Risk Quantum/Bank of Montreal (BMO)
US unit of BBVA on the brink of a VAR breach in Q1
Largest loss-to-VAR ratio at the firm was highest among the 12 intermediate holding companies
At Canada’s ‘Big Five’, counterparty and op RWAs grew in 2020
Credit, market RWAs ebbed over the year
‘Big Five’ Canadian banks’ provisions doubled in pandemic year
However, over three months to end-January, set-asides dropped dramatically
CVA charges for Canadian dealers edge off Covid highs
At CIBC, CVA charges fell 12% quarter on quarter
Canada’s ‘Big Five’ see loan-loss provisions halve in Q4
BMO alone recorded a 59% quarter-on-quarter reduction
‘Big Five’ Canadian banks post C$6.6bn of loan-losses in Q3
PCLs fell 36% quarter-on-quarter
BMO, Scotia crush CVA charges
CVA capital requirement fell 48% at BMO last quarter
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio
‘Big Five’ Canadian banks’ loan-loss charges quadruple
Reserves for performing loans increase 32-fold quarter-on-quarter
Trading losses at US units of Deutsche, RBC exceed VAR by 1,000%
Wild markets overwhelmed foreign banks’ value-at-risk estimates
Big Canadian banks face C$1bn capital hike on securitisation changes
RBC faces C$551 million uplift alone
BMO braces for SA-CCR, revised securitisation charges
Bank expects C$100m equity hit through introduction of IFRS 16