Darren Maharaj

Bernanke review of BoE forecasting capabilities - I have just had the opportunity to read the review by Ben Bernanke of the Bank's existing forecasting processes. It is actually a very good read and is well worth a read by anybody who is reliant on large complex financial models, with numerous embedded assumptions, for the making of decisions. Whilst the review is carefully worded it is actually pretty hard hitting and is a great example of content rich consulting with 12 detailed recommendations for the Bank to implement. I am not going to criticise Andrew Bailey, or anyone else, as I think it is incredibly important that organisations such as the Bank do open themselves up to valuable external criticism, if our public institutions are going to move forward. Some of the key modelling assumptions made me smile! For example, the use of market derived rates to generate the future path of policy rates; as if there is one institution in the UK that probably shouldn't default to market, it is the MPC! At least calculate the two different scenarios. #MPC #bankofengland #modelrisk

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Funds overall took £1.87bn, although excluding MMFs this rises to £3.43bn. It was another enormously positive month for bonds, with inflows of £3.58bn—of which, active strategies took £20m—a further encroachment of trackers into the fixed income world. Bond funds have netted £11.14bn over 12 months, and passive bonds have taken all this and more, at £20.38bn. Over the month, bonds took £2.1bn. This breaks down to £1.72bn passive and £374m active, as fixed interest investors’ preference for index-tracking funds continues. Equities saw inflows of £922m for passive funds and outflows of £1.97bn for active, netting out at £1.05bn of redemptions. While MMFs saw the strongest positive flows, mixed asset funds saw inflows of £1.04bn, reversing March’s outflows of £709m; while alternatives netted £119m; and commodities, £39m. Meanwhile, real estate shed £293m. Hari Patel, Adam Vaites, Al McMutrie (He/His/Him), Detlef Glow https://lnkd.in/eDd5nHzc

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What a striking table... Below is open interest changes on SOFR options yesterday....you can see pure red in calls and put green on puts as the market aggressively took profit on upside and pivoted to downside. Call open interest dropped 395,000 vs Puts rising 554,000 We have seen similar in outrights with open interest rising into the rally over the last few days but on the pullback yesterday, UST OI dropped $6m DV01 (with only US up on the day) and SOFR saw 6 of front 8 contracts dropping in open interest and saw a net drop of $2.62m DV01 across the front 16 contracts

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If you are senior in Institutional FX Sales and have only worked in sellside then spare a thought for the buyside. I am positive most of you have a thorough understanding of Macro, FX and Rates. If not it's time to step it up. Here are 3 top tips that may help your standing with the people buying what you sell: 1. Learn what it is like to hold directional risk. You may be restricted which is fine but try your best to walk a mile in their shoes. Try and imagine what it feels like. This is coming from someone who has only ever taken risk. Mainly my own. I traded Futures then Spot FX but most of it was held with my own account. They are under the most immense amount of pressure to not just get a good price - but to get the move right. 2. If you are selling liquidity or the "second coming" through complex FX structures maybe think of the more long term. Short term is gaining a quick win but gaining that trust long term will pay far more superior dividends. The movie Margin Call is a perfect example of this dynamic breaking down. 3. DM me for a discovery call. We are helping senior staff at Blackrock, Westpac, JP Morgan and Nomura find their "inner buyside" Have a cracking Tuesday.

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Cᴀꜱʜ ɪꜱ ᴋɪɴɢ ɪɴ Jᴜɴᴇ Despite positive global equity markets in general, Money Market GBP was the most popular classification with UK #fund investors in June (£3.81bn), reversing last month’s outflows. A lot of the volatility in this asset class can be attributed to the fact that corporates use MMFs to stow cash before dividend payments and other corporate actions. That said, it could also be a reaction to the fact that bonds, despite their popularity from 2023 to date, are not delivering. For example, while Bond GBP Government took £606m over the month and £8.02bn over 12 months, the average return for these funds over both Q2 and YTD is still negative, while MFFs are in the black. That said, the same argument could be made last month, with most govvies still down over the month and year to date, and where Money Market GBP funds saw the second largest outflows. It seems unlikely, then, that performance of other ostensibly ‘risk-free’ assets explains the volatility in MMF flows. More details on UK flows for the month in Everything Flows, published next Tuesday. Only five sleeps to go... 😊 𝗟𝗮𝗿𝗴𝗲𝘀𝘁 𝗣𝗼𝘀𝗶𝘁𝗶𝘃𝗲 𝗙𝗹𝗼𝘄𝘀 𝗯𝘆 𝗟𝗦𝗘𝗚 𝗟𝗶𝗽𝗽𝗲𝗿 𝗚𝗹𝗼𝗯𝗮𝗹 𝗖𝗹𝗮𝘀𝘀𝗶𝗳𝗶𝗰𝗮𝘁𝗶𝗼𝗻, 𝗝𝘂𝗻𝗲 𝟮𝟬𝟮𝟰 (£𝗯𝗻)

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