30y swap spread vs 10y
Swap SpreadMulti
Long-end vs belly swap-spread RV
Source: encyclopedia
ALM desk asset swap losses 2024
Swap SpreadMulti
Bank ALM desks hit by asset swap moves 2024
Source: Risk.net
Asset-swap arb bonds vs swaps
Swap SpreadMulti
Hold bonds + receive in IRS = asset-swap spread
Source: Risk.net
BTFP Bank Term Funding Program
LiquidityMulti
Fed BTFP 2023-2025 emergency facility
Source: encyclopedia
Basel III implementation
RegMulti
Basel III capital + liquidity rules
Source: encyclopedia
Basel IV / Endgame
RegMulti
Basel IV (US Endgame) further reform
Source: encyclopedia
Behavioral mortgage prepayment
IRRBBMulti
Prepayment behavioral models for IRRBB
Source: encyclopedia
Bilateral vs cleared swap
Customer SwapsMulti
Cleared swaps via DTCC LCH for systemic risk
Source: encyclopedia
Bond market making Treasuries
Bond TradingMM
Bank desks make markets in Treasuries
Source: encyclopedia
Brokered CD reliance
LiquidityMulti
Brokered CDs less stable runs faster
Source: encyclopedia
Bunds-cheapening vs swaps
Swap SpreadMulti
Long-dated Bunds cheap vs EUR swaps Q1 2026
Source: Risk.net
Cash + Fed reserves
LiquidityMulti
Hold Fed reserves earning IORB
Source: encyclopedia
Cash-settled forward swap
Treasury LockMulti
Cash-settled at issuance settlement date
Source: Chatham
Cheapest-to-deliver CTD swap
Bond TradingMulti
CTD bond changes - basis trade opportunity
Source: encyclopedia
Corporate bond market making
Bond TradingMM
Corporate bond MM challenging post-Volcker
Source: encyclopedia
Counterparty CSA collateral
Customer SwapsMulti
CSA agreements determine collateral terms
Source: encyclopedia
Covered Interest Parity arb
FX TradingMulti
CIP deviations - arb post-2008
Source: encyclopedia
Cross-currency basis swap
FX TradingMulti
Banks pay XCcy basis to hedge USD funding gap
Source: encyclopedia
Customer share 86% bank avg
Customer SwapsMulti
Average bank 86% customer share in swaps
Source: CFTC
Discount window stigma
LiquidityMulti
Banks avoid discount window for stigma reasons
Source: encyclopedia
Dodd-Frank Title VII
RegMulti
Dodd-Frank swap-clearing requirements
Source: encyclopedia
EMIR EU derivatives
RegMulti
EU EMIR derivatives clearing/reporting
Source: encyclopedia
EUR swap-spread trade
Swap SpreadMulti
Bund vs EUR swap spread - went negative 2024
Source: Risk.net
EVE economic value of equity
IRRBBMulti
Hedge EVE from rate shocks
Source: encyclopedia
FRTB Fundamental Review Trading Book
CapitalMulti
FRTB market-risk capital framework
Source: encyclopedia
FVA Funding Value Adjustment
Customer SwapsMulti
Banks add FVA to dealer quotations
Source: SciRP
FX e-trading platform 360T
FX TradingMM
Deutsche Boerse 360T multi-dealer FX
Source: encyclopedia
FX hot-potato model
FX TradingMM
Hot-potato model interbank FX
Source: encyclopedia
FX swaps EUR/USD basis
FX TradingMulti
XCcy basis trade EUR/USD basis
Source: encyclopedia
Fix-to-float loan swap
Customer SwapsMulti
Combine fix loan + IRS for float-rate to client
Source: encyclopedia
Float-to-fix loan swap
Customer SwapsMulti
Combine float loan + IRS for fixed-rate to client
Source: CFTC
Floor-included swap loans
Customer SwapsMulti
Don't put floor in swap if loan has zero floor
Source: Chatham
Forward-starting swap
Treasury LockMulti
Forward-starting pay-fixed swap as alternative to T-lock
Source: Chatham
GC vs special collateral
RepoMulti
General Coll vs Special - rich Specials trade tighter
Source: encyclopedia
GSIB surcharge
CapitalMulti
Global SIBs additional capital surcharge
Source: encyclopedia
HQLA pool optimization
LiquidityMulti
Optimize Treasury / cash mix for LCR
Source: encyclopedia
Hedge accounting cash flow Treasury lock
Treasury LockMulti
Cash flow hedge accounting for T-lock
Source: PwC
Hedge fund Treasury basis trade levered
Bond TradingMulti
HFs lever basis trade 50-100x
Source: encyclopedia
Hotspot ICAP EBS NDFs
FX TradingMM
Hotspot/EBS interbank FX trading
Source: encyclopedia
IRRBB regulatory framework
IRRBBMulti
Interest Rate Risk in Banking Book
Source: encyclopedia
Internal models approach IMA
CapitalMulti
IMA for FRTB more capital-efficient
Source: encyclopedia
LCR Liquidity Coverage Ratio
LiquidityMulti
Basel LCR 30-day stress liquidity coverage
Source: encyclopedia
LP aggregation FastMatch Currenex
FX TradingMM
LP aggregator platforms
Source: encyclopedia
Liquidity buffer Treasuries
LiquidityLong
Hold short Treasuries for liquidity buffer
Source: encyclopedia
Living wills resolution
RegMulti
SIB living wills + resolution plans
Source: encyclopedia
MIFID II EU
RegMulti
EU MiFID II markets framework
Source: encyclopedia
NII net interest income at risk
IRRBBMulti
Hedge NII from rate moves
Source: encyclopedia
NMD non-maturity deposit modeling
IRRBBMulti
NMD behavioral life modeling 5-7y typical
Source: encyclopedia
NSFR Net Stable Funding Ratio
LiquidityMulti
Basel NSFR 1-year stable funding
Source: encyclopedia
Negative swap spread regime
Swap SpreadMulti
Negative swap spreads challenged Bund hedging
Source: Risk.net
Negative-rate floor mismatch
Customer SwapsMulti
Loan 0% floor + non-floored swap = mismatch risk
Source: Chatham
On-the-run vs off-the-run
Bond TradingMulti
OTR trades richer than off-the-run
Source: encyclopedia
Outlier ratio limit 15%
IRRBBMulti
EVE outlier ratio limit 15% Tier 1
Source: encyclopedia
Parallel + steepener + flattener shocks
IRRBBMulti
Six EBA standardized shock scenarios
Source: encyclopedia
Pay-fixed receive-float swap dealing
Customer SwapsMulti
Bank as IRS dealer for corporate clients
Source: CFTC
Permitted market-making exception
Bond TradingMulti
Volcker MM exception (RENTD framework)
Source: encyclopedia
Pre-hedging corporate issuance
Treasury LockMulti
Bank pre-hedges corp client's issuance via T-lock
Source: Chatham
Primary dealer obligations
Bond TradingMulti
Primary dealers must bid in UST auctions
Source: encyclopedia
Quadratic swap variant
Treasury LockMulti
Quadratic swap for non-linear hedge
Source: SciRP
Quarter-end USD funding squeeze
FX TradingMulti
XCcy basis blows out quarter-end
Source: encyclopedia
RWA Risk-Weighted Assets
CapitalMulti
Manage RWA across business lines
Source: encyclopedia
Repo balance-sheet usage
RepoMulti
Repo costs balance sheet under SLR
Source: encyclopedia
Repo-implied repo basis
RepoMulti
Repo basis vs futures-implied repo
Source: encyclopedia
Reverse repo lending
RepoIncome
Reverse repo - lend cash secured by Treasuries
Source: encyclopedia
Roll-down adjustments
Treasury LockMulti
Adjust hedge as forward yield curve rolls down
Source: encyclopedia
SABR pricing of Treasury lock
Treasury LockMulti
SABR model for forward Treasury options
Source: SciRP
SLR Supplementary Leverage Ratio
CapitalMulti
US SLR 5% for GSIBs
Source: encyclopedia
SOFR vs effective fed funds
RepoMulti
Trade SOFR vs EFFR basis
Source: encyclopedia
SRF Standing Repo Facility
RepoMulti
Fed SRF backstops repo market post-2019
Source: encyclopedia
SRT Significant Risk Transfer
CapitalMulti
SRT trades transfer credit risk for capital relief
Source: encyclopedia
SVB 2023 / Credit Suisse 2023
RegMulti
2023 banking turmoil - lessons on AT1 wipeout + SVB
Source: encyclopedia
SVB 2023 deposit run
LiquidityMulti
SVB rapid bank-run twitter accelerated
Source: encyclopedia
Sept 2019 repo spike crisis
RepoMulti
Sep 2019 repo rate spiked to 10% - quarter-end + Treasury issuance
Source: encyclopedia
Single Resolution Mechanism EU
RegMulti
EU SRM bank resolution
Source: encyclopedia
Specials-squeeze trade
RepoMulti
Profit when specific bond goes special
Source: encyclopedia
Sponsored repo FICC
RepoMulti
FICC sponsored repo for buy-side access
Source: encyclopedia
Stable retail deposits
LiquidityIncome
Retail core deposits = stable funding
Source: encyclopedia
Standardized approach SA
CapitalMulti
SA for FRTB - simpler but more capital
Source: encyclopedia
Standardized rate shocks +/-200bp
IRRBBMulti
EBA standardized rate shocks
Source: encyclopedia
Stress testing CCAR/DFAST
RegMulti
Fed CCAR + DFAST annual stress tests
Source: encyclopedia
Swap spread reversion
Swap SpreadMulti
Swap-spread mean-reverts vs term structure
Source: encyclopedia
Swap-spread trade UST vs IRS
Swap SpreadMulti
Trade IRS-Treasury spread directionally
Source: Risk.net
Synthetic securitization SRT
CapitalMulti
Synthetic securitization for capital optimization
Source: encyclopedia
Term vs overnight repo
RepoMulti
Term repo vs overnight rolling
Source: encyclopedia
Total Loss Absorbing Capacity TLAC
RegMulti
TLAC bail-in-able debt requirement
Source: encyclopedia
Tradeweb package swap-bond
Swap SpreadMulti
Tradeweb sterling swap+bond package trading
Source: Risk.net
Trading book vs banking book
CapitalMulti
FRTB strict trading-book vs banking-book line
Source: encyclopedia
Treasury auction strategy
Bond TradingMulti
Trade around UST auction (when-issued vs OTR)
Source: encyclopedia
Treasury basis March 2020 blowup
Bond TradingMulti
March 2020 basis blowup - Fed intervention
Source: encyclopedia
Treasury basis trade
Bond TradingMulti
Long bond short futures = basis trade
Source: encyclopedia
Treasury lock vs forward swap tradeoff
Treasury LockMulti
T-lock matches better but swap more flexible/cheaper
Source: Chatham
Treasury lock with rollover
Treasury LockMulti
Roll Treasury lock if issuance delayed
Source: SciRP
Treasury rate lock 10y forward
Treasury LockMulti
Lock 10y Treasury yield ahead of bond issuance
Source: PwC
Treasury repo financing
RepoIncome
Repo Treasuries for short-term funding
Source: encyclopedia
Tri-party repo BNY/JPM
RepoMulti
BNY Mellon + JPM Chase tri-party repo agents
Source: encyclopedia
USD swap spread negative pre-2018
Swap SpreadMulti
USD swap spread negative pre-Q1-2018
Source: encyclopedia
Volcker Rule prop-trading ban
Bond TradingMulti
Volcker prohibits prop-trading by banks
Source: encyclopedia
Wholesale funding mix
LiquidityMulti
FHLB advances + brokered CDs + repo for funding
Source: encyclopedia
XVA suite CVA DVA FVA KVA MVA
Customer SwapsMulti
Bank XVA framework for derivatives pricing
Source: encyclopedia
Year-end USD funding squeeze
FX TradingMulti
Year-end window dressing widens basis
Source: encyclopedia
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.