Risk Management
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Half of European banks already embed FRTB into XVA pricing
US and rest of world lag Europe in incorporation of Basel capital rules into XVA calculations, Risk Benchmarking analysis shows
Dealers favour central XVA desks, but splits remain on funding
Most banks run a single desk within the front office, but more than half share responsibility for its funding needs with treasury
XVA desks may be standard – their tech and mandates aren’t
A decade into centralised management of XVAs, Risk Benchmarking data finds divergent approaches to pricing, methodologies and tech stacks
Banks grapple with Fed’s double deadline on stress-test plans
Supervisor consulting simultaneously on next year’s test scenario and broader model changes
DFAST model changes would boost capital ratios
But category IV banks would suffer amid PPNR overhaul
DFAST fashion: emerging trends from 12 years of US stress tests
The banks that breach buffers, the assets that perform best under stress, and other insights from Dodd-Frank Act stress-testing exercises
Clearing
Accounting fix brings FICC agent clearing a step closer
SEC accepts Sifma interpretation, but firms still need their own opinion and capital clarity
Swaps or futures? Clearers grapple with CME’s event contracts
New prediction contracts straddle the line between futures and swaps, Risk.net understands
Ice’s VAR migration reignites debate on margin levels
CCP says IRM 2 is more sensitive to portfolio risk, but banks fear increased risk to clearing members
Tariff volatility triggers record margin calls at global CCPs
Aggregate average VM call in Q2 eclipsed pandemic highs
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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
FICC takes record bite from MMF repo investments
Funds shift cash from the Fed’s ON RRP as cleared repos hit $1.11trn
Operational resilience
Dora delay leaves EU banks fighting for their audit rights
Regulation requires firms to expand scrutiny of critical vendors that haven’t yet been identified
Ice Credit below availability target after six-hour op failure
May 5 outage longest since public disclosure began in 2015
ECB may force banks to rethink cloud just months after Dora
EU regulator pushes multi-cloud strategy for banks, but guidance will not be binding
Regulators zero in on third-party risk, resilience
In latest survey, 35% of banks say watchdogs have “significantly increased” focus on third-party risk, with reports of arduous inspections and growing resource strain
Future proof: can FMX-LCH platform prevail?
A year into FMX Futures Exchange, Treasury futures volumes are low, and firms aren’t cross-margining
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