Risk.net

By Dealers have been left confused after the European Banking Authority (EBA) last month published two long-awaited answers to the question of how banks must capitalise swaps they write against repack vehicles. At the heart of the confusion is whether a dealer can treat the bonds held inside a repack special-purpose vehicle (SPV) as eligible collateral, and so use them to reduce the counterparty

By US banks have been denied potential capital relief from lower stress test losses after the Federal Reserve froze stress capital buffers (SCBs) until 2027, Risk Quantum analysis shows. Of the 30 firms with comparable prior stress test results, 23 recorded lower Common Equity Tier 1 (CET1) capital depletion in the 2026 Dodd-Frank Act stress test (DFAST) than in their previous outing. Sixteen of these

By This piece is part of a series benchmarking bank operational risk management practices. Risk Management subscribers can view selected cuts of the underlying data here. Sign up for Risk Benchmarking emails here. Two-thirds of banks insure their exposure to information security risk, but very rarely draw on it, the latest round of Risk.net 's Op Risk Benchmarking finds. Of the 46 banks answering, 67%

By UBS has teamed up with LGT Capital on new quantitative investment strategies (QIS) linked to Vix futures. The partnership aims to eliminate reliance on retrofitted backtests by capitalising on a decade-long live history. The partnership comprises a dynamic protection strategy, which is net long Vix futures, and a carry-orientated systematic macro strategy that is net short volatility. Both are

Bank capital rules in the European Union and the US are growing apart. As the pile of deviations grows, diverging outcomes also multiply. The latest example is the capital charge for risks posed by the deteriorating health of derivatives counterparties, known as credit valuation adjustments.

By This piece is part of a series benchmarking bank operational risk management practices. Risk Management subscribers can view selected cuts of the underlying data here. Sign up for Risk Benchmarking emails here. Eighty-one per cent of banks are using artificial intelligence tools or techniques to support at least one operational risk area. But most use remains experimental, with "pilot or limited

By Affiliate repo accounted for one-sixth of the US repo market in the second half of 2025, according to an Office of Financial Research (OFR) brief. The trades, conducted between entities with the same parent financial institution, made up $2.1 trillion of average daily outstanding repo positions, or 16.6% of the US total. The bulk of this was in the non-centrally cleared bilateral repo (NCCBR)

By A decade into the effort to move dealer-to-dealer foreign exchange swaps trading off the telephone and onto screens, more than two-thirds of interdealer volumes are still going through voice brokers. But as pressure on brokerage costs grows, and new technologies allow for automated management of credit lines, banks are increasingly taking a closer look at electronic swap trading venues. "The venues

By Chinese securities houses are waiting for the country's securities watchdog to clarify how they should exchange margin on non-cleared over-the-counter derivatives, ahead of a September deadline to comply with rules written by the banking regulator. "We are negotiating variation margin with our banking counterparties, but nothing has been finalised yet," says one equity derivatives source at a

How can banks detect fraud before a payment is authorised? And how can they keep pace with increasingly sophisticated artificial intelligence-enabled attacks? Fraudsters are exploiting fragmented systems, real-time payments and AI-powered tactics to evade traditional controls. But many institutions still rely on reactive, rules-based approaches that struggle to identify threats before losses occur.