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Royal Pillar
As at O
l Bank
3 Rep
ctober 3
k of Ca
port
31, 2018
anada
8
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TA
CAU
ABO
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Royal Ban
BLE OF CON
UTION REGARD
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
WORK .................
P .........................
Y METRICS, RIS
al and Leverage mmanagement appof risk weighted a
EEN FINANCIAL
between accoun..........................s of differences bs of differences b
...........................
ualitative informaity of assets ......
n stock of defaultdisclosure relate
e disclosure requmitigation techni
e disclosures on bed approach – ced approach – e disclosures rela
dit risk exposurestem: Retail Insur
ct on RWA of crestatements of crektesting of probab
CREDIT RISK ....
ve disclosure relaof counterparty cluation adjustmeized approach –
CR exposures by tion of collateral frivatives exposu
w statements of Ces to central coun
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ve disclosure reqcuritization exposcuritization exposation exposures iation exposures i
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e disclosure reque disclosures for k under standardstatements of mas for trading portfon of VaR estima
SK ......................
RISK IN THE BAN
ada Pillar 3
D-LOOKING STA
A .......................
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SK MANAGEME
metrics (at consoproach ...............assets (RWA) ....
L STATEMENTS
ting and regulato..........................between regulatobetween account
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ation about credit..........................ted loans and de
ed to the credit quirements related ques – overviewbanks' use of extredit risk exposuxposures by ass
ated to internal riss by portfolio andred Exposures ...edit derivatives usedit risk exposurebility of default (P
..........................
ated to counterpacredit risk (CCR) nt (CVA) capital CCR exposuresportfolio and PDfor CCR exposurres ....................
CCR exposures unterparties .........
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uirements relatedsures in the banksures in the tradin the banking bon the banking bo
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irements relatedbanks using the ized approach ...arket risk exposufolios .................
ates with gains/lo
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NKING BOOK ..
3 Report
ATEMENTS ......
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ENT AND RWA ..
olidated group lev....................................................
AND REGULAT
ory scopes of con..........................ory exposure amting and regulato
..........................
risk .............................................bt securities ......uality of assets ..to credit risk mit
w .........................ternal credit ratin
ure and credit riskset classes and risk-based (IRB) md PD range ...................................sed as CRM teches under IRB .....PD) per portfolio
..........................
arty credit risk ....exposure by appcharge ..............
s by regulatory poD scale ...............re .................................................under the Interna..........................
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d to securitizatioking book ...........ng book ............
ook and associatook and associat
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to market risk ...internal models ..........................ures under an IM..........................sses ..................
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vel) ........................................................................
TORY EXPOSUR
nsolidation and m..........................
mounts and carryiory exposure amo
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..........................tigation technique..........................
ngs under the stak mitigation (CRMisk weights ........
models ...................................................................hniques .................................................................
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..........................proach .........................................ortfolio and risk w..............................................................................
al Model Method ..........................
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n exposures ..........................................................ted regulatory cated capital requir
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MA ...........................................................................
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cial statement ca..........................ancial statements..........................
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or ........................
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Q4 2018
....................... 1
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..................... 11
egulatory risk ..................... 11..................... 12..................... 13
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Ca
Fro“safsecCantypi“pronaturiseassreadmatbe frespExcfrom Ab
Royperfcliecapmill OurandFunandfunc Ca
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Undexpregurequapp
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aution regard
m time to timefe harbour” pr
curities legislatinadian regulatocally identified
oject” and simiure, forward-lo
e to the possibiumptions may ders not to platerially from thefound in the rispect to us, invecept as requiredm time to time b
bout Royal B
yal Bank of Cformance. Our nts thrive and
pitalization, we ion clients in C
r business segd Capital Markenctions. Technod services to octional groups.
apital framew
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CBS).
e Basel III fram
Pillar 1 pfor calcul
Pillar 2 rethe risk p
Pillar 3 eacross ju
der Basel III, bposure types iulatory leveraguirements. Re
proaches. Refe
Credit Ri Counterp Market R Operatio Securitiza
January 2015, cipline through ulatory capitaluirements in thFI mandated t
portant banks (Dt phase of the R
nk of Cana
ding forward
e, we make wrirovisions of theon. We may mors or the SEC
d by words sucilar expressionoking statemenlity that our prenot be correct
ace undue rele expectations sk sections of estors and othd by law, we doby us or on our
Bank of Cana
Canada is a gsuccess come
d communitieshave a divers
Canada, the U.S
gments include ets. Our busineology & Operaour clients, wh
work
regulatory capons (OSFI), wh
ework integrate
prescribes minilating risk-weigequires the estprofile and capienhances the
urisdictions for m
banks use definncluding cred
ge ratio based oefer to the “Car to the followin
sk party Credit RisRisk nal Risk ation Exposure
the BCBS pubregulatory dis
l including ouhe areas of crethe domestic iD-SIBs) for theRevised Standa
ada Pillar 3
d-looking sta
itten or oral fore United State
make forward-loC, in other repch as “believe”ns of future or nts require us edictions, forect and that our iance on thesexpressed in sour 2018 Annuers should caro not undertaker behalf.
ada
global financiaes from the 84, prosper. As
sified business S. and 34 other
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pital requiremeich are based
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imum capital reghted assets (Rtablishment of tal adequacy oconsistency a
market particip
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sk
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blished the “Resclosure requireur methodologdit risk, countemplementation
e reporting perioards.
3 Report
atements
rward-looking ses Private Secooking statemeports to shareh”, “expect”, “foconditional ve
to make assumcasts, projectiofinancial perfoe statements such forward-loual Report. Wrefully considere to update an
al institution w,000+ employeCanada’s bigmodel with a
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includes our fi
ents are determon the Basel I
s” to establish
equirements aRWA);
internal assessof banks; and comparabipants through m
es to calculate ty credit, mark
verage Requireement” sectionthis report for fu
evised Pillar 3 ements. The R
gies used in erparty credit rin of the first pod ending Octo
statements witcurities Litigati
ents in this Pillaholders and in oresee”, “forecaerbs such as “mptions and arons, expectatiormance and mas a number
ooking statemeWhen relying on
r these risk facy forward-look
with a purposeees who bring ogest bank, anfocus on inno
nking, Wealthby Corporate Sical and operanance, human
mined by guideII framework a
a robust found
nd addresses
sment process
lity of risk andmeaningful disc
their minimumket, operationments (LR) Gu
n of our 2018urther informat
Disclosure ReRevised Standacalculating cask and securiti
phase of the Rober 31, 2018.
hin the meaninion Reform Acar 3 Report, ouother commun
ast”, “anticipate“will”, “may”, “sre subject to inons or conclusimanagement ob
of risk factorsents. Additionan our forward-loctors as well asing statement,
e-driven, princour vision, valund one of the
ovation and pro
Management,Support, whichational foundatin resources, ri
elines issued badopted by the
dation for banki
capital adequa
ses and superv
d capital profilclosures.
m regulatory caal, and securuideline, which Annual Repotion on the resp
equirements” (ards require c
apital requiremization activitie
Revised Stand This Pillar 3 re
ng of certain sct of 1995 andur 2018 Annualnications. Forwe”, “intend”, “eshould”, “could
nherent risks aons will not probjectives will ns could cause al information aooking statemes other uncertawhether writte
ciples-led apprues and stratege largest in thoviding excepti
Insurance, Inv consists of Teion required tosk manageme
by the Office oBasel Commit
ing supervision
acy, including
visory review to
les between b
pital required tritizations expoh reflects the Bort for further pective approa
(Revised Standomprehensive
ments institutees are replacedards for Canaeport provides
ecurities laws,d any applical Report, in oth
ward-looking stestimate”, “goad” or “would”. nd uncertaintieove to be accuot be achievedour actual re
about certain risents to make dainties and poten or oral, that
roach to delivgy to life so wehe world baseional experienc
vestor & Treasechnology & Oo effectively deent, internal au
of the Superintttee on Banking
n and financial
standards
o evaluate
banks and
to support variosures. We dCBS Basel III information o
ches:
dards) to encodisclosure of
d under Pillad by the Reviseadian domesticdisclosures ref
Q4 2018
1
including the ble Canadian
her filings with tatements are al”, “plan” and
By their very es, which give urate, that our d. We caution sults to differ sk factors can decisions with tential events. may be made
vering leadinge can help oured on market ces to our 16
sury Services,perations andliver products
udit and other
endent of the g Supervision
stability:
ous risks and determine our leverage ratio
on calculation
ourage market our risks and r 1. Existing ed Standards. c systemically flective of this
Ca
In M– coBasdatefurth
Royal Ban
apital framew
March 2017, thonsolidated ansel III framewoe for the BCBSher information
nk of Cana
work (continu
e BCBS issuedd enhanced frark, including thS phase two dn on other upco
ada Pillar 3
ued)
d its second phamework”. The
he leverage andisclosure requ
oming regulato
3 Report
hase of the Pille disclosure stad liquidity ratioirements. Refery reforms.
lar 3 disclosureandard consoli
os disclosure teer to the “Capit
e requirementsidates all existemplates. OSFtal manageme
s entitled, “Pillating Pillar 3 disFI has not yet rent” section of
ar 3 disclosure sclosure requirereleased the imour 2018 Annu
Q4 2018
2
requirements ements of the
mplementation ual Report for
DI
Re
Ovem
man
Royal Ban
ISCLOSURE
Pillar 3 equirement
erview of key metrics, risk nagement and
RWA
K
O
O
nk of Cana
MAP
Pillar 3 Req
M1
VA
a) Business profile
b) Risk gove
c) Communicenforcementthe bank d) Scope andrisk measuree) Risk inform
f) Stress test
g) Strategiesapplied to mmitigate risks
OV1
ada Pillar 3
uirement
model and risk
ernance structure
cation and t of risk culture with
d main features of ement systems mation reporting
ting
s and processes anage, hedge and s
3 Report
2018 Annual R
Risk managem
Top and emerg
Enterprise risk
Enterprise risk
hin Enterprise risk
Enterprise risk
Enterprise risk Enterprise risk Market risk Systemic risk
Enterprise risk
Credit risk
Market risk
Liquidity and fu
Insurance risk
Operational risk
Regulatory comStrategic risk Reputation riskCompetitive risSystemic risk
Consolidated FStatements
Report section
ent - OverviewObPrRi
ging risks To
management
RiRiRiRi
management RiRi
management Ri
management Ri
management Rimanagement Ri
Stn/
management RiRiRiOvCrCrCrCrCrMapoVaRiStMaIntSINoris
unding risk
OvRiRiFuLiqIns
k OvOp
mpliance risk ReSt
k Rek Co
Sy
Financial
NoinsDepuNoinsDetra
NoinsDe
Sub-sec
bjectives and Risk rinciples isk pyramid op and emerging risisk governance isk appetite isk measurement isk control isk governance isk control
isk conduct and cu
isk measurement
isk control – Reporisk measurement –tress tests /a isk appetite isk measurement isk control verview redit risk measuremredit risk assessmeredit risk mitigationredit risk approvalredit risk administraarket risk controls –ositions alue-at-Risk and Stisk tress tests arket risk controls –terest Rate Risk (SIRR measurementon-trading foreign esk verview isk control isk measurement unding quidity coverage rasurance risk verview perational risk framegulatory compliantrategic risk eputation risk ompetitive risk ystemic risk ote 8 – Derivative fstruments and hederivatives issued fourposes ote 8 – Derivative fstruments and hederivatives issued foading purposes
ote 8 – Derivative fstruments and hederivative-related cr
ction
Management
sks
lture
rting – Stress testing
ment ent n
ation – FVTPL
tressed Value-at-
– Structural SIRR)
exchange rate
atio
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
Annual
Annual
Annual
Annual
Annual Annual Annual Annual Annual Annual Annual Annual Annual Annual Annual Annual Annual
Annual
Annual
Annual
Quarterly
DI
Re
Linka
stare
C
Royal Ban
ISCLOSURE
Pillar 3 equirement
ages between financial tements and regulatory exposures
L
L
L
Credit risk
C
C
C
C
C
nk of Cana
MAP (contin
Pillar 3 Req
LI1
LI2
LIA
RA
a) Translatiomodel into ththe bank’s cr
b) Criteria anfor defining cmanagemensetting credit
c) Structure the credit riscontrol functd) Interactionrisk managecompliance afunctions e) Scope andreporting on to the executand to the bo
R1
R2
RB
a) The scope“past due” anexposures upurposes anany, betweenpast due andaccounting apurposes. b) The extenexposures (mthat are not cimpaired andthis.
c) Descriptiofor determini
d) The bank’restructured
RC
a) Core featuprocesses foof the extentmakes use obalance shee
b) Core featuprocesses foevaluation an
c) Informatiocredit risk cothe credit risinstruments
ada Pillar 3
nued)
uirement
on of the business he components of redit risk profile
nd approach used credit risk t policy and for t risk limits
and organization ok management andion n between the credment, risk control, and internal audit
d content of the credit risk exposurtive management oard of directors
e and definitions ofnd “impaired” sed for accounting d the differences, in the definition of d default for and regulatory
nt of past-due more than 90 days)considered to be d the reasons for
on of methods useding impairments.
’s own definition of exposure.
ures of policies andor, and an indicationt to which the bank of, on– and off–et netting
ures of policies andor collateral nd management
on about market or oncentrations underk mitigation used
3 Report
2018 Annual R
Credit risk
Enterprise risk
Credit risk
f d Enterprise risk
dit
Enterprise risk
re Enterprise risk
f
f Consolidated FStatements
) Consolidated FStatements
d Consolidated FStatements
a Consolidated FStatements
d n
Credit risk
Consolidated FStatements
Consolidated FStatements
d Credit risk
r Credit risk
Consolidated FStatements
Report section
Ov
Gr
management
RiRiRiRiOv
Cr
CrCr
management Ri
Ri
management Ri
management Ri
Ri
Financial
NoacjudDeCr(S
Financial NoacjudDe
Financial NoacjudAl
Financial NoacjudMoCo
Financial NoinsDe
Financial Noan
Cr
CrCr
Financial Noins
Sub-sec
verview
ross credit risk expisk governance isk appetite isk measurement isk control - Authorverview
redit risk assessme
redit risk mitigationredit risk approval
isk governance
isk control
isk governance
isk governance
isk control - Report
ote 2 – Summary occounting policies, dgments - efinition of defaultredit impaired finan
Stage 3)
ote 2 – Summary occounting policies, dgments - efinition of default
ote 2 – Summary occounting policies, dgments - llowance for credit ote 2 – Summary occounting policies, dgments -
Modifications ounterparty credit rote 8 – Derivative fstruments and hederivative-related crote 30 – Offsetting nd financial liabilitie
redit risk mitigation
redit risk mitigationredit risk approval -ote 8 – Derivative fstruments and hed
ction
posure
rities and limits
ent
n
ting
of significant estimates and
ncial assets
of significant estimates and
of significant estimates and
losses of significant estimates and
risk financial
dging activities – redit risk
financial assets es
n - Collateral
n - Credit risk limits financial
dging activities
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
59 59
170-178
Q4 2018
4
Frequency of Disclosure
Annual
Annual
Annual
Annual
Annual Annual Annual Annual Annual Annual
Annual
Annual Annual
Annual
Annual
Annual
Annual
Annual
Semi-annual
Semi-annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual Annual
Annual
DI
Re
C(c
Coc
Royal Ban
ISCLOSURE
Pillar 3 equirement
Credit risk continued)
C
C
C
C
C
C
C
C
C
CR
ounterparty credit risk
CC
CC
CC
CC
CC
CC
CC
CC
CC
nk of Cana
MAP (contin
Pillar 3 Req
R3
RD
R4
R5
RE
R6
R7
R8
R9
R10
CRA
a) Risk manaand policies counterparty
b) The methothe operatingterms of intecounterpartyand for CCP
c) Policies reand other risassessmentscounterpartyexposures to
d) Policies wwrong-way re) The impacamount of cobank would bprovide givendowngrade
CR1
CR2
CR3
CR4
CR5
CR6
CR7
CR8 f) Exposurescounterpartie
ada Pillar 3
nued)
uirement
agement objectivesrelated to
y credit risk
od used to assign g limits defined in rnal capital for
y credit exposures exposures
elating to guaranteesk mitigants and s concerning y credit risk, includinowards CCPs
with respect to isk exposures ct in terms of the ollateral that the be required to n a credit rating
s to central es
3 Report
2018 Annual R
n/a
s
Credit risk
Consolidated FStatements
Consolidated FStatements
Credit risk
es
ng
Credit risk
Consolidated FStatements
Consolidated FStatements
Credit risk
Liquidity and fu
n/a
Report section
n/
CrCo
Financial NoinsDe
Financial Noacjud
CrCo
CrCo
Financial NoinsDe
Financial NoanCrCo
unding risk Cr
n/
Sub-sec
/a
redit risk assessmeounterparty credit rote 8 – Derivative fstruments and hederivative-related crote 2 – Summary occounting policies, dgements – Deriva
redit risk assessmeounterparty credit r
redit risk assessmeounterparty credit rote 8 – Derivative fstruments and hederivative-related crote 30 – Offsetting nd financial liabilitieredit risk assessmeounterparty credit r
redit ratings
/a
ction
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
Semi-annual
Semi-annual
Annual
Semi-annual
Semi-annual
Quarterly
Annual
Semi-annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Semi-annual
Semi-annual
Semi-annual
Semi-annual
Semi-annual
Semi-annual
Quarterly
Semi-annual
DI
Re
Se
M
Royal Ban
ISCLOSURE
Pillar 3 equirement
ecuritization
SE
SE
SE
SE
SE
Market risk M
nk of Cana
MAP (contin
Pillar 3 Req
ECA
a) Objectivessecuritization
b) List of SPsponsor / prosupport
c) Accountinsecuritization
d) the namesassessment used for sectypes of secufor which eac
e) Use of Bapurposes
f) Use of othassessment
EC1 Securitizatiobanking boo
EC2 Securitizatiotrading book
EC3
Securitizatiobanking booregulatory cabank acting asponsor
EC4
Securitizatiobanking boocapital requiracting as inv
RA
a) Processesidentify, meacontrol the b
Policies for hstrategies/prmonitoring theffectiveness
b) Descriptiogovernance established tstrategies anbank
Description oand the commechanismsdifferent partmarket risk m
ada Pillar 3
nued)
uirement
s in relation to n activities
Es where RBC is ovides implicit
g policies for n
s of external credit institution (ECAIs) uritizations and theuritization exposurech agency is used
asel IAA for capital
er internal for capital purposen exposures in the k n activities in the
k n exposures in the k and associated apital requirementsas originator or as
n exposures in the k and associated rements - bank
vestor
s implemented to asure, monitor and ank’s market risks
hedging risk and rocesses for he continuing s of hedges
on of the market risstructure to implement the nd processes of the
of the relationshipsmunication
s between the ties involved in management
3 Report
2018 Annual R
Off-balance shearrangementsConsolidated FStatements Consolidated FStatements
Consolidated FStatements
Consolidated FStatements
Critical accountand estimates
e e
Capital Manage(also refer to Cdocument)
Credit risk
Capital Manage
es Credit risk
s -
Market risk
Consolidated FStatements
k
e Enterprise risk
Enterprise risk
Report section
eet Of
Financial Noas
Financial No
Financial No
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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
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57-58
67
67
68
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
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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
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Interest rate risk i
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3 Report
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Enterprise risk
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– 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
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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
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nd/or D-SIB additio
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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
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NT AND RWA
idated group
ow 10)
ents (row 5 - 8%)
Refer to our Capital
A
p level)
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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)
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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
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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
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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
ets purchased ueements and secns
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
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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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ments and securiti
and policy benefit l
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accountingregulatory rdifferences be
orting Standarory risk categor
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liabilities
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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
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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
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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
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d
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work
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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
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- 479 6,47479 6,47
- 479 6,47
-
- 125
- - -
593 2718 2799 19,55
- - - --
- -
814 238
- -
052 -
052
- - - - -- -
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not equal to the sum
mapping o
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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
LI2sta
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1
2
3
4
5
6
7
8
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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
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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
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LI1 columns (c), (d), t equal to the sum ofunts reflect the applic
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under scope of er template LI1)1
under regulatory e LI1)1 ry scope of
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3 Report
ween regula
nces between atements that a
a
Tot
1,2
scope 2
1,0
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previous page. Deriv
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atory exposu
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297,900
297,052
000,848
114,918
299
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306
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5,195
122,561 1
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759,919
-
759,919
306,189
299
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306
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3,626
1,071,334
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19,554
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19,554
42,215
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1,569
63,338
o both counterparty c
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393,799
297,052
96,747
766,514
-
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-
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863,261
credit risk and marke
Q4 2018
12
n financial
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215,820
87,761
128,059
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Q4 2018
13
cial Reporting sheet to applyet.
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tatements, we
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REDIT RISK
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2018 Annual R
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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
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R2: Changes
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the six months en
(Millions of Canad
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Loans and debt
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Other changes
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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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view of the cre
Gross carrying v
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2,027
-
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2,316
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solidated Finan
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ur on- and off-b
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554,073
79,190
255,609
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Sub-ummary of signand judgmentsof default"
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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
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Breakdown
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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
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nk of Cana
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e provides a bow reflects the
18
lars)
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olesale
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banking book equitiunts are after the appce sheet exposures EAD reflects exposu
rtgages and home eq
ada Pillar 3
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by geographica
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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
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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
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cluded in EAD for rep
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51 ,496 ,798 ,332 ,677
s to the extent allowe
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terparty Credit Ri
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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.
CR
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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
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Grosex
ets (continue
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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
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970
142
1,112
CR
As aImpa (Millio
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RB: Addition
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
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Other
overeign
ank
al impaired loansecurities
al impaired exposowance reflects only
nk of Cana
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18 by portfolio and
lars)
ages
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ada Pillar 3
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wances.
3 Report
the credit quuality of asse
Groe
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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)
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e1 Netex
176
141
18
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76
1
21
5
6
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11
-
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47
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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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at October 31, 201
ons of Canadian dollar
ail
olesale
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Breakdown
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RC: Qualitati
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Pillar 3 disclos
Core featuresprocesses forthe extent to wuse of, on- annetting
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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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s of policies andr, and an indicawhich the banknd off-balance s
s of policies andr collateral evalment
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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.
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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
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aired exposure
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Credit risk m
Credit risk m
Credit risk a
s Note 8 - Deractivities
ed)
and greater 179
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179
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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
R3: Credit ris
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
ks' use of ex
ortfolios RWA d Approach mgencies, for the
Service, Fitch Rs are used to dgn, public sectong the risk weig
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with senior claim
deline the requiy on OSFI’s ms current mapp
LonMo
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