Interest rate derivatives
LCH plans Q4 launch for FCM-style clearing
UK clearing house will be first to offer Europe’s new agent model as Eurex faces tax hold-up
Yen rates losses from tariff volatility top $1 billion
Pay fixed, curve flattener and vol steepener positions were hit hard as yields swung wildly
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
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
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
Eurex squashes butterflies with Stir incentives
Rebate caps on low-risk strategies flatten mid-curve bulge in €STR contracts
Hong Kong dealers make Honia transition push
Standard Chartered ramps up swaps quoting for Hibor alternative; calls for industry transition group
US block size changes reveal trillions in swaps trading
Fears of information leakage force some large buy-side users to adjust execution strategy