Canadian Imperial Bank of Commerce (CIBC)
Wall Street giants rack up VAR breaches
Goldman hit hardest as JP Morgan, BofA and Morgan Stanley also exceed model forecasts in Q1
FRTB may bite harder for Europe’s CVA modellers
Farther reach of advanced approach and lighter load on total requirements mean limited takeaways from Canada and Japan’s implementation
A peek under the hood of Canadian banks’ new CVA machine
Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives
Impaired loans surge at Canadian banks
RBC leads increase with soured C$1.5bn utility loan
Default and credit spread risks drive Canadian banks’ FRTB charges
New Basel III disclosures give first glimpse into market risk mix after internal models retirement
RBC’s CVA risk charges swell 42% in first year under FRTB
Bloating RWAs contrast with declines at peers employing new standardised approach
Goldman chalks up highest VAR breach since pandemic
Nine breaches in total across 34 banks in Q3
Op risk data: Macquarie mauled by securities mismarks
Also: Danske’s costliest branch, tedious times for TD, and WhatsApp won’t stop. Data by ORX News
Fourteen US banks poised to benefit from curtailed market risk rule
Fed’s changes to Basel III endgame proposal would keep regional banks with limited trading activity exempt from costly FRTB requirements
CIBC’s VAR hits highest since 2008 amid interest rate risk surge
Client and market-making activities responsible for 44% increase
TD Bank, CIBC lead Canada’s Big Five in LCR dip
Liquidity coverage worsens with record outflows from secured wholesale funding
Turbocharging tech for next-level risk analytics
As regulatory demands and market conditions constantly change, investing in robust risk analytics is becoming not only a business necessity, but an essential compliance requirement
Canada’s top dealers boost derivatives clearing as FRTB kicks in
BMO, RBC and TD Bank cleared record C$45.1 trillion in notionals in Q1
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
No Canadian banks using internal models as FRTB kicks in
One bank still plans to adopt IMA after delays prevented it going live in January
At Canada’s Big Five, impairments keep creeping up
BMO leads the group with bad loans up 39% quarter on quarter
Impaired loans surpass pandemic peaks at CIBC, Scotiabank
At five Canadian banks, troubled loans up 40% year-on-year
Pimco powers BNP Paribas to top of repo rankings
Counterparty Radar: French dealer grew its repurchase book by 65% in first quarter
US G-Sibs’ OTC derivatives hit record $243 trillion
JP Morgan leads US dealers in boosting notional amounts during volatile first quarter
State Street triples repo book to become top US fund dealer
Counterparty Radar: Pimco trades boost Boston bank as sector volumes hold steady in Q4
Athene dominates FX forwards market for US life insurers
Counterparty Radar: Morgan Stanley claims top dealer spot in $56 billion sector