NatWest Group
Model risk chiefs warn on machine learning bias
ML model outputs open to “potential bias sitting in your datasets”, says RBS model risk head
Many EU banks’ sovereign portfolios highly concentrated
Forty-eight lenders have more than three-quarters of sovereign risk allocated to home country
Two stress tests give conflicting verdicts on UK banks
Under the BoE’s severe stress scenario, the average drop to UK banks’ CET1 capital ratios was 740bp, compared with 570bp under the EBA’s adverse scenario
NatWest kick-starts Brexit swaps transfer
Bank follows Barclays and UBS with plans to continue serving EU clients as ‘no-deal’ looms
UK bank securitisation exposures on the rise
Originate-to-distribute engine revs up
StanChart CVA charge jumps 161% in Q3
Charge rises to $99 million in three months to end-September
UK bank misconduct charges dwindle
Six of seven stress-tested banks report 50% fall in legal and regulatory reserves
Barclays and Lloyds improve resilience to stress tests, HSBC falls back
Capital headroom above pass/fail thresholds increases to 250bp at lenders
IFRS 9 transition eases UK banks’ path through stress tests
Aggregate CET1 ratio 130bp lower without transitional relief
RBS, Nordea escape G-Sib cuffs, BPCE joins the club
The once-largest bank in the world is no longer considered a systemic threat
LCRs show US banks run more risk than European peers
The gap between the two averages has widened over the past three quarters to 250bp from 212bp
UK and EU bank leverage ratios edge lower
Average European G-Sib ratio down 27bp year to date
EU G-Sibs cut $14 billion in op risk
Banco Santander posted the largest decline – at 7% – with op RWAs falling to $70 billion
UK banks gain capital edge through IFRS 9 transitionals
Four big lenders claim £3 billion CRR-mandated relief
Big UK banks have £278 billion exposure to ‘junk’ loans
Non-investment grade exposures make up 31% of total corporate exposures
Modelled market risk falls for UK banks as standardised risk rises
Barclays had the lowest percentage of market RWAs calculated under IMA, at 49.6%, and Lloyds Banking Group the highest, at 86.1%
EU bank leverage increases in H1
Average leverage ratios degrade 19 basis points in six months to June
UK leverage ratios stray from EU measures
Bank of England changes exempt central bank claims from UK measure, causing discrepancies with CRR version
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
UK Treasury never analysed impact of risk weights for EU debt
Risk weight move seen as political threat to EU sovereign issuance to force Brexit equivalence deal
'No-deal' Brexit would add risk weights to EU government bonds
HSBC has most sovereign exposures that could attract higher capital charges among big UK banks
European banks blitz non-modelled credit risks
Across 14 G-Sibs, IRB assets fell 10% over three years, while standardised assets dropped 20%
Top European banks shed $32 billion in op risk
5% average drop across 16 European banks reported quarter to quarter
RBS puts RMBS woes behind it, draining capital
DoJ settlement incurs 50bp CET1 ratio charge