Risk Quantum/Royal Bank of Canada (RBC)
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
Impaired loans drop 17% at RBC
Repayments on bad credits up 47% quarter on quarter
Big Five Canadian banks post C$6.6bn of loan-losses in Q3
PCLs fell 36% quarter-on-quarter
RBC’s VAR doubled in pursuit of trading windfall
Stressed VAR also surged as the bank switched stress periods
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio
Structured product losses weigh on Canadian G-Sibs
CDOs held by RBC lose C$369 million over three months
‘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
Fed dominated MMF repo trades in March
FICC and BNP Paribas among other top repo counterparties
Big Canadian banks face C$1bn capital hike on securitisation changes
RBC faces C$551 million uplift alone
Over 2019, loan-loss reserves up 50% at RBC
Percentage of provisions to total loans up to 0.32%
MMF repo volumes fell 8% in September
FICC remained largest single counterparty for US Treasury repo