Interest rates
Market-making in spot precious metals
A market-making framework is extended to account for metal markets’ liquidity constraints
AFS Treasury holdings surge $67bn at US banks in Q3
JP Morgan leads growth, while Citi and Wells Fargo cut back
Canada benchmark shaken by T+1 hedge fund influx
Shortened settlement cycle swept hedge fund trades into Corra, making the rate more volatile
Clearing bottlenecks blamed for muted volumes at FMX
Regulatory hurdles and market conditions have also hampered CME rival since its September launch
CGB steepener trade gains traction amid PBoC actions
Stimulus measures and warnings on long-dated yields have seen basis more than double since March
Delinquency rates bounce back at top US lenders
Weaker 2022 loans, tougher collections and seasonal factors push past-due loans higher in Q3
CME’s FX Link sees bumper volumes as dealer use cases grow
Offsetting rates impact and FX swaps price discovery cited as new reasons to use venue
Rates movements boost FX net investment hedging
Changing differentials bring more positive carry opportunities for corporates
US repo-clearing premium soared to post-pandemic high in Q3
Spread to non-cleared tri-party rates widened earlier and further than in previous quarters
JPM, PNC bolster available-for-sale portfolios in Q3
Four major US banks add $119bn to AFS holdings
US jobs shock leads to steepener unwinds
Rates investors caught out after October jobs surprise
Forward thinking: banks adapt P&L markout tools for FX forwards
Dealers modify market impact measurement to get better handle on profitability – and client value
MTS hopes BondVision revamp will double rates market share
Proni says dealer oversight on fees and data, and new order tech key to D2C push; swaps a possibility
Rate risk modellers relieved as EU deposits stay sticky
Banks feared retail deposits would be flightier than during previous periods of rate hikes
Markdowns on Japan Post Bank’s domestic bonds widen 50%
Unrealised losses on JGBs-dominated book compounded by out-of-the-money foreign-bond hedges
Rates traders brace for jobs data after August steepener payday
Investors hope for weaker-than-expected non-farm payrolls to trigger re-steepening
Seeking muted rate sensitivity, NYCB scraps all IR hedges
IRRBB simulations show sizeable income drain from lower rates, despite bank claiming rate neutrality
The market liquidity of interest rate swaps
The authors investigate dynamics and drivers of market liquidity in Euribor interest rate swaps, constructing seven liquidity swaps using data from centrally cleared trades.
Anticipating rate hike, MUFG offloaded ¥4trn of Japan government bonds
Lender reduces holdings to lowest in over a decade
IDB to expand contingent swap scheme in Latin America
New mechanism gives regional development banks cheaper FX rates with hedges linked to credit events
Hedge funds pile into euro systematic vol selling
Range-bound rates markets in Europe entice hedge funds to sell short-dated straddle positions