Rates Market Making Interview Guide
Rates market making interview guide covering quote setting, inventory, DV01, curve risk, hedging, liquidity, and examples.
Candidates preparing for rates trading or market making discussions.
Rates market making quotes interest-rate risk
Rates market makers quote instruments whose risk is often expressed in DV01, curve buckets, spread risk, and funding or liquidity terms.
Inventory is curve exposure
A position can be long or short risk at specific maturities, not just long or short the market. Hedging often targets bucketed exposure.
Concrete example
A desk long ten-year DV01 may hedge with Treasury futures, swaps, or other bonds depending on liquidity, basis, and curve exposure.
Quotes reflect risk and liquidity
Bid-ask spreads can widen when inventory is large, volatility rises, liquidity is thin, or hedges become expensive to source quickly.
Common mistakes
Candidates often apply equity market-making intuition directly. Rates quoting requires attention to curve risk, DV01, funding, and hedging instruments.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.