This month, we have developed two new alerts for our customers in the Fixed Income space: Quote away from Stream and Quote away from Composite.

The Quote away from Stream alert checks if the Dealer quotes a better/worse price to the client’s RFQ compared to the price it was streaming right before.

Similarly, the Quote away from Composite alert checks if the Dealer quotes a better/worse price to the Client’s RFQ compared to the composite price.

These alerts will catch dealers who consistently stream an attractive price to allure clients and subsequently quote a worse price

Find out more about why we released these features in our blog

Group of traders and compliance team looking over trading data performing trade Surveillance

At KRM22 we are committed to providing our customers with the services they need to manage their risks as they require. This commitment has resulted our Market Surveillance team spotting a new Fixed Income related trend in the operational risks managed by compliance teams.

For some time, Fixed Income houses have leveraged dealer streaming and composites. Streaming is when a dealer or electronic market maker constantly sends prices and volumes at which it is willing to both buy and sell the given bonds to their clients. They would typically do this for every major on-the-run issue, and provide different pricing for different sizes. Buy side clients can then see the prices for their requirements without needing to submit a Request for Quote (RfQ). Through this, information leakage from the buy side’s perspective is eliminated pre-trade. A composite can be seen as an aggregate pricing data that uses statistical averaging techniques to eliminate outlier quotes from the population of bids and offers. The resulting composite prices, spreads and yields are recognized by market participants as accurate and representative of the range in which trades are likely to be filled.

Operationally, both these structures are well within the risk profile of the industry. However, through our ongoing conversations with Fixed Income customers, we have identified that certain market participants often stream highly competitive prices and then provide a worse quote following an RFQ, meaning the streamed price acts as bait to attract the client. At the same time, they have seen that it is also possible for prices to be quoted that are significantly away from the average price.

Although not currently on the radar of regulators, compliance teams are seeing deployment of these strategies and indicators of undesired behavior in their traders. With the trend to prevention rather than retrospective action, our customers wish to operate in a more proactive surveillance model. They are looking for patterns to isolate dealers and take a look at their other activity to identify issues such as Wash Trading and Front Running.

This is why we have released two new features this month, which you can read about here.

If you’d like to know more about how KRM22 can help you move to a proactive surveillance model, contact us for a discussion or demonstration.

FIA EXPO returned to Chicago in 2022 with a new look at The Sheraton Grand Riverwalk Hotel. As always, the event was an excellent way to reconnect with customers, friends, and colleagues across the industry just prior to the Holiday Season.

As is befitting of this event, KRM22 attended with a contingent from our US and UK offices. It was great to be able to get real-time feedback on some of our new plans, and we had many stimulating discussions throughout the event

Spurred on by the announcement that the KRM22 Risk Manager was available to TT customers, many of the conversations were about how KRM22 is realizing its vision of the Global Risk Platform being the single stop shop for trading and corporate risk. It was fantastic to have discussions around how to use all of the risk data held within the KRM22 services our customers leverage. Over the week, we encountered a range of user cases, from Tier one banks wanting to monitor their client’s activity, to individual proprietary traders wanting to ensure they understood their available margin.

Looking at the example of the KRM22 Risk Manager, not only will TT customers will receive Exchange Margin Calculations for SPAN and non-SPAN Margin for the first time, but it complements the KRM22 Limits Manager which was launched at FIA BOCA in March this year.

Traders and risk managers using TT’s services can now not only manage and approve pre-trade limits across a variety of ISVs and Exchanges, but also deliver exchange margin and stress calculations through the click of a button. Users can view start-of-day (SOD) and intraday margin calculations and stress results that update with each position change. SOD and intraday margin calculations include Initial Margin, Maintenance Margin, Net Option Value (NOV), Credit Allowance/Margin Ratio and Margin Risk Score. KRM22 Risk Manager will also provide a “Worst Case” 3 Sdev stress analysis on SOD and Intraday positions by account with detail to the product level

All of this functionality is also available to non-TT customers directly through KRM22. To find out more read our announcement of the launch of KRM22 Risk Manager on TT or contact us directly.

Workflow focused Home screen

The new Risk Cockpit home screen allows users to easily understand the actions that they need to take when they log in. By completing the recommended actions for which users are responsible they can help their organization ensure their Risk Register is kept up to date.

KRM22 Risk Manager within the TT environment:

KRM22 Risk Manager available to customers on the TT platform. The sophisticated real-time post-trade risk service significantly enhances the risk toolset available through TT’s growing ecosystem for futures commission merchants (FCMs), brokers and traders.

The product’s risk scoring system will help users instantly assess real-time margin and liquidity, creating a new way for futures and options on futures traders to generate alpha under the most volatile market conditions. The offering currently covers margin on existing positions and provides a full range of analytics behind those positions, including the ability to anticipate end-of-day margin