News
UBS unleashes Orca for rates clients
Machine learning algo trawls liquidity pools to slash US Treasury trading costs
HKEX boosts member credit risk monitoring
Hong Kong exchange’s several hundred clearing members pose complex default risk correlations, says chief risk officer
CICC Hong Kong scrutinises quant strategies after sector's woes
Asset manager strives to understand better the drivers of risk premia returns
Privacy laws crimp bank efforts to snoop on traders
Banks want to surveil employees to prevent malfeasance. GDPR is hobbling those efforts
Libor reform threatens hedge accounting for loans
Changes to loan terms may nullify contracts and create balance sheet volatility
FCA: loan market shouldn’t wait for forward rates
Development of new term benchmarks is no excuse to delay transition, says Schooling Latter
Fund builds virtual analyst to do ‘grunt work’
Equities unit at Principal Global Investors wants its analysts analysing, not rooting through email and research reports
Keeping the robots honest
Human overseers are in short supply in an arena where losses can be crippling in minutes
Basel closes in on IM offset for leverage ratio
US seen as obstacle to consensus; committee expected to allow netting of margin against PFE only
Citi culls HFTs from FXPB client list
HC Technologies, Jump Trading and Virtu Financial among those told to find a new prime broker
Basel set to update op risk and resilience principles
Op risk working group to issue core ‘indicators of resilience’ proposal as update to 2011 principles
Business lines must answer for ML biases – OCC’s Dugan
Banks cannot blame developers or vendors for faulty machine learning models, says regulator
Forex prime brokerage fee jump unlikely, say dealers
HSBC and NatWest say client charges unlikely to rise significantly despite new margin costs
Crédit Agricole’s head of forex options departs
Andrew Soper leaves French bank to pursue other opportunities
UBS introduces smart contracts for structured products
Swiss bank aims to tackle shrinking margins by automating workflows and cutting trade processing costs
No alpha in hedge funds’ average short positions – research
A strategy betting against low conviction shorts beat a benchmark model by 6% in back tests
Asset managers urged to sign global forex code
Firms risk hit to reputation by not committing to standards on market practice, investor says
From memos to texts, algos fish for signals in-house
Hedge funds turn to natural language tools to pry more value out of their analysts’ internal writings
Final rules on securitisation due by year-end, EBA says
European issuers forced to work with incomplete legislation for another six months at least
CFTC commissioner backs non-cleared margin docs relief
Stump calls for US to enact BCBS-Iosco $50m threshold for operational requirements
CFTC frees amended legacy swaps from margin net
US no-action relief for compression-triggered replacement trades spurs hope for EU alignment
Exchange leaders see a greening future in derivatives
On ESG, Europe leads the US, new products are sprouting and sourcing of metals is being examined
Brexit nudges Trad-X swaps service to Paris
London loses out on planned dealer-to-client Clob for OTC euro interest rate swaps
First bond switch from Libor to Sonia gets go-ahead
Landmark move sees Associated British Ports become first to amend legacy bond reference rate