Interest rate swaps
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ISDA年次総会：期限まで2ヶ月を切り、企業は閾値の計算と適用除外の範囲について明確化を要求
Trump tariffs turn swap spreads into ‘pain trade’
Hedge funds bet big on Treasuries to outperform swaps. The opposite happened.
Estimating mean reversions in interest rate models
The speed of factors’ mean reversion in rate models is estimated
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
ALM desks await rebound after euro swap spread hit
Bank treasury desks still feeling pain on bond and asset swap positions that saw big losses last year
German defence announcement hits steepener trades
Rapid euro curve flattening following Merz’s comments last week caught out a number of hedge funds, say dealers
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
EU racing to comply with active account rules
Industry wants simpler route to exemptions ahead of ‘challenging’ deadline for new clearing regime