Risk Quantum/Canadian Imperial Bank of Commerce (CIBC)
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
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
Big Canadian banks face C$1bn capital hike on securitisation changes
RBC faces C$551 million uplift alone
At CIBC, update to loan-loss model lifts credit provisions 38%
Darker economic outlook justified a shift in ECL model weightings
Among Canadian banks, credit provisions leap highest at BMO
Aggregate provisions for credit losses up 0.7% quarter-on-quarter at “Big Five”
At CIBC, commodity, forex and rate risks raise VAR 12%
Market risk capital requirement jumps to C$695 million on value-at-risk surge
Model changes, asset growth boost Canada bank RWAs
TD Bank brings credit card portfolio under A-IRB
Canadian banks see loan-loss reserves diverge
Provisions rise at Scotiabank and BMO; drop off at TD Bank, CIBC and RBC
US branches of foreign banks shed $91 billion of reserves in 2018
Drop-off coincides with Fed’s ‘normalisation’ strategy