I wonder why they'd opt for Ethereum (which incorporates proof-of-work) instead of using something like Hyperledger Fabric. I mean the banks all know each other already, so they might as well just use a permissioned blockchain, instead of a permissionless.

Big banks like UBS are also on the Hyperledger train [0].

[0] - https://www.hyperledger.org/news/2016/09/29/ubs-to-build-blo...