Canada
RBC’s settlement risk charges blow up 260%
C$3.5 billion RWA figure marks one of the heftiest capitalisation of held-up trades ever by a bank
Basel III TLAC shortfall widens to €30bn
Three systemic banks responsible for the increase in latest Basel Committee assessment
BMO, TD and US Bancorp hit by out-of-the-money goodwill hedges
Derivatives meant to offset dilution of capital in acquisitions turned loss-making as yields temporarily slumped
Op risk data: Cerberus fight bites $850m off CIBC
Also: SEC targets dodgy disclosures; Commerzbank’s Wirecard hit. Data by ORX News
Canada approves term Corra rate
CARR restricts use cases but mulls allowing interdealer hedging of derivatives on new benchmark
FSB: third of climate stress tests not tackling physical risk
Six jurisdictions conducted exercises only for transition risk
BMO suffers C$10bn capital floor bite
Charges to constraint-modelled RWAs rose sixfold during Q3
OTC clearing rebounded at G-Sibs in 2021
Trend reverses as bilateral settlement of OTC derivatives loses previous year’s gains
Cross-border risk dominates 2022 G-Sib scores
Overseas lending and borrowing largest contributor to scores of banks in Canada, EU, Japan, Singapore, Switzerland and UK
Hong Kong, India, Turkey lag behind on Basel III framework
Only Canada, Japan and Saudi Arabia ready for full implementation as January deadline approaches
SA-CCR’s sacrifice: who stands to lose from new capital rules
Risk.net research shows the potential for dealers to be left at a disadvantage to their foreign rivals
BMO takes C$983m loss on Bank of the West merger hedges
Temporary inversion of yield curve hit swaps safeguarding target’s fair value
RBC takes $296m hit on underwritten syndicated loans
The latest markdowns were higher than at the outbreak of the pandemic
Canada term rate plan sparks ‘inverted pyramid’ debate
Some dealers push back on forward-looking Corra proposal amid low derivatives liquidity
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