Canada
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
StanChart boosted OTC clearing rate by 11.7pp in 2023
Tilt contrasts with move away from CCP trades at Citi, Wells Fargo
An AI-first approach to model risk management
Firms must define their AI risk appetite before trying to manage or model it, says Christophe Rougeaux
Canada benchmark shaken by T+1 hedge fund influx
Shortened settlement cycle swept hedge fund trades into Corra, making the rate more volatile
CCPs’ skin in the game drops to historic low
Clearing members bear increasing load, analysis of 15 clearing houses shows
TD US to sell up to $50bn of securities
Asset cap imposed after AML settlement limits growth of retail banking arm
Nine jurisdictions yet to finalise Basel III rules
Turkey and South Africa worst laggards, with no final drafts published
SocGen closest to TLAC minimum among G-Sibs
Gap between bail-in funds and required amounts narrows at Canadian lenders; Wells Fargo buffer smallest in US
Scotiabank pivots to standardised approach for securitisation exposures
Risk-weighted assets under SEC-SA jump 450% in three months to end-July
TD Bank’s op risk charges spike amid anti-money laundering probe
Record-high RWAs push bank’s core ratio to its lowest in four years
Sovereign ‘greenium’ differs more than you might think
Term structure data shows wide variation in yields for green sovereign debt, argues economist
CIBC’s VAR hits highest since 2008 amid interest rate risk surge
Client and market-making activities responsible for 44% increase
Model teams fear budget cuts as FRTB wipeout looms
Senior modellers think supervisory intervention is needed to prevent funding drought
TD Bank, CIBC lead Canada’s big five in LCR dip
Liquidity coverage worsens with record outflows from secured wholesale funding
RBC’s CVA capital charge up 22% since FRTB adoption
Bank eschewed revised standardised approach in favour of simpler yet constraining formulas
BMO’s cloud migration strategy eases AI adoption
Canadian bank is beginning to roll out GenAI tool for internal use cases
Canada’s triparty repo launch aims to fill C$60bn void
Test trades on TMX/Clearstream platform represent “quantum leap” for creaking funding markets
Record rise in concentration at top CCPs leads to all-time high
Median top-five member open position concentration rises 2.4pp in Q4
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
Canada’s FRTB pioneers get snowed on fund-linked trades
As Basel capital reforms go live, risk managers eye early adopters’ progress and push to improve capital treatment of fund-linked products