Canada
Quant Guide 2020: University of Toronto
Toronto, Ontario, Canada
Big Canadian banks face C$1bn capital hike on securitisation changes
RBC faces C$551 million uplift alone
Upgrade to derivatives system dents trading revenue at TD
Real-time mark-to-market of portfolio should cut trading revenue volatility in future
At CIBC, update to loan-loss model lifts credit provisions 38%
Darker economic outlook justified a shift in ECL model weightings
Over 2019, loan-loss reserves up 50% at RBC
Percentage of provisions to total loans up to 0.32%
BMO braces for SA-CCR, revised securitisation charges
Bank expects C$100m equity hit through introduction of IFRS 16
Loan-loss provisions climb C$40m at Scotiabank
Canadian lender reports provisions 28% higher than in Q3 2018
TD Bank added to too-big-to-fail list
The bank’s total exposures climbed 2.4% to €931 billion year-on-year
Among Canadian banks, credit provisions leap highest at BMO
Aggregate provisions for credit losses up 0.7% quarter-on-quarter at “Big Five”
TD Bank closes on TLAC target
Lender sold four bail-in bonds last quarter, boosting its TLAC ratio to 18.9%
Bail-in bond sales catapult BMO towards TLAC target
Bank’s TLAC ratio hits 19.4% following debt issuances
Scotiabank eyes capital savings following divestments
Wind down of overseas investments expected to increase CET1 capital ratio by 50bp
At CIBC, commodity, forex and rate risks raise VAR 12%
Market risk capital requirement jumps to C$695 million on value-at-risk surge
RBC expands market risk model scope
Moving assets off standardised approach contributed to 6% quarter-on-quarter RWA decline
Uniform? Op risk capital rules go their own ways
Europe and Canada set to include historical losses in new standardised approach; Australia probably not
Basel’s unlikely victim: venture capital
Changes to credit risk framework could block alternative path for EU banks to finance SMEs
Credit data: more trouble in the oil and gas pipeline
US self-sufficiency in oil could be bad news for shale producers
Model changes, asset growth boost Canada bank RWAs
TD Bank brings credit card portfolio under A-IRB
Canadian banks see loan-loss reserves diverge
Provisions rise at Scotiabank and BMO; drop off at TD Bank, CIBC and RBC
Canadian Big Five hoard reserves as credit outlook decays
Four of the five largest Canadian lenders saw provisions rise, with BMO the only outlier
Choppy markets, buying spree cause 28% VAR surge at BMO
The bank's VAR spiked for all asset classes bar commodities on the prior quarter
Overseas push amps Scotiabank credit risk
Loan-loss provisions for the international unit made up 69% of the bank's total in 2018