Royal Bank of Canada : Afficher Quantitative Tables(Téléchargement de document Excel)
February 24, 2021 at 08:35 am EST
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As at January 31, 2021
Royal Bank of Canada Pillar 3 QuantitativeTables - in Excel format
Table of Content
Table of Content - Pillar 3 Quantitative tables only
OVERVIEW OF KEY METRICS, RISK MANAGEMENT AND RWA
KM1: Key Capital and Leverage metrics (at consolidated group level)
KM1
OV1: Overview of risk weighted assets (RWA)
OV1
RWA: Risk-Weighted Assets by Regulatory Approach
RWA
LINKAGES BETWEEN FINANCIAL STATEMENTS AND REGULATORY EXPOSURES
LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories
LI1
LI2: Main sources of differences between regulatory exposure amounts and carrying values in financial statements
LI2
CAPITAL
CC1: Composition of Capital
CC1
CC2: Regulatory capital balance sheet
CC2
CREDIT RISK
CR1: Credit quality of assets
CR1
CRB_e: Breakdown of exposures by geographical areas, industry and residual maturity
CRB_e
CRB_f: Amounts of impaired exposures
CRB_f_a
CRB_f_b
CRB_f_c
CRB_g: Ageing analysis of accounting past-due exposures
CRB_g
CRB_h: Breakdown of restructured exposures between impaired and not impaired exposures
KM1: Key Capital and Leverage metrics (at consolidated group level)
(Millions of Canadian dollars)1
a
b
c
d
January 31
October 31
January 31
Q o Q Change (a-b)
2021
2020
2020
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
69,555
68,082
63,054
1,473
1a
Common Equity Tier 1 with transitional arrangements for ECL provisioning not applied
68,579
66,635
2
Tier 1
76,733
74,005
68,709
2,728
2a
Tier 1 with transitional arrangements for ECL provisioning not applied
75,757
72,559
3
Total capital
86,543
84,928
78,220
1,615
3a
Total capital with transitional arrangements for ECL provisioning not applied
86,543
84,928
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
557,519
546,242
523,725
11,277
Risk-based capital ratios as a percentage of RWA
5
Common Equity Tier 1 ratio
12.5%
12.5%
12.0%
-
5a
Common Equity Tier 1 ratio with transitional arrangements for ECL provisioning not applied
12.3%
12.2%
6
Tier 1 ratio
13.8%
13.5%
13.1%
0.3%
6a
Tier 1 ratio with transitional arrangements for ECL provisioning not applied
13.6%
13.3%
7
Total capital ratio
15.5%
15.5%
14.9%
-
7a
Total capital ratio with transitional arrangements for ECL provisioning not applied
15.5%
15.5%
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement
2.5%
2.5%
2.5%
-
9
Countercyclical buffer requirement2
0.0%
0.0%
0.0%
-
10
Bank G-SIB and/or D-SIB additional requirements
1.0%
1.0%
1.0%
-
11
Total of bank CET1 specific buffer requirements (row 8 + row 9 + row 10)
3.5%
3.5%
3.5%
-
12
CET1 available after meeting the bank's minimum capital requirements (row 5 - 8%)3
4.5%
4.5%
4.0%
-
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,585,334
1,552,863
1,629,884
32,471
14
Basel III leverage ratio (row 2 / row 13)
4.8%
4.8%
4.2%
-
14a
Basel III leverage ratio (row 2a / row 13) with transitional arrangements for ECL provisioning not applied
4.8%
4.7%
1 This table incorporates the impact of expected credit loss (ECL) accounting on regulatory capital including transitional ECL provisioning modification granted by OSFI on Mar. 27, 2020. This ECL provisioning modification reduced from a 75% after-tax exclusion rate for growth in Stage 1 and Stage 2 allowances allowed in 2020 to only a 50% after-tax exclusion rate allowed for 2021.
2 Bank specific countercyclical buffer requirement for Q1 2021 was not material (Q4 2020 was not material; Q1 2020 - 2bps), the amount which is determined based on our private sector exposures in jurisdictions identified by BCBS.This reflects recent jurisdictional decreases in the required countercyclical buffer requirement.
3 8% reflects minimum capital requirements which includes D-SIB/G-SIB surcharge, and excludes the OSFI Domestic Stability Buffer of 1% effective Q2 2020 (2% in Q1 2020). Refer to our 2020 Annual Report as updated by our Q1 2021 Report to Shareholders.
OV1
OV1: Overview of risk weighted assets (RWA)
The following table presents an overview of our RWA and the related minimum capital requirements by risk type.
(Millions of Canadian dollars)
a
b
c
d
e
RWA
Minimum capital requirement1
RWA
January 31
October 31
January 31
January 31
Change (a-b)
2021
2020
2020
2021
1
Credit risk (excluding counterparty credit risk)
368,824
361,605
350,825
29,506
7,219
2
Of which Standardized approach (SA)
96,011
93,289
88,045
7,681
2,722
3
Of which Internal rating-based (IRB) approach
272,813
268,316
262,780
21,825
4,497
4
Counterparty credit risk (CCR)
56,884
54,315
46,493
4,550
2,569
4a
Of which other CCR
11,367
10,057
11,184
909
1,310
4b
Credit valuation adjustment (CVA)
18,412
18,171
12,703
1,473
241
5
Of which Standardised approach for counterparty credit risk (SA-CCR)2
27,105
26,087
22,606
2,168
1,018
6
Of which Internal model method (IMM)
-
-
-
-
-
7
Equity positions in banking book under market-based approach
2,626
2,324
2,436
210
302
8
Equity investments in funds - look-through approach
-
-
-
-
-
9
Equity investments in funds - mandate-based approach
2,846
2,902
2,702
228
(56)
10
Equity investments in funds - fall-back approach
4
-
24
-
4
11
Settlement risk
342
191
409
27
151
12
Securitisation exposures in banking book
10,780
11,489
11,448
862
(709)
12a
Of which transitional grandfathering adjustment
-
-
-
-
-
13
Of which IRB ratings-based approach (SEC-IRBA)
-
330
391
-
(330)
14
Of which External ratings-based approach (SEC-ERBA)
8,524
8,938
8,384
682
(414)
15
Of which Standardized approach (SEC-SA)
2,256
2,221
2,673
180
35
16
Market risk
28,449
27,374
28,415
2,276
1,075
17
Of which Standardized approach (SA)
12,532
12,089
12,010
1,003
443
18
Of which Internal model approaches (IMA)
15,917
15,285
16,405
1,273
632
19
Operational risk
70,908
70,047
67,243
5,673
861
20
Of which Basic Indicator Approach
-
-
-
-
-
21
Of which Standardized Approach
70,908
70,047
67,243
5,673
861
22
Of which Advanced Measurement Approach3 (AMA)
-
-
-
-
-
23
Amounts below the thresholds for deduction (subject to 250% risk weight)
15,856
15,995
13,730
1,269
(139)
24
Floor adjustment
-
-
-
-
-
25
Total (1+4+7+8+9+10+11+12+16+19+23+24)
557,519
546,242
523,725
44,601
11,277
1 The minimum capital requirements for each category can be calculated by multiplying the total RWA by 8% as per OSFI CAR guidelines.
2 Includes RWA associated with CCP exposures, which EAD is calculated based on SA-CCR.
3 Effective November 1, 2019, OSFI discontinued the AMA approach.
RWA
RWA: Risk-Weighted Assets by Regulatory Approach
The following table provides details of our risk-weighted assets by type of risk and regulatory approach.
TOTAL CAPITAL RISK-WEIGHTED ASSETS 1
Q1/2021
Q1/2021
Risk-weighted assets All-in Basis
Risk-weighted assets All-in Basis
Capital requirements
Exposure 2
Average
Other
Total 4
Total 4
Q4/2020
Q3/2020
Q2/2020
Q1/2020
(Millions of Canadian dollars, except percentage and per share amounts)
of risk
Standardized
IRB
weights 3
approach
approach
Total 4
Total 4
Total 4
Total 4
Credit risk 5
Lending-related and other
Residential mortgages
308,823
8%
9,164
15,731
-
24,895
1,992
24,604
23,334
23,503
22,658
Other retail (Personal, Credit cards and Small business treated as retail)
340,907
21%
6,886
65,226
-
72,112
5,769
60,544
59,402
59,627
59,483
Business (Corporate, Commercial, Medium-sized enterprises
and Non-bank financial institutions)
371,596
57%
51,296
159,381
-
210,677
16,854
218,803
221,410
233,045
214,990
Sovereign (Government)
306,824
5%
2,772
13,106
-
15,878
1,270
15,371
15,195
14,242
10,979
Bank
31,540
18%
1,812
3,927
-
5,739
459
5,228
6,453
6,831
5,882
Total lending-related and other
1,359,690
24%
71,930
257,371
-
329,301
26,344
324,550
325,794
337,248
313,992
Trading - related
Repo-style transactions
904,280
1%
37
10,598
96
10,731
858
9,496
9,332
8,930
10,560
Derivatives - including CVA
93,761
47%
1,905
23,452
18,753
44,110
3,529
42,917
43,768
40,686
34,137
Total trading-related
998,041
5%
1,942
34,050
18,849
54,841
4,387
52,413
53,100
49,616
44,697
Total lending-related and other and trading-related
2,357,731
16%
73,872
291,421
18,849
384,142
30,731
376,963
378,894
386,864
358,689
Banking book equities 6
3,747
138%
-
5,166
-
5,166
413
4,931
5,080
5,001
4,870
Securitization exposures
62,806
17%
5,189
5,591
-
10,780
862
11,489
11,689
12,716
11,448
Regulatory scaling factor 7
n.a.
n.a.
n.a.
17,795
-
17,795
1,424
17,385
17,540
18,126
16,963
Other assets
31,327
129%
n.a.
n.a.
40,279
40,279
3,222
38,053
36,595
40,860
36,097
Total credit risk
2,455,611
19%
79,061
319,973
59,128
458,162
36,652
448,821
449,798
463,567
428,067
Market risk8,9
Interest rate
2,409
5,717
-
8,126
650
7,841
11,164
6,213
6,642
Equity
2,742
1,331
-
4,073
326
3,628
3,751
2,971
3,847
Foreign exchange
2,270
331
-
2,601
208
2,917
2,714
2,403
2,566
Commodities
232
47
-
279
22
287
245
255
239
Specific risk
4,879
1,406
-
6,285
503
5,985
7,322
7,713
8,358
Incremental risk charge10, 11
-
7,085
-
7,085
567
6,716
7,080
7,345
6,763
Total market risk
12,532
15,917
-
28,449
2,276
27,374
32,276
26,900
28,415
Operational risk
70,908
-
n.a.
70,908
5,673
70,047
69,347
67,945
67,243
Total risk-weighted assets (RWA)
2,455,611
162,501
335,890
59,128
557,519
44,601
546,242
551,421
558,412
523,725
1 Calculated using guidelines issued by OSFI under the Basel III All-in framework.
2 Total exposure represents exposure at default (EAD) which is the expected gross exposure upon the default of an obligor. This amount excludes any allowance against impaired loans or partial write-offs and does not reflect the impact of credit risk mitigation. Exposures acquired through the Federal Reserve Paycheck Protection Program lending facility have been excluded, as required by OSFI.
3 Represents the average of counterparty risk weights within a particular category.
4 The minimum capital requirements for each category can be calculated by multiplying the total RWA by 8% as per OSFI CAR guidelines.
5 For credit risk, a majority of our portfolios use the Internal Ratings Based (IRB) Approach and the remainder use the Standardized Approach.
6 CAR guidelines define banking book equities based on the economic substance of the transaction rather than the legal form or accounting treatment associated with the financial instrument. As such, differences exist in the identification of equity securities held in the banking book and those reported in the financial statements. Banking book equities are financial instruments held for investment purposes and are not part of our trading book, consisting of publicly-traded and private equities, partnership units, venture capital and derivative instruments tied to equity interests. As at Q1/21, the amount of publicly-traded equity exposures was $1,668 million and private equity exposures amounted to $2,079 million. Total exposure represents EAD, which is the expected gross exposure upon the default of an obligor. Under OSFI guidelines, the Simple Risk Weight method under the Market-based Approach is being used to calculate RWA for direct equity exposures ($2,593 million). The calculation of RWA for Equity Investments in Funds ($1,153 million) uses the Mandate-based and Fall-Back Approaches.
7 The scaling factor represents a calibration adjustment of 6% as prescribed by OSFI under the Basel III framework and is applied to RWA amounts for credit risk assessed under the IRB Approach.
8 For market risk RWA measurement, we use an internal models approach where we have obtained regulatory approval, and a standardized approach for products yet to be approved. For standardized approach, we use internally validated models.
9 Regulatory capital for our correlation trading portfolios is determined through the standardized approach as prescribed by OSFI. Therefore, we do not have a Comprehensive Risk Charge for these portfolios. Our securitization and resecuritization positions in our trading book also have capital requirements under the standardized approach. The changes in value due to market and credit risk in the securitization and resecuritization in the trading book are managed through the daily mark-to-market process. Furthermore, we employ market risk measures such as sensitivities to changes in option-adjusted spreads and underlying asset prices as well as value-at-risk (VaR) and stress testing measures.
10 The incremental risk charge (IRC) was $557 million as at Q1/21. The average was $564 million, high was $677 million and low was $452 million for Q1/21. The IRC is measured over a one-year horizon at a 99.9% confidence level. We utilize a technique known as the Monte Carlo simulation process to generate a statistically relevant number of loss scenarios due to ratings migration and default in order to establish the losses at that confidence level. We also make certain assumptions about position liquidity (the length of time to close out a position) within the model that range from a floor of three months to maximum of one year. The determination of liquidity is based on issuer type and credit rating. Credit rating migration and default probabilities (PD) are based on historical data.
11 The models are subject to the same internal independent vetting and validation procedures used for all regulatory capital models. Important assumptions are re-reviewed at least annually. Due to the long time horizon and high confidence level of the risk measure, we do not perform back-testing as we do for the VaR measure.
LI1
LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories
The following table provides the differences between carrying values presented in our financial statements prepared in accordance with International Financial Reporting Standards (IFRS) and our regulatory exposures. It further breaks down the amounts in our financial statements into regulatory risk categories.
As at January 31, 2021
a
b
c
d
e
f
g
(Millions of Canadian dollars)
Carrying values as reported in published financial statements
Carrying values under scope of regulatory consolidation
Carrying values of items:1
Subject to credit risk framework
Subject to counterparty credit risk framework
Subject to the securitization framework
Subject to the market risk framework
Not subject to capital requirements or subject to deduction from capital
Assets
Cash and due from banks
149,588
149,588
149,414
174
-
-
-
Interest-bearing deposits with banks
33,731
33,731
33,731
-
-
-
-
Securities
Trading
148,023
136,539
2,549
-
48
133,942
-
Investment, net of applicable allowance
139,459
136,556
127,009
-
9,573
-
(26)
287,482
273,095
129,558
-
9,621
133,942
(26)
Assets purchased under reverse repurchase agreements and securities borrowed
311,033
311,033
-
311,034
-
-
(1)
Loans
Retail
464,579
464,234
464,234
-
-
-
-
Wholesale3
213,462
211,058
190,781
1,472
8,219
4,374
6,212
678,041
675,292
655,015
1,472
8,219
4,374
6,212
Allowance for loan losses
(5,478)
(5,478)
-
-
-
-
(5,478)
672,563
669,814
655,015
1,472
8,219
4,374
734
Segregated fund net assets
2,127
-
-
-
-
-
-
Other
Customers' liability under acceptances
18,756
18,756
18,877
-
-
-
(121)
Derivatives2
110,917
111,676
-
111,676
-
107,658
-
Premises and equipment, net
7,835
7,817
7,817
-
-
-
-
Goodwill
11,085
11,085
-
-
-
-
11,085
Other intangibles
4,633
4,514
-
-
-
-
4,514
Other assets
61,401
64,337
33,215
25,486
-
4,530
1,106
214,627
218,185
59,909
137,162
-
112,188
16,584
Total assets2
1,671,151
1,655,446
1,027,627
449,842
17,840
250,504
17,291
Liabilities and equity
Deposits
Personal
348,304
348,304
-
-
-
-
348,304
Business and government
660,064
660,802
-
-
-
-
660,802
Bank
46,229
46,229
-
-
-
-
46,229
1,054,597
1,055,335
-
-
-
-
1,055,335
Segregated fund net liabilities
2,127
-
-
-
-
-
-
Other
Acceptances
18,881
18,881
-
-
-
-
18,881
Obligations related to securities sold short
32,569
32,569
-
-
-
-
32,569
Obligations related to assets sold under repurchase agreements and securities loaned
274,907
274,907
-
274,907
-
-
-
Derivatives2
106,071
106,071
-
106,071
-
103,275
-
Insurance claims and policy benefit liabilities
12,754
-
-
-
-
-
-
Other liabilities
69,810
68,195
-
-
-
-
68,195
514,992
500,623
-
380,978
-
103,275
119,645
Subordinated debentures
9,186
9,186
-
-
-
-
9,186
Total liabilities2
1,580,902
1,565,144
-
380,978
-
103,275
1,184,166
Equity attributable to shareholders
Preferred shares
7,215
7,215
-
-
-
-
7,215
Common shares
17,638
17,638
-
-
-
-
17,638
Retained earnings
62,751
62,774
-
-
-
-
62,774
Other components of equity
2,545
2,575
-
-
-
-
2,575
90,149
90,202
-
-
-
-
90,202
Non-controlling interests
100
100
-
-
-
-
100
Total equity
90,249
90,302
-
-
-
-
90,302
Total liabilities and equity2
1,671,151
1,655,446
-
380,978
-
103,275
1,274,468
1 Column c to g reflect a further breakout of column b by providing the respective CAR guideline frameworks utilized and OSFI COVID-19 guidance.
2 Derivative assets and liabilities are subject to both counterparty credit risk and market risk framework - hence column b will not equal to the sum of column c to g.
3 Amount includes exposure related to the US Government Paycheck Protection Program which are excluded from risk-weighting as per OSFI COVID-19 guidance.
LI2
LI2: Main sources of differences between regulatory exposure amounts and carrying values in financial statements
The following table provides the key differences between the exposure amounts for regulatory purposes and the accounting carrying values as presented in our financial statements that are within the scope of regulatory consolidation.
As at January 31, 2021
As at or for the year ended Current year end date
(Millions of Canadian dollars)
a
b
c
d
e
Total
Items subject to:
Credit risk framework
Securitization framework
Counterparty credit risk framework
Market risk framework
1
Asset carrying value amount under scope of regulatory consolidation (as per template LI1)1
1,638,155
1,027,627
17,840
449,842
250,504
2
Liabilities carrying value amount under regulatory scope of consolidation (as per template LI1)1
380,978
-
-
380,978
103,275
3
Total net amount under regulatory scope of consolidation
1,257,177
1,027,627
17,840
68,864
147,229
4
Off-balance sheet amounts2
1,340,561
366,398
44,966
929,197
-
5
Differences due to Fair Value adjustment
(912)
(893)
-
(19)
-
6
Differences due to different netting rules, other than those already included in row 2
1,019
1,019
-
-
-
7
Differences due to consideration of provisions
-
-
-
-
-
8
Differences due to prudential filters
-
-
-
-
-
9
Difference due to accounting and risk treatment of securitizations and other items
610
610
-
-
-
10
Exposure amounts considered for regulatory purposes
2,598,455
1,394,761
62,806
998,042
147,229
1 Amount reflects Table LI1 columns (c), (d), (e) and (f) from the previous page. Derivative assets and liabilities are subject to both counterparty credit risk and market risk framework - hence column a will not equal to the sum of column b to e.
2 Off-balance sheet amounts reflect the application of credit conversion factors.
CC1
CC1: Composition of Capital
The following table provides details of our regulatory capital and required regulatory adjustments under OSFI's CAR guidelines. Reconciliation references to CC2 of where these items are located on our IFRS and regulatory balance sheet are also included.
Composition of Capital Template (Millions of Canadian dollars, except percentage and otherwise noted)
Cross Reference of Current Quarter to Regulatory Capital Balance Sheet (CC2)
Q1/21
Q4/20
Q3/20
Q2/20
Q1/20
Common Equity Tier 1 capital (CET1): Instruments and Reserves
1
Directly issued qualifying common share capital (and equivalent for non-joint stock companies) plus related stock surplus
a+a'
17,883
17,732
17,713
17,787
17,487
2
Retained earnings
b+b'
62,506
59,573
57,573
57,196
56,298
3
Accumulated other comprehensive income (and other reserves)
c-c'
2,545
3,414
3,535
4,253
4,472
4
Directly issued capital subject to phase out from CET1 (only applicable to non-joint stock companies)
-
-
-
-
-
5
Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1)
d
12
12
12
13
12
6
Common Equity Tier 1 capital before regulatory adjustments
82,946
80,731
78,833
79,249
78,269
Common Equity Tier 1 capital: Regulatory adjustments
7
Prudential valuation adjustments
-
-
-
-
-
8
Goodwill (net of related tax liability)
e+e'+m'-t
10,984
11,198
11,252
11,483
11,189
9
Other intangibles other than mortgage-servicing rights (net of related tax liability)
f+f'-v
3,906
3,999
3,860
3,931
3,811
10
Deferred tax assets excluding those arising from temporary differences (net of related tax liability)
g
184
181
170
174
175
11
Cash flow hedge reserve
h
(907)
(1,079)
(1,208)
(1,183)
(188)
12
Shortfall of provisions to expected losses
i
-
-
-
-
295
13
Securitization gain on sale
-
-
-
-
-
14
Gains and losses due to changes in own credit risk on fair valued liabilities
j
(474)
(314)
(118)
776
(148)
15
Defined benefit pension fund net assets (net of related tax liability)
k-u
673
111
102
108
81
16
Investments in own shares (if not already netted off paid-in capital on reported balance sheet)
-
-
-
-
-
17
Reciprocal cross holdings in common equity
-
-
-
-
-
18
Non-significant investments in the capital of banking, financial and insurance entities, net of eligible short positions (amount above 10% threshold)
-
-
-
-
-
19
Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold)
-
-
-
-
-
20
Mortgage servicing rights (amount above 10% threshold)
-
-
-
-
-
21
Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability)
-
-
-
-
-
22
Amount exceeding the 15% threshold
-
-
-
-
-
23
of which: significant investments in the common stock of financials
l
-
-
-
-
-
24
of which: mortgage servicing rights
-
-
-
-
-
25
of which: deferred tax assets arising from temporary differences
m
-
-
-
-
-
26
Other deductions or regulatory adjustments to CET1 as determined by OSFI
(975)
(1,447)
(1,357)
(1,238)
-
27
Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions
-
-
-
-
-
28
Total regulatory adjustments to Common Equity Tier 1
13,391
12,649
12,701
14,051
15,215
29
Common Equity Tier 1 capital (CET1)
69,555
68,082
66,132
65,198
63,054
29a
Common Equity Tier 1 Capital (CET1) with transitional arrangements for ECL provisioning not applied
68,579
66,635
64,775
63,960
-
Additional Tier 1 capital (AT1): Instruments
30
Directly issued qualifying Additional Tier 1 instruments plus related stock surplus
7,175
5,921
5,923
4,175
4,175
31
of which: classified as equity under applicable accounting standards
n'
7,175
5,921
5,923
4,175
4,175
32
of which: classified as liabilities under applicable accounting standards
-
-
-
-
-
Composition of Capital Template continued (Millions of Canadian dollars, except percentage and otherwise noted)
Cross Reference of Current Quarter to Regulatory Capital Balance Sheet (CC2)
Q1/21
Q4/20
Q3/20
Q2/20
Q1/20
33
Directly issued capital instruments subject to phase out from Additional Tier 1
x+n''
-
-
1,478
1,478
1,478
34
Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in group AT1)
o
3
2
3
3
2
35
of which: instruments issued by subsidiaries subject to phase out
-
-
-
-
-
36
Additional Tier 1 capital before regulatory adjustments
7,178
5,923
7,404
5,656
5,655
Additional Tier 1 capital: Regulatory adjustments
37
Investments in own Additional Tier 1 instruments
-
-
-
-
-
38
Reciprocal cross holdings in Additional Tier 1 instruments
-
-
-
-
-
39
Non-significant investments in the capital of banking, financial and insurance entities, net of eligible short positions (amount above 10% threshold)
-
-
-
-
-
40
Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions
-
-
-
-
-
41
Other deductions from Tier 1 capital as determined by OSFI
-
-
-
-
-
41a
of which: reverse mortgages
-
-
-
-
-
42
Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 to cover deductions
-
-
-
-
-
43
Total regulatory adjustments to Additional Tier 1 capital
-
-
-
-
-
44
Additional Tier 1 Capital (AT1)
7,178
5,923
7,404
5,656
5,655
45
Tier 1 capital (T1 = CET1 + AT1)
76,733
74,005
73,536
70,854
68,709
45a
Tier 1 capital with transitional arrangements for ECL provisioning not applied
75,757
72,559
72,179
69,616
-
Tier 2 Capital: Instruments and Provisions
46
Directly issued qualifying Tier 2 instruments plus related stock surplus
q''+q'''''
8,005
9,049
9,078
8,932
8,451
47
Directly issued capital instruments subject to phase out from Tier 2
q'''
478
488
488
520
508
48
Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in group Tier 2)
r+q''''
28
29
26
27
27
49
of which: instruments issued by subsidiaries subject to phase out
q''''
25
26
23
24
24
50
Collective allowances
s
1,299
1,357
1,418
1,136
525
51
Tier 2 capital before regulatory adjustments
9,810
10,923
11,010
10,615
9,511
Tier 2 Capital: Regulatory adjustments
52
Investments in own Tier 2 instruments
-
-
-
-
-
53
Reciprocal cross holdings in Tier 2 instruments and Other TLAC-eligible Instruments
-
-
-
-
-
54
Non-significant investments in the capital of banking, financial and insurance entities, and Other TLAC-eligible instruments issued by G-SIBs and Canadian D-SIBs that are outside the scope of regulatory consolidation, where the institution does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold)
-
-
-
-
-
54a
Non-significant investments in the other TLAC-eligible instruments issued by G-SIBs and Canadian D-SIBs, where the institution does not own more than 10% of the issued common share capital of the entity: amount previously designated for the 5% threshold but that no longer meets the conditions.
-
-
-
-
-
55
Significant investments in the capital of banking, financial and insurance entities and Other TLAC-eligible instuments issued by G-SIBs and Canadian D-SIBs that are outside the scope of regulatory consolidation
-
-
-
-
-
56
Other deductions from Tier 2 capital
-
-
-
-
-
57
Total regulatory adjustments to Tier 2 capital
-
-
-
-
-
58
Tier 2 capital (T2)
9,810
10,923
11,010
10,615
9,511
59
Total capital (TC = T1 + T2)
86,543
84,928
84,546
81,469
78,220
59a
Total Capital with transitional arrangements for ECL provisioning not applied
86,543
84,928
84,546
81,469
-
60
Total risk-weighted assets
557,519
546,242
551,421
558,412
523,725
60a
Common Equity Tier 1 (CET1) Capital RWA
557,519
546,242
551,421
558,412
523,725
60b
Tier 1 Capital RWA
557,519
546,242
551,421
558,412
523,725
60c
Total Capital RWA
557,519
546,242
551,421
558,412
523,725
Composition of Capital Template continued (Millions of Canadian dollars, except percentage and otherwise noted)
Cross Reference of Current Quarter to Regulatory Capital Balance Sheet (CC2)
Q1/21
Q4/20
Q3/20
Q2/20
Q1/20
Capital ratios
61
Common Equity Tier 1 (as a percentage of risk-weighted assets)
12.5%
12.5%
12.0%
11.7%
12.0%
61a
CET1 Ratio with transitional arrangements for ECL provisioning not applied
12.3%
12.2%
11.7%
11.5%
0.0%
62
Tier 1 (as a percentage of risk-weighted assets)
13.8%
13.5%
13.3%
12.7%
13.1%
62a
Tier 1 Capital Ratio with transitional arrangements for ECL provisioning not applied
13.6%
13.3%
13.1%
12.5%
0.0%
63
Total capital (as a percentage of risk-weighted assets)
15.5%
15.5%
15.3%
14.6%
14.9%
63a
Total Capital Ratio with transitional arrangements for ECL provisioning not applied
15.5%
15.5%
0.0%
14.6%
0.0%
64
Buffer (minimum CET1 requirement plus capital conservation buffer plus G-SIB buffer requirement plus D-SIB buffer expressed as a percentage of risk-weighted assets)
8.0%
8.0%
8.0%
8.0%
8.0%
65
of which: capital conservation buffer
2.5%
2.5%
2.5%
2.5%
2.5%
66
of which: bank-specific countercyclical buffer
0.0%
0.0%
0.0%
0.0%
0.0%
67
of which: G-SIB buffer1
1.0%
1.0%
1.0%
1.0%
1.0%
67a
of which: D-SIB buffer
0.0%
0.0%
0.0%
0.0%
0.0%
68
Common Equity Tier 1 available to meet buffers (as a percentage of risk-weighted assets)
Amounts below the thresholds for deduction (before risk-weighting)
72
Non-significant investments in the capital and Other TLAC-eligible instruments of other financials entities
659
549
995
1,276
1,242
73
Significant investments in the common stock of financials
5,348
5,221
5,082
4,847
4,577
74
Mortgage servicing rights (net of related tax liability)
-
-
-
-
-
75
Deferred tax assets arising from temporary differences (net of related tax liability)
995
1,177
958
1,068
915
Applicable caps on the inclusion of allowances in Tier 2
76
Allowances eligible for inclusion in Tier 2 in respect of exposures subject to standardized approach (prior to application of cap)
1,028
1,075
1,027
964
525
77
Cap on inclusion of allowances in Tier 2 under standardized approach
1,028
1,075
1,027
964
525
78
Allowances eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap)
4,159
4,271
4,151
3,976
2,183
79
Cap on inclusion of allowances in Tier 2 under internal ratings-based approach
4,159
4,271
4,151
3,976
2,183
Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022)
80
Current cap on CET1 instruments subject to phase out arrangements
-
-
-
-
-
81
Amounts excluded from CET1 due to cap (excess over cap after redemptions and maturities)
-
-
-
-
-
82
Current cap on AT1 instruments subject to phase out arrangements
739
1,478
1,478
1,478
1,478
83
Amounts excluded from AT1 due to cap (excess over cap after redemptions and maturities)
-
-
22
22
22
84
Current cap on T2 instruments subject to phase out arrangements
919
1,838
1,838
1,838
1,838
85
Amounts excluded from T2 due to cap (excess over cap after redemptions and maturities)
-
-
-
-
-
1 Capital surcharge, equal to the higher of our D-SIB surcharge and the BCBS's G-SIB surcharge, is applicable to risk-weighted capital.
CC2
CC2: Regulatory capital balance sheet
The following table provides a reconciliation of our regulatory capital elements as reported in CC1 with our balance sheet prepared in accordance with IFRS and our regulatory balance sheet.
Regulatory capital balance sheet (Millions of Canadian dollars)
Cross Reference to Basel III Regulatory Capital Components (CC1)
Q1/21
Q4/20
Balance sheet as in Report to Shareholders
Under regulatory scope of consolidation
Assets
Cash and due from banks
149,588
149,588
Interest-bearing deposits with banks
33,731
33,731
Securities, net of applicable allowance
287,482
273,095
Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds
659
Other securities
272,437
Assets purchased under reverse repurchase agreements and securities borrowed
311,033
311,033
Loans
-
Retail
464,579
464,234
Wholesale
213,462
211,058
Allowance for loan losses
(5,478)
(5,478)
Collective allowance reflected in Tier 2 regulatory capital 1
s
(1,299)
Shortfall of allowances to expected loss 2
i
-
Allowances not reflected in regulatory capital
(4,179)
672,563
669,814
Segregated fund net assets
2,127
-
Other
Customers' liability under acceptances
18,756
18,756
Derivatives
110,917
111,676
Premises and equipment, net
7,835
7,817
Goodwill
e
11,085
11,085
Goodwill related to insurance and joint ventures
e'
-
Other intangibles
f
4,633
4,514
Other intangibles related to insurance and joint ventures
f'
119
Other
61,401
64,337
Significant investments in other financial institutions and insurance subsidiaries
5,348
of which: exceeding regulatory thresholds
l
-
of which: not exceeding regulatory thresholds
5,348
Defined - benefit pension fund net assets
k
907
Deferred tax assets
2,194
of which: deferred tax assets excluding those arising from temporary differences
g
184
of which: deferred tax assets arising from temporary differences exceeding regulatory thresholds
m
-
of which: deferred tax liabilities related to permitted tax netting
(1,019)
of which: deferred tax assets - other temporary differences
3,029
Other assets
55,888
of which: relates to assets of operations held for sale - Goodwill
m'
15
Total assets
1,671,151
1,655,446
1 Collective allowance includes Stage 1 and Stage 2 ACL on financial assets.
2 Expected loss as defined under the Basel III framework.
Regulatory capital balance sheet continued (Millions of Canadian dollars)
Cross Reference to Basel III Regulatory Capital Components (CC1)
Q1/21
Q4/20
Balance sheet as in Report to Shareholders
Under regulatory scope of consolidation
Liabilities
Deposits
Personal
348,304
348,304
Business and government
660,064
660,802
Bank
46,229
46,229
1,054,597
1,055,335
Segregated fund net liabilities
2,127
-
Other
-
Acceptances
18,881
18,881
Obligations related to securities sold short
32,569
32,569
Obligations related to assets sold under repurchase agreements and securities loaned
274,907
274,907
Derivatives
106,071
106,071
Insurance claims and policy benefit liabilities
12,754
-
Other liabilities
69,810
68,195
Gains and losses due to changes in own credit risk on fair value liabilities
j
(474)
Deferred tax liabilities
54
of which: related to goodwill
t
116
of which: related to intangibles
v
728
of which: related to pensions
u
234
of which: relates to permitted tax netting
(1,019)
of which: other deferred tax liabilities
-
Other Liabilities
68,615
Subordinated debentures
q
9,186
9,186
Regulatory capital amortization of maturing debentures
q'''''
(384)
Subordinated debentures not allowed for regulatory capital
q'
678
Subordinated debentures used for regulatory capital:
8,892
of which: are qualifying
q''
8,389
of which: are subject to phase out directly issued capital:
q'''
478
of which: are subject to phase out issued by subsidiaries and held by 3rd party
q''''
25
Total liabilities
1,580,902
1,565,144
Equity attributable to shareholders
90,149
90,202
Common shares
a
17,638
17,638
of which are treasury - common shares
a''
(26)
Retained earnings
62,751
62,774
of which relates to contributed surplus
a'
245
of which relates to retained earnings for capital purposes
b
62,527
of which relates to insurance and joint ventures
b'
(22)
Other components of equity
c
2,545
2,575
Gains and losses on derivatives designated as cash flow hedges
h
(907)
Unrealized foreign currency translation gains and losses, net of hedging activities
3,256
Other reserves allowed for regulatory capital
226
of which relates to Insurance
c'
30
Preferred shares and other equity instruments
n
7,215
7,215
of which: are qualifying
n'
7,175
of which: are subject to phase out
n''
-
of which portion are not allowed for regulatory capital
23
of which: are qualifying treasury - preferred shares
n'''
17
of which: are subject to phase out treasury - preferred shares
-
Regulatory capital balance sheet continued (Millions of Canadian dollars)
Cross Reference to Basel III Regulatory Capital Components (CC1)
Q1/21
Q4/20
Balance sheet as in Report to Shareholders
Under regulatory scope of consolidation
Non-controlling interests
100
100
of which: are qualifying
-
portion allowed for inclusion into CET1
d
12
portion allowed for inclusion into Tier 1 capital
o
3
portion allowed for inclusion into Tier 2 capital
r
3
of which: are subject to phase out
x
-
of which: portion not allowed for regulatory capital
82
Total equity
90,249
90,302
Total liabilities and equity
1,671,151
1,655,446
Equity
Assets
Insurance subsidiaries 1
Principal activities
Assured Assistance Inc.
Service provider for insurance claims
1
-
Royal Bank of Canada Insurance Company Limited
Life, annuity, trade credit, title and property reinsurance company provides coverage to international clients
1,880
688
RBC (Barbados) Services Comp
The company provides investment management, reinsurance transaction support and corporate services to Royal Bank of Canada Insurance Company Ltd.
-
-
RBC Insurance Agency Ltd.
Distribution of H&A products through AVIVA
14
35
RBC Insurance Company (Cayman) Limited
Life, annuity reinsurance company provides coverage to international clients
76
-
RBC Insurance Company of Canada
Property and casualty insurance company
85
118
RBC Insurance Holdings Inc.
Holding company
1
-
RBC Insurance Services Inc.
Service provider for insurance companies listed and the bank (creditor)
61
64
RBC Life Insurance Company
Life and health insurance company
2,947
19,865
5,065
20,770
1 The list of legal entities that are included within the accounting scope of consolidation but excluded from the regulatory scope of consolidation.
CR1
CR1: Credit quality of assets
The following table presents a comprehensive view of the credit quality of our on- and off-balance sheet assets.
As at January 31, 2021
(Millions of Canadian dollars)
a
b
c
d
e
f
g
Gross carrying values of
Allowances/ impairments2
Of which ECL accounting provisions on SA exposures
Of which ECL accounting provisions on IRB exposures
Net values (a+b-c)
Defaulted exposures1
Non-defaulted exposures
Allocated in regulatory category of Specific3
Allocated in regulatory category of General3
1
Loans
2,637
652,378
5,478
143
1,013
4,322
649,537
2
Debt Securities
-
127,853
31
-
11
20
127,822
3
Off-Balance Sheet exposures4
460
262,514
408
-
4
406
262,566
4
Total
3,097
1,042,745
5,917
143
1,028
4,748
1,039,925
1 Definition of default as per the CAR guidelines and recent OSFI COVID-19 guidance.
2 Reflects Stage 1, 2 and 3 allowances under IFRS 9.
3 Regulatory category of specific allowance reflects IFRS 9 Stage 3 allowances. Regulatory category of general allowances reflects Stage 1 & 2 allowances.
4 Off balance sheet amounts are before the application of credit conversion factors and reflect guarantees given and irrevocable loan commitments. Revocable loan commitments are excluded as per BCBS requirements.
As at October 31, 2020
(Millions of Canadian dollars)
a
b
c
d
e
f
g
Gross carrying values of
Allowances/ impairments2
Of which ECL accounting provisions on SA exposures
Of which ECL accounting provisions on IRB exposures
Net values (a+b-c)
Defaulted exposures1
Non-defaulted exposures
Allocated in regulatory category of Specific3
Allocated in regulatory category of General3
1
Loans
3,206
635,654
5,639
94
1,061
4,484
633,221
2
Debt Securities
-
127,091
37
-
10
27
127,054
3
Off-Balance Sheet exposures4
637
261,727
472
-
4
470
261,892
4
Total
3,843
1,024,472
6,148
94
1,075
4,981
1,022,167
1 Definition of default as per the CAR guidelines and recent OSFI COVID-19 guidance.
2 Reflects Stage 1, 2 and 3 allowances under IFRS 9.
3 Regulatory category of specific allowance reflects IFRS 9 Stage 3 allowances. Regulatory category of general allowances reflects Stage 1 & 2 allowances.
4 Off balance sheet amounts are before the application of credit conversion factors and reflect guarantees given and irrevocable loan commitments. Revocable loan commitments are excluded as per BCBS requirements.
CRB_e
CRB: Additional disclosure related to the credit quality of assets
The table below presents an overview of Pillar 3 disclosure requirements that have been met within our 2020 Annual Report and incorporated by reference into this Pillar 3 report. Our 2020 Annual Report is available free of charge on our website at http://www.rbc.com/investorrelations
(e) Breakdown of exposures by geographical areas, industry and residual maturity The following table provides a breakdown of our credit risk exposures by industry, geographical areas and residual maturity. Our classification below reflects the Basel regulatory defined exposure classes. Amounts shown below reflect Exposures at default (EAD), which is the amount expected to be owed by an obligor at the time of default.
As at January 31, 2021
(Millions of Canadian dollars)
a
b
c
d
e
Credit Risk1,2
Counterparty Credit Risk5
On-balance sheet
Off-balance sheet amount3
Repo-style Transaction
Derivatives
amount
Undrawn
Other4
Retail
Residential secured6
343,318
91,244
Qualifying revolving
29,198
90,252
Other retail
77,119
18,364
139
Total Retail
449,635
199,860
139
Wholesale
Agriculture
9,117
1,575
33
-
86
Automotive
7,023
7,964
274
-
991
Banking
42,881
1,472
552
45,168
21,624
Consumer Discretionary
13,252
8,830
473
-
852
Consumer Staples
5,164
6,809
218
-
1,360
Oil & Gas
7,414
10,582
1,667
-
2,838
Financial Services
34,836
22,628
2,853
123,334
21,046
Financing Products
4,209
885
501
138
1,352
Forest Products
1,040
915
141
-
30
Governments
269,849
4,597
1,616
40,282
6,130
Industrial Products
6,681
8,727
706
-
884
Information Technology
3,729
5,835
272
-
5,054
Investments
18,229
2,967
424
9
93
Mining & Metals
1,560
3,902
974
-
248
Public Works & Infrastructure
1,288
1,988
432
-
231
Real Estate & Related
72,543
13,775
1,476
-
1,405
Other Services
22,609
11,179
1,281
4
1,607
Telecommunication & Media
5,231
7,685
79
-
1,963
Transportation
7,187
5,369
1,420
-
1,294
Utilities
8,662
18,263
3,927
-
3,291
Other Sectors
1,404
731
3
23
7,307
Total Wholesale
543,908
146,678
19,322
208,958
79,686
Total Exposure1
993,543
346,538
19,461
208,958
79,686
By Geography7
Canada
697,532
255,870
8,035
95,829
25,397
United States
192,154
63,951
7,886
47,910
24,752
Europe
60,869
21,682
2,263
45,072
22,212
Other International
42,988
5,035
1,277
20,147
7,325
Total Exposure1,7
993,543
346,538
19,461
208,958
79,686
By Maturity
Unconditionally cancellable
69,496
224,855
132
-
-
Within 1 year
379,909
27,491
10,854
208,958
36,846
1 to 5 year
467,216
89,023
7,664
-
26,564
Over 5 years
76,922
5,169
811
-
16,276
Total Exposure1
993,543
346,538
19,461
208,958
79,686
1 Excludes securitization, banking book equities and other assets not subject to standardized or IRB approach. Also excludes exposures acquired through the US Government Paycheck Protection Program (PPP). In Q1 2021, $10 billion of Small Business Corporate exposures were reclassified from Wholesale to Other Retail to align with CAR guidelines threshold as under $1.25 million being Small Business retail. Refer to CR 6 for further details.
2 EAD for Standardized exposures are reported net of Stage 3 allowances and EAD for IRB exposures are reported gross of all allowances for credit loss and partial write-off as per regulatory definitions.
3 EAD for Undrawn credit commitments and other off-balance sheet amounts are reported after the application of credit conversion factors.
4 Includes other off-balance sheet exposures such as letters of credit & guarantees.
5 Counterparty credit risk EAD reflects exposure amount after netting. Collateral is included in EAD for repo-style transactions to the extent allowed by regulatory guidelines. Exchange traded derivatives are included in Other Sectors.
6 Includes residential mortgages and home equity lines of credit.
7 Geographic profile is based on the country of residence of the borrower.
As at October 31, 2020
(Millions of Canadian dollars)
a
b
c
d
e
Credit Risk1,2
Counterparty Credit Risk5
On-balance sheet
Off-balance sheet amount3
Repo-style Transaction
Derivatives
amount
Undrawn
Other4
Retail
Residential secured6
338,653
88,728
Qualifying revolving
24,328
67,779
Other retail
68,325
14,183
67
Total Retail
431,306
170,690
67
Wholesale
Agriculture
9,560
1,854
34
-
108
Automotive
8,410
7,564
289
-
791
Banking
39,228
1,501
562
42,745
19,891
Consumer Discretionary
14,436
9,303
510
-
649
Consumer Staples
6,069
6,945
538
-
1,252
Oil & Gas
7,800
10,779
1,600
-
2,492
Financial Services
32,853
22,257
3,256
109,772
21,162
Financing Products
3,755
1,098
522
90
1,055
Forest Products
1,155
851
125
-
41
Governments
245,204
4,727
1,624
43,806
6,963
Industrial Products
6,962
9,397
723
-
801
Information Technology
4,632
5,073
257
13
3,898
Investments
17,636
2,963
437
13
230
Mining & Metals
1,692
3,930
979
-
338
Public Works & Infrastructure
1,345
2,007
340
-
239
Real Estate & Related
72,006
13,729
1,573
-
1,180
Other Services
24,965
12,285
1,336
5
1,857
Telecommunication & Media
4,987
7,451
83
-
1,752
Transportation
7,492
5,612
1,533
-
1,714
Utilities
8,739
18,705
3,849
-
3,852
Other Sectors
1,699
647
1
17
9,291
Total Wholesale
520,625
148,678
20,171
196,461
79,556
Total Exposure1
951,931
319,368
20,238
196,461
79,556
By Geography7
Canada
655,560
227,837
9,595
84,761
27,044
United States
199,705
63,423
6,404
41,938
23,142
Europe
50,940
21,158
2,312
43,754
22,429
Other International
45,726
6,950
1,927
26,008
6,941
Total Exposure1,7
951,931
319,368
20,238
196,461
79,556
By Maturity
Unconditionally cancellable
65,676
199,989
60
-
-
Within 1 year
359,974
26,070
11,797
196,461
36,516
1 to 5 year
450,881
88,382
6,857
-
26,240
Over 5 years
75,400
4,927
1,524
-
16,800
Total Exposure1
951,931
319,368
20,238
196,461
79,556
1 Excludes securitization, banking book equities and other assets not subject to standardized or IRB approach. Also excludes exposures acquired through the US Government Paycheck Protection Program (PPP).
2 EAD for Standardized exposures are reported net of Stage 3 allowances and EAD for IRB exposures are reported gross of all allowances for credit loss and partial write-off as per regulatory definitions.
3 EAD for Undrawn credit commitments and other off-balance sheet amounts are reported after the application of credit conversion factors.
4 Includes other off-balance sheet exposures such as letters of credit & guarantees.
5 Counterparty credit risk EAD reflects exposure amount after netting. Collateral is included in EAD for repo-style transactions to the extent allowed by regulatory guidelines. Exchange traded derivatives are included in Other Sectors.
6 Includes residential mortgages and home equity lines of credit.
7 Geographic profile is based on the country of residence of the borrower. Amounts have been revised from those previously presented.
CRB_f_a
CRB: Additional disclosure related to the credit quality of assets
(f) Amounts of impaired exposures (according to the definition used by the bank for accounting purposes) and related allowances and write-offs, broken down by geographical areas and industry The following tables provide a breakdown of impaired exposures by geographical areas and industry.
As at January 31, 2021
Impaired exposures by geography1 and portfolio (Millions of Canadian dollars)
Gross impaired exposures
Allowance2
Net impaired exposures
Canada
Retail
768
195
573
Wholesale
708
215
493
Securities
-
-
-
Total - Canada
1,476
410
1,066
United States
Retail
27
1
26
Wholesale
677
175
502
Securities
-
-
-
Total - United States
704
176
528
Other International
Retail
215
116
99
Wholesale
477
192
285
Securities
152
(5)
157
Total - Other International
844
303
541
Total
Retail
1,010
312
698
Wholesale
1,862
582
1,280
Securities
152
(5)
157
Total impaired exposures
3,024
889
2,135
1 Geographic information is based on residence of borrower.
2 Allowance reflects only Stage 3 IFRS 9 allowances and includes allowances on acquired credit-impaired loans and securities.
As at October 31, 2020
Impaired exposures by geography1 and portfolio (Millions of Canadian dollars)
Gross impaired exposures
Allowance2
Net impaired exposures
Canada
Retail
692
164
528
Wholesale
754
220
534
Securities
-
-
-
Total - Canada
1,446
384
1,062
United States
Retail
32
1
31
Wholesale
1,039
267
772
Securities
-
-
-
Total - United States
1,071
268
803
Other International
Retail
216
116
100
Wholesale
462
181
281
Securities
157
(4)
161
Total - Other International
835
293
542
Total
Retail
940
281
659
Wholesale
2,255
668
1,587
Securities
157
(4)
161
Total impaired exposures
3,352
945
2,407
1 Geographic information is based on residence of borrower.
2 Allowance reflects only Stage 3 IFRS 9 allowances and includes allowances on acquired credit-impaired loans and securities.
CRB_f_b
CRB: Additional disclosure related to the credit quality of assets
(f) Amounts of impaired exposures (according to the definition used by the bank for accounting purposes) and related allowances and write-offs, broken down by geographical areas and industry The following tables provide a breakdown of impaired exposures by geographical areas and industry.
Net write-offs by geography1 and portfolio (Millions of Canadian dollars)
For the three months ended January 31, 2021
For the three months ended October 31, 2020
Canada
Retail
138
171
Wholesale
26
17
Total Canada
164
188
United States2
Retail
-
3
Wholesale
54
99
Total United States
54
102
Other International
Retail
2
6
Wholesale2
6
5
Total Other International
8
11
Total
Retail
140
180
Wholesale
86
121
Total net write-offs
226
301
1 Geographic information is based on residence of borrower.
2 Includes acquired credit-impaired loans related to the acquisition of City National.
CRB_f_c
CRB: Additional disclosure related to the credit quality of assets
(f) Amounts of impaired exposures (according to the definition used by the bank for accounting purposes) and related allowances and write-offs, broken down by geographical areas and industry The following tables provide a breakdown of impaired exposures by geographical areas and industry.
As at January 31, 2021
Impaired exposures by portfolio and sector (Millions of Canadian dollars)
Gross impaired exposures
Allowance1
Net impaired exposures
Retail
Residential mortgages
678
158
520
Personal
242
118
124
Small business
90
36
54
Total Retail
1,010
312
698
Wholesale
Agriculture
62
9
53
Automotive
22
14
8
Banking
2
-
2
Consumer Discretionary
276
65
211
Consumer Staples
95
14
81
Oil and Gas
333
175
158
Financial Services
77
23
54
Financial Products
-
-
-
Forest Products
12
9
3
Governments
13
2
11
Industrial Products
57
17
40
Information Technology
7
2
5
Investments
44
2
42
Mining and Metals
27
8
19
Public Works and Infrastructure
5
3
2
Real Estate and Related
361
84
277
Other Services
273
108
165
Telecommunication and Media
6
-
6
Transportation
142
26
116
Utilities
-
-
-
Other
48
21
27
Total Wholesale
1,862
582
1,280
Total impaired loans and acceptances
2,872
894
1,978
Securities
152
(5)
157
Total impaired exposures
3,024
889
2,135
1 Allowance reflects only Stage 3 IFRS 9 allowances and includes allowances on acquired credit-impaired loans and securities.
As at October 31, 2020
Impaired exposures by portfolio and sector (Millions of Canadian dollars)
Gross impaired exposures
Allowance1
Net impaired exposures
Retail
Residential mortgages
638
152
486
Personal
212
96
116
Small business
90
33
57
Total Retail
940
281
659
Wholesale
Agriculture
70
10
60
Automotive
79
14
65
Banking
4
-
4
Consumer Discretionary
281
88
193
Consumer Staples
112
26
86
Oil and Gas
552
242
310
Financial Services
81
22
59
Financial Products
-
-
-
Forest Products
13
9
4
Governments
7
2
5
Industrial Products
57
18
39
Information Technology
14
1
13
Investments
47
1
46
Mining and Metals
30
9
21
Public Works and Infrastructure
8
2
6
Real Estate and Related
395
88
307
Other Services
251
99
152
Telecommunication and Media
6
-
6
Transportation
148
16
132
Utilities
46
2
44
Other
54
19
35
Total Wholesale
2,255
668
1,587
Total impaired loans and acceptances
3,195
949
2,246
Securities
157
(4)
161
Total impaired exposures
3,352
945
2,407
1 Allowance reflects only Stage 3 IFRS 9 allowances and includes allowances on acquired credit-impaired loans and securities.
CRB_g
CRB: Additional disclosure related to the credit quality of assets
(g) Ageing analysis of accounting past-due exposures The following table provides the ageing of our retail and wholesale past due exposures. Loans under payment deferral programs resulting from COVID-19 have been re-aged to current and are not aged further during the deferral period. Subsequent to the payment deferral period, loans will commence re-aging from current. Amounts presented may include loans past due as a result of administrative processes, such as mortgage loans on which payments are restrained pending payout due to sale or refinance, which can fluctuate based on business volumes. Past due loans arising from administrative processes are not representative of the borrowers' ability to meet their payment obligations. The table excludes loans less than 30 days past due as they are not generally representative of the borrowers' ability to meet their payment obligations.
As at January 31, 2021
(Millions of Canadian dollars)
30 to 89 days
90 days and greater
Total
Retail
1,620
165
1,785
Wholesale
693
11
704
Total
2,313
176
2,489
As at October 31, 2020
(Millions of Canadian dollars)
30 to 89 days
90 days and greater
Total
Retail
1,013
129
1,142
Wholesale
574
13
587
Total
1,587
142
1,729
CRB_h
CRB: Additional disclosure related to the credit quality of assets
(h) Breakdown of restructured exposures between impaired and not impaired exposures The following table provides a breakdown of restructured exposures between impaired and not impaired.
The following table provides the effect of CRM on the calculation of capital requirements under the standardized approach. It presents on-balance sheet and off-balance sheet exposures before and after credit conversion factors (CCF) and CRM as well as associated RWA and RWA density by asset classes. As noted in CRD, the external ratings of the counterparty is relied on to determine the prescribed regulatory risk weight to be assigned.
As at January 31, 2021
(Millions of Canadian dollars, except as otherwise noted)
a
b
c
d
e
f
Exposures before CCF and CRM
Exposures post-CCF and CRM
RWA and RWA density
Asset Classes
On-balance sheet amount
Off-balance sheet amount
On-balance sheet amount
Off-balance sheet amount
RWA
RWA density
1
Sovereigns and their central banks1
22,792
366
40,465
28
213
0.5%
2
Non-central government public sector entities
15,045
38
15,047
18
2,537
16.8%
3
Multilateral development banks
451
-
451
-
-
-
4
Banks
3,316
349
3,316
168
857
24.6%
5
Securities firms1
4,204
2,083
5,367
831
1,747
28.2%
6
Corporates1
51,598
33,199
43,843
7,488
50,492
98.0%
7
Regulatory retail portfolios
8,276
5,427
8,276
349
6,806
78.9%
8
Secured by residential property1
41,083
-
22,316
-
8,599
38.5%
9
Secured by commercial real estate
-
-
-
-
-
-
10
Equity
-
-
-
-
-
-
11
Past-due loans
425
-
420
-
602
143.3%
12
Higher-risk categories
40
21
40
11
76
149.0%
13
Other assets
24,025
-
24,025
-
24,082
100.2%
14
Total
171,255
41,483
163,566
8,893
96,011
55.7%
1 When CRM is available in the form of an eligible guarantee, the portion that is covered by the guarantee will attract the risk weight of the protection provider and will be reflected in the protection provider's asset class in column c and d. Exposures acquired through the US Government Paycheck Protection Program have been excluded, as required by OSFI.
As at October 31, 2020
(Millions of Canadian dollars, except as otherwise noted)
a
b
c
d
e
f
Exposures before CCF and CRM
Exposures post-CCF and CRM
RWA and RWA density
Asset Classes
On-balance sheet amount
Off-balance sheet amount
On-balance sheet amount
Off-balance sheet amount
RWA
RWA density
1
Sovereigns and their central banks1
26,887
396
44,864
3
221
0.5%
2
Non-central government public sector entities
13,359
38
13,361
18
2,139
16.0%
3
Multilateral development banks
233
-
233
-
-
-
4
Banks
3,014
368
3,014
180
755
23.6%
5
Securities firms1
4,282
2,014
5,441
828
1,797
28.7%
6
Corporates1
50,383
32,887
42,987
7,776
50,005
99.0%
7
Regulatory retail portfolios
8,175
5,478
8,175
396
6,775
79.0%
8
Secured by residential property1
41,727
-
22,661
-
8,724
38.5%
9
Secured by commercial real estate
-
-
-
-
-
-
10
Equity
-
-
-
-
-
-
11
Past-due loans
544
-
543
-
775
142.7%
12
Higher-risk categories
143
22
143
11
231
150.0%
13
Other assets
22,538
-
22,538
-
21,867
97.0%
14
Total
171,285
41,203
163,960
9,212
93,289
53.9%
1 When CRM is available in the form of an eligible guarantee, the portion that is covered by the guarantee will attract the risk weight of the protection provider and will be reflected in the protection provider's asset class in column c and d. Exposures acquired through the US Government Paycheck Protection Program have been excluded, as required by OSFI.
CR5
CR5: Standardized approach - exposures by asset classes and risk weights
The following table presents the breakdown of credit risk exposures under the standardized approach by asset classes and risk weight.
As at January 31, 2021
a
b
c
d
e
f
g
h
i
j
Risk weight Asset Classes (Millions of Canadian dollars)
0%
10%
20%
35%
50%
75%
100%
150%
Others
Total credit exposures amount (post CCF and post-CRM)
1
Sovereigns and their central banks
40,280
-
-
-
-
-
213
-
-
40,493
2
Non-central government public sector entities
2,828
-
12,124
-
2
-
111
-
-
15,065
3
Multilateral development banks
451
-
-
-
-
-
-
-
-
451
4
Banks
-
-
3,241
-
70
-
173
-
-
3,484
5
Securities firms
-
-
5,049
-
823
-
326
-
-
6,198
6
Corporates
-
-
7
1,272
14
-
50,038
-
-
51,331
7
Regulatory retail portfolios
-
-
-
-
-
7,275
1,350
-
-
8,625
8
Secured by residential property
-
-
-
20,344
-
1,972
-
-
-
22,316
9
Secured by commercial real estate
-
-
-
-
-
-
-
-
-
-
10
Equity
-
-
-
-
-
-
-
-
-
-
11
Past-due loans
1
-
3
-
-
-
59
357
-
420
12
Higher-risk categories
-
-
-
-
-
-
-
51
-
51
13
Other assets
3,244
-
-
-
-
-
20,494
-
287
24,025
14
Total
46,804
-
20,424
21,616
909
9,247
72,764
408
287
172,459
As at October 31, 2020
a
b
c
d
e
f
g
h
i
j
Risk weight Asset Classes (Millions of Canadian dollars)
0%
10%
20%
35%
50%
75%
100%
150%
Others
Total credit exposures amount (post CCF and post-CRM)
1
Sovereigns and their central banks
44,646
-
-
-
-
-
221
-
-
44,867
2
Non-central government public sector entities
2,823
-
10,521
-
1
-
34
-
-
13,379
3
Multilateral development banks
233
-
-
-
-
-
-
-
-
233
4
Banks
-
-
3,020
-
46
-
127
-
-
3,194
5
Securities firms
-
-
5,066
-
838
-
365
-
-
6,269
6
Corporates
-
-
7
1,146
14
-
49,596
-
-
50,762
7
Regulatory retail portfolios
-
-
-
-
-
7,181
1,390
-
-
8,571
8
Secured by residential property
-
-
-
20,679
-
1,982
-
-
-
22,661
9
Secured by commercial real estate
-
-
-
-
-
-
-
-
-
-
10
Equity
-
-
-
-
-
-
-
-
-
-
11
Past-due loans
1
-
-
-
-
-
82
462
-
544
12
Higher-risk categories
-
-
-
-
-
-
-
154
-
154
13
Other assets
3,956
-
-
-
-
-
18,297
-
286
22,538
14
Total
51,659
-
18,614
21,825
899
9,163
70,112
616
286
173,172
CRE_e
CRE: Qualitative disclosures related to internal risk-based (IRB) models
EAD Covered by the Various Approaches The following table outlines the percentage of our EAD covered by the IRB and Standardized approaches for each of our portfolios. The Foundation Internal Ratings Based (FIRB) approach is currently not applied.
As at January 31, 2021
EAD (in %)
EAD covered by the various approaches
Standardized Approach12
IRB Approach2
Other
Retail
Residential secured
13%
87%
-
Qualifying revolving
-
100%
-
Other retail
4%
96%
-
Wholesale
-
-
-
Corporate
16%
84%
-
Sovereign
12%
88%
-
Bank
7%
93%
-
Securitization
36%
64%
-
Trading
1%
99%
-
Equity
-
100%
-
Other assets not subject to Standardized or IRB Approaches
-
-
100%
Total
8%
91%
1%
1 Standardized Approach includes assumptions and waivers granted by OSFI based on an OSFI approved rollout plan.
2 Effective Q2 2020, we have updated the table to include counterparty credit risk and securitization exposures in order to better align with OSFI's 80% IRB threshold requirement.
As at October 31, 2020
EAD (in %)
EAD covered by the various approaches
Standardized Approach12
IRB Approach2
Other
Retail
Residential secured
14%
86%
-
Qualifying revolving
-
100%
-
Other retail
4%
96%
-
Wholesale
-
-
-
Corporate
15%
85%
-
Sovereign
14%
86%
-
Bank
8%
92%
-
Securitization
34%
66%
-
Trading
2%
98%
-
Equity
-
100%
-
Other assets not subject to Standardized or IRB Approaches
-
-
100%
Total
9%
90%
1%
1 Standardized Approach includes assumptions and waivers granted by OSFI based on an OSFI approved rollout plan.
2 Effective Q2 2020, we have updated the table to include counterparty credit risk and securitization exposures in order to better align with OSFI's 80% IRB threshold requirement.
CR6
CR6: IRB - Credit risk exposures by portfolio and PD range
The following table provides the key parameters used for the calculation of capital requirements for credit risk exposures under the IRB approach, broken down by asset class and PD range.
As at January 31, 2021
a
b
c
d
e
f
g
h
i
j
k
l
(Millions of Canadian dollars, except as otherwise noted)
PD scale1
Original on-balance sheet gross exposure
Off-balance sheet exposures pre CCF
Average CCF (%)
EAD post CRM and post-CCF
Average PD (%)
Number of obligors2
Average LGD (%)
Average maturity (in years)
RWA
RWA density (%)
EL
Provisions3
Asset Classes
1
Sovereigns
0.00 to < 0.15
254,687
22,609
54.37
351,527
0.01
1,327
27.91
1.22
13,590
4.0
14
0.15 to < 0.25
402
590
62.68
717
0.19
198
36.75
2.07
237
33.0
1
0.25 to < 0.50
154
96
54.93
206
0.41
65
25.29
1.49
69
33.0
-
0.50 to < 0.75
388
15
55.29
397
0.72
439
26.30
2.82
209
53.0
1
0.75 to < 2.50
25
9
59.42
26
1.44
47
31.96
2.18
20
75.0
-
2.50 to < 10.00
12
12
53.50
18
4.60
20
39.98
2.30
24
129.0
-
10.00 to < 100.00
-
-
65.00
-
29.24
3
45.00
1.20
-
252.0
-
100.00 (default)
76
7
0.99
76
100.00
6
25.00
2.49
9
11.0
19
Total Sovereigns
255,744
23,338
54.56
352,967
0.04
2,105
27.93
1.22
14,158
4.0
35
19
2
Banks
0.00 to < 0.15
20,786
2,256
46.22
29,956
0.06
167
31.99
1.74
5,222
17.0
5
0.15 to < 0.25
551
351
43.52
1,067
0.17
61
42.97
1.76
504
47.0
1
0.25 to < 0.50
187
99
49.58
248
0.41
19
44.35
2.04
173
70.0
-
0.50 to < 0.75
189
124
39.11
241
0.72
18
39.59
1.04
156
65.0
1
0.75 to < 2.50
97
321
51.50
265
1.61
37
41.07
1.66
258
98.0
2
2.50 to < 10.00
58
13
48.28
64
6.10
16
43.35
1.01
101
157.0
2
10.00 to < 100.00
1
-
-
1
25.04
8
44.04
1.02
3
264.0
-
100.00 (default)
-
-
-
-
100.00
2
60.00
2.50
-
795.0
-
Total Banks
21,869
3,164
46.30
31,842
0.09
328
32.61
1.73
6,417
20.0
11
-
3
Corporates
0.00 to < 0.15
27,312
101,923
52.07
80,391
0.09
10,070
39.54
2.09
20,287
25.2
29
0.15 to < 0.25
24,764
60,483
51.13
54,602
0.19
10,129
41.01
2.26
21,898
40.1
43
0.25 to < 0.50
20,923
25,764
50.48
32,085
0.41
6,741
36.71
2.29
16,550
51.6
49
0.50 to < 0.75
23,047
24,033
51.50
33,381
0.71
6,732
34.58
2.55
21,063
63.1
83
0.75 to < 2.50
42,328
34,446
48.93
53,611
1.57
14,135
33.81
2.20
40,880
76.3
284
2.50 to < 10.00
25,796
31,020
50.10
35,445
4.02
12,067
34.12
2.39
36,568
103.2
488
10.00 to < 100.00
2,950
2,719
51.05
3,573
17.49
2,806
34.17
2.19
5,667
158.6
216
100.00 (default)
1,431
504
31.63
1,497
100.00
1,155
38.18
2.13
3,512
234.6
470
Total Corporates
168,551
280,892
51.04
294,585
1.67
63,835
37.17
2.25
166,425
56.5
1,662
643
4
Total Wholesale
446,164
307,394
51.26
679,394
0.75
66,268
32.16
1.69
187,000
28.0
1,708
662
1 Refer to "Internal ratings map" under the Credit Risk Assessment section in our 2020 Annual Report MD&A.
2 Number of obligors is defined as the number of borrowers in each PD band. For Retail exposures, a borrower can appear in multiple PD bands if the borrower has more than one type of product with the bank. In addition, Retail obligors include borrowers where the portion of the exposure has been securitized given CAR guideline requirements related to retained interests. Wholesale obligors are reflected as unique borrowers. For example, sovereign obligors include central banks or agencies, public sector entities and multilateral development banks which are each reflected as unique borrowers in the sovereign asset class. Effective Q3 2020, retail borrowers with both Visa and Mastercard are counted as one borrower in the asset class qualifying revolving retail.
3 Provisions reflect only IFRS 9 Stage 3 allowances under the IRB portfolio.
As at January 31, 2021
a
b
c
d
e
f
g
h
i
j
k
l
(Millions of Canadian dollars, except as otherwise noted)
PD scale1
Original on-balance sheet gross exposure
Off-balance sheet exposures pre CCF
Average CCF (%)
EAD post CRM and post-CCF
Average PD (%)
Number of obligors2
Average LGD (%)
Average maturity (in years)
RWA
RWA density (%)
EL
Provisions3
Asset Classes
5
Retail insured exposure secured by real estate4
0.00 to < 0.15
21,177
1,639
0.14
134,191
16.47
88
5.0
-
0.15 to < 0.25
-
-
-
-
-
-
-
-
0.25 to < 0.50
43,719
1,505
0.32
190,519
15.57
141
9.0
1
0.50 to < 0.75
374
-
-
-
-
-
-
-
0.75 to < 2.50
8,385
273
1.27
38,652
14.17
59
22.0
-
2.50 to < 10.00
4,296
38
4.25
21,583
10.50
13
33.0
-
10.00 to < 100.00
978
-
27.25
3,721
10.48
-
28.0
-
100.00 (default)
298
-
-
1,468
-
-
-
-
Total Retail insured exposure secured by real estate
79,227
3,455
0.35
390,134
15.83
301
9.0
1
2
6
Uninsured residential mortgages
0.00 to < 0.15
166,566
333
100.00
166,898
0.13
640,691
17.21
8,682
5.0
36
0.15 to < 0.25
51
24
100.00
75
0.22
61
72.24
25
33.0
-
0.25 to < 0.50
63
246
100.00
310
0.33
232
15.60
32
10.0
-
0.50 to < 0.75
-
-
-
-
-
-
-
-
-
-
0.75 to < 2.50
16,724
277
100.00
17,002
0.91
58,119
18.18
3,851
23.0
28
2.50 to < 10.00
5,001
16
100.00
5,017
4.38
22,175
17.54
2,825
56.0
39
10.00 to < 100.00
947
1
100.00
948
22.77
4,241
17.48
928
98.0
38
100.00 (default)
240
-
-
240
100.00
1,165
16.92
32
13.0
43
Total Uninsured residential mortgages
189,592
897
100.00
190,490
0.55
726,684
17.33
16,375
9.0
184
46
1 Refer to "Internal ratings map" under the Credit Risk Assessment section in our 2020 Annual Report MD&A.
2 Number of obligors is defined as the number of borrowers in each PD band. For Retail exposures, a borrower can appear in multiple PD bands if the borrower has more than one type of product with the bank. In addition, Retail obligors include borrowers where the portion of the exposure has been securitized given CAR guideline requirements related to retained interests. Wholesale obligors are reflected as unique borrowers. For example, sovereign obligors include central banks or agencies, public sector entities and multilateral development banks which are each reflected as unique borrowers in the sovereign asset class. Effective Q3 2020, retail borrowers with both Visa and Mastercard are counted as one borrower in the asset class qualifying revolving retail.
3 Provisions reflect only IFRS 9 Stage 3 allowances under the IRB portfolio.
4 Retail insured exposures secured by real estate includes residential mortgages and other retail. Residential mortgages reflect 98% of this category. Exposures are insured with government and/or private insurance providers.
As at January 31, 2021
a
b
c
d
e
f
g
h
i
j
k
l
(Millions of Canadian dollars, except as otherwise noted)
PD scale1
Original on-balance sheet gross exposure
Off-balance sheet exposures pre CCF
Average CCF (%)
EAD post CRM and post-CCF
Average PD (%)
Number of obligors2
Average LGD (%)
Average maturity (in years)
RWA
RWA density (%)
EL
Provisions3
Asset Classes
7
HELOCs
0.00 to < 0.15
31,646
97,002
91.52
120,426
0.08
767,714
24.50
6,376
5.0
24
0.15 to < 0.25
-
-
-
-
-
-
-
-
-
-
0.25 to < 0.50
-
-
-
-
-
-
-
-
-
-
0.50 to < 0.75
2,425
1,349
93.11
3,681
0.71
42,853
24.97
970
26.0
7
0.75 to < 2.50
-
-
-
-
-
-
-
-
-
-
2.50 to < 10.00
1,190
314
96.24
1,492
4.85
16,504
25.00
1,223
82.0
18
10.00 to < 100.00
104
8
111.10
113
34.72
953
25.62
171
152.0
10
100.00 (default)
102
1
-
102
100.00
802
25.06
53
53.0
26
Total HELOCs
35,467
98,674
91.56
125,814
0.27
828,826
24.52
8,793
7.0
85
26
8
Qualifying revolving retail
0.00 to < 0.15
5,666
52,519
77.44
46,335
0.12
4,595,100
93.95
3,126
7.0
50
0.15 to < 0.25
8,710
39,605
84.14
42,035
0.18
3,212,363
88.08
3,887
9.0
68
0.25 to < 0.50
944
5,620
96.50
6,368
0.39
3,526,176
88.31
1,088
17.0
22
0.50 to < 0.75
23
116
94.15
132
0.59
7,854
100.54
36
27.0
1
0.75 to < 2.50
8,306
9,919
83.17
16,556
1.30
2,459,595
91.16
7,338
44.0
195
2.50 to < 10.00
4,728
2,850
81.32
7,045
3.75
1,526,452
90.59
6,635
94.0
237
10.00 to < 100.00
779
279
56.74
937
29.47
416,609
91.94
2,536
271.0
254
100.00 (default)
43
4
-
43
100.00
27,562
87.13
106
245.0
30
Total Qualifying revolving retail
29,199
110,912
81.37
119,451
0.80
15,771,711
90.99
24,752
21.0
857
30
9
Other retail
0.00 to < 0.15
32,843
3,231
86.00
35,610
0.12
132,404
33.00
3,534
9.9
14
0.15 to < 0.25
2,596
7,277
86.00
8,875
0.21
120,405
81.00
3,086
34.8
14
0.25 to < 0.50
8,488
2,046
108.00
10,695
0.33
500,455
70.00
4,421
41.3
25
0.50 to < 0.75
787
729
95.00
1,477
0.58
100,070
89.00
1,085
73.5
8
0.75 to < 2.50
14,387
4,345
95.00
18,532
1.28
591,625
62.00
13,246
71.5
148
2.50 to < 10.00
5,933
2,025
89.00
7,733
3.88
270,984
66.00
7,761
100.4
200
10.00 to < 100.00
1,513
268
100.00
1,780
22.71
41,251
62.00
2,298
129.1
298
100.00 (default)
117
2
-
117
100.00
4,627
66.00
161
137.6
68
Total Other retail
66,664
19,923
91.00
84,819
1.37
1,761,821
54.00
35,592
42.0
775
66
10
Total retail
400,149
230,406
91.61
524,029
0.67
19,479,176
41.77
-
85,813
16.4
1,902
170
Total
846,313
537,800
68.55
1,203,423
0.72
19,545,444
36.34
1.69
272,813
23.0
3,610
832
1 Refer to "Internal ratings map" under the Credit Risk Assessment section in our 2020 Annual Report MD&A.
2 Number of obligors is defined as the number of borrowers in each PD band. For Retail exposures, a borrower can appear in multiple PD bands if the borrower has more than one type of product with the bank. In addition, Retail obligors include borrowers where the portion of the exposure has been securitized given CAR guideline requirements related to retained interests. Wholesale obligors are reflected as unique borrowers. For example, sovereign obligors include central banks or agencies, public sector entities and multilateral development banks which are each reflected as unique borrowers in the sovereign asset class. Effective Q3 2020, retail borrowers with both Visa and Mastercard are counted as one borrower in the asset class qualifying revolving retail.
3 Provisions reflect only IFRS 9 Stage 3 allowances under the IRB portfolio.
As at October 31, 2020
a
b
c
d
e
f
g
h
i
j
k
l
(Millions of Canadian dollars, except as otherwise noted)
PD scale1
Original on-balance sheet gross exposure
Off-balance sheet exposures pre CCF
Average CCF (%)
EAD post CRM and post-CCF
Average PD (%)
Number of obligors2
Average LGD (%)
Average maturity (in years)
RWA
RWA density (%)
EL
Provisions3
Asset Classes
1
Sovereigns
0.00 to < 0.15
226,752
23,899
53.93
324,585
0.02
1,515
27.42
1.21
13,458
4.2
14
0.15 to < 0.25
421
558
60.52
705
0.19
182
36.12
2.43
245
34.8
-
0.25 to < 0.50
135
102
55.20
191
0.41
73
23.53
1.27
57
29.9
-
0.50 to < 0.75
105
14
55.37
113
0.72
151
26.40
3.29
63
56.1
-
0.75 to < 2.50
174
51
38.96
193
1.54
195
26.05
3.16
134
69.6
1
2.50 to < 10.00
11
10
55.12
17
3.97
14
43.89
2.07
23
137.6
-
10.00 to < 100.00
-
-
65.00
-
29.24
4
45.00
1.28
-
252.7
-
100.00 (default)
-
-
-
-
100.00
2
45.00
2.50
-
596.3
-
Total Sovereigns
227,598
24,634
54.05
325,804
0.02
2,136
27.44
1.22
13,980
4.3
15
-
2
Banks
0.00 to < 0.15
19,183
3,151
45.57
28,824
0.05
168
31.02
1.77
4,832
16.8
5
0.15 to < 0.25
297
301
43.27
820
0.18
52
40.88
2.08
420
51.2
1
0.25 to < 0.50
207
69
49.42
253
0.41
13
48.12
1.94
197
77.9
1
0.50 to < 0.75
241
130
40.47
297
0.72
23
37.65
1.32
193
65.2
1
0.75 to < 2.50
182
278
46.47
313
1.53
34
40.01
1.34
277
88.4
2
2.50 to < 10.00
50
33
44.90
65
5.74
20
43.47
2.27
110
168.9
2
10.00 to < 100.00
1
-
-
1
17.71
9
43.83
1.13
3
242.8
-
100.00 (default)
-
-
-
-
100.00
1
60.00
2.50
-
795.0
-
Total Banks
20,161
3,962
45.36
30,573
0.10
320
31.61
1.77
6,032
19.7
12
-
3
Corporates
0.00 to < 0.15
24,304
103,498
52.25
78,661
0.09
11,910
39.61
2.17
20,096
25.6
28
0.15 to < 0.25
25,751
62,858
51.23
56,759
0.19
12,877
41.11
2.37
23,474
41.4
45
0.25 to < 0.50
22,701
23,742
50.08
33,107
0.41
9,779
36.86
2.29
17,194
51.9
51
0.50 to < 0.75
23,031
24,504
52.14
33,690
0.71
10,040
35.33
2.55
21,875
64.9
85
0.75 to < 2.50
44,272
34,571
49.11
55,880
1.55
23,211
34.00
2.19
41,699
74.6
295
2.50 to < 10.00
28,912
30,299
50.81
38,517
4.02
18,398
34.97
2.40
40,205
104.4
543
10.00 to < 100.00
3,177
2,724
49.69
3,762
16.15
3,409
33.74
2.21
5,671
150.7
208
100.00 (default)
2,004
693
26.66
2,089
100.00
1,299
34.79
2.18
4,945
236.7
592
Total Corporates
174,152
282,889
51.23
302,465
1.87
90,923
37.38
2.30
175,159
57.9
1,847
817
4
Total Wholesale
421,911
311,485
51.38
658,842
0.87
93,379
32.20
1.74
195,171
29.6
1,874
817
1 Refer to "Internal ratings map" under the Credit Risk Assessment section in our 2020 Annual Report MD&A.
2 Number of obligors is defined as the number of borrowers in each PD band. For Retail exposures, a borrower can appear in multiple PD bands if the borrower has more than one type of product with the bank. Wholesale obligors are reflected as unique borrowers. For example, sovereign obligors include central banks or agencies, public sector entities and multilateral development banks which are each reflected as unique borrowers in the sovereign asset class. Effective Q3 2020, retail borrowers with both Visa and Mastercard are counted as one borrower in the asset class qualifying revolving retail.
3 Provisions reflect only IFRS 9 Stage 3 allowances under the IRB portfolio.
As at October 31, 2020
a
b
c
d
e
f
g
h
i
j
k
l
(Millions of Canadian dollars, except as otherwise noted)
PD scale1
Original on-balance sheet gross exposure
Off-balance sheet exposures pre CCF
Average CCF (%)
EAD post CRM and post-CCF
Average PD (%)
Number of obligors2
Average LGD (%)
Average maturity (in years)
RWA
RWA density (%)
EL
Provisions3
Asset Classes
5
Retail insured exposure secured by real estate4
0.00 to < 0.15
22,668
1,742
0.14
141,514
16.70
95
5.4
-
0.15 to < 0.25
-
-
-
-
-
-
-
-
0.25 to < 0.50
43,146
1,406
0.32
190,106
15.43
131
9.3
1
0.50 to < 0.75
317
-
-
-
-
-
-
-
0.75 to < 2.50
8,684
263
1.25
40,636
13.69
55
20.8
-
2.50 to < 10.00
4,381
-
5.94
22,708
10.70
-
17.1
-
10.00 to < 100.00
853
-
21.66
3,342
11.80
-
25.8
-
100.00 (default)
257
-
-
1,337
-
-
-
-
Total Retail insured exposure secured by real estate
80,306
3,411
0.30
399,643
15.95
281
8.2
1
2
6
Uninsured residential mortgages
0.00 to < 0.15
159,499
340
100.00
159,838
0.13
622,438
17.58
8,494
5.3
36
0.15 to < 0.25
48
22
100.00
70
0.22
71
72.24
23
32.9
-
0.25 to < 0.50
58
317
100.00
375
0.33
236
14.59
36
9.6
-
0.50 to < 0.75
-
-
-
-
-
-
-
-
-
-
0.75 to < 2.50
16,210
284
100.00
16,494
0.91
57,586
18.44
3,791
23.0
28
2.50 to < 10.00
4,769
20
100.00
4,789
4.27
21,680
17.90
2,719
56.8
37
10.00 to < 100.00
862
-
100.00
863
22.32
4,022
17.80
852
98.7
34
100.00 (default)
213
-
-
213
100.00
1,088
17.14
35
16.3
38
Total Uninsured residential mortgages
181,659
983
100.00
182,642
0.53
707,121
17.68
15,950
8.7
173
41
1 Refer to "Internal ratings map" under the Credit Risk Assessment section in our 2020 Annual Report MD&A.
2 Number of obligors is defined as the number of borrowers in each PD band. For Retail exposures, a borrower can appear in multiple PD bands if the borrower has more than one type of product with the bank. Wholesale obligors are reflected as unique borrowers. For example, sovereign obligors include central banks or agencies, public sector entities and multilateral development banks which are each reflected as unique borrowers in the sovereign asset class. Effective Q3 2020, retail borrowers with both Visa and Mastercard are counted as one borrower in the asset class qualifying revolving retail.
3 Provisions reflect only IFRS 9 Stage 3 allowances under the IRB portfolio.
4 Retail insured exposures secured by real estate includes residential mortgages and other retail. Residential mortgages reflect 98% of this category. Exposures are insured with government and/or private insurance providers.
As at October 31, 2020
a
b
c
d
e
f
g
h
i
j
k
l
(Millions of Canadian dollars, except as otherwise noted)
PD scale1
Original on-balance sheet gross exposure
Off-balance sheet exposures pre CCF
Average CCF (%)
EAD post CRM and post-CCF
Average PD (%)
Number of obligors2
Average LGD (%)
Average maturity (in years)
RWA
RWA density (%)
EL
Provisions3
Asset Classes
7
HELOCs
0.00 to < 0.15
32,751
94,249
91.50
118,989
0.08
757,881
24.58
6,320
5.3
24
0.15 to < 0.25
-
-
-
-
-
-
-
-
-
-
0.25 to < 0.50
-
-
-
-
-
-
-
-
-
-
0.50 to < 0.75
2,519
1,310
93.31
3,741
0.71
42,461
24.97
986
26.4
7
0.75 to < 2.50
-
-
-
-
-
-
-
-
-
-
2.50 to < 10.00
1,234
285
97.04
1,511
4.80
16,629
25.16
1,241
82.2
18
10.00 to < 100.00
117
7
116.03
126
35.07
980
24.93
185
147.1
11
100.00 (default)
104
1
-
104
100.00
845
25.35
57
54.7
27
Total HELOCs
36,725
95,852
91.54
124,471
0.28
818,796
24.60
8,789
7.1
87
27
8
Qualifying revolving retail
0.00 to < 0.15
3,585
28,576
77.20
25,647
0.11
4,702,997
93.97
1,723
6.7
28
0.15 to < 0.25
8,977
38,950
84.13
41,746
0.18
3,191,236
88.07
3,860
9.3
67
0.25 to < 0.50
430
4,604
98.84
4,981
0.39
3,613,760
86.46
833
16.7
17
0.50 to < 0.75
21
106
93.99
121
0.59
7,665
100.03
33
27.1
1
0.75 to < 2.50
6,724
7,536
83.77
13,036
1.30
2,513,778
90.29
5,745
44.1
153
2.50 to < 10.00
4,053
2,231
83.58
5,918
3.82
1,587,183
89.78
5,576
94.2
201
10.00 to < 100.00
499
198
61.08
620
29.23
414,481
90.75
1,641
264.7
164
100.00 (default)
39
2
-
39
100.00
24,062
87.02
99
253.6
27
Total Qualifying revolving retail
24,328
82,203
82.45
92,108
0.81
16,055,162
90.08
19,510
21.2
658
26
9
Other retail
0.00 to < 0.15
29,523
2,839
86.00
31,966
0.12
126,595
33.00
3,106
9.7
12
0.15 to < 0.25
2,630
5,829
85.00
7,590
0.20
111,336
82.00
2,658
35.0
12
0.25 to < 0.50
8,101
1,867
102.00
9,996
0.33
486,294
69.00
4,102
41.0
23
0.50 to < 0.75
410
582
96.00
968
0.58
95,378
97.00
771
79.6
5
0.75 to < 2.50
13,105
3,068
94.00
16,004
1.29
596,049
62.00
11,542
72.1
130
2.50 to < 10.00
3,722
1,132
92.00
4,761
4.18
263,367
70.00
5,096
107.0
138
10.00 to < 100.00
689
64
94.00
749
35.06
35,949
74.00
1,226
163.7
216
100.00 (default)
72
1
-
72
100.00
4,091
66.00
114
158.3
41
Total Other retail
58,252
15,382
90.00
72,106
1.15
1,719,059
53.00
28,615
39.7
577
39
10
Total retail
381,270
194,420
92.14
474,738
0.61
19,699,781
38.89
-
73,145
15.4
1,496
135
Total
803,181
505,905
67.04
1,133,580
0.76
19,793,160
35.00
1.74
268,316
24.0
3,370
952
1 Refer to "Internal ratings map" under the Credit Risk Assessment section in our 2020 Annual Report MD&A.
2 Number of obligors is defined as the number of borrowers in each PD band. For Retail exposures, a borrower can appear in multiple PD bands if the borrower has more than one type of product with the bank. Wholesale obligors are reflected as unique borrowers. For example, sovereign obligors include central banks or agencies, public sector entities and multilateral development banks which are each reflected as unique borrowers in the sovereign asset class. Effective Q3 2020, retail borrowers with both Visa and Mastercard are counted as one borrower in the asset class qualifying revolving retail.
3 Provisions reflect only IFRS 9 Stage 3 allowances under the IRB portfolio.
CR7
CR7: IRB - Effect on RWA of credit derivatives used as CRM techniques
The following table provides the effect of credit derivatives used as mitigation techniques in determining RWA amounts.
As at January 31, 2021
(Millions of Canadian dollars)
a
b
Pre-credit derivatives RWA
Actual RWA
2
Sovereign - AIRB
-
-
4
Banks - AIRB
-
-
6
Corporate - AIRB
-
-
8
Specialised lending - AIRB
-
-
9
Retail - qualifying revolving (QRRE)
-
-
10
Retail - residential mortgage exposures
-
-
11
Retail - SME
-
-
12
Other retail exposures
-
-
14
Equity - AIRB
-
-
16
Purchased receivables - AIRB
-
-
17
Total
-
-
12
Other retail exposures
-
-
13
Equity - FIRB
-
-
14
Equity - AIRB
-
-
15
Purchased receivables - FIRB
-
-
16
Purchased receivables - AIRB
-
-
17
Total
-
-
As at October 31, 2020
(Millions of Canadian dollars)
a
b
Pre-credit derivatives RWA
Actual RWA
2
Sovereign - AIRB
-
-
4
Banks - AIRB
-
-
6
Corporate - AIRB
-
-
8
Specialised lending - AIRB
-
-
9
Retail - qualifying revolving (QRRE)
-
-
10
Retail - residential mortgage exposures
-
-
11
Retail - SME
-
-
12
Other retail exposures
-
-
14
Equity - AIRB
-
-
16
Purchased receivables - AIRB
-
-
17
Total
-
-
12
Other retail exposures
-
-
13
Equity - FIRB
-
-
14
Equity - AIRB
-
-
15
Purchased receivables - FIRB
-
-
16
Purchased receivables - AIRB
-
-
17
Total
-
-
CR8
CR8: RWA flow statements of credit risk exposures
The following table presents the changes in Standardized and IRB RWA amounts over the reporting period for the key drivers of credit risk.
RWA amounts1
(Millions of Canadian dollars)
As at January 31, 2021
As at October 31, 2020
1
RWA as at end of previous reporting period
394,506
394,787
2
Asset size2
9,752
(397)
3
Asset quality3
(1,595)
1,719
4
Model updates4
2,927
-
5
Methodology and policy5
-
-
6
Acquisitions and disposals
-
-
7
Foreign exchange movements
(6,027)
(1,315)
8
Other
1,715
(288)
9
RWA as at end of reporting period
401,278
394,506
1 RWA flow amounts include both IRB and Standardized Approach figures reflecting our approved roll-out plan for transition to IRB.
2 Organic changes in portfolio size and composition (including new business and maturing loans).
3 Quality of book changes caused by experience such as underlying customer behaviour or demographics and credit mitigation.
4 Updates to the model to reflect recent experience, model implementation, change in model scope or any change to address model malfunctions including changes through model calibrations/realignments.
5 Methodology changes to the calculations driven by regulatory policy changes.
CCR1
CCR1: Analysis of counterparty credit risk (CCR) exposure by approach
The following table provides a comprehensive view of the methods used to calculate counterparty credit risk exposures and the main parameters used within each method, if applicable. Refer to CCR 8 for our central counterparty clearing house exposures. Figures below reflect both house and client trades.
As at January 31, 2021
(Millions of Canadian dollars, except as otherwise noted)
a
b
c
d
e
f
Replacement Cost
Potential future exposure
EEPE
Alpha used for computing regulatory EAD
EAD post-CRM1
RWA2
1
SA-CCR (for derivatives)1,2
14,862
33,721
1.4
67,737
26,764
1a
Current Exposure Method (CEM - for derivatives)
2
Internal Model Method (for derivatives and SFTs)
3
Simple Approach for credit risk mitigation (for SFTs)
4
Comprehensive Approach for credit risk mitigation (for SFTs)
204,160
11,271
5
VaR for SFTs
6
Total
38035
1 Effective Q1 2020, specific wrong way risk is reflected as per OSFI SA-CCR guideline requirement.
2 RWA includes a calibration adjustment of 1.06% as prescribed by OSFI under the Basel III framework.
As at October 31, 2020
(Millions of Canadian dollars, except as otherwise noted)
a
b
c
d
e
f
Replacement Cost
Potential future exposure
EEPE
Alpha used for computing regulatory EAD
EAD post-CRM1
RWA2
1
SA-CCR (for derivatives)1,2
16,135
31,974
1.4
66,980
25,761
1a
Current Exposure Method (CEM - for derivatives)
2
Internal Model Method (for derivatives and SFTs)
3
Simple Approach for credit risk mitigation (for SFTs)
4
Comprehensive Approach for credit risk mitigation (for SFTs)
193,684
10,001
5
VaR for SFTs
6
Total
35762
1 Effective Q1 2020, specific wrong way risk is reflected as per OSFI SA-CCR guideline requirement.
2 RWA includes a calibration adjustment of 1.06% as prescribed by OSFI under the Basel III framework.
CCR2
CCR2: Credit valuation adjustment (CVA) capital charge
The following table presents a breakdown of the CVA capital charge by advanced and standardized approaches.
As at January 31, 2021
(Millions of Canadian dollars)
a
b
EAD post-CRM1
RWA1
Total portfolios subject to the Advanced CVA capital charge
1
(i) VaR component (including the 3x multiplier)
2
(ii) Stressed VaR component (including the 3x multiplier)
3
All portfolios subject to the Standardized CVA capital Charge
68,016
18,412
4
Total subject to the CVA capital charge
68,016
18,412
1 Effective Q1 2019, OSFI has allowed a 0.7 scalar to be applied to the exposure amount determined under SA-CCR for the purpose of determining CVA.
As at October 31, 2020
(Millions of Canadian dollars)
a
b
EAD post-CRM1
RWA1
Total portfolios subject to the Advanced CVA capital charge
1
(i) VaR component (including the 3x multiplier)
2
(ii) Stressed VaR component (including the 3x multiplier)
3
All portfolios subject to the Standardized CVA capital Charge
67,352
18,171
4
Total subject to the CVA capital charge
67,352
18,171
1 Effective Q1 2019, OSFI has allowed a 0.7 scalar to be applied to the exposure amount determined under SA-CCR for the purpose of determining CVA.
CCR3
CCR3: Standardized approach - CCR exposures by regulatory portfolio and risk weights
The following table presents a breakdown of counterparty credit risk exposures calculated according to the standardized approach by portfolio and risk weight.
As at January 31, 2021
a
b
c
d
e
f
g
h
i
Risk weight Regulatory portfolio (Millions of Canadian dollars)
0%
10%
20%
50%
75%
100%
150%
Others
Total credit exposure
Sovereigns
-
-
-
-
-
-
-
-
-
Non-central government public sector entities (PSEs)
-
-
-
-
-
-
-
-
-
Multilateral development banks (MDBs)
-
-
-
-
-
-
-
-
-
Banks
-
-
16
-
-
130
-
-
146
Securities firms
-
-
95
-
-
8
-
-
103
Corporates
-
-
75
-
-
1,767
-
-
1,842
Regulatory retail portfolios
-
-
-
-
-
-
-
-
-
Other assets
-
-
-
-
-
-
-
-
-
Total
-
-
186
-
-
1,905
-
-
2,091
As at October 31, 2020
a
b
c
d
e
f
g
h
i
Risk weight Regulatory portfolio (Millions of Canadian dollars)
0%
10%
20%
50%
75%
100%
150%
Others
Total credit exposure
Sovereigns
-
-
-
-
-
-
-
-
-
Non-central government public sector entities (PSEs)
-
-
-
-
-
-
-
-
-
Multilateral development banks (MDBs)
-
-
-
-
-
-
-
-
-
Banks
-
-
17
-
-
127
-
-
144
Securities firms
-
-
120
-
-
27
-
-
147
Corporates
-
-
304
-
-
1,918
-
-
2,222
Regulatory retail portfolios
-
-
-
-
-
-
-
-
-
Other assets
-
-
-
-
-
-
-
-
-
Total
-
-
441
-
-
2,072
-
-
2,513
CCR4
CCR4: IRB - CCR exposures by portfolio and PD scale
The following table presents a detailed view of CCR exposures subject to IRB approach by asset classes and PD scale.
As at January 31, 2021
(Millions of Canadian dollars, except as otherwise noted)
PD scale1
a
b
c
d
e
f
g
EAD post-CRM
Average PD (%)
Number of obligors
Average LGD (%)
Average maturity (in years)
RWA
RWA density (%)
Asset classes
Sovereigns
0.00 to < 0.15
52,913
0.03
323
8.95
1.08
1,718
3
0.15 to < 0.25
406
0.21
18
40.20
0.82
116
28
0.25 to < 0.50
88
0.41
11
44.94
1.02
44
50
0.50 to < 0.75
16
0.72
6
35.71
2.97
14
86
0.75 to < 2.50
6
1.40
4
45.00
1.00
6
94
2.50 to < 10.00
-
4.01
1
45.00
4.75
1
177
10.00 to < 100.00
-
15.12
1
45.00
1.00
-
218
100.00 (default)
30
100.00
1
25.00
4.99
99
331
Total sovereigns
53,459
0.09
365
9.27
1.08
1,998
4
Banks
0.00 to < 0.15
91,223
0.08
209
13.15
0.31
5,533
6
0.15 to < 0.25
16,527
0.17
97
12.06
0.19
1,525
9
0.25 to < 0.50
1,911
0.41
24
12.82
0.34
343
18
0.50 to < 0.75
2,015
0.72
21
5.86
0.05
189
9
0.75 to < 2.50
1,178
1.17
25
3.78
0.10
93
8
2.50 to < 10.00
165
2.87
10
45.00
1.38
197
120
10.00 to < 100.00
-
- 0
-
- 0
- 0
-
-
100.00 (default)
-
- 0
-
- 0
- 0
-
-
Total banks
113,019
0.13
386
12.80
0.28
7,880
7
Corporates
0.00 to < 0.15
74,365
0.08
5,818
31.11
0.54
9,013
12
0.15 to < 0.25
14,434
0.18
1,714
34.52
1.18
4,430
31
0.25 to < 0.50
2,875
0.41
512
44.47
1.94
1,891
66
0.50 to < 0.75
5,441
0.72
358
44.17
2.27
4,649
85
0.75 to < 2.50
2,958
1.53
418
38.62
2.11
2,751
93
2.50 to < 10.00
3,178
3.70
435
34.43
1.70
3,321
105
10.00 to < 100.00
62
18.55
28
35.93
2.40
114
185
100.00 (default)
12
100.00
8
27.90
1.00
46
370
Total corporates
103,325
0.31
9,291
32.96
0.84
26,215
25
Total
269,803
0.14
10,042
19.82
0.65
36,093
13
1 Refer to "Internal ratings map" in the Credit risk assessment section in our 2020 Annual Report MD&A.
As at October 31, 2020
(Millions of Canadian dollars, except as otherwise noted)
PD scale1
a
b
c
d
e
f
g
EAD post-CRM
Average PD (%)
Number of obligors
Average LGD (%)
Average maturity (in years)
RWA
RWA density (%)
Asset classes
Sovereigns
0.00 to < 0.15
57,867
0.04
342
8.37
1.20
1,758
3
0.15 to < 0.25
346
0.21
19
41.91
1.08
109
31
0.25 to < 0.50
39
0.41
10
44.85
1.04
20
50
0.50 to < 0.75
16
0.72
4
35.16
4.01
16
103
0.75 to < 2.50
5
1.81
3
45.00
1.00
7
119
2.50 to < 10.00
5
2.80
2
45.00
1.31
6
118
10.00 to < 100.00
-
- 0
-
- 0
- 0
-
-
100.00 (default)
-
- 0
-
- 0
- 0
-
-
Total sovereigns
58,278
0.04
380
8.61
1.20
1,916
3
Banks
0.00 to < 0.15
84,585
0.08
213
13.14
0.31
5,183
6
0.15 to < 0.25
15,439
0.17
101
11.50
0.19
1,372
9
0.25 to < 0.50
1,883
0.41
28
14.21
0.34
369
20
0.50 to < 0.75
2,182
0.72
19
4.03
0.06
149
7
0.75 to < 2.50
1,321
1.30
25
10.63
0.17
295
22
2.50 to < 10.00
218
3.03
10
45.00
1.19
260
120
10.00 to < 100.00
-
- 0
-
- 0
- 0
-
-
100.00 (default)
-
- 0
-
- 0
- 0
-
-
Total banks
105,628
0.14
396
12.77
0.29
7,628
7
Corporates
0.00 to < 0.15
69,394
0.08
5,803
31.33
0.59
8,657
12
0.15 to < 0.25
12,298
0.18
1,757
36.89
1.35
4,077
33
0.25 to < 0.50
2,565
0.41
522
44.33
1.94
1,655
65
0.50 to < 0.75
4,823
0.72
341
43.83
2.39
4,178
87
0.75 to < 2.50
1,967
1.52
440
37.58
2.18
1,783
91
2.50 to < 10.00
3,063
3.79
478
35.81
1.73
3,362
110
10.00 to < 100.00
112
14.23
22
42.42
3.64
257
229
100.00 (default)
23
100.00
16
29.91
1.00
89
396
Total corporates
94,245
0.33
9,379
33.33
0.90
24,058
26
Total
258,151
0.19
10,155
19.34
0.72
33,602
13
1 Refer to "Internal ratings map" in the Credit risk assessment section in our 2020 Annual Report MD&A.
0.00 to < 0.15
0.15 to < 0.25
0.25 to < 0.50
0.50 to < 0.75
0.75 to < 2.50
2.50 to < 10.00
10.00 to < 100.00
100.00 (default)
Total other retail excl QRR and SBEs
SBE treated as other retail
0.00 to < 0.15
0.15 to < 0.25
0.25 to < 0.50
0.50 to < 0.75
0.75 to < 2.50
2.50 to < 10.00
10.00 to < 100.00
100.00 (default)
Total SBE treated as other retail
CCR8
CCR8: Exposures to central counterparties
The following table presents a comprehensive view of our exposures to central counterparty clearing houses (CCPs), including due to operations, margins and contributions to default funds, and related RWA.
As at January 31, 2021
(Millions of Canadian dollars)
a
b
EAD (post-CRM)
RWA
1
Exposures to QCCPs (total)
30,823
437
2
Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which
16,747
413
3
(i) OTC derivatives
4,905
176
4
(ii) Exchange-traded derivatives
7,044
141
5
(iii) Securities financing transactions
4,798
96
6
(iv) Netting sets where cross-product netting has been approved
-
-
7
Segregated initial margin
4,102
8
Non-segregated initial margin
3,336
-
9
Pre-funded default fund contributions
1,556
24
10
Unfunded default fund contributions1
5,082
-
11
Exposures to non-QCCPs (total)
12
Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which
13
(i) OTC derivatives
14
(ii) Exchange-traded derivatives
15
(iii) Securities financing transactions
16
(iv) Netting sets where cross-product netting has been approved
17
Segregated initial margin
18
Non-segregated initial margin
19
Pre-funded default fund contributions
20
Unfunded default fund contributions
1 Unfunded default fund contributions are risk weighted at 0%.
As at October 31, 2020
(Millions of Canadian dollars)
a
b
EAD (post-CRM)
RWA
1
Exposures to QCCPs (total)
29,729
382
2
Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which
15,354
360
3
(i) OTC derivatives
3,596
124
4
(ii) Exchange-traded derivatives
8,980
180
5
(iii) Securities financing transactions
2,778
56
6
(iv) Netting sets where cross-product netting has been approved
-
-
7
Segregated initial margin
4,884
8
Non-segregated initial margin
3,046
-
9
Pre-funded default fund contributions
1,229
22
10
Unfunded default fund contributions1
5,216
-
11
Exposures to non-QCCPs (total)
12
Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which
13
(i) OTC derivatives
14
(ii) Exchange-traded derivatives
15
(iii) Securities financing transactions
16
(iv) Netting sets where cross-product netting has been approved
17
Segregated initial margin
18
Non-segregated initial margin
19
Pre-funded default fund contributions
20
Unfunded default fund contributions
1 Unfunded default fund contributions are risk weighted at 0%.
SEC1
SEC1: IRB - Securitization exposures in the banking book
The following table presents the breakdown of our balance sheet banking book carrying values by our role and type.
As at January 31, 2021
(Millions of Canadian dollars)
a
b
c
e
f
g
i
j
k
Bank acts as originator1
Bank acts as sponsor2
Bank acts as investor3
Traditional
Synthetic
Sub-total
Traditional
Synthetic
Sub-total
Traditional
Synthetic
Sub-total
1
Retail (total) - of which
-
-
-
39,299
-
39,299
199
-
199
2
residential mortgage
-
-
-
1,847
-
1,847
-
-
-
3
credit card
-
-
-
7,369
-
7,369
45
-
45
4
other retail exposures
-
-
-
30,083
-
30,083
154
-
154
4a
of which student loans
-
-
-
3,722
-
3,722
92
-
92
4b
of which auto loans and leases
-
-
-
20,349
-
20,349
62
-
62
4c
of which consumer loans
-
-
-
6,009
-
6,009
-
-
-
4d
of which other retail
-
-
-
3
-
3
-
-
-
5
re-securitization
-
-
-
-
-
-
-
-
-
6
Wholesale (total) - of which
-
-
-
13,888
-
13,888
9,420
-
9,420
7
loans to corporates
-
-
-
2,696
-
2,696
8,227
-
8,227
8
commercial mortgage
-
-
-
-
-
-
420
-
420
9
lease and receivables
-
-
-
-
-
-
-
-
-
10
other wholesale
-
-
-
11,192
-
11,192
773
-
773
10a
of which dealer floor plan receivable
-
-
-
2,060
-
2,060
-
-
-
10b
of which equipment receivable
-
-
-
3,529
-
3,529
-
-
-
10c
of which trade receivable
-
-
-
-
-
-
-
-
-
10d
of which other wholesale
-
-
-
5,603
-
5,603
773
-
773
11
re-securitization
-
-
-
-
-
-
-
-
-
1 Bank acts as originator reflects securitization activities in which we securitize our own assets (e.g. Golden credit card securitization).
2 Bank acts as sponsor reflects securitization activities in which RBC works with its client to originate securitization transactions. RBC provides the liquidity and credit enhancement facilities to the SPE.
3 Bank acts as investor reflects purchases of securitization assets from the market.
As at October 31, 2020
(Millions of Canadian dollars)
a
b
c
e
f
g
i
j
k
Bank acts as originator1
Bank acts as sponsor2
Bank acts as investor3
Traditional
Synthetic
Sub-total
Traditional
Synthetic
Sub-total
Traditional
Synthetic
Sub-total
1
Retail (total) - of which
1,189
-
1,189
39,001
-
39,001
245
-
245
2
residential mortgage
-
-
-
1,624
-
1,624
-
-
-
3
credit card
1,167
-
1,167
7,613
-
7,613
47
-
47
4
other retail exposures
22
-
22
29,764
-
29,764
198
-
198
4a
of which student loans
-
-
-
3,836
-
3,836
99
-
99
4b
of which auto loans and leases
-
-
-
19,864
-
19,864
99
-
99
4c
of which consumer loans
-
-
-
6,064
-
6,064
-
-
-
4d
of which other retail
22
-
22
-
-
-
-
-
-
5
re-securitization
-
-
-
-
-
-
-
-
-
6
Wholesale (total) - of which
-
-
-
13,610
-
13,610
10,376
-
10,376
7
loans to corporates
-
-
-
2,397
-
2,397
8,960
-
8,960
8
commercial mortgage
-
-
-
-
-
-
561
-
561
9
lease and receivables
-
-
-
-
-
-
-
-
-
10
other wholesale
-
-
-
11,213
-
11,213
855
-
855
10a
of which dealer floor plan receivable
-
-
-
2,046
-
2,046
-
-
-
10b
of which equipment receivable
-
-
-
3,971
-
3,971
-
-
-
10c
of which trade receivable
-
-
-
-
-
-
-
-
-
10d
of which other wholesale
-
-
-
5,196
-
5,196
855
-
855
11
re-securitization
-
-
-
-
-
-
-
-
-
1 Bank acts as originator reflects securitization activities in which we securitize our own assets (e.g. Golden credit card securitization).
2 Bank acts as sponsor reflects securitization activities in which RBC works with its client to originate securitization transactions. RBC provides the liquidity and credit enhancement facilities to the SPE.
3 Bank acts as investor reflects purchases of securitization assets from the market.
SEC2
SEC2: IRB - Securitization exposures in the trading book
The following table presents the breakdown of our balance sheet banking book carrying values by our role and type.
As at January 31, 2021
(Millions of Canadian dollars)
a
b
c
e
f
g
i
j
k
Bank acts as originator1
Bank acts as sponsor2
Bank acts as investor3
Traditional
Synthetic
Sub-total
Traditional
Synthetic
Sub-total
Traditional
Synthetic
Sub-total
1
Retail (total) - of which
-
-
-
-
-
-
135
-
135
2
residential mortgages
-
-
-
-
-
-
7
-
7
3
credit cards
-
-
-
-
-
-
-
-
-
4
other retail exposures
-
-
-
-
-
-
128
-
128
4a
of which student loans
-
-
-
-
-
-
59
-
59
4b
of which auto loans and leases
-
-
-
-
-
-
64
-
64
4c
of which consumer loans
-
-
-
-
-
-
5
-
5
4d
of which other retail
-
-
-
-
-
-
-
-
-
5
re-securitization
-
-
-
-
-
-
-
-
-
6
Wholesale (total) - of which
-
-
-
-
-
-
5,262
-
5,262
7
loans to corporates
-
-
-
-
-
-
184
-
184
8
commercial mortgages
-
-
-
-
-
-
4,485
-
4,485
9
leases and receivables
-
-
-
-
-
-
-
-
-
10
other wholesale exposures
-
-
-
-
-
-
593
-
593
10a
of which dealer floor plan receivables
-
-
-
-
-
-
-
-
-
10b
of which equipment receivables
-
-
-
-
-
-
-
-
-
10c
of which trade receivables
-
-
-
-
-
-
-
-
-
10d
of which other wholesale
-
-
-
-
-
-
593
-
593
11
re-securitization
-
-
-
-
-
-
-
-
-
1 Bank acts as originator reflects securitization activities in which we securitize our own assets.
2 Bank acts as sponsor reflects securitization activities in which RBC works with its client to originate securitization transactions. RBC provides the liquidity and credit enhancement facilities to the SPE.
3 Bank acts as investor reflects purchases of securitization assets from the market.
As at October 31, 2020
(Millions of Canadian dollars)
a
b
c
e
f
g
i
j
k
Bank acts as originator1
Bank acts as sponsor2
Bank acts as investor3
Traditional
Synthetic
Sub-total
Traditional
Synthetic
Sub-total
Traditional
Synthetic
Sub-total
1
Retail (total) - of which
-
-
-
-
-
-
141
-
141
2
residential mortgages
-
-
-
-
-
-
18
-
18
3
credit cards
-
-
-
-
-
-
(7)
-
(7)
4
other retail exposures
-
-
-
-
-
-
130
-
130
4a
of which student loans
-
-
-
-
-
-
55
-
55
4b
of which auto loans and leases
-
-
-
-
-
-
59
-
59
4c
of which consumer loans
-
-
-
-
-
-
16
-
16
4d
of which other retail
-
-
-
-
-
-
-
-
-
5
re-securitization
-
-
-
-
-
-
-
-
-
6
Wholesale (total) - of which
-
-
-
-
-
-
5,621
-
5,621
7
loans to corporates
-
-
-
-
-
-
184
-
184
8
commercial mortgages
-
-
-
-
-
-
4,792
-
4,792
9
leases and receivables
-
-
-
-
-
-
-
-
-
10
other wholesale exposures
-
-
-
-
-
-
645
-
645
10a
of which dealer floor plan receivables
-
-
-
-
-
-
-
-
-
10b
of which equipment receivables
-
-
-
-
-
-
37
-
37
10c
of which trade receivables
-
-
-
-
-
-
-
-
-
10d
of which other wholesale
-
-
-
-
-
-
608
-
608
11
re-securitization
-
-
-
-
-
-
-
-
-
1 Bank acts as originator reflects securitization activities in which we securitize our own assets.
2 Bank acts as sponsor reflects securitization activities in which RBC works with its client to originate securitization transactions. RBC provides the liquidity and credit enhancement facilities to the SPE.
3 Bank acts as investor reflects purchases of securitization assets from the market.
SEC3
SEC3: Securitization exposures in the banking book and associated regulatory capital requirements - bank acting as originator or as sponsor
The following table presents a breakdown of securitization exposures in the banking book by risk weight and by regulatory approach when we act as originator or sponsor, and the associated capital requirements.
As at January 31, 2021
(Millions of Canadian dollars)
a
b
c
d
e
f
g
h
i
j
k
l
m
n
o
p
q
Exposure values (by RW bands)
Exposure values (by regulatory approach)
RWA3 (by regulatory approach)
Capital charge after cap (by regulatory approach)
≤20% RW
>20% to 50% RW
>50% to 100% RW
>100% to <1250% RW
1250% RW
SEC - IRBA 1,4
SEC - ERBA1,2
SEC - SA1
1250%
SEC - IRBA1,4
SEC - ERBA1,2
SEC - SA1
1250%
SEC - IRBA1,4
SEC - ERBA1,2
SEC - SA1
1250%
1
Total exposures
46,380
4,757
1,733
318
-
-
44,932
8,256
-
-
6,453
2,256
-
-
517
181
-
2
Traditional securitization
46,380
4,757
1,733
318
-
-
44,932
8,256
-
-
6,453
2,256
-
-
517
181
-
3
Of which securitization
46,380
4,757
1,733
318
-
-
44,932
8,256
-
-
6,453
2,256
-
-
517
181
-
4
Of which retail underlying
36,579
2,192
272
257
-
-
34,992
4,308
-
-
4,632
669
-
-
371
54
-
5
Of which wholesale
9,801
2,565
1,461
61
-
-
9,940
3,948
-
-
1,821
1,587
-
-
146
127
-
6
Of which re-securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
7
Of which senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
8
Of which non-senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
9
Synthetic securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
10
Of which securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
11
Of which retail underlying
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
12
Of which wholesale
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
13
Of which re-securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
14
Of which senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
15
Of which non-senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
1 OSFI adopted BCBS Revised Securitization Framework in Q1 2019. Effective Q1 2020, transitional grandfathering is no longer allowed.
2 As per disclosure requirements Internal assessment approach (IAA) exposures have been included with securitization external rating based approach.
3 Under the revised securitization framework, OSFI has removed the 1.06% IRB scalar for securitization exposures not risk weighted at 1250%.
4 SEC-IRBA exposures reflect exposures where we have underlying IRB approval currently.
As at October 31, 2020
(Millions of Canadian dollars)
a
b
c
d
e
f
g
h
i
j
k
l
m
n
o
p
q
Exposure values (by RW bands)
Exposure values (by regulatory approach)
RWA3 (by regulatory approach)
Capital charge after cap (by regulatory approach)
≤20% RW
>20% to 50% RW
>50% to 100% RW
>100% to <1250% RW
1250% RW
SEC - IRBA 1,4
SEC - ERBA1,2
SEC - SA1
1250%
SEC - IRBA1,4
SEC - ERBA1,2
SEC - SA1
1250%
SEC - IRBA1,4
SEC - ERBA1,2
SEC - SA1
1250%
1
Total exposures
47,719
4,472
1,183
407
19
1,170
45,067
7,544
19
329
6,233
1,978
243
26
498
158
19
2
Traditional securitization
47,719
4,472
1,183
407
19
1,170
45,067
7,544
19
329
6,233
1,978
243
26
498
158
19
3
Of which securitization
47,719
4,472
1,183
407
19
1,170
45,067
7,544
19
329
6,233
1,978
243
26
498
158
19
4
Of which retail underlying
36,974
2,541
313
343
19
1,170
35,019
3,982
19
329
4,628
641
243
26
370
51
19
5
Of which wholesale
10,745
1,931
870
64
-
-
10,048
3,562
-
-
1,605
1,337
-
-
128
107
-
6
Of which re-securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
7
Of which senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
8
Of which non-senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
9
Synthetic securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
10
Of which securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
11
Of which retail underlying
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
12
Of which wholesale
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
13
Of which re-securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
14
Of which senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
15
Of which non-senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
1 OSFI adopted BCBS Revised Securitization Framework in Q1 2019. Effective Q1 2020, transitional grandfathering is no longer allowed.
2 As per disclosure requirements Internal assessment approach (IAA) exposures have been included with securitization external rating based approach.
3 Under the revised securitization framework, OSFI has removed the 1.06% IRB scalar for securitization exposures not risk weighted at 1250%.
4 SEC-IRBA exposures reflect exposures where we have underlying IRB approval currently.
SEC4
SEC4: Securitization exposures in the banking book and associated capital requirements - bank acting as investor
The following table presents a breakdown of securitization exposures in the banking book by risk weight and by regulatory approach when we act as originator or sponsor, and the associated capital requirements.
As at January 31, 2021
(Millions of Canadian dollars)
a
b
c
d
e
f
g
h
i
j
k
l
m
n
o
p
q
Exposure values (by RW bands)
Exposure values (by regulatory approach)
RWA3 (by regulatory approach)
Capital charge after cap (by regulatory approach)
≤20% RW
>20% to 50% RW
>50% to 100% RW
>100% to <1250% RW
1250% RW
SEC - IRBA1,4
SEC - ERBA1,2
SEC - SA1
1250%
SEC - IRBA1,4
SEC - ERBA1,2
SEC - SA1
1250%
SEC - IRBA1,4
SEC - ERBA1,2
SEC - SA1
1250%
1
Total exposures
9,085
360
76
97
-
-
9,618
-
-
-
2,071
-
-
-
166
-
-
2
Traditional securitization
9,085
360
76
97
-
-
9,618
-
-
-
2,071
-
-
-
166
-
-
3
Of which securitization
9,085
360
76
97
-
-
9,618
-
-
-
2,071
-
-
-
166
-
-
4
Of which retail underlying
100
97
-
2
-
-
198
-
-
-
43
-
-
-
3
-
-
5
Of which wholesale
8,985
263
76
95
-
-
9,420
-
-
-
2,028
-
-
-
163
-
-
6
Of which re-securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
7
Of which senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
8
Of which non-senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
9
Synthetic securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
10
Of which securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
11
Of which retail underlying
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
12
Of which wholesale
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
13
Of which re-securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
14
Of which senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
15
Of which non-senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
1 OSFI adopted BCBS Revised Securitization Framework in Q1 2019.Effective Q1 2020, transitional grandfathering is no longer allowed.
2 As per disclosure requirements Internal assessment approach (IAA) exposures have been included with securitization external rating based approach.
3 Under the revised securitization framework, OSFI has removed the 1.06% IRB scalar for securitization exposures not risk weighted at 1,250%.
4 SEC-IRBA exposures reflect exposures where we have underlying IRB approval currently.
As at October 31, 2020
(Millions of Canadian dollars)
a
b
c
d
e
f
g
h
i
j
k
l
m
n
o
p
q
Exposure values (by RW bands)
Exposure values (by regulatory approach)
RWA3 (by regulatory approach)
Capital charge after cap (by regulatory approach)
≤20% RW
>20% to 50% RW
>50% to 100% RW
>100% to <1250% RW
1250% RW
SEC - IRBA1,4
SEC - ERBA1,2
SEC - SA1
1250%
SEC - IRBA1,4
SEC - ERBA1,2
SEC - SA1
1250%
SEC - IRBA1,4
SEC - ERBA1,2
SEC - SA1
1250%
1
Total exposures
9,522
428
103
568
-
-
10,621
-
-
-
2,706
-
-
-
217
-
-
2
Traditional securitization
9,522
428
103
568
-
-
10,621
-
-
-
2,706
-
-
-
217
-
-
3
Of which securitization
9,522
428
103
568
-
-
10,621
-
-
-
2,706
-
-
-
217
-
-
4
Of which retail underlying
108
135
-
2
-
-
245
-
-
-
57
-
-
-
5
-
-
5
Of which wholesale
9,414
293
103
566
-
-
10,376
-
-
-
2,649
-
-
-
212
-
-
6
Of which re-securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
7
Of which senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
8
Of which non-senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
9
Synthetic securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
10
Of which securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
11
Of which retail underlying
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
12
Of which wholesale
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
13
Of which re-securitization
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
14
Of which senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
15
Of which non-senior
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
1 OSFI adopted BCBS Revised Securitization Framework in Q1 2019.Effective Q1 2020, transitional grandfathering is no longer allowed.
2 As per disclosure requirements Internal assessment approach (IAA) exposures have been included with securitization external rating based approach.
3 Under the revised securitization framework, OSFI has removed the 1.06% IRB scalar for securitization exposures not risk weighted at 1,250%.
4 SEC-IRBA exposures reflect exposures where we have underlying IRB approval currently.
MR1
MR1: Market risk under standardized approach
The following table presents the components of the capital requirement under the standardized approach for market risk.
(Millions of Canadian dollars)
RWA
As at January 31, 2021
As at October 31, 2020
Outright products
1
Interest rate risk (general and specific)
3,473
3,705
2
Equity risk (general and specific)
305
217
3
Foreign exchange risk
2,068
2,158
4
Commodity risk
228
230
Options
5
Simplified approach
-
-
6
Delta-plus method
-
-
7
Scenario approach
5,375
4,794
8
Securitization
1,083
985
9
Total
12,532
12,089
MR2
MR2: RWA flow statements of market risk exposures under an IMA
The following table presents variations in the Market RWA determined under the Internal Models Approach.
As at January 31, 2021
(Millions of Canadian dollars)
a
b
c
d
e
f
VaR
Stressed VaR
IRC
CRM
Other
Total RWA
1
RWA at previous quarter end
6,175
2,394
6,716
-
-
15,285
2
Movement in risk levels1
498
(8)
803
-
-
1,293
3
Model updates/changes2
(177)
(50)
(200)
-
-
(427)
4
Methodology and policy3
-
-
-
-
-
-
5
Acquisitions and disposals
-
-
-
-
-
-
6
Foreign exchange movements4
-
-
(234)
-
-
(234)
7
Other
-
-
-
-
-
-
8
RWA at end of Reporting Period
6,496
2,336
7,085
-
-
15,917
1 Change in risk due to position changes and averaging in of prior quarter model updates.
2 Updates to the model to reflect recent market volatility, model implementation, change in model scope or any change to address model malfunctions including changes through model calibrations/realignments.
3 Methodology changes to the calculations driven by regulatory policy changes. Please note that these changes may be temporary.
4 Foreign exchange movements for VaR and Stressed VaR are embedded within movement in risk levels.
As at October 31, 2020
(Millions of Canadian dollars)
a
b
c
d
e
f
VaR
Stressed VaR
IRC
CRM
Other
Total RWA
1
RWA at previous quarter end
9,755
3,593
7,080
-
-
20,428
2
Movement in risk levels1
(3,661)
(1,233)
(326)
-
-
(5,220)
3
Model updates/changes2
81
34
-
-
-
115
4
Methodology and policy3
-
-
-
-
-
-
5
Acquisitions and disposals
-
-
-
-
-
-
6
Foreign exchange movements4
-
-
(38)
-
-
(38)
7
Other
-
-
-
-
-
-
8
RWA at end of Reporting Period
6,175
2,394
6,716
-
-
15,285
1 Change in risk due to position changes and averaging in of prior quarter model updates.
2 Updates to the model to reflect recent market volatility, model implementation, change in model scope or any change to address model malfunctions including changes through model calibrations/realignments.
3 Methodology changes to the calculations driven by regulatory policy changes. Please note that these changes may be temporary.
4 Foreign exchange movements for VaR and Stressed VaR are embedded within movement in risk levels.
MR3
MR3: IMA values for trading portfolios
The following table presents minimum, maximum, average and period-end regulatory 10 day VaR, regulatory 10 day stressed VaR, incremental risk charge and comprehensive risk capital charge. These measures are based on the scope of the global trading book with internal models approach (IMA) approval from OSFI for calculating regulatory market risk capital.
(Millions of Canadian dollars)
Value
VaR (10 day 99%)1,2
As at January 31, 2021
As at October 31, 2020
1
Maximum value
232
276
2
Average value
171
161
3
Minimum value
112
98
4
Period end
180
185
Stressed VaR (10 day 99%)1
5
Maximum value
212
238
6
Average value
160
156
7
Minimum value
117
91
8
Period end
169
188
Incremental Risk Charge (99.9%)
9
Maximum value
677
625
10
Average value
564
503
11
Minimum value
452
400
12
Period end
557
537
Comprehensive Risk capital charge (99.9%)
13
Maximum value
-
-
14
Average value
-
-
15
Minimum value
-
-
16
Period end
-
-
17
Floor (standardized measurement method)
-
-
1 The portfolio included in regulatory VaR and SVaR represents a subset of the portfolio captured in management VaR and SVaR reported in the Market Risk section of the 2020 Annual Report.
2 VaR shown this quarter now reflects the more conservative of either a one-day holding period scaled up to a ten-day holding period or the direct ten-day holding period. Amounts for Oct. 31, 2020 have been revised from those previously presented to reflect this.
LR1
LR1: Summary comparison of accounting assets vs leverage ratio exposure measure
The following table presents a reconciliation of our total assets per our published financial statements to our leverage ratio exposure measure.
LEVERAGE RATIO 1
Q1/2021
Q4/2020
Q3/2020
Q2/2020
Q1/2020
Summary comparison of accounting assets vs. leverage ratio exposure measure
(Millions of Canadian dollars)
1
Total consolidated assets as per published financial statements
$1,671,151
1,624,548
1,683,134
1,675,682
1,476,304
2
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation
(16,464)
(16,147)
(16,470)
(15,223)
(15,705)
3
Adjustment for securitized exposures that meet the operational requirements for the recognition of risk transfer 2
-
(5,528)
(5,529)
(5,529)
(6,503)
4
Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure
-
-
-
-
-
5
Adjustments for derivative financial instruments
(28,579)
(30,842)
(75,457)
(50,686)
(6,427)
6
Adjustment for securities financing transactions (SFT) (i.e. repo assets and similar secured lending)
14,314
12,123
14,491
15,872
12,661
7
Adjustments for off-balance sheet items (i.e., credit equivalent amounts of off-balance sheet exposures)
210,955
208,192
204,916
199,426
200,011
8
Other adjustments 3
(266,043)
(239,483)
(261,574)
(241,820)
(30,457)
9
Leverage Ratio Exposure
$1,585,334
1,552,863
1,543,511
1,577,722
1,629,884
1 Based on OSFI's Leverage Requirements Guideline issued in October 2018.
2 OSFI's October 2018 Leverage Requirements Guideline allows for the exclusion of securitized exposures that meet the operational requirements for risk transference. In Q1/2021 transitional methodology changes under the securitization framework did not allow us to recognize risk transference as further explained in SEC 1.
3 Includes OSFI permitted exclusion of central bank reserves and sovereign-issued securities that qualify as high quality liquid assets and exposures related to the US Government Payment Protection Program (PPP).
LR2
LR2: Leverage ratio common disclosure template
The following table presents a detailed breakdown of the components of our leverage ratio. Maintaining a prescribed minimum level of leverage helps neutralizes leverage risk in the event of unexpected economic crises. OSFI requires maintenance of a minimum leverage ratio of 3% at all times.
LEVERAGE RATIO COMMON DISCLOSURE TEMPLATE 1
Q1/2021
Q4/2020
Q3/2020
Q2/2020
Q1/2020
(Millions of Canadian dollars, except percentages)
On-balance sheet exposures
1
On-balance sheet items (excluding derivatives, SFTs and grandfathered securitization exposures, but including collateral)
996,797
967,523
970,360
985,261
1,035,249
2
Gross-up for derivatives collateral provided where deducted from balance sheet assets pursuant to the operative accounting framework (IFRS)
-
-
-
-
-
3
(Deductions of receivables assets for cash variation margin provided in derivatives transactions)
(16,328)
(17,400)
(23,487)
(25,142)
(15,041)
4
(Asset amounts deducted in determining Basel III Tier 1 capital)
(14,840)
(14,410)
(14,177)
(14,513)
(15,363)
5
Total on-balance sheet exposure (excluding derivatives and SFTs) (sum of lines 1 and 4)
965,629
935,713
932,696
945,606
1,004,845
Derivatives exposures
6
Replacement cost associated with all derivatives transactions (i.e., net of eligible cash variation margin)
25,968
28,186
31,839
37,488
27,969
7
Add-on amounts for potential future exposure (PFE) associated with all derivatives transactions
55,546
53,236
49,280
52,294
59,270
8
(Exempted central counterparty (CCP)-leg of client-cleared trade exposures)
Busuttil, William: Busuttil, William: What is CCP an acronym for?
-
-
-
-
-
9
Adjusted effective notional amount of written credit derivatives
824
1,225
802
340
316
10
(Adjusted effective notional offsets and add-on deductions for written credit derivatives)
-
-
-
-
-
11
Total derivative exposures (sum of lines 6 to 10)
82,338
82,647
81,921
90,122
87,555
Securities financing transaction exposures
12
Gross SFT assets recognized for accounting purposes (with no recognition of netting), after adjusting for sale accounting transactions
357,257
349,971
360,469
378,910
378,787
13
(Netted amounts of cash payables and cash receivables of gross SFT assets)
(45,160)
(35,783)
(50,981)
(52,213)
(53,975)
14
Counterparty credit risk (CCR) exposure for SFTs
14,314
12,123
14,491
15,872
12,661
15
Agent transaction exposures
-
-
-
-
-
16
Total securities financing transaction exposures (sum of lines 12 to 15)
326,411
326,311
323,979
342,569
337,473
Other off-balance sheet exposures
17
Off-balance sheet exposures at gross notional amount
626,427
594,156
598,358
573,779
566,404
18
(Adjustments for conversion to credit equivalent amounts)
(415,471)
(385,964)
(393,443)
(374,354)
(366,393)
19
Off-balance sheet items (sum of lines 17 and 18)
210,956
208,192
204,915
199,425
200,011
Capital and Total Exposures
20
Tier 1 capital
76,733
74,005
73,536
70,854
68,709
20a
Tier 1 capital with transitional arrangements for ECL provisioning not applied
75,757
72,559
72,179
69,616
21
Total Exposures (sum of lines 3,11,16 and 19)
1,585,334
1,552,863
1,543,511
1,577,722
1,629,884
Leverage ratio
22
Basel III leverage ratio
4.8%
4.8%
4.8%
4.5%
4.2%
22a
Basel III leverage ratio with transitional arrangements for ECL provisioning not applied
4.8%
4.7%
4.7%
4.4%
1 Based on OSFI's Leverage Requirements Guideline issued October 2018.
KM2
KM2: Key metrics - TLAC requirements (at resolution group level)
The following summary table provides information about our total loss-absorbing capacity (TLAC) available, and TLAC requirements applied, at the resolution group level under a Single Point of Entry. TLAC requirements establish two minimum standards, which are required to be met effective November 1, 2021: the risk-based TLAC ratio, which builds on the risk-based capital ratios described in the CAR guideline, and the TLAC leverage ratio, which builds on the leverage ratio described in OSFI's Leverage Requirements guideline. The risk-based TLAC ratio is defined as TLAC divided by total risk-weighted assets (RWA) while the TLAC leverage ratio is defined as TLAC divided by the Leverage ratio exposure. OSFI has provided notification requiring systemically important banks to maintain a minimum TLAC ratio of 22.5% (inclusive of the revised domestic stability buffer of 1% in Q2 2020) and a TLAC leverage ratio of 6.75%. Our TLAC ratio is expected to increase through normal course refinancing of maturing debt through the effective date of the TLAC requirements.
(Millions of Canadian dollars, except as otherwise noted)
a
b
c
d
e
f
January 31
October 31
July 31
April 30
January 31
Change
2021
2020
2020
2020
2020
(a) - (b)
Resolution group1
1
Total loss-absorbing capacity (TLAC) available
125,619
119,832
116,492
110,077
103,019
5,787
1a
Total loss-absorbing capacity (TLAC) available with transitional arrangements for ECL provisioning not applied
125,619
119,832
116,492
110,077
5,787
2
Total RWA at the level of the resolution group
557,519
546,242
551,421
558,412
523,725
11,277
3
TLAC ratio: TLAC as a percentage of RWA (row 1/row 2) (%)
22.5%
21.9%
21.1%
19.7%
19.7%
0.6%
3a
TLAC ratio: TLAC as a percentage of RWA (row 1a / row 2) (%) available with transitional arrangements for ECL provisioning not applied
22.5%
21.9%
21.1%
19.7%
0.6%
4
Leverage ratio exposure measure at the level of the resolution group
1,585,334
1,552,863
1,543,511
1,577,722
1,629,884
32,471
5
TLAC Leverage Ratio: TLAC as a percentage of leverage ratio exposure measure (row 1/row 4) (%)
7.9%
7.7%
7.5%
7.0%
6.3%
0.2%
5a
TLAC Leverage Ratio: TLAC as a percentage of leverage ratio exposure measure (row 1a/row 4) (%) with transitional arrangements for ECL provisioning not applied
7.9%
7.7%
7.5%
7.0%
0.2%
6a
Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply?
Yes
Yes
Yes
Yes
Yes
-
6b
Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply?
No
No
No
No
No
-
6c
If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with Excluded Liabilities and that is recognized as external TLAC, divided by funding issued that ranks pari passu with Excluded Liabilities and that would recognized as external TLAC if no cap was applied (%)
N/A
N/A
N/A
N/A
N/A
-
1 Lines 1, 3 and 5 incorporate expected credit loss (ECL) transitional modification provided by OSFI as announced on March 27, 2020. Lines 1a, 3a and 5a represent TLAC available with transitional arrangements for ECL provisioning not applied.
TLAC1
TLAC1: TLAC composition (at resolution group level)
The following table presents details of the composition of our TLAC.
As at January 31, 2021
(Millions of Canadian dollars, except as otherwise noted)
Amount
Regulatory capital elements of TLAC and adjustments
1
Common Equity Tier 1 capital (CET1)
69,555
2
Additional Tier 1 capital (AT1) before TLAC adjustments
7,178
3
AT1 ineligible as TLAC as issued out of subsidiaries to third parties
-
4
Other adjustments
-
5
AT1 instruments eligible under the TLAC framework
7,178
6
Tier 2 capital (T2) before TLAC adjustments
9,810
7
Amortised portion of T2 instruments where remaining maturity > 1 year
450
8
T2 capital ineligible as TLAC as issued out of subsidiaries to third parties
-
9
Other adjustments
-
10
T2 instruments eligible under the TLAC framework
10,260
11
TLAC arising from regulatory capital
86,994
Non-regulatory capital elements of TLAC
12
External TLAC instruments issued directly by the bank and subordinated to excluded liabilities
-
13
External TLAC instruments issued directly by the bank which are not subordinated to excluded liabilities but meet all other TLAC term sheet requirements
38,670
14
Of which: amount eligible as TLAC after application of the caps
38,670
15
External TLAC instruments issued by funding vehicles prior to January 1, 2022
-
16
Eligible ex ante commitments to recapitalise a G-SIB in resolution
-
17
TLAC arising from non-regulatory capital instruments before adjustments
38,670
Non-regulatory capital elements of TLAC: adjustments
18
TLAC before deductions
125,664
19
Deductions of exposures between MPE resolution groups that correspond to items eligible for TLAC (not applicable to SPE G-SIBs and D-SIBs)
-
20
Deduction of investments in own other TLAC liabilities
(46)
21
Other adjustments to TLAC
-
22
TLAC available after deductions
125,619
Risk-weighted assets and leverage exposure measure for TLAC purposes
23
Total risk-weighted assets adjusted as permitted under the TLAC regime
557,519
24
Leverage exposure measure
1,585,334
TLAC ratios and buffers
25
TLAC Ratio (as a percentage of risk-weighted assets adjusted as permitted under the TLAC regime, row 22 / row 23)
22.5%
26
TLAC Leverage Ratio (as a percentage of leverage exposure)
7.9%
27
CET1 (as a percentage of risk-weighted assets) available after meeting the resolution group's minimum capital and TLAC requirements
N/A
28
Institution-specific buffer (capital conservation buffer plus countercyclical buffer plus higher loss absorbency, expressed as a percentage of risk-weighted assets)
3.5%
29
Of which: capital conservation buffer
2.5%
30
Of which: bank specific countercyclical buffer
0.0%
31
Of which: higher loss absorbency
1.0%
As at October 31, 2020
(Millions of Canadian dollars, except as otherwise noted)
Amount
Regulatory capital elements of TLAC and adjustments
1
Common Equity Tier 1 capital (CET1)
68,082
2
Additional Tier 1 capital (AT1) before TLAC adjustments
5,923
3
AT1 ineligible as TLAC as issued out of subsidiaries to third parties
-
4
Other adjustments
-
5
AT1 instruments eligible under the TLAC framework
5,923
6
Tier 2 capital (T2) before TLAC adjustments
10,923
7
Amortised portion of T2 instruments where remaining maturity > 1 year
66
8
T2 capital ineligible as TLAC as issued out of subsidiaries to third parties
-
9
Other adjustments
-
10
T2 instruments eligible under the TLAC framework
10,989
11
TLAC arising from regulatory capital
84,994
Non-regulatory capital elements of TLAC
12
External TLAC instruments issued directly by the bank and subordinated to excluded liabilities
-
13
External TLAC instruments issued directly by the bank which are not subordinated to excluded liabilities but meet all other TLAC term sheet requirements
34,902
14
Of which: amount eligible as TLAC after application of the caps
34,902
15
External TLAC instruments issued by funding vehicles prior to January 1, 2022
-
16
Eligible ex ante commitments to recapitalise a G-SIB in resolution
-
17
TLAC arising from non-regulatory capital instruments before adjustments
34,902
Non-regulatory capital elements of TLAC: adjustments
18
TLAC before deductions
119,896
19
Deductions of exposures between MPE resolution groups that correspond to items eligible for TLAC (not applicable to SPE G-SIBs and D-SIBs)
-
20
Deduction of investments in own other TLAC liabilities
(64)
21
Other adjustments to TLAC
-
22
TLAC available after deductions
119,832
Risk-weighted assets and leverage exposure measure for TLAC purposes
23
Total risk-weighted assets adjusted as permitted under the TLAC regime
546,242
24
Leverage exposure measure
1,552,863
TLAC ratios and buffers
25
TLAC Ratio (as a percentage of risk-weighted assets adjusted as permitted under the TLAC regime, row 22 / row 23)
21.9%
26
TLAC Leverage Ratio (as a percentage of leverage exposure)
7.7%
27
CET1 (as a percentage of risk-weighted assets) available after meeting the resolution group's minimum capital and TLAC requirements
N/A
28
Institution-specific buffer (capital conservation buffer plus countercyclical buffer plus higher loss absorbency, expressed as a percentage of risk-weighted assets)
3.5%
29
Of which: capital conservation buffer
2.5%
30
Of which: bank specific countercyclical buffer
0.0%
31
Of which: higher loss absorbency
1.0%
TLAC2
TLAC2: Material subgroup entity - creditor ranking at legal entity level (G-SIBs only)
TLAC 2 is a G-SIB disclosure requirement to provide the ranking of the liability structure of all our material subsidiaries in foreign jurisdictions as defined by the FSB TLAC term sheet. RBC US Group Holdings LLC ("RBC IHC") is a material subsidiary entity for which TLAC 2 disclosure would be required. Effective January 1, 2021, RBC IHC must comply with the Federal Reserve TLAC rules which require reporting of TLAC ratios for calendar quarters commencing June 2021. OSFI has advised RBC it can align its IHC TLAC 2 disclosure requirements to similarly commence in Q3 2021 and will require only disclosure of IHC calendar quarter TLAC ratios. OSFI does require us to disclose TLAC 2 for any other material subsidiary identified, however, at this time RBC IHC is our only material subsidiary.
The following table provides information regarding the ranking of our unsecured liabilities structure at the resolution entity level.
As at January 31, 2021
(Millions of Canadian dollars, except as otherwise noted)
Creditor ranking
1
2
3
4
5
Sum
(most junior)
1
Description of creditor ranking
Common shares
Preferred shares and Limited Recourse Capital Notes
Subordinated Debt
Bail-in Debt1
Other Liabilities excluding Bail-in Debt and Subordinated Debt 2
2
Total capital and liabilities net of credit risk mitigation
17,664
7,198
8,974
39,901
-
73,737
3
Subset of row 2 that are excluded liabilities
26
-
48
859
-
933
4
Total capital and liabilities less excluded liabilities (row 2 minus row 3)
17,638
7,198
8,926
39,042
-
72,804
5
Subset of row 4 that are potentially eligible as TLAC
17,638
7,175
8,677
39,042
-
72,532
6
Subset of row 5 with 1 year ≤ residual maturity < 2 years
-
4,925
-
4,925
7
Subset of row 5 with 2 years ≤ residual maturity < 5 years
2,029
28,612
-
30,641
8
Subset of row 5 with 5 years ≤ residual maturity < 10 years
5,212
2,490
-
7,702
9
Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities
1,436
3,015
-
4,451
10
Subset of row 5 that is perpetual securities
17,638
7,175
-
-
-
24,813
1 Under the Bail-in Regime, Bail-in Debt which would ordinarily rank equally to Other Liabilities in liquidation, is subject to conversion under statutory resolution powers whereas Other Liabilities are not subject to such conversion.
2 Completion of this column is not required by OSFI at this time.
As at October 31, 2020
(Millions of Canadian dollars, except as otherwise noted)
Creditor ranking
1
2
3
4
5
Sum
(most junior)
1
Description of creditor ranking
Common shares
Preferred shares and Limited Recourse Capital Notes
Subordinated Debt
Bail-in Debt1
Other Liabilities excluding Bail-in Debt and Subordinated Debt 2
2
Total capital and liabilities net of credit risk mitigation
17,628
5,948
9,573
37,365
-
70,514
3
Subset of row 2 that are excluded liabilities
129
4
4
2,080
-
2,217
4
Total capital and liabilities less excluded liabilities (row 2 minus row 3)
17,499
5,944
9,569
35,285
-
68,297
5
Subset of row 4 that are potentially eligible as TLAC
17,499
5,920
9,310
35,285
-
68,014
6
Subset of row 5 with 1 year ≤ residual maturity < 2 years
-
2,999
-
2,999
7
Subset of row 5 with 2 years ≤ residual maturity < 5 years
110
26,838
-
26,948
8
Subset of row 5 with 5 years ≤ residual maturity < 10 years
8,744
3,076
-
11,820
9
Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities
456
2,372
-
2,828
10
Subset of row 5 that is perpetual securities
17,499
5,920
-
-
-
23,419
1 Under the Bail-in Regime, Bail-in Debt which would ordinarily rank equally to Other Liabilities in liquidation, is subject to conversion under statutory resolution powers whereas Other Liabilities are not subject to such conversion.
2 Completion of this column is not required by OSFI at this time.
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RBC - Royal Bank of Canada published this content on 24 February 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 24 February 2021 13:34:06 UTC.
Royal Bank of Canada is a global financial institution. Its business includes Personal & Commercial Banking, Wealth Management, Investor Services, Capital Markets and Insurance. The Personal & Commercial Banking comprises its personal banking operations and certain retail investment businesses in Canada, the Caribbean and United States, as well as its commercial and corporate banking operations in Canada and the Caribbean. Wealth Management provides a full suite of investment, trust and other wealth management solutions and businesses. Capital Markets provides public and private companies, institutional investors, governments and central banks globally with a range of capital markets products and services across its two main business lines, Corporate and Investment Banking and Global Markets. Insurance offers a range of life, health, home, auto, travel, wealth and reinsurance advice and solutions, and creditor and business insurance services to individual, business and group clients.
ROYAL BANK OF CANADA 
