Under pressure

Interest rate swaps

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Life has been pretty tricky for traders in the US interest rate swaps market in recent weeks. Large mortgage-related hedging flows, dealer hedging of constant maturity swap (CMS) spread-linked structures, systemic risk fears, and the apparent repercussions of a dramatic fall in pricing among certain structured credit indexes have, at times, put the market under some stress.

Swaps spreads have moved erratically on several occasions since late last year. On December 7, the 10-year dollar swap

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