Interest rate futures
US Treasury market holds its breath after high drama
Intermediation broke down after off-the-run bonds were dumped on banks
Swaps liquidity slumps as Treasury stress spreads
Big buy-side participants report “worst day” for market depth in 10 years, as spreads widen and prices gap
Bonds and swaps struggled in virus volatility
Low liquidity and wider spreads amplified by remote working, traders claim
Rate options and futures volumes plummet $10trn in Q3
Open interest in short-term options collapses 10% quarter on quarter
Short-term interest rate ETD notionals leap $14trn in Q2
Open interest in exchange-traded options with maturities of a year or less rise 19%
Euribor futures spread spike strangles prop traders
Safe-haven butterfly trades savaged by shock divergence in mid-term contracts
CurveGlobal and the curious case of the lost open interest
One-third short sterling plunge in open interest on CurveGlobal may signal more capital-sensitive times
Ice, CME set to launch new VAR models in early 2020
Bourses plan to switch margining of energy futures at different times, prompting speculation of “arbitrage opportunities”
Lingering Euribor may hit €STR futures prospects
Bourses question viability of euro RFR contracts as Euribor reform efforts remove transition incentives
UBS unleashes Orca for rates clients
Machine learning algo trawls liquidity pools to slash US Treasury trading costs
Swaps data: a new era of competition in interest rate futures
The demise of Libor has set off a battle for market share in futures referencing new risk-free rates
Short-term bets push interest rate option volumes higher
Open interest in short-dated contracts surges 23% from December to March
Eurex’s new Swiss rate futures in naming pickle
German exchange used ‘wrong month’ to name Saron futures
Interest rate ETD volumes tick up in Q3
Longer-dated contracts push total open interest higher
Jump: inside the secretive e-trading giant
Execs at the Chicago prop firm wish the whole world was a Clob, but as bilateral volumes rise, they’ve decided to go with the flow
IBA launches term risk-free rates
Forward-looking one-, three- and six-month Sonia rates to be based on Ice futures data
Interest rate ETD open interest drops in Q2
Open interest in options and futures contracts combined dropped 12%
Interest rate ETD open interest soars
Outstanding positions at end-March hit $105 trillion
Power to the people: US bourse bets on retail rush into swaps
Eris Exchange hopes retail access to its swap futures will usher in new era of swaps for all
LCH and CME to start clearing SOFR swaps in third quarter
Scramble to offer clearing aimed at cutting clients’ margin and capital costs
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
Goldman’s veteran rates head moves to risk role
Three co-heads named after Pantazopoulos ends nine-year run at the head of rates group
Exchange innovation of the year: CME Group
Risk Awards 2017: Patience pays off with spectacular success of Ultra 10 Treasury futures
LSE forced to rework Curve deal over merger risks
Banks demand LSE use its own cash while awaiting verdict on Deutsche Börse tie-up