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Dealers dip toe into Sonia swaptions market
NatWest and HSBC print trades, Barclays offers prices
Sefs stall, but more liquidity may be coming
The hoped-for competition among Sefs never was. But banks and prop traders might be facing off on swaps
State Street, Goldman push VAR limits the most
Average of largest trading losses-to-VAR at State Street above 90% over past 12 months
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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
Editors' choice
Goldman improves execution ‘by 50%’ with new algos
Bank uses neural networks and other AI tools to cut slippage in stock trading
Big Figure
Citi’s swaps clearing unit boosts client margin by $2bn
Required client margin held by Citi’s swaps clearing unit surged 8% to $28.3 billion in Q2 – making it the fastest-growing futures commission merchant over the three months to end-June. The second-largest increase was posted by Morgan Stanley, at $907 million in size, which pushed its total amount of required client margin to $17.1 billion. JP Morgan came third, adding $874 million of client margin for $14.3 billion total.
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Comment
Swaps data: Fed’s change of tack on rates fuels volume rise
Op risk data: Mifid fines hit $140m
Credit data: no-deal Brexit threatens UK retail sector
FRTB internal models in fight for survival
Our Take
Trading venues could help enforce the forex code
The machines are coming for your pricing models
Fishing for collateral with neural nets
Can robots learn to manage risk?