Risk Quantum/Canadian Imperial Bank of Commerce (CIBC)
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
Canadian Big Five hoard reserves as credit outlook decays
Four of the five largest Canadian lenders saw provisions rise, with BMO the only outlier
Canadian lenders resilient to oil rout
Just 1.7% of 'Big Five' total loans exposed to energy producers
CIBC the outlier as Big Five loan-loss ratios improve
CIBC’s PCL ratio stood at 0.29% at end-July, up from 0.24% the previous quarter