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
The big five Canadian banks – Royal Bank of Canada, Bank of Montreal, TD Bank, Scotiabank and CIBC – are using the standardised approach (SA) to calculate their market risk capital requirements under new rules known as the Fundamental Review of the Trading Book (FRTB), which took effect in Canada in January.
A spokesperson for the Canadian bank regulator, the Office of the Superintendent of Financial Institutions (Osfi), confirms that none of the banks it supervises are currently using the
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