Canadian banks’ market RWAs spike on FRTB switch

CIBC, TD Bank and Scotia saw end-January charges jump amid overall ditching of internal models at Canada’s big five

The implementation of the final Basel III framework triggered higher market risk-weighted assets (RWAs) at three of the big five Canadian banks – Bank of Montreal (BMO), Canadian Imperial Bank of Commerce (CIBC), Royal Bank of Canada (RBC), Scotiabank and TD Bank – as dealers came to terms with the new rules known as the Fundamental Review of the Trading Book (FRTB).

On aggregate, the five banks saw market RWAs rise 8% or C$7.6 billion ($5.6 billion) at the end of January – the first reporting

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