Risk Quantum/The Norinchukin Bank
Norinchukin most exposed to rate rises on EVE among Japanese banks
Parallel upward shock would reduce bank’s EVE by almost 30% of Tier 1 capital
Norinchukin’s repo retreat brings SFT exposures to four-year low
Japanese bank slashes gross SFT assets 54% in Q4, accelerating pullback from repo market to bolster capital
Norinchukin’s market RWAs blow up 342% in Q3
Fierce increase under FRTB regime lops 117bp off bank’s CET1 ratio
Norinchukin hit with 54% rise in op RWAs
Recalibration of underlying parameters is first under new standardised measurement approach
Japanese banks far apart on credit model efficiency under Basel III
MUFG lowered credit and CCR charges the most among country’s top dealers
Norinchukin’s paper losses double to record high
Latest AOCI fluctuation knocks 29% off CET1 capital
Japanese banks reap ¥9trn RWA savings from FRTB switch
Tokyo’s dealers fare better than overseas rivals on new CVA and market risk approaches
Japanese banks’ leverage ratios keep rising as BoJ relief becomes permanent
Norinchukin reaps largest benefit on eve of Covid-19-era exemption being made permanent
Norinchukin’s RWAs up 21% as Basel III formulas react to market volatility
Market charges up 230% in harsh test of new standardised approaches
Norinchukin’s credit RWAs up 31% on early Basel III opt-in
Bank’s standardised charges surge 19-fold following overhaul of models’ scope and parameters