Risk Quantum/TD Bank
‘Big Five’ Canadian banks’ provisions doubled in pandemic year
Over three months to end-January, though, set-asides dropped dramatically
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
Model change erodes credit RWAs at TD
US retail loans have grown 23% in two years
Foreign banks and Fed at odds on stress test impacts
HSBC North America predicted a loan-loss rate of 2.7%, well below the Fed’s 6% estimate
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
TD Bank’s US unit incurred eight VAR breaches in 2019
Number of backtesting exceptions pushed the bank’s VAR capital multiplier to 3.75
Big Canadian banks face C$1bn capital hike on securitisation changes
RBC faces C$551 million uplift alone