Typical Participants and Trading Flows Across Swap Tenors

Summary

The document offers a qualitative guide to who commonly trades interest rate swaps and related US Treasury instruments at different points on the curve. It associates short-dated swaps with macro traders, hedge funds, corporates hedging loans, and banks managing mortgage flows. Medium tenors are linked to corporate issuance hedging, relative-value activity, and government issuance, while long tenors are associated with pension funds, hedge funds, and supranational issuers. It also notes that hedge funds may trade across tenors when dislocations create opportunities.

For Treasuries, the response describes hedge fund basis and asset-swap positions across the curve, alongside activity from the Treasury, money market funds, foreign investors, asset managers, corporate treasurers, mortgage hedgers, and pension funds. These examples help frame likely sources of flow and hedging demand, but they are not supported by volume data or a systematic market study. The author calls the list non-exhaustive and emphasizes that participants’ preferences vary, so it should be treated as a broad orientation rather than a reliable tenor-by-tenor breakdown.

Key ideas

• Short-end swap activity can include macro trading, loan hedging, and mortgage-related bank flows.
• Corporate issuance hedging and relative-value trading can contribute to medium-tenor swap activity.
• Pension funds, hedge funds, and supranational issuers are identified as participants in long-tenor swaps.
• Hedge funds may trade across the curve, including in response to market dislocations.
• Treasury market activity includes basis and asset-swap trades, investment flows, and hedging demand.
• The participant descriptions are qualitative and explicitly non-exhaustive.

Tags

# IRS Swaps market


# IRS Swaps market












I would like to understand who are the major actors in the IRS Swap market and what's the major reason of the volume traded for a certain tenor.

I am not able to find any of this information that describe this. For example 30Y Swaps are mostly traded by Insurance companies to hedge IR risks, short term swaps ...

So if someone has a good understanding of the market, the way it behave, who are the major actors, how can the majority of the flow can be explained, I would be extremely interested to learn about that because I can't find anything on the internet.

## Answer by user68819 (score 0, accepted)

https://quant.stackexchange.com/a/79989

IRS:

Short end: macro , hedge funds, corporates to hedge loans etc. Banks maybe swapping mortgage flows.

Medium term is usually corporates swapping issuance, hedge funds rv, government issuance (although this can be spread all over and depends on their preferences etc).

Long end, pension funds, hedge funds, supras.

NB: Hedge funds tend to be active across the curve, and tend to appear as soon as an opportunity occurs, due to dislocation etc. The others are all really there to utilise swaps as a hedge or a method to convert cash flows floating to fixed or vice versa

UST:

Hedge funds again are active all over especially via basis/ASW positions. The US Tsy is also conducting buy backs now (which I think are across the curve).

Short End: MMF (bills), Foreign investors (I hear this is picking up again)

Medium term: AMs, Foreign Investors, Treasurers

Long end: Mortgage hedging, Pension Funds (P strips)

This is by no means exhaustive but should give you a flavour as to who is interested in what.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.