Banks
ECB ratchets up Pillar 2 charges across top lenders
UniCredit, BNP Paribas, SEB and Swedbank worst-hit in latest SREP round
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
BMO suffers C$10bn capital floor bite
Charges to constraint-modelled RWAs rose sixfold during Q3
CBA sheds last $6.2bn of Apra’s op RWA add-on
Punitive charge was imposed in 2018 in wake of inquiry into bank’s practices
Japan dealers’ derivatives exposures keep inflating
MUFG, SMFG and SMTH added almost ¥6 trillion to their balance sheets in the three months to end-September
Japan banks’ LCRs pull back for 4th quarter in a row
Rise in net cash outflows remains sustained as HQLAs hit plateau
European banks’ CVA RWAs up €2.2bn in Q3
Banco Sabadell, Intesa Sanpaolo and ING Bank reported largest quarterly increases
Norinchukin’s investment securities loss widens to $12bn
Lender is worst-hit by bond price crash among Japanese banks
Aussie banks slash quasi-HQLAs by 27%
Lenders told to cut reliance on central bank repos for liquidity coverage amid a glut of government debt
RBI’s VAR gauges hit new record
Banking and trading book risk rose in Q3 amid shifts in risk factor mix
Strong dollar pushes ANZ’s CVA charges up 57%
Risk-weighted assets rose A$1.4 billion in three months; biggest quarterly increase since mid-2019
Crédit Agricole VAR hits highest since 2010
Trading risk gauge rose as high as €27 million during Q3
Erste, RBI top up provisions with €258m in overlays
Austrian lenders remain reliant on model supplements as energy squeeze looms
Nomura loses $18m on derivatives CVAs and DVAs
Net result from own and counterparty credit spreads swings to negative
Ulster Bank exit sheds £8.7bn off NatWest’s A-IRB credit RWAs
Reversal to standardised approach helps lower capital charges in Q3 despite €514m exit costs
RBI, ING’s op risk charges inflated by AMA updates
RWAs rise a combined €4.8 billion at the two banks
Vol pushed HSBC’s modelled market risk up 37% in Q3
Erratic markets in Europe and Asia blamed for $6.4bn increase led by VAR and SVAR-based charges
NatWest’s modelled market RWAs up 10% on RNIV backstop
Bank sees higher charges while it reworks VAR engine
UBS cuts liquidity valuation adjustments to record low
Bank lowered bid-offer fair value discount to reflect current levels of market liquidity
Danske gets Pillar 2 reprieve through $2bn AML provision
Quantifying the hit from Estonian branch investigations earned the bank a 75% cut in add-ons in place since 2018
Barclays frees up £4.5bn RWAs after overissuance clean-up
The bank unwound hedges that safeguarded its buyback of mis-sold US notes
Credit Suisse’s LCR down 20% in October as depositors flee
Sub-group liquidity requirements breached as chatter around bank’s solvency spurred cash outflows
Barclays, Deutsche, Credit Suisse take $437m hit on leveraged loans
Higher interest rates eroded value of facilities stuck in pre-syndication during Q3
HSBC’s quarterly UK provisions rose 111% in Q3
Uncertainty around interest rates and political stability reflected in model overlays