Risk Quantum/Royal Bank of Canada (RBC)
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
SocGen closest to TLAC minimum among G-Sibs
Gap between bail-in funds and required amounts narrows at Canadian lenders; Wells Fargo buffer smallest in US
DFAST 2024: IHCs outperform US banks despite steeper CET1 ratio decline
US subsidiaries of Deutsche Bank, UBS and RBC lead intermediate holding companies in biggest capital requirement drops
TD Bank, CIBC lead Canada’s Big Five in LCR dip
Liquidity coverage worsens with record outflows from secured wholesale funding
RBC’s CVA capital charge up 22% since FRTB adoption
Bank eschewed revised standardised approach in favour of simpler yet constraining formulas
Canada’s top dealers boost derivatives clearing as FRTB kicks in
BMO, RBC and TD Bank cleared record C$45.1 trillion in notionals in Q1
US FCMs far apart on target residual interest levels
Dealers diverge widely in how much capital they deem necessary to cover customer fund shortfalls
Canadian banks’ market RWAs spike on FRTB switch
CIBC, TD Bank and Scotia saw end-January charges jump amid overall ditching of internal models at Canada’s Big Five
At Canada’s Big Five, impairments keep creeping up
BMO leads the group with bad loans up 39% quarter on quarter
HSBC leads global uptick in OTC derivatives clearing
Systemic banks cleared record €250 trillion in notionals in 2022
Citi propels G-Sibs’ OTC derivatives notionals to nine-year high
Bank leapfrogged Goldman as fourth-largest derivatives dealer after 20% jump over 2022