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TRANSCRIPT
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Royal Pillar
As at O
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3 Rep
ctober 3
k of Ca
port
31, 2018
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BLE OF CON
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OUT ROYAL BA
PITAL FRAMEW
CLOSURE MAP
ERVIEW OF KEY
KM1: Key CapitaOVA: Bank risk mOV1: Overview o
KAGES BETWE
LI1: Differences bcategories ...
LI2: Main sourceLIA: Explanations
EDIT RISK .........
CRA: General quCR1: Credit qualCR2: Changes inCRB: Additional dCRC: QualitativeCR3: Credit risk CRD: QualitativeCR4: StandardizeCR5: StandardizeCRE: QualitativeCR6: IRB – Cred
CR6: Memo ICR7: IRB – EffecCR8: RWA flow sCR9: IRB – Back
UNTERPARTY C
CCRA: QualitativCCR1: Analysis oCCR2: Credit valCCR3: StandardCCR4: IRB – CCCCR5: CompositCCR6: Credit deCCR7: RWA flowCCR8: Exposure
CURITIZATION ..
SECA: QualitativSEC1: IRB – SecSEC2: IRB – SecSEC3: SecuritizaSEC4: Securitiza
RKET RISK .......
MRA: QualitativeMRB: QualitativeMR1: Market riskMR2: RWA flow sMR3: IMA valuesMR4: Compariso
ERATIONAL RIS
EREST RATE R
nk of Cana
NTENTS
DING FORWARD
ANK OF CANAD
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ENT AND RWA ..
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ISCLOSURE
Pillar 3 equirement
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RWA
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2018 Annual R
Risk managem
Top and emerg
Enterprise risk
Enterprise risk
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exchange rate
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mework nce risk
financial dging activities - or trading
financial dging activities - or other than
financial dging activities - redit risk
2018 Annual Report
Reference
49
50 50-51
52 53 53 54 52 54
55
53
55 53-54
67 87-88
53 53 54 56 56
57-58 59 59 59
67
67
67
69
69
70
72 73 73 75 79 83 83 83 85 85 85 87
87-88
171
171
173-174
Q4 2018
3
Frequency of Disclosure
Quarterly
Annual
Annual Annual Annual Annual Annual Annual Annual Annual
Annual
Annual
Annual Annual Annual Annual Annual Annual Annual Annual Annual Annual Annual Annual Annual
Annual
Annual
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ures of policies andor, and an indicationt to which the bank of, on– and off–et netting
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3 Report
2018 Annual R
Credit risk
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ote 2 – Summary occounting policies, dgments - efinition of defaultredit impaired finan
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ote 2 – Summary occounting policies, dgments - llowance for credit ote 2 – Summary occounting policies, dgments -
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2018 Annual Report
Reference
56
57 52 53 53 55 56
57-58
59 59
52
54
52
52
55
125
125
123-126, 129
126
58
173-174
207-208
59
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170-178
Q4 2018
4
Frequency of Disclosure
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Semi-annual
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a) Risk manaand policies counterparty
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3 Report
2018 Annual R
n/a
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redit ratings
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ent – risk financial
dging activities – redit risk of significant estimates and
atives
ent – risk
ent – risk financial
dging activities – redit risk
financial assets es ent – risk
2018 Annual Report
Reference
n/a
58
173-174
126, 129, 133-134
58
58
173-174
207-208
58
78
n/a
Q4 2018
5
Frequency of Disclosure
Semi-annual
Annual
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Semi-annual
Semi-annual
Quarterly
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3 Report
2018 Annual R
Off-balance shearrangementsConsolidated FStatements Consolidated FStatements
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of significant estimates and
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2018 Annual Report
Reference
47-49
166
167-170
167-170
121-122
133
102
98-99
56-59
98-99
57-58
67
67
68
69
69
69
69
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134
52 53 53 54
53-54 55
52
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Q4 2018
6
Frequency of Disclosure
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Semi-annual
Semi-annual
Semi-annual
Semi-annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
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Annual Annual Annual Annual Annual Annual
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Royal Ban
ISCLOSURE
Pillar 3 equirement
Market risk continued)
M(cont
M
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Operational risk
Interest rate risk i
nk of Cana
MAP (contin
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2018 Annual R
Enterprise risk
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Operational risk
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arket risk measureterest Rate Sensiti
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– FVTPL
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es for other portfolios
– FVTPL
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the context of our
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the context of our
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2018 Annual Report
Reference
53
54
53-54
67
67
68
69
69
69
69
70
67
67
84
97-98
84
97-98
84
67-72
Q4 2018
7
Frequency of Disclosure
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Semi-annual
Quarterly
Semi-annual
Semi-annual
Annual
Annual
Annual
Annual
Annual
Annual
-
OV
KM
1
2
3
4
5
6
7
8
9
10
11
12
13
14 1 8%
Royal Ban
VERVIEW OF
M1: Key Cap
(Millions of Cana
Available capiCommon Equit
Tier 1
Total capital
Risk-weightedTotal risk-weig
Risk-based caCommon Equit
Tier 1 ratio
Total capital ra
Additional CECapital conserv
Countercyclica
Bank G-SIB an
Total of bank C
CET1 available
Basel III leveraTotal Basel III l
Basel III leverareflects minimum ca
nk of Cana
F KEY METR
pital and Leve
dian dollars)
ital (amounts) ty Tier 1 (CET1)
d assets (amounthted assets (RWA
apital ratios as a ty Tier 1 ratio
atio
ET1 buffer requirevation buffer requ
al buffer requireme
nd/or D-SIB additio
CET1 specific buff
e after meeting the
age ratio leverage ratio exp
age ratio (row 2 / rapital requirements w
ada Pillar 3
RICS, RISK M
erage metric
ts) A)
percentage of R
ements as a percirement
ent
onal requirements
fer requirements (
e bank's minimum
posure measure
row 13) which includes D-SIB
3 Report
MANAGEMEN
cs (at consoli
RWA
centage of RWA
s
row 8 + row 9 + ro
m capital requirem
B/G-SIB surcharge. R
NT AND RWA
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ow 10)
ents (row 5 - 8%)
Refer to our Capital
A
p level)
)1
Management sectio
a
October 31
2018
57,001
63,279
72,494
496,459
11.5%
12.8%
14.6%
2.5%
-
1.0%
3.5%
3.5%
1,450,769
4.4% n of our 2018 Annua
b
July 31
2018
55,054
61,332
70,525
498,896
11.1%
12.3%
14.1%
2.5%
-
1.0%
3.5%
3.1%
1,413,899
4.3% al Report
Q4 2018
8
c
Change
1,947
1,947
1,969
(2,437)
0.4%
0.5%
0.5%
0.4%
36,870
0.1%
-
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Business model
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Q4 2018
9
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(SIRR)
ng activities –
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The
1 2 3 4 4a 4b 5 6 7 8 9 10 11 12
12a13 14 15 16 17 18 19 20 21 22 23 24 25
1 Amoamou2 Amo3 Amo
Royal Ban
V1: Overview
e following table
(Millions of Canad
Credit risk (exof which stanof which inte
Counterparty cof which otheCredit valuatof which stanof which inte
Equity positioEquity investmEquity investmEquity investmSettlement risSecuritization
a of which: secinternal asseof which IRBof which IRBof which SA/
Market risk of which stanof which inte
Operational risof which Basof which Staof which Adv
Amounts belowFloor adjustmeTotal (1+4+7+8
ount represents Totaunts for credit risk asount reflects BCBS 8ount reflects allowed
nk of Cana
w of risk weig
e presents an o
dian dollars)
cluding counterpndardized approac
ernal rating-based credit risk (CCR)er CCR tion adjustment (Cndardized approac
ernal model methons in banking bo
ments in funds – ments in funds – ments in funds – k exposures in ba
curitization externessment approachB ratings-based apB Supervisory Form/simplified supervi
ndardized approacernal model approask sic Indicator Approndardized Approavanced Measuremw the thresholdsent 8+9+10+11+12+1al capital risk-weightessessed under the IR8% minimum capital d phase-in of CVA of
ada Pillar 3
ghted assets
overview of our
party credit risk)ch (SA) (IRB) approach
)
CVA)3 ch for counterpart
od (IMM) ook under markelook-through apmandate-based fall-back approa
anking book al ratings-based a
h (IAA) pproach (RBA) mula Approach (Sisory formula appr
ch (SA) aches (IMA)
oach ach ment Approach s for deduction (s
6+19+23+24) ed assets. RWA incl
RB Approach. This rerequirements determ
f 86%.
3 Report
s (RWA)
r RWA and the
ty credit risk (SA-C
et-based approacpproach
approach ach
approach (SEC-E
SFA) roach (SSFA)
subject to 250%
udes a calibration adequirement will be remined as RWA x 8%
e related minim
CCR)
ch
RBA), including
risk weight)
djustment of 1.06% eflected in all subseq
% (i.e. column a x 8 %
mum capital req
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October 312018
33177
254433013
2
2
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32121962
55711
496as prescribed by OS
quent tables where I%).
uirements by r
b
RWA1 1 July
201,613 7,266 4,347 3,443 0,108 3,335
- -
2,209 -
2,075 125 498
0,320
- 0,320
- -
2,209 2,976 9,233 2,716
- 5,194 7,522 1,251
- 6,459 SFI under the Basel RB credit risk RWA
risk type.
b Min req
y 31 O18
337,456 76,394
261,062 44,899 31,319 13,580
- -
2,373 -
2,064 -
655 8,383
- 8,383
- -
29,921 12,133 17,788 61,498
- 5,020
56,478 11,647
- 498,896
III framework and is is reported.
Q4 2018
10
c imum capital quirements2
October 31 2018
26,529 6,181
20,348 3,476 2,409 1,067
- -
177 -
166 10 40
826
- 826
- -
2,577 1,038 1,539 5,018
- 416
4,602 900
- 39,719
applied to RWA
-
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Royal Ban
NKAGES BE
1: Differencatement cate
e following tablh International ancial statemen
at October 31, 201
ons of Canadian dolets h and due from brest-bearing depurities rading
nvestment, net of a
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Retail Wholesale
Allowance for loan
regated fund neter
Customers' liabilityDerivatives2
remises and equiGoodwill Other intangibles Other assets
al assets2 bilities and equityposits
ersonal usiness and goveank
regated fund neter
Acceptances Obligations relatedObligations relatedepurchase agreem
Derivatives2 nsurance claims a
Other liabilities
ordinated debenal liabilities2 ity attributable toreferred shares
Common shares Retained earnings Other components
n-controlling inteal equity al liabilities and eumn c to g reflect a frivative assets and lia
nk of Cana
ETWEEN FINA
es between egories with e provides the Financial Rep
nts into regulato
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lars)
banks posits with banks
applicable allowa
nder reverse repcurities borrowed
losses
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to securities sold to assets sold un
ments and securiti
and policy benefit l
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accountingregulatory rdifferences be
orting Standarory risk categor
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repf
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nce
purchase d
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1
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liabilities
1
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3 Report
ATEMENTS A
g and regularisk categorieetween carryingrds (IFRS) andries.
a
Carrying alues as ported in ublished inancial atements
Cavalue
scoregu
conso
30,209 36,471
128,258 1
94,608 222,866 2
294,602 2
399,452 3180,278 1579,730 5
(2,912)576,818 5
1,368
15,641 94,039 2,832
11,137 4,687
44,064 172,400 1
1,334,734 1,3
270,154 2534,371 5
32,521 837,046 8
1,368
15,662 32,247
206,814 290,238 10,000 52,273
407,234 39,131
1,254,779 1,2
6,309 17,617 51,112 4,823
79,86194
79,9551,334,734 1,3g the respective CARcredit risk and mark
AND REGULA
atory scopeses g values prese
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b c
rrying es under ope of ulatory olidation
Subjeccredit framew
30,207 3036,471 36
120,162
92,555 79212,717 8
294,602
399,167 389178,280 166577,447 556
(2,912)574,535 556
-
15,641 1594,125 2,829 2
11,137 4,603
45,480 37173,815 56322,347 759
270,154 534,492
32,521 837,167
-
15,662 32,247
206,814 90,238
- 51,077
396,038 9,131
242,336
6,309 17,617 51,114 4,877
79,91794
80,011322,347 R guideline framewoket risk framework –
ATORY EXPO
s of consol
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d
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work
Subject counterpa
credit risframewo
0,207 6,471
1,432 9,685 1,117
- 294,6
9,534 6,566 46,100 4
- 6,100 4
-
5,641 - 94,
2,829 - -
7,554 4,56,024 98,79,919 393,7
- - - --
- -
- 206,8- 90,2- - - 297,0- - 297,0
- - - - -- -- 297,0
orks utilized. hence column b will
OSURES
lidation and
ancial statemet further break
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Carrying values o
to arty sk ork
Subject to thsecuritizatio
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- -
- 18- 12,87- 13,05
602
- 479 6,47479 6,47
- 479 6,47
-
- 125
- - -
593 2718 2799 19,55
- - - --
- -
814 238
- -
052 -
052
- - - - -- -
052
not equal to the sum
mapping o
ents prepared iks down the am
f
f items:1
he n
Subject to the market risk framework
- -- -
87 118,54370 -57 118,543
- -
- -74 3,47774 3,477
- -74 3,477
- -
- -- 91,192- -- -- -
23 2,60823 93,80054 215,820
- -- -- -- -- -
- -- -
- -- 87,761- -- -- 87,761- -- 87,761
- -- -- -- -- -- -- -- 87,761
m of column c to g.
Q4 2018
11
of financial
n accordance mounts in our
g
Not subject to capital
requirements / or subject to
deduction from capital
- -
- - -
-
9,633 1,284
10,917 (2,912)8,005
-
- - -
11,137 4,603
702 16,442 24,447
270,154 534,492
32,521 837,167
-
15,662 32,247
- - -
51,077 98,986 9,131
945,284
6,309 17,617 51,114 4,877
79,91794
80,0111,025,295
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LI2sta
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1
2
3
4
5
6
7
8
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10
1 Am– hen2 Off-
Royal Ban
2: Main souatements
e following tabrying values as
at October 31, 201
(Millions of CanadAsset carryingregulatory conLiabilities carryof consolidationTotal net amouconsolidation
Off-balance she
Differences due
Differences duethose already in
Differences due
Differences due
Difference due securitizations aExposure amopurposes
ount reflects Table Lnce column a will no-balance sheet amou
nk of Cana
urces of diffe
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18
dian dollars) g value amount unsolidation (as peing value amount n (as per templatent under regulator
eet amounts2
e to Fair Value adj
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e to consideration
e to prudential filte
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ounts considered
LI1 columns (c), (d), t equal to the sum ofunts reflect the applic
ada Pillar 3
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under scope of er template LI1)1
under regulatory e LI1)1 ry scope of
justment
ng rules, other tha
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d for regulatory
(e) and (f) from the pf column b to e. cation of credit conv
3 Report
ween regula
nces between atements that a
a
Tot
1,2
scope 2
1,0
1,1
an
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2,1
previous page. Deriv
version factors.
atory exposu
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297,900
297,052
000,848
114,918
299
995
306
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5,195
122,561 1
vative assets and liab
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amounts for scope of regula
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Secfra
759,919
-
759,919
306,189
299
995
306
-
3,626
1,071,334
bilities are subject to
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Items subject
curitization amework
C
f
19,554
-
19,554
42,215
-
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-
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1,569
63,338
o both counterparty c
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d
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393,799
297,052
96,747
766,514
-
-
-
-
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863,261
credit risk and marke
Q4 2018
12
n financial
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Market risk framework
215,820
87,761
128,059
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(3,429)
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124,630
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Q4 2018
13
cial Reporting sheet to applyet.
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that have beeReport is avai
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Gross credit
Risk governRisk appetitRisk measuRisk control Overview Credit risk aCredit risk mCredit risk a
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ance
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Q4 2018
14
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at October 31, 201
(Millions of Canad
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Debt Securities
Off-Balance Sh
Total finition of default as pflects Stage 3 IFRS 9balance sheet amou
uded as per BCBS re
R2: Changes
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the six months en
(Millions of Canad
Defaulted loan
Loans and debt
Returned to no
Amounts writte
Other changes
Defaulted loan
RB: Addition
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Pillar 3 disclos
Definitions of exposures
Extent of past
Description ofdetermining im
Definition of aexposure
nk of Cana
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18
dian dollars)
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per the CAR guidelin9 allowances only. unts are before the aequirements.
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past due and i
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f methods usedmpairments
a restructured
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omprehensive
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view of the cre
Gross carrying v
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2,027
-
289
2,316
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C 2018 Annual
solidated Finan
solidated Finan
solidated Finan
solidated Finan
edit quality of ou
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values of
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reporting period
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ur on- and off-b
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554,073
79,190
255,609
888,872
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ts Note 2 - Suestimates a"Definition
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Sub-ummary of signand judgmentsof default"
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ummary of signand judgmentse for credit lossummary of signand judgmentsons”
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700
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our 2018 Annuacharge on ou
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nificant accouns ses" nificant accouns
Q4 2018
15
d
values +b-c)
555,400
79,190
255,898
890,488
commitments are
ure categories
a
2,402
207
(148)
(841)
407
2,027
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Breakdown
e following tablssification beloAD).
at October 31, 201
ons of Canadian dolail
Residential securedQualifying revolvingOther retail
Total Retaolesale
Agriculture Automotive
anking Consumer DiscretioConsumer Staples Oil & gas
inancial Services inancing Productsorest Products
Governments ndustrial Productsnformation Technonvestments
Mining & Metals ublic Works & Infr
Real Estate & RelaOther services
elecom & Media ransportation tilities
Other sectors Total Who
al Exposure1
Geography Canada
nited States urope
Other Internationalal Exposure1
Maturity nconditionally can
Within 1 year to 5 year
Over 5 years al Exposure1 cludes securitization,balance sheet amouudes other off-balan
unterparty credit risk udes residential mor
nk of Cana
nal disclosur
n of exposures
e provides a bow reflects the
18
lars)
d5 g
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onary
s
ology
rastructure ated
olesale
ncellable
banking book equitiunts are after the appce sheet exposures EAD reflects exposu
rtgages and home eq
ada Pillar 3
re related to t
by geographica
breakdown of oBasel regulato
On-balam
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ure amount after netquity lines of credit.
3 Report
the credit qu
al areas, indus
our credit risk ory defined ex
a
lance sheet mount
298,555 24,223 54,170
376,948
8,510 8,936
47,868 15,784 4,662 6,186
25,798 1,234 1,140
110,192 7,751 4,843
16,157 1,486 1,899
54,490 23,892 7,957 5,861 9,357 1,931
365,934 742,882
510,445 147,543
54,061 30,833
742,882
352,685 173,225 180,322
36,650 742,882
not subject to standnversion factors. redit & guarantees. tting. Collateral is inc
uality of asse
stry and residua
exposures by xposure classe
b Credit Risk1
Off-balance s
Undrawn
59,84065,61712,693
138,150
1,7606,4351,7347,9286,316
10,70422,3451,269
9337,5668,2195,152
9563,8861,836
11,83212,45212,1165,600
19,598303
148,940287,090
205,87560,17218,4502,593
287,090
136,47850,95292,3377,323
287,090dardized or IRB appr
cluded in EAD for rep
ets (continue
al maturity
geographical aes. Amounts sh
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sheet amount2
Other3
12
1
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52 52
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345 549 587 517 ,483 ,164 359
89 ,798 686 178 389 917 425 ,338 877 134 ,185 ,561
1 ,625 ,677
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51 ,496 ,798 ,332 ,677
s to the extent allowe
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terparty Credit Ri
-style action D
- -
52,394 - - -
110,246 - -
9,476 -
15 11
- - - 2 - - -
126 172,270 172,270
78,172 41,897 48,874 3,327
172,270
- 172,270
- -
172,270
ed by regulatory guid
Q4 2018
16
maturity. Our res at default
e sk CCR4
erivatives
45 504
26,313 293 672
1,717 30,580
352 23
7,182 455
1,967 157 184 115 385 551
1,534 1,270 2,581
11,898 88,778 88,778
29,195 16,059 39,719 3,805
88,778
- 31,377 34,286 23,115 88,778
delines.
-
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The As a
Impa(MillioCan
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Royal Ban
RB: Addition
Amounts oallowances
e following table
at October 31, 201
aired exposures ons of Canadian dolada
Retail Wholesale
ecurities otal - Canada ted States
Retail Wholesale
ecurities otal - United Stater International
Retail Wholesale
ecurities otal - Other Interal
Retail Wholesale
ecurities al impaired exposographic informationowance reflects only
write-offs by geo
ons of Canadian dol
ada Retail
Wholesale
ted States2 Retail
Wholesale
er International Retail
Wholesale
al Retail
Wholesale
al net write-offs ographic information udes acquired credit
nk of Cana
nal disclosur
of impaired exs and write-offs,
es provide a br
18
by geography1 alars)
tes
rnational
sures is based on residenStage 3 IFRS 9 allo
ography1 and po
lars)
is based on resident-impaired loans rela
ada Pillar 3
re related to t
xposures (acco, broken down
reakdown of im
and portfolio
nce of borrower. wances.
rtfolio
nce of borrower. ated to the acquisition
3 Report
the credit qu
ording to the by geographic
mpaired exposu
n of City National.
uality of asse
definition usecal areas and in
ures by geograp
Grosex
ets (continue
ed by the banndustry
phical areas an
ss impaired xposures
723 396
- 1,119
23 401
- 424
327 313 125 765
1,073 1,110
125 2,308
ed)
nk for account
nd industry.
Allowance2
For the ye
ting purposes)
2 Net ex
168
92 -
260
1 164
- 165
166 109
- 275
335 365
- 700
ear ended Octobe
Q4 2018
17
) and related
impaired posures
555 304
- 859
22 237
- 259
161 204 125 490
738 745 125
1,608
er 31, 2018
942
83
4
19
24
40
970
142
1,112
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As aImpa (Millio
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Royal Ban
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at October 31, 201aired exposures
ons of Canadian dol
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ersonal
mall business
olesale usiness
Agriculture
Automotive
Consumer good
Energy
Oil and gas
Utilities
Financing produ
Forest products
Health services
Holding and inv
Industrial produ
Mining and meta
Non-bank financ
Other services
Real estate and
Technology and
Transportation a
Other
overeign
ank
al impaired loansecurities
al impaired exposowance reflects only
nk of Cana
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18 by portfolio and
lars)
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ada Pillar 3
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d sector
wances.
3 Report
the credit quuality of asse
Groe
ets (continue
oss impaired exposures
726
303
44
29
7
68
231
7
78
9
6
10
42
2
20
140
293
10
91
67
-
-
2,183 125
2,308
ed)
Allowance
e1 Netex
176
141
18
2
4
20
76
1
21
5
6
5
11
-
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47
97
11
36
23
-
-
700 -
700
Q4 2018
18
t impaired xposures
550
162
26
27
3
48
155
6
57
4
-
5
31
2
20
93
196
(1)
55
44
-
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1,483 125
1,608
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Ageing ana
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at October 31, 201
ons of Canadian dollar
ail
olesale
al
Breakdown
ounts are deem
RC: Qualitati
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Pillar 3 disclos
Core featuresprocesses forthe extent to wuse of, on- annetting
Core featuresprocesses forand managem
Information abrisk concentrarisk mitigation
nk of Cana
nal disclosur
alysis of accoun
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18
rs)
n of restructured
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presents an ovreference into m/investorrelat
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s of policies andr collateral evalment
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verview of Pillathis Pillar 3
ions
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Credit
Conso
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credit e credit sed
Credit
Conso
3 Report
the credit qu
exposures
retail and whole
302,995
1,246
4,241
etween impaire
sure.
ents related t
r 3 disclosure report. Our 2
2018 Annual R
t risk
olidated Financ
t risk
t risk
olidated Financ
uality of asse
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0 to 89 days 1,40
46
1,87
ed and not impa
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requirements 2018 Annual R
Report section
cial Statements
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90 days 02
68
70
aired exposure
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that have beeReport is avai
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Counterpart
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Note 8 - Deractivities – DNote 30 - Ofliabilities
Credit risk m
Credit risk m
Credit risk a
s Note 8 - Deractivities
ed)
and greater 179
-
179
es
techniques
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rivative financiaDerivative-relatffsetting financ
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Tot
our 2018 Annuacharge on ou
section
al instruments ted credit risk
cial assets and
lateral
dit risk limits
al instruments
Q4 2018
19
tal 4,576
1,714
6,290
al Report andur website at
and hedging
financial
and hedging
-
CR
We expSecutiliz As a
1
2 3 4
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Royal Ban
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utilize alloweposures. The focured exposureze credit deriva
at October 31, 201
(Millions of Canad
Loans
Debt securities Total Of which defau
umn c is a subset of dit mitigation allocatny remaining balancumn e is a subset of
RD: Qualitatredit risk
detailed in seproach requirenterparties, issndard & Poor’s
proved by OSFder the asset cwell, external r
ernal ratings utissue-specific ry for our expos
r supervisor, Oencies to an eqproach portfolio
ndardized Risk W
g Term A to AA-) to A-) B+ to BBB-) + to BB-) to B-) ow B-)
understand thencies in its ann
nk of Cana
sk mitigation
ed regulatory collowing table pes are mitigatedatives to mitiga
18
dian dollars)
lted column b.
ion for multi-securede. f column d.
ive disclosu
ction CR4, cements. OSFI’s
sued by indepes (S&P), Mood
FI. Currently, elasses of corpoatings are used
tilized from therating if it is avures which ran
OSFI specifies iquivalent risk wos under the gu
Weight Category
hat OSFI annunual update to
ada Pillar 3
n techniques
credit mitigatiopresents a detd by way of ad
ate our on-balan
a
Exposures unsecured:
carrying amount
187,975
60,906 248,881
582
d exposures is made
res on bank
rtain of our pos Standardizedendent rating ay’s Investors S
external ratingsorate, sovereigd for determinin
e above-mentiovailable for the nk pari-passu w
n its CAR guidweight. We relyuideline. OSFI’s
S&P
AAA to AAA+ to A-
BBB+ to BBBB+ to BB
B+ to B- Below B-
ually reviews ththe CAR guide
3 Report
– overview
on techniques ailed breakdowditional collatence sheet expo
b
Exposures secured by collateral
255,724
18,284274,008
790
e by way of order of p
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with senior claim
deline the requiy on OSFI’s ms current mapp
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A- AAAA1
BB- BAA1B- BA1
B1- Be
he list of acceelines.
to reduce cawn of our unseral or guaranteosures.
c
Exposures secured by collateral, of
which: secured amount1
247,148
18,284265,432
790
priority of available m
xternal credit
amounts are methodology all
e determinationRating Servicesdetermine the Ror entities, mulghting for certa
encies are eitheetermining RW
ms of the issue
ired standard mmapping to deteping of external
ng-term rating oody's
A to AA3 to A3 to BAA3 to BA3 to B3 low B3
eptable rating a
apital requiremecured and secees being reque
d
Exposures secured by
financial guarantees2
111,693
- 111,693
238
mitigation to be utilize
t ratings und
calculated as lows for the rn of RWA. Fives, DBRS and KRWA amounts ltilateral develoain of our secu
er an issuer raWA for the expoer.
mapping of lonermine the appl rating agencie
Fitch
AAA to AA- A+ to A-
BBB+ to BBB- BB+ to BB-
B+ to B- Below B-
agencies and
ments associatecured loan andested of the bo
e
Exposures secured by
financial guarantees, of which: secured
amount3 72,407
- 72,407
237
ed: financial guarant
der the stan
per OSFI’s CAreliance on thee external ratinKroll Bond Ratassociated wi
opment banks,ritizations expo
ting or an issuosure we hold.
g term externapropriate risk bes rating is refl
DBRS
AAA to AAA(high) to
BBB(high) to BB(high) to
B(high) to CCC or l
will reflect any
ed with our bd debt securitieorrower. We so
f
Exposures secured by
credit derivatives
8
- 8 -
tees portion first follo
ndardized ap
AR Guideline e external cre
ng agencies ratting Agency, Inth our wholesa banks and se
osures.
e-specific ratin. We utilize the
al ratings of theuckets for our ected in the tab
S
A (low) AA(low) BBB(low) BBBB(low) BB(low) ower
y changes in a
Q4 2018
20
balance sheet es exposures. ometimes also
g
Exposures secured by
credit derivatives, of which: secured
amount 8
- 8 -
owed by collateral
pproach for
Standardized edit ratings of tings, namely, nc. have been ale exposures ecurities firms.
ng. We rely on e issuer rating
e above rating Standardized ble below:
Kroll
AAA to AA- A+ to A-
BB+ to BBB- BB+ to BB-
B+ to B- Below B-
allowed rating
-
CR
Thepresassdete As a
1
2
3
4
5
6
7
8
9
10
11
12
13
14 1 Whethe p
Royal Ban
R4: Standard
e following tabsents on balanociated RWA ermine the pres
at October 31, 201
(Millions of Canad
Asset Classes
Sovereigns and
Non-central go
Multilateral dev
Banks
Securities firms
Corporates1
Regulatory reta
Secured by res
Secured by com
Equity
Past-due loans
Higher-risk cate
Other assets
Total en CRM is available
protection provider’s
nk of Cana
dized approa
le provides thnce sheet and and RWA denscribed regulat
18
dian dollars, except a
d their central ban
vernment public s
velopment banks
s1
ail portfolios
sidential property1
mmercial real esta
s
egories
in the form of an eligasset class in colum
ada Pillar 3
ach – credit r
e effect of CRoff-balance sh
nsity by asset tory risk weight
as otherwise noted)
nks1
sector entities
ate
gible guarantee, the mn c and d.
3 Report
risk exposure
RM on the caleet exposuresclasses. As n
t to be assigne
a Exposur
CCF aOn-balance
sheet amount
16,011
8,904
367
4,164
1,327
44,961
7,013
35,187
-
-
449
452
12,678
131,513portion that is cover
e and credit
culation of capbefore and afoted in CRD, d.
b
res before nd CRM
Off-balance sheet amount
324
31
-
317
2,406
26,759
3,915
-
-
-
1
391
-
34,144red by the guarantee
risk mitigati
pital requiremefter credit convthe external r
c
Expopost-CCF
On-balance sheet amount
33,542
8,927
367
4,164
2,339
38,360
7,013
16,669
-
-
447
452
12,678
124,958e will attract the risk
on (CRM) eff
ents under theversion factors ratings of the
d
osures F and CRM
Off-balance sheet amount
5
15
-
125
1,114
6,123
1,497
-
-
-
1
183
-
9,063 weight of the protec
fects
e standardized(CCF) and CRcounterparty is
e
RWA and R
RWA
9
1,842
-
1,168
1,084
44,429
6,836
6,530
-
-
604
952
13,812
77,266 tion provider and wil
Q4 2018
21
d approach. It RM as well as s relied on to
f
RWA density RWA
density
-
20.6%
-
27.2%
31.4%
100.00%
80.3%
39.2%
-
-
134.8%
150.00%
108.9%
57.7% ll be reflected in
-
CR
Theweig As a
1
2
3
4
5
6
7
8
9
10
11
12
13
14
Royal Ban
R5: Standard
e following tablght.
at October 31, 201
Asset Classes (Millions of Canadian Sovereigns and tbanks Non-central govepublic sector entitMultilateral develobanks
Banks
Securities firms
Corporates
Regulatory retail Secured by resideproperty Secured by commestate
Equity
Past-due loans
Higher-risk categ
Other assets
Total
nk of Cana
dized approa
le presents the
18
Risk weight
dollars) heir central
rnment ties opment
portfolios ential
mercial real
ories
ada Pillar 3
ach – exposu
e breakdown o
a b
0% 10%
33,534
-
367
-
-
-
-
-
-
-
-
-
1,790
35,691
3 Report
ures by asset
of credit risk ex
c
20%
- -
- 8,829
- -
- 3,898
- 2,424
- 56
- -
- -
- -
- -
- -
- -
- -
- 15,207
t classes and
xposures unde
d e
35% 50%
-
-
-
-
- 8
-
-
14,932
-
-
-
-
-
14,932 9
d risk weight
er the standard
f
% 75%
11