Yield curve
Hedge funds sit out Treasury market volatility
Flattening of yield curve prompts traders to scale back steepeners
Hedge funds retreat to sidelines in euro steepeners
Rate hike repricing and stop-losses have gutted positioning in once-dominant 10s30s bet
Inflation shock upends Aussie dollar rates flatteners
Hedge funds’ front-end curve trades stopped out as Iran conflict drove RBA terminal rate pricing higher
US banks trim long-dated bonds to 10-year low
Medium-term securities reach record as 5+ year share hits decade low
Hedge funds trim US swap spreads on tariff decision
Investors cut back asset swap positions as Supreme Court ruling reignites deficit concerns
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
Steepener exits leave traders in search of direction
Uncertainty clouds US rates market as hedge funds pare back steepener positions
The ‘get-out-of-debt’ card that may worry bond investors
A new paper analyses the controversial tool that governments may be forced to deploy to control borrowing costs
Navigating volatile markets: a rule book for fixed income investors
A framework that measures indicators to assess investment in US Treasuries, US credit, European debt and emerging markets debt
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
US MMF investments near $7trn amid short-term yield chasing
Surging inflows led some managers to turn to Fed’s RRP facility for risk-free cash allocation
KeyCorp refreshes AFS portfolio with $7bn CMBS sale
Strategic shift taps peak valuations and Scotiabank investment to reduce AOCI pressure
US jobs shock leads to steepener unwinds
Rates investors caught out after October jobs surprise