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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
CME-LCH basis collapses amid rates downturn
Brexit and recent LCH initial margin raise could also be factors
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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
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