Mitsubishi UFJ Financial Group (MUFG)
US-regulated IHCs retrench from VAR limits
Largest daily trading losses in Q2 were on average 50% of forecast, down from 102% in Q1
US G-Sibs’ OTC derivatives hit record $243 trillion
JP Morgan leads US dealers in boosting notional amounts during volatile first quarter
Op risk data: Credit Suisse hit for $900m in offshore trust bust
Also: Goldman boys’ club gets the boot; HSBC double whammy; Havilland’s economic sabotage plan. Data by ORX News
Japanese banks hike BoJ deposits by 12%
Deposits at central bank hit three-year high at end-March, as lenders sought safe haven amid wider turmoil
MUFG’s settlement risk surges fourteenfold
Risk-weighted assets for Japanese lender’s unsettled transactions cross ¥300 billion mark in the first three months of 2023
Basel climate guidance leaves op risk managers in the dark
Banks still unclear on how to fit climate events into existing capital framework
For 11 US regionals, capital adequacy hinges on AOCI waiver
A repeal of the 2019 provision would hit KeyCorp and Charles Schwab the most
BMO, TD and US Bancorp hit by out-of-the-money goodwill hedges
Derivatives meant to offset dilution of capital in acquisitions turned loss-making as yields temporarily slumped
US banks’ VAR breaches up 2.5x in 2022
‘Hypothetical’ one-day losses exceeded VAR on 55 occasions, as losing trading days prevail
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
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
Norinchukin’s investment securities loss widens to $12bn
Lender is worst-hit by bond price crash among Japanese banks
BofA faces higher G-Sib surcharge, BNPP earns reprieve
Second-largest US lender assigned to 2% capital add-on bucket in latest systemic risk assessment
US Bank cautions on regulators’ TLAC proposal
Risk USA: CRO also says bank is readying credit risk models and business plans for recession
Regulator warns on fragmentation of climate risk supervision
International standards needed to support growing preference for Basel Pillar 2 approach
Early FRTB adoption piles pressure on Japanese banks
Bankers fear competitive pain due to lack of NMRF data, possible EU and US deviations from Basel
Banks temper credit loss models by editing Covid narrative
Faced with geopolitical chaos and signs of recession, expected credit loss models need to adapt fast
Norinchukin’s capital dented by crashing bond prices
The bank lost three percentage points of CET1 ratio in Q1 as contribution from AOCI halved
Credit Suisse and Commerz latest banks to ditch hold times
Mizuho also confirms zero last look add-on but MUFG’s policy unclear on the controversial FX practice
Climate is changing for derivatives valuation adjustments
Banks back increased use of global warming criteria when calculating XVAs
New branch rules threaten Japanese banks’ EU plans
Draft CRR III may cause foreign banks to think twice before expanding in the EU
SMFG reports highest power sector emissions intensity
Across all systemic banks, only eight dealers disclose their GHG emissions for this field
Most G-Sibs fail to disclose financed emissions
None of the world’s top 30 banks disclose climate impact of their whole portfolio
EU’s Basel delay could cause problems for Japan
Asia Risk Congress: unaligned timetables creates difficulties for Japan's megabanks