Canada
Interest rate swaps help BMO keep M&A deal on track
Hedges to safeguard the Bank of the West acquisition have already yielded $2.7bn in mark-to-market gains
BMO sees $6.3bn RWA increase from capital floor add-on
The bank is the first of Canada’s big five to be bound by the floor as implemented in 2018
Danske, Deutsche and PNC pin SVAR to Covid-19
Most global banks continue to use the global financial crisis to stress-test their portfolios
Private equity is finding ways to attract smaller investors
Platforms and funds of funds make it easier to get money out, but opacity and liquidity risk remain
Isda broadens FRTB carbon trading study to win over sceptics
New study shows risk weights too high for US markets, but data from 2008 still missing
Op risk data: Barclays bungles multi-billion-dollar note issue
Also: Russia sanctions redux; Lloyd’s of London names bullying and sexism brokerage. Data by ORX News
FRTB capital quirk for sovereign bonds bewilders banks
EU treatment of govvies under internal models is worse than standardised approaches
Canada looks beyond bankers’ acceptance market in rate reform
Banks “moving away” from antiquated lending practice that is a key input for CDOR benchmark
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Source of systemic risk varies by region
European, Canadian and UK banks are too big to fail because of their cross-border activities, Chinese and Japanese banks because of their size
Most G-Sibs fail to disclose financed emissions
None of the world’s top 30 banks disclose climate impact of their whole portfolio
China, Turkey lead regulatory laggards on Basel III framework
Argentina, Australia, Brazil, Japan and Korea made no progress at all since May 2020
Level 3 assets at global systemic banks down 36% since 2014
Hard-to-value holdings down sharply over the past six years, but pandemic threw spanner in the works at some banks
RBC lifts CET1 ratio by 80bp with model parameter update
Reclassification of small business clients carves out C$26 billion of credit risk
End of SVAR relief hikes market risk at Canada’s ‘Big Five’
Market RWAs increased by C$13.9 billion over the three months to end-July
The race to offload the world’s biggest pool of assets
Specialist insurers on both sides of the Atlantic expect a bumper post-Covid second half of 2021
At TD and RBC, higher deposits weigh on LCR
Higher net cash outflows in Q2 keep liquidity coverage pressures up
Canada’s top banks cut loan-loss provisions by $1.2bn
The decrease in set-asides represents a 92% fall quarter on quarter
At Canada’s ‘Big Five’, counterparty and op RWAs grew in 2020
Credit, market RWAs ebbed over the year
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
High-earning banks set aside more Covid provisions – BIS
Provisions across 70 banks in H1 2020 were almost quadruple those taken in H2 2019
‘Big Five’ Canadian banks’ provisions doubled in pandemic year
However, over three months to end-January, set-asides dropped dramatically
CanDeal ideal: could Canada make a sea-change in e-trading?
E-trading firm aims to capture all Canada’s electronic fixed income trade, requiring a culture shift
Banks worldwide have built up liquidity buffers post-Covid
Lenders in Japan have the highest LCRs of global banks surveyed