Thread by @jeuasommenulle

Something weird is happening on Metro Bank. They just announced a 20.2% capital + MREL ratio, which is below requirement but we kind of knew they would be below requirements.

So that's not what is odd. The CET1 capital ratio is much more intriguing. Quick thread

They did not disclose their Q3 CET1 ratio. But in Q2 their MREL ratio was 21.3% so it went down 110bps. Afaik there was no repayment of Tier 2 or SNP debt (I wish!) and RWAs are fairly stable. So the only logical conclusion is that CET1 went down 110bps QoQ - would be a big drop

How is it possible? It would imply a big loss. Always possible, but in only one Q? And not mentioning it in the trading update, which only says that "The macroeconomic scenarios applied to the measurement of ECL at H1 remain appropriate", would be reckless.

The mystery deepens.

I may have an explanation. Here's the H1 capital "bridge" published by Metro.

I've underlined one item: quick fix SME support factor which they used to boost CET1 by 60bps.

But there's a slight problem here: the SME support factor was not adopted by the UK/PRA. It's still under discussion afaik.

So maybe someone at Metro got a call from the PRA kindly asking them to stop reporting misleading numbers ? And they corrected it in Q3 ?
@jakub53221468

Of course, Metro Bank are well known for their advanced techniques in capital ratio calculations 😆

@Frances_Coppola you'll love this, I think