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
Canada’s top banks saw market risk-weighted assets (RWAs) jump after a temporary reduction in the stressed value-at-risk multiplier was rescinded in May by the Office of the Superintendent of Financial Institutions (OSFI).
Market RWAs increased by C$13.9 billion ($11.1 billion) across Bank of Montreal (BMO), Canadian Imperial Bank of Commerce (CIBC), Royal Bank of Canada (RBC), Scotiabank and TD Bank.
The highest climb in nominal terms was at TD Bank, where market RWAs rose C$3.7 billion to C
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