exemptions