croc

@ethanrkho They do lose money. All you have to read is the annual report to see their trading PnL distribution…

"Goldman Sachs's trading floor collectively makes money 365 days a year." "A stunning statistic when you think it through. They almost never lose money on a full day." "The reason is they built a decision making structure that's always one step ahead of the competition in some small way." "And they manage the risks between them well enough that the net result is a profit on virtually every day." "One down day every third year or something." "Goldman is not a particularly quantitative shop. It's still highly discretionary." "In quantitative work, it's even more disciplined."

@brexton Any preference?? Both look great

@contingentclaim The special and pork

This is the best banh mi in NYC I’ve been getting banh mi from a new place at least once a month for years and this actually blew my mind They actually make their own Vietnamese bread rather than buying/using baguettes Might be the best I’ve had in years Banh mi co ut: 10/10

@NickWatts Their dark ale is good

*checks damage from last night* Well at least we’re consistent

@jeuasommenulle @Credit_Junk Rates business…

ouch *GOLDMAN SACHS 1Q FICC SALES & TRADING REV $4.01B, EST. $4.87B

@BisphamGreen @chaitanyam You will find the CUSIP for the bond I mentioned in their historical auctions data…

@contingentclaim @chaitanyam Not according to the Treasury. I use their data

US TIPS 30Y real yields closed at their highest ever level on Friday

@BisphamGreen @chaitanyam So the 3.875% 04/15/29 doesn’t count? Issued in ‘99…

@chaitanyam 30Y was first issued in 2010

@volisdead What about swap spreads?

No fund (save BAM) catastrophically blew up on commodities. The main trades were European steepeners, front end vol shorts/duration longs in euribors/sofr strip, and 🇬🇧 RV in all forms). Nor was equity beta a main risk factor.

Everyone posting mmhf returns without understanding the carnage of European and UK fixed income markets is NGMI

@LucasCostaAT Nice slop

Market pricing factors in US Fixed Income Yield Curve

@Credit_Junk Was a shame that all the political noise yday essentially wiped the rally

Aggressive curve bull steepening

@dampedspring A bit too late to the post, but I am wondering how one should think about the “cap” you’re proposing? How would it be different than the IOER from the past? Thanks

Fed balance sheet reduction 101 under the Warsh, Miran, Bessent, Trump dovish fed fund rate, hawkish balance sheet regime - a workable plan In order to reduce the balance sheet assets you need to reduce the liabilities The liabilities are Roughly 850BN in TGA 2.4TN in Currency in circulation 2.9TN in bank reserves How do you reduce these things TGA. There are two ways 1. Term out debt reducing the amount of bills rolling per 5 Day period which lowers the statutory requirement for TGA 2. Agree with the Fed that any bills owned by the Fed don't count in that calculation and increase the bills holding of the Fed while decreasing the duration holdings CIC Encourage the growth of Stable Coins which are bought with CIC and which the coin is funded with Tbills. The simply accounting (its more complicated) is Fed swaps its assets (Tbills) to the stable coin minter and is paid CIC for the trade. Assets and liabilities drop. This is particularly useful in onshoring and replacing foreign held CIC with stable coins Bank Reserves This is the one that the myopic repo traders at the Fed and the narrow minded plumbing experts say can't be done. It can be done. While a handful of banks have scarce reserves and they must be protected which puts an upward pressure on reserves and balance sheet, the banking system overall is awash in excess reserves. A simple fix would be a cap on reserves held by banks such that if over the cap the bank would receive zero IORB. Then slowly reduce the cap. The simple accounting transaction would be Reserves over the cap are spent on Fed balance sheet assets. Assets down reserves down with no threat to any bank with scarce reserves. I would also offset this policy by instituting a minimum reserve requirement which forces certain banks with scarce reserves to add. When I add all that up I think over time TGA can come down by 200BN CIC can come down by 400BN Bank Reserves can come down by 600BN And the SOMA portfolio can come down by 1.2TN The Fed is narrow minded in its approach to maintaining the rate corridor. My solution would address the top end of the rate corridor by instituting a minimum reserve requirement and the bottom by instituting a penalty for those who hold reserves over a maximum AND providing Fed assets to buy with those penalized reserves while lowering the maximum over time to acclimate the excess reserves folks without crashing out the bottom of the corridor.

@lisabeljimenez1 @SorSarna_n1 Diego Megia (CRIS contra el cancer)… dueño de un hedge fund

@SorSarna_n1 Que Amacio financie esta investigación al equipo de Mariano Barbacid sería una gran noticia.

Amacio Ortega dona cientos de millones de euros a la lucha contra el cáncer. El bioquímico Mariano Barbacid, consigue avances extraordinarios contra el cáncer de páncreas, gracias a financiación privada. Maldito capitalismo.

@volatilitysfray “¿Ese cáncer quién lo cura?”

Están saliendo noticias sobre esto por todo USA y Europa. Tenemos talento de sobra para relanzar el país y llevarlo a donde queramos, pero si las élites están controladas por no brainers y no por esta gente estamos jodidísimos. Basura de políticos. ¿Ese cáncer quién lo cura?

@TheEconomist I don’t think he is a “co-founder”. I think he solely founded Citadel

@zerohedge Must be rates strategy desk… definitely not rates trading desk

"Our base case for the remainder of the year is for a continued disinflation driven by a normalization of shelter and services inflation back to their long-term trend and milder core goods inflation" - GS Rates Desk

@KrisAbdelmessih This post should be inducted in the hall of fame… helped me so much during my first internship!! Thank you

@dampedspring Hey Andy, what were your thoughts on the next proposal? The one about doing OTR/OFTR exchanges?

The recent quarterly refunding dealer questionnaire is getting the typical silly takes. Specifically question 2. The takes are suggesting a change in quantity of 7 year auctions. 🤦🏻‍♂️. What is meant is instead of 12 different 7 year notes per year. They may change to quarterly maturities with off month reopenings (selling a 6 year and 11 month and 6 year and 10 month bond). For what it's worth 10'a and longer are already done this way. Move along folks.

@perfiliev Risk reversals…..

Men only want one thing and that’s to own gamma while earning theta.

@AnnaBluue_ “Que sea Francés o que lo hable”

mi lista de redflags en chicos (serio)

@annanay Drw’s specialty has always been STIR (and their options) market-making. Really good at Treasury futs too

People talk a lot about quant firms. But not many people know what each firm specializes on. Here's a cheatsheet to understand what each firm does well. Disclaimer - these are just the ones I know well, some eg: Virtu are missing. The cool part? All of them are very profitable!