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Quants try investing like Socrates, with help from AI
Researchers are testing whether LLMs can use methods borrowed from ancient philosophy to answer complex questions
How Citi moved GenAI from firm-wide ban to internal roll-out
Bank adopted three specific inward-facing use cases with a unified framework behind them
Markets worry EU’s reporting simplification will add to burden
Rather than reducing firms’ obligations, market participants fear it could end up increasing requirements
Risk data
Corporates turn to structured notes to juice cash returns
Dual currency notes find favour with treasurers under pressure to boost yields amid higher rates
Barclays, RBC end 2024 with record-high swaps margin
Both dealers see double-digit increases, but year sees least growth in at least a decade
Crossed signals: row over collusion pits scholars against traders
An Oxford study claims to show evidence of collusion in ETF markets. Some traders give it short shrift
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Bank regulation
Big banks could be sidelined from future rescue deals – FSB
Exacerbation of too-big-to-fail means G-Sibs could already be too large to take extra assets
During Trump turbulence, value-at-risk may go pop
Trading risk models have been trained in quiet markets, and volatility is now looming
Iosco pre-hedging review: more RFQs than answers
Latest proposals leave observers weighing new clampdown on pre-hedging
Bank of England mustering unit to model system-wide stresses
Permanent team at UK supervisor will work on buy- and sell-side interactions
Risk Quantum
Data insights, delivered daily
Risk Quantum tracks thousands of data points across hundreds of metrics from organisations that represent a cross-section of the financial system. Published daily, articles are short and broken into chunks – the facts, the context and a brief commentary – and use data visualisations to get each story across.
Barclays, RBC end 2024 with record-high swaps margin
Both dealers see double-digit increases, but year sees least growth in at least a decade
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
Counterparty Radar is based on position data from around 20,000 US mutual funds and ETFs, rolled up to the manager level – it shows the OTC derivatives they have on their books, and who they traded them with, providing unique insights into an important market segment. More info
Franklin Templeton dethrones MSIM as top FX options user
Counterparty Radar: MSIM continued to cut RMB positions in Q3, while Franklin Templeton increased G10 trades
Interest rates
EU bond-futures basis flip spells curtains for netting
Alignment with US positions brings higher balance sheet usage, while low returns also a turn-off say traders
TD’s prop-style trading shop rises up bond rankings
Ascent of bank’s bond trading business comes amid electronification changes in US fixed income market structure
US block size changes reveal trillions in swaps trading
Fears of information leakage force some large buy-side users to adjust execution strategy
Euro swap spread volatility challenges Bund’s hedging role
German Bunds face scrutiny as euro swap spreads turn negative, forcing traders to rethink hedging strategies
Does no-hedge strategy stack up for mag seven mavericks?
At Amazon, Meta and Tesla, the lack of FX hedging might raise eyebrows, but isn’t necessarily a losing technique
Central clearing
Buffer stop: Eurex clearing members shunt default fund
Clearing house’s CRO says both members and clients opt to pay more margin instead
Bank of England wants dynamic Emir for UK clearing houses
Review won’t just photocopy EU legislation, as BoE seeks to make rules simpler and adaptable
Banks divided over CME’s done-away model for UST clearing
Buy side could give thumbs-up if questions on margin protection and guarantee fees are answered
Hedge funds could look to bypass UST clearing mandate
New paper argues that repo users might relocate offshore or use other means to avoid US Treasury clearing dragnet
Op risk benchmarking
Our new research service compares op risk practices at financial institutions – from staffing to AI safeguards, key controls to board reporting packs.
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