![](/sites/default/files/styles/free_crop/public/2022-12/Risk%20Quantum%20Article%20Header%20Banks.png.webp?itok=socZ35h1)
![Risk.net](https://www.risk.net/sites/default/files/styles/print_logo/public/2018-09/print-logo.png?itok=1TpHrpuP)
Structured product losses weigh on Canadian G-Sibs
CDOs held by RBC lose C$369 million over three months
RBC and TD Bank, Canada’s two global systemically important banks (G-Sibs), disclosed hefty paper losses on holdings of structured securities last quarter.
RBC reported a net C$369 million ($269 million) unrealised loss on a C$7.9 billion portfolio of collateralised debt obligations (CDOs) over the three months to end-April. Over the preceding three months, unrealised losses on these instruments had been just $4 million. Non-CDO asset-backed securities (ABS) also fell in value, by a net C$44
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
Eleven banks fall below buffer requirements in latest DFAST
Goldman Sachs worst performer among 31 participating banks, with 450bp gap between stressed CET1 ratio and all-in capital requirements
Shift to SEC-SA pushes Helaba’s charges for securitisation exposures to record high
Standardised RWAs account for 63% of the bank’s total following fivefold increase
Ice Europe’s liquid resources up 27% under new model
More comprehensive stress-testing model pushes highly marketable collateral to record high in Q1
CIBC’s VAR hits highest since 2008 amid interest rate risk surge
Client and market-making activities responsible for 44% increase
RBI’s structural FX charges climb on unhedgeable ruble
Trading-book RWAs under the standardised approach have soared 234% since Ukraine invasion
Default funds at CME, JSCC and OCC grew to record levels in Q1
CCPs’ skin in the game fails to keep pace with member contributions
ABN Amro, Intesa lead EU IMA users with RWA surges
Rates volatility tests models in their twilight years before FRTB forces shelving
Open position concentration hits record high at top CCPs
LCH, Nasdaq and Eurex report biggest quarterly jumps among 16 clearing houses
Most read
- Harvesting the FX skew premium
- How steepener trades burned hedge funds, and what happened next
- House of cards? The $3 trillion (non-systemic) real estate risk