Interest rates
Investors hope US rate cuts will lower FX hedging costs
European investors in US assets set to boost hedge ratios as implied yields rise
Platforms expand portfolio trading to EGBs
Bloomberg and MTS to follow Tradeweb with extension of popular credit protocol
FMX set to extend trading hours for rates futures
New schedule matches CME’s hours, but some worry about clearing mismatch
High leverage in US REITs raises red flags, says FSB
Non-bank CRE investors at risk from falling prices and refinancing crunch
Simulation of Heston made simple
A new way to apply the classic stochastic volatility model is presented
Convexity adjustments à la Malliavin
This paper puts forward a novel means to approximate convexity adjustments in a general interest rate model using Malliavin calculcus.
Fixed income finesse: striking a balance amid shifting rates
An increasingly unpredictable economic environment leads investors to look for a wider range of products to satisfy evolving strategies
Barclays hires former Crédit Agricole swaptions head
Samy Ben Aoun joins bank as head of rates trading for Barclays Europe
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
Standard Chartered taps Newman to head rates and FX trading
UBS veteran becomes latest fixed income trading exec to leave Swiss bank
After tariff rout, hedge funds revive euro rate steepeners
Dutch pension overhaul drives bets on euro rates curve steepening
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
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
The end of the world, or an artificial crisis?
Bimodal tariff threat leaves investors grappling with uncertainty
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
Hedge funds flock to hybrids to trade macro uncertainty
Firms repurpose structure made popular by Trump trades last year
Surging gross repo costs highlight US dealers’ divergence on netting
Lack of offsetting in GAAP presentation leads BNY and Northern Trust to report paying double- or triple-digit rates on fed funds, repos
JSCC, DTCC government bond units see default funds surge
Member contributions hit multi-year highs in Q4
Auto-encoding term-structure models
An arbitrage-free low-dimensionality interest rate model is presented
High CNH rates curb appetite for Hong Kong’s new repo scheme
Dealers remain hopeful initiative is a prelude to full onshore repo market access
US banks tiptoe back to least liquid assets for HQLAs
Goldman and Wells Fargo drive rebound on Level 2A holdings after two-year retreat
‘Trump slump’ hedges rise on rate cut fears
One dealer notes fivefold increase in number of clients hedging against possibility of faster rate cuts