Interest rates
A three-pillar framework for foreign exchange trading based on interest rates, growth and financialization
The author proposes a framework for trading EUR/USD, USD/JPY, and EUR/JPY using only fundamental factors.
Japan’s Great Repatriation? Don’t count on quick returns
Switch from Treasuries to JGBs by GPIF likely to be gradual, which may spell more bad news for hedge funds
Kalshi seeks CFTC approval for 10-year US Treasury perp
Extended review period for first-of-its-kind contract will run until November 29
Hedge funds sit out Treasury market volatility
Flattening of yield curve prompts traders to scale back steepeners
Repricing inflation risk in choppy energy markets
Barclays’ Samy Ben Aoun outlines a method for modelling the sensitivity of inflation swaps to energy shocks
Hedge funds return to JGB flatteners after brutal stop-outs
Funds bet repatriation of assets by Japan’s pension funds will driver further long-end yield compression
BNP Paribas outlines path for FICC algos, SDP and AI projects
After taking on new Cortex and AI roles, BNPP’s Razaq sets out the bank’s expansion plans and new tech projects
Sterling interest rate options climb to highest on record
Greater options use hints at uncertainty over BoE rate trajectory
Japan Post’s unrealised losses surge to new record in Q2
Markdowns on HTM book account for nearly a sixth of face value
Swaps traders spot their e-FX chance – finally
Swaps and forwards dealers are increasingly using spot e-FX techniques for pricing and risk management
Mizuho bucks trend with ¥5.7trn JGB build-up
Valuation losses ease as those at SMFG and SMTG climb
Private credit risk doesn’t have to be systemic to be serious
Risk management leader outlines three cracks in the consensus that risk in the private credit sector is contained
Basis trade loses its bite as banks move in
Returns on popular hedge fund strategy dwindle to as little as three basis points, while dealers make use of softened capital rules to replicate the trade
AOCI losses widen at US regional banks
Rising Treasury yields put renewed pressure on AFS valuations
Stock market performance and gross domestic product innovations
This papers investigates the relationship between stock market prices and GDP growths, finding that the latter tends to lead the former.
JP Morgan’s negative AOCI widens in Q2
Three US G-Sibs report larger unrealised losses, but Citi bucks the trend
Ice rates contracts leapfrog CME SOFR in June
Ice rates open interest hits $62.3trn as euro and sterling hedging demand climbs
How electronic quoting could jolt gilts back to life
While UK government bond market stagnates, Italy boosts on-venue trading with dealer incentives. Should London take a leaf from Rome’s bookrunners?
Fifth Third, Flagstar EVE bets diverge in Q1
Comerica deal flips Fifth Third rate-risk profile
How vol eruption blew up Goldman’s rates book
Dealers were short payer skew from corporate and hedge fund flows. Then came the Iran war.
Liquidity on Kalshi, Polymarket ‘too thin’ for institutional use
Patchy trade flows cause outsize market impact for financial events, research from Risk.net shows