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Large Banks Can Absorb an Extreme 5% Mortgage Loss Rate - Bloomberg

CANADA
  • Bloomberg analysis shows that when assuming a loss rate of 5% on uninsured mortgages (the peak delinquency rate in the US during the GFC), CET1 capital ratios of all large Canadian banks "fall below their new minimum hurdle of 11.5%, but remain above their minimum regulatory requirement of 8%, which excludes the domestic stability buffer, which will be lowered during a crisis." More here.
  • The findings help corroborate the continued outperformance of Canadian banks compared to their US counterparts since the SVB fallout in early- to mid- March.

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