Model change erodes credit RWAs at TD

Louie Woodall
27 Aug 2020

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Canadian lender TD Bank won approval to risk-weight a portfolio of US loans using its own internal models over the three months to end-July, which contributed to a big fall in its credit risk capital charge and boost to its overall solvency ratio.

As of fiscal Q3, TD is allowed to assess non-retail loans held in its US retail division using the advanced internal ratings-based approach (A-IRB), a portfolio that was previously risk-weighted using the regulator-set standardised approach.

This

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