Risk Quantum/Royal Bank of Canada (RBC)
Exposures with undisclosed risk-weights hit new highs at US banks
Assets in the ‘other’ category of standardised risk-weights grow to $700bn
Foreign banks see steeper CET1 declines in US and EU stress tests
Strong starting capital buffers at overseas subsidiaries eroded by outsized hits
US G-Sibs’ non-bank assets surpass $6trn for first time
After plateauing for years, non-bank asset shares surged in 2024, led by Citi and JPM
Canada Big Five set aside C$1.7bn amid tariff uncertainty
Surge in performing loan provisions pushes allowances past pandemic peak
FRTB may bite harder for Europe’s CVA modellers
Farther reach of advanced approach and lighter load on total requirements mean limited takeaways from Canada and Japan’s implementation
A peek under the hood of Canadian banks’ new CVA machine
Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives
Impaired loans surge at Canadian banks
RBC leads increase with soured C$1.5bn utility loan
Default and credit spread risks drive Canadian banks’ FRTB charges
New Basel III disclosures give first glimpse into market risk mix after internal models retirement
RBC’s CVA risk charges swell 42% in first year under FRTB
Bloating RWAs contrast with declines at peers employing new standardised approach
US MMF investments near $7trn amid short-term yield chasing
Surging inflows led some managers to turn to Fed’s RRP facility for risk-free cash allocation