In this paper we aim to link the volatility of interest rate swap (hereafter, IRS) markets to the macroeconomic risk/uncertainty of the UK and the US. In doing so, we obtain the low-frequency volatility of IRS using a recently developed Asymmetric Spline GARCH (ASP-GARCH) model of Rangel and Engle (2012). Our findings suggest a strong relationship between uncertainties of macroeconomic fundamentals and the fluctuation in swap market volatility. The association between the two is robust with respect to the choice of different alternative measures of volatility that are used in the literature on GARCH modelling. From the perspectives of practical implications, the findings suggest that policy makers should use low-frequency volatility in order to examine market responses to key macroeconomic policies, and that market participants may rely on low-frequency volatility to extract trading signals. Using such signals, hedgers could make forecast of whether they need to increase (decrease) IRS usage to hedge risk originating from macroeconomic uncertainty.