Interest rate swaps
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
Tariff rout lifts required IM by $51bn
Collateral posted for swaps, futures and CDSs jumped in April, data from top CCPs shows
Bunds’ hedging role for euro swaps still in question
Dealers seek ultimate hedge for euro swaps amid EGB rush following Trump tariffs
CFTC set to vote on JSCC client clearing access
US investor demand for JSCC clearing ramps up amid rising yen interest rate volatility
LCH adds China sovereign bonds to collateral pool
Acceptance of euro and dollar debt could be widened to offshore renminbi bonds by year-end
Frustration grows over ‘messy’ active account rules
Isda AGM: Less than two months until deadline, firms seek clarity on threshold calculation and scope of exemptions
APG upbeat on sustainability derivatives despite setbacks
Isda AGM: Dutch pension fund manager’s chief executive believes instruments have room to grow
Yen rates losses from tariff volatility top $1 billion
Pay fixed, curve flattener and vol steepener positions were hit hard as yields swung wildly
Inside the week that shook the US Treasury market
Rates traders on the “scary” moves that almost broke the world’s safest and most liquid investment
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
BlackRock bucks trend in shrinking IRS market for Ucits
Counterparty Radar: Pimco boosts pay-fixed book by $27.5 billion in H1 2024
Clients’ share of IRS clearing margin hit record high
Data from CME, Eurex and LCH shows clearing members’ house IM fell in January, pushing client proportion to 67.7%
Hong Kong dealers make Honia transition push
Standard Chartered ramps up swaps quoting for Hibor alternative; calls for industry transition group
Legal battle over Italian swaps drags on, frustrating dealers
Despite banks claiming victory in London over disputed interest rate swaps, parallel Italian proceedings could delay payouts
First Citizens doubled pay-fixed interest rate swap book in Q4
Rejig of hedging instruments hints at higher-for-longer rate assumption
US block size changes reveal trillions in swaps trading
Fears of information leakage force some large buy-side users to adjust execution strategy
‘Street Fighter’ Sef RTX grows in interdealer swaps market
Focus on functionality and fees helped volumes on start-up venue from Cawley and Jonns jump fivefold last year