Yield curve
JP Morgan reverses HTM securities roll-off with $44bn transfer from AFS
Reclassification marks first HTM expansion since 2022 and may prompt peers to follow
Gaussian GenAI: synthetic market data generation
A method to generate financial time series with mixture models is presented
Yen rates losses from tariff volatility top $1 billion
Pay fixed, curve flattener and vol steepener positions were hit hard as yields swung wildly
The case for believing in a Bessent put
Money market funds could prove critical in efforts to control 10-year yields
Podcast: adventures in autoencoding
Trio of senior quants explain how autoencoders can reduce dimensionality in yield curves
Auto-encoding term-structure models
An arbitrage-free low-dimensionality interest rate model is presented
Haidar Capital founder sees global yield curves steepening
‘Gigantic’ funding needs set to pressure long-dated European and US bonds
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
First Citizens doubled pay-fixed interest rate swap book in Q4
Rejig of hedging instruments hints at higher-for-longer rate assumption
Interest rate derivatives house of the year: JP Morgan
Risk Awards 2025: Steepener hedges and Spire novations helped clients navigate shifting rates regime