United Kingdom (UK)
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
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
Illiquid assets throw UK pensions off balance
Collapse in equity and bond prices leaves some funds with outsized exposure to private holdings
Barclays frees up £4.5bn RWAs after overissuance clean-up
The bank unwound hedges that safeguarded its buyback of mis-sold US notes
Policy-makers must keep the heat on climate transition
As the financial industry shows signs of climate fatigue, regulators need to pick up the slack
As interest rates surge, bankers fret over last year’s models
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
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
Barclays’ head of inflation exits
Sukhjeet Atwal departs investment bank after 19 years
Pensions regulator plays down LDI risk to EU
Eiopa doubts UK gilt market chaos could occur to same degree in Europe
LME most battered in BoE’s stress test
Clearing house close to depleting default fund under toughest credit stress scenario
Gilt volatility to live on in IM and capital models
Even if sterling rates vol subsides, it will impact interest rate and cross-currency swap costs for years
UK pension funds rush to dirty CSAs
Fearing margin pain once BoE gilt-buying ends, funds fast-track revisions to post gilts and corporate bonds
Regulator warns on fragmentation of climate risk supervision
International standards needed to support growing preference for Basel Pillar 2 approach
Hong Kong, India, Turkey lag behind on Basel III framework
Only Canada, Japan and Saudi Arabia ready for full implementation as January deadline approaches
SA-CCR’s sacrifice: who stands to lose from new capital rules
Risk.net research shows the potential for dealers to be left at a disadvantage to their foreign rivals
Low pricing of inflation swaps takes buy side by surprise
Dealers expect inflation to peak sooner, but investors remain sceptical
UK budget gives sterling options traders a wild ride
Reaction to tax cuts sparks most active week for GBP/USD options traders since Brexit negotiations
Sterling interest rate ETDs plummet 28% in Q2
Investors cut open interest in futures and options contracts as crises piled up
Markets mull UK pension clearing exemption
Treasury expected to extend regulation exempting retirement funds from having to clear OTC trades
UK pensions may struggle to capitalise on fully funded status
Bond yield spike reduced liabilities, but schemes need to sell illiquids at markdown to offload risk
Pensions with other LDI investments quicker to make margin calls
Columbia Threadneedle says funds invested in internal strategies moved collateral immediately, but outside transfers took time
CVA exposures to UK corporates jump ‘hundreds of millions’
Dash for credit protection triggered a doom loop in the CDSs of cross-currency swap counterparties