Interest rate swaps
CFTC eases restrictions on yen swap clearing
No-action letter opens door for US investors to clear at JSCC, ending years-long push by industry
Some European banks still failing net interest income test
Swedbank joins seven other outliers after it updates methodology assumptions
Sharper economic picture sets scene for dollar swaps rebound
Razor-thin bid/offer spreads and slim post-April trading volumes give way to an uptick in August
Future proof: can FMX-LCH platform prevail?
A year into FMX Futures Exchange, Treasury futures volumes are low, and firms aren’t cross-margining
Barclays braces for a macro storm
Talking Heads 2025: Developed markets are racking up debt. Finding buyers could be difficult, says macro head Hossein Zaimi
EU firms want clarity on new active account operational test
Final Esma rules reduce burden, but require firms to prepare for higher onshore clearing volumes
FCM swaps margin climbs to record $173bn
Barclays, Bank of America and Royal Bank of Canada post all-time highs
Hedge funds scale back steepener positions as risks rise
Uncertainties around US Treasury issuance and timing of rate cuts see investors trim ‘consensus’ trade
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