as at october 31, 2018 - rbc.com · ab roy perf clie cap mill our and fun and func ca our fina (bc...

Royal Pillar

As at O

l Bank

3 Rep

ctober 3

k of Ca

port

31, 2018

anada

8

a

TA

CAU

ABO

CAP

DISC

OVE

KOO

LINK

L

LL

CRE

CCCCCCCCCCC

CCC

COU

CCCCCCCCC

SEC

SSSSS

MAR

MMMMMM

OPE

INTE

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

...........................

ve disclosure reqcuritization exposcuritization exposation exposures iation exposures i

...........................

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 .......................

..........................

..........................

SK MANAGEME

metrics (at consoproach ...............assets (RWA) ....

L STATEMENTS

ting and regulato..........................between regulatobetween account

..........................

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 .........

..........................

uirements relatedsures in the banksures in the tradin the banking bon the banking bo

..........................

irements relatedbanks using the ized approach ...arket risk exposufolios .................

ates with gains/lo

..........................

NKING BOOK ..

3 Report

ATEMENTS ......

..........................

..........................

..........................

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..........................

..........................

d to securitizatioking book ...........ng book ............

ook and associatook and associat

..........................

to market risk ...internal models ..........................ures under an IM..........................sses ..................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

vel) ........................................................................

TORY EXPOSUR

nsolidation and m..........................

mounts and carryiory exposure amo

..........................

..........................

..........................

..........................

..........................tigation technique..........................

ngs under the stak mitigation (CRMisk weights ........

models ...................................................................hniques .................................................................

..........................

..........................proach .........................................ortfolio and risk w..............................................................................

al Model Method ..........................

..........................

n exposures ..........................................................ted regulatory cated capital requir

..........................

..........................approach (IMA) ...........................

MA ...........................................................................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

RES ..................

mapping of finan..........................ing values in finaounts ................

..........................

..........................

..........................

..........................

..........................es ...............................................andardized approM) effects ................................................................................................................................................................................................

..........................

..........................

..........................

..........................weights ............................................................................................ (IMM) ........................................

..........................

..........................

..........................

..........................apital requiremenrements – bank a

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

cial statement ca..........................ancial statements..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................oach for credit ris................................................................................................................................................................................................................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................nts – bank actingacting as investo

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

ategories with re..........................s ..................................................

..........................

..........................

..........................

..........................

..........................

..........................

..........................sk .......................................................................................................................................................................................................................................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

.......................... as originator or

or ........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

..........................

Q4 2018

....................... 1

....................... 1

....................... 1

....................... 3

....................... 8

....................... 8

....................... 9

..................... 10

..................... 11

egulatory risk ..................... 11..................... 12..................... 13

..................... 14

..................... 14

..................... 15

..................... 15

..................... 15

..................... 19

..................... 20

..................... 20

..................... 21

..................... 22

..................... 23

..................... 26

.....................29

..................... 30

..................... 30

..................... 31

..................... 34

..................... 34

..................... 35

..................... 35

..................... 35

..................... 36

..................... 37

..................... 37

..................... 37

..................... 38

..................... 39

..................... 39

..................... 40

..................... 41as sponsor .. 42..................... 43

..................... 44

..................... 44

..................... 45

..................... 47

..................... 47

..................... 48

..................... 49

..................... 50

..................... 50

Ca

Fro“safsecCantypi“pronaturiseassreadmatbe frespExcfrom Ab

Royperfcliecapmill OurandFunandfunc Ca

OurFina(BC The

Undexpregurequapp

In JdiscregurequOSFimpfirst

Royal Ban

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

r consolidated ancial Institutio

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

Personal & Cess segments ations provides ile Functions i

pital requiremeich are based

es three “Pillar

imum capital reghted assets (Rtablishment of tal adequacy oconsistency a

market particip

ned approacheit, counterparton OSFI’s Levapital manageng sections in t

sk

es

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

r countries.

Commercial Banare supported the technolog

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

NoinsDepu

NoinsDetra

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 funct

d) 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



d Credit risk

r Credit risk


Report section

Ov

Gr

management

Ri

Ri

Ri

Ri

Ov

Cr

Cr

Cr

management Ri

Ri

management Ri

management Ri

Ri

Financial

NoacjudDeCr(S

Financial NoacjudDe

Financial NoacjudAl

Financial NoacjudMo

Co

Financial NoinsDe

Financial Noan

Cr

Cr

Cr

Financial Noins

Sub-sec

verview

ross credit risk exp

isk governance

isk appetite

isk measurement

isk control - Author

verview

redit risk assessme

redit risk mitigation

redit 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 r

ote 8 – Derivative fstruments and hederivative-related crote 30 – Offsetting nd financial liabilitie



redit risk approval -

ote 8 – Derivative fstruments and hed

ction

posure

rities and limits

ent

n

ting

of significant estimates and

ncial assets



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


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



Credit risk

es

ng

Credit risk



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


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



Critical accountand estimates

e e

Capital Manage(also refer to Cdocument)

Credit risk

Capital Manage

es Credit risk

s -

Market risk


k

e Enterprise risk

Enterprise risk

Report section

eet Of

Financial Noas

Financial No

Financial No

Financial

Noacjud

Noacjudfin

ting policies Co

ement RD in this

Rese

n/

ement Rese

Cr

MapoStMapoMaFVliaMaInt

SI

MaIntMama

Financial Noacjud

management

Ri

Ri

Ri

Ri

St

Ri

management

Ri

Ri

Sub-sec

ff-balance sheet ar

ote 6 – Derecognitissets

ote 7 – Structured

ote 7 – Structured

ote 2 – Summary occounting policies, dgments – Basis o

ote 2 – Summary occounting policies, dgments – Derecognancial assets

onsolidation of stru

egulatory capital apecuritization exposu

/a

egulatory capital apecuritization exposu

redit risk assessme

arket risk controls –ositions tress Tests arket risk measureositions arket risk measureVTPL positions – Aabilities of RBC Insuarket risk controls –terest Rate Risk (S

IRR measurement

arket risk measureterest Rate Sensitiarket risk measureaterial non-trading

ote 2 – Summary occounting policies, dgements – Hedge

isk Governance

isk Appetite

isk Measurement

isk Control

tress Testing

isk Conduct and Cu

isk governance

isk Control

ction

rrangements

ion of financial

entities

entities


of consolidation

of significant estimates and gnition of

uctured entities

pproach for ures

pproach for ures

ent

– FVTPL

es – FVTPL

es for other Assets and urance – Structural

SIRR) positions

es – Structural vities

es for other portfolios


e accounting

ulture

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

70

134

52

53

53

54

53-54

55

52

54

Q4 2018

6


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

Annual

Annual

Annual

Annual

Annual

Annual

Annual

Annual

Annual

Annual

DI

Re

M(c

Royal Ban

ISCLOSURE

Pillar 3 equirement

Market risk continued)

M(cont

M

M

M

M

M

Operational risk

Interest rate risk i

nk of Cana

MAP (contin

Pillar 3 Req

RA tinued)

c) Scope andreporting andsystems

RB

c) General dmodels (VaR

g) Descriptioapplied to thparameters

MR1 MR2

MR3

MR4

a) Details of operational rassessment qualifies

b) Descriptiomeasuremenoperational r

c) Descriptioinsurance fomitigating op

in the banking book

ada Pillar 3

nued)

uirement

d nature of risk d/or measurement

escription of the R/stressed VaR)

on of stress testing e modelling

the approach for risk capital for which the bank

on of the advanced nt approaches for risk (AMA)

on of the use of r the purpose of

perational risk

k

3 Report

2018 Annual R

Enterprise risk

Market risk

Market risk

Market risk

k

Operational risk

Capital manage

Operational risk

Capital manage

Operational risk

Market risk

Report section

management

Ri

Ri

St

Mapo

St

Mapo

MaFVlia

MaInt

SI

MaInt

Mama

Mapo

St

k Op

ement Atbu

k Op

ement Atbu

k Op

Ma

Sub-sec

isk Measurement

isk Control

tress Testing

arket risk controls –ositions

tress Tests

arket risk measureositions

arket risk measureVTPL positions - Aabilities of RBC Insu

arket risk controls –terest Rate Risk (S

IRR measurement

arket risk measureterest Rate Sensiti

arket risk measureaterial non-trading

arket risk controls –ositions

tress Tests

perational risk capi

ttributed capital in tusiness activities


ttributed capital in tusiness activities


arket risk

ction

– FVTPL

es – FVTPL

es for other Assets and urance

– Structural SIRR) positions

es – Structural vities

es for other portfolios

– FVTPL

ital

the context of our

ital

the context of our

ital

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


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 capi

Common Equit

Tier 1

Total capital

Risk-weighted

Total risk-weig

Risk-based ca

Common Equit

Tier 1 ratio

Total capital ra

Additional CE

Capital conserv

Countercyclica

Bank G-SIB an

Total of bank C

CET1 available

Basel III levera

Total Basel III l

Basel III levera

reflects minimum ca

nk of Cana

F KEY METR

pital and Leve

dian dollars)

ital (amounts)

ty Tier 1 (CET1)

d assets (amount

hted assets (RWA

apital ratios as a

ty Tier 1 ratio

atio

ET1 buffer require

vation 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 / r

apital requirements w

ada Pillar 3

RICS, RISK M

erage metric

ts)

A)

percentage of R

ements as a perc

irement

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

idated group

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%

OV

Theincohttp

a)

b)

c)

d)

e)

f)

g)

Royal Ban

VA: Bank ris

e table below porporated by rp://www.rbc.com

Pillar 3 disclos

Business model

Risk governance

Communication culture within the

Scope and mainmeasurement syRisk information

Stress testing

Strategies and pmanage, hedge

nk of Cana

sk manageme

presents an ovreference into m/investorrelat

sures requireme

and risk profile

e structure

and enforcement e bank

features of risk ystems

reporting

processes applied and mitigate risks

ada Pillar 3

ent approach

verview of Pillathis Pillar 3

ions

nt RBC

Risk ma

Top and

Enterpr

Enterpr

of risk Enterpr

Enterpr

EnterprEnterprMarket System

to s

Enterpr

Credit r

Market

Liquidity

Insuran

Operatio

RegulatStrategiReputatCompetSystem

Consoli

3 Report

h

r 3 disclosure report. Our 2

C 2018 Annual Re

anagement overvi

d emerging risks

ise risk managem

ise risk managem

ise risk managem

ise risk managem

ise risk managemise risk managemrisk ic risk

ise risk managem

isk

risk

y and funding risk

ce risk

onal risk

tory compliance riic risk tion risk titive risk ic risk

dated Financial S

requirements 2018 Annual R

eport section

ew

ment

ment

ment

ment

ment ment

ment

k

sk

Statements

that have beeReport is avai

Objectives and RRisk pyramid Top and emerginRisk governanceRisk appetite Risk measuremeRisk control Risk governanceRisk control

Risk conduct an

Risk measureme

Risk control – RRisk measuremeStress tests n/a Risk appetite Risk measuremeRisk control Overview Credit risk measCredit risk assesCredit risk mitigaCredit risk approCredit risk adminMarket risk contValue-at-Risk anStress tests Market risk contpositions SIRR measuremNon-trading foreOverview Risk control Risk measuremeFunding Liquidity coveragInsurance risk Overview Operational risk Regulatory compStrategic risk Reputation riskCompetitive riskSystemic risk Note 8 - DerivatiDerivatives issueNote 8 - DerivatiDerivatives issueNote 8 - DerivatiDerivative-relate

n met within oilable free of

Sub-se

Risk Managemen

ng risks e

ent

e

d culture

ent

Reporting ent – Stress testin

ent

surement ssment ation oval nistration rols – FVTPL posnd Stressed Value

rols – Structural In

ment eign exchange rate

ent

ge ratio

framework pliance risk

k

ive financial instrued for trading purpive financial instrued for other-than-ive financial instru

ed credit risk

our 2018 Annuacharge on ou

ection

t Principles

ng

sitions e-at-Risk

nterest Rate Risk

e risk

uments and hedgirposes

uments and hedgi-trading purposesuments and hedgi

Q4 2018

9

al Report andur website at

(SIRR)

ng activities –

ng activities –

ng activities –

OV

The

1

2

3

4

4a

4b

5

6

7

8

9

10

11

12

12a

13

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 (ex

of which stan

of which inte

Counterparty c

of which othe

Credit valuat

of which stan

of which inte

Equity positio

Equity investm

Equity investm

Equity investm

Settlement ris

Securitization

a of which: secinternal asse

of which IRB

of which IRB

of which SA/

Market risk

of which stan

of which inte

Operational ris

of which Bas

of which Sta

of which Adv

Amounts below

Floor adjustme

Total (1+4+7+8

ount represents Totaunts for credit risk as

ount reflects BCBS 8

ount reflects allowed

nk of Cana

w of risk weig

e presents an o

dian dollars)

cluding counterp

ndardized approac

ernal rating-based

credit risk (CCR)

er CCR

tion adjustment (C

ndardized approac

ernal model metho

ns in banking bo

ments in funds –

ments in funds –

ments in funds –

k

exposures in bacuritization externessment approach

B ratings-based ap

B Supervisory Form

/simplified supervi

ndardized approac

ernal model approa

sk

sic Indicator Appro

ndardized Approa

vanced Measurem

w the thresholds

ent

8+9+10+11+12+1

al capital risk-weightessessed under the IR

8% 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 marke

look-through ap

mandate-based

fall-back approa

anking book

al ratings-based ah (IAA)

pproach (RBA)

mula Approach (S

isory formula appr

ch (SA)

aches (IMA)

oach

ach

ment Approach

s for deduction (s

6+19+23+24)

ed assets. RWA inclRB Approach. This re

requirements determ

f 86%.

3 Report

s (RWA)

r RWA and the

ty credit risk (SA-C

et-based approac

pproach

approach

ach

approach (SEC-E

SFA)

roach (SSFA)

subject to 250%

udes a calibration adequirement will be re

mined 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

a

October 31

2018

331

77

254

43

30

13

2

2

10

10

32

12

19

62

5

57

11

496

as prescribed by OSquent tables where I

%).

uirements by r

b

RWA1

1 July

20

1,613

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 O

18

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

LI

LIsta

Thewithfina As a

(MillioAsseCasInterSecu

TIn

AsseagreLoan

RW

A

SegOthe

CDPGOO

TotaLiabDep

PBB

SegOthe

AOOreDInO

SubTotaEqu

PCRO

NonTotaTota1 Colu2 Der

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

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 e

umn c to g reflect a f

rivative assets and lia

nk of Cana

ETWEEN FINA

es between egories with

e provides the Financial Rep

nts into regulato

18

lars)

banks posits with banks

applicable allowa

nder reverse repcurities borrowed

losses

t assets

y under acceptanc

pment, net

y

ernment

t liabilities

to securities sold to assets sold un

ments and securiti

and policy benefit l

ntures

o shareholders

of equity

rests

equity2

further breakout of c

abilities are subject t

ada Pillar 3

ANCIAL STA

accountingregulatory r

differences beorting Standarory risk categor

Cva

repf

sta

s

nce

purchase d

ces

1

d short nder es loaned

liabilities

1

1

olumn b by providing

to both counterparty

3 Report

ATEMENTS A

g and regularisk categorie

etween 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 1,3

g the respective CAR

credit risk and mark

AND REGULA

atory scopeses

g values presed our regulatory

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 framewo

ket risk framework –

ATORY EXPO

s of consol

ented in our finy exposures. I

d

C

ct to risk

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

e

Carrying values o

to arty sk ork

Subject to thsecuritizatio

framework

- -

- 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

LI2sta

Thecarr

As a

1

2

3

4

5

6

7

8

9

10

1 Am– hen2 Off-

Royal Ban

2: Main souatements

e following tabrying values as

at October 31, 201

(Millions of Canad

Asset carryingregulatory con

Liabilities carryof consolidation

Total net amouconsolidation

Off-balance she

Differences due

Differences duethose already in

Differences due

Differences due

Difference due securitizations a

Exposure amopurposes

ount reflects Table Lnce column a will no

-balance sheet amou

nk of Cana

urces of diffe

ble provides ths presented in o

18

dian dollars)

g value amount unsolidation (as pe

ing value amount n (as per template

nt under regulator

eet amounts2

e to Fair Value adj

e to different nettinncluded in row 2

e to consideration

e to prudential filte

to accounting andand other items

ounts considered

LI1 columns (c), (d), t equal to the sum of

unts reflect the applic

ada Pillar 3

erences betw

he key differenour financial sta

under scope of er template LI1)1

under regulatory e LI1)1

ry scope of

justment

ng rules, other tha

of provisions

ers

d risk treatment of

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

f

2,1

previous page. Deriv

version factors.

atory exposu

the exposure are within the s

tal Credfram

297,900

297,052

000,848

114,918

299

995

306

-

5,195

122,561 1

vative assets and liab

ure amounts

amounts for scope of regula

b

dit risk mework

Secfra

759,919

-

759,919

306,189

299

995

306

-

3,626

1,071,334

bilities are subject to

s and carryi

regulatory puatory consolida

c

Items subject

curitization amework

C

f

19,554

-

19,554

42,215

-

-

-

-

1,569

63,338

o both counterparty c

ing values i

rposes and thation.

d

t to: ounterparty credit risk framework

393,799

297,052

96,747

766,514

-

-

-

-

-

863,261

credit risk and marke

Q4 2018

12

n financial

he accounting

e

Market risk framework

215,820

87,761

128,059

-

(3,429)

-

-

-

-

124,630

et risk framework

LIA

OurStathe In Tcate(colbalainsu In Tqua Ourdebundcon Regrevesecdiffediffeexp ThesecCAR OurprudReprisk

Royal Ban

A: Explanati

r consolidated ndards (IFRS) required regula

Template LI1: egories with reumn a in LI1) ance sheet, onurance subsidia

Template LI2: Mantify measurem

r banking bookbt securities cader the Credit version factors

gulatory carryinerse repurchas

curities loaned erences betweerences in allo

posure amount.

e regulatory cacuritization holdR guidelines C

r trading book dent valuation port - Risk Mank to selected ba

nk of Cana

ons of differ

balance sheeas issued by t

atory requirem

Differences begulatory risk c

and our regn which capital aries as prescr

Main sources oment difference

k regulatory cararried at fair va

risk frameworks and undrawn

ng values for ose agreementsare determineen the accountwed IFRS and.

arrying value odings as well ahapter 7 but ar

regulatory carrguidance requ

nagement sectalance sheet ite

ada Pillar 3

rences betwe

et (“accountingthe Internationents prescribed

between accoucategories, wegulatory capital

adequacy reqribed by OSFI’s

of differences bes other than re

rrying values realue through otk, are measuramounts.

our Counterpar and securitiesd using OSFI’sting and regula

d regulatory ne

of exposures as our securitizre not consider

rying values areuirements, as stion which provems.

3 Report

een accounti

balance sheeal Accounting d by OSFI to d

unting and rege identify the dl consolidated uirements are s CAR guidelin

between regulaegulatory conso

eflect our IFRSther comprehered at amortize

rty credit risk rs borrowed ands CAR guidelinatory amounts etting rules, and

subject to thezed credit cardred securitized

e determined astated in CAR vides further in

ing and regu

et”) is prepareStandards Boaetermine our re

ulatory scopesdifferences betw

balance sheetdetermined, rees.

atory exposure olidation.

S accounting bansive income ed cost. Off-ba

related to our dd obligations renes Chapter 4 relate to regulad also applicat

e securitizationd exposures wfor the purpose

as prescribed uChapter 9 sec

nsight into how

ulatory expos

ed in complianard. We leveraegulatory capit

s of consolidaween our IFRSt (column b ineflects all of ou

amounts and c

alance sheet v(FVOCI) (availalance sheet r

derivative asseelated to assetSettlement an

atory inclusiontion of financia

n framework inhich meet the es of our IFRS

under the CARction 9.8 to ou

w we measure

sure amount

nce with Internage our accountal consolidated

ation and mapS consolidated

n LI1). Our regur consolidated

carrying values

values except flable for sale (regulatory asse

ets and liabilitiets sold under r

nd Counterpart of potential fu

al collateral in t

ncludes our onrisk transferen

S accounting ba

R guidelines Chur trading bookour market ris

ts

national Financnting balance sd balance shee

pping of financd accounting bgulatory capitald subsidiaries e

s in financial st

for our fair valu(AFS) under IAet values refle

es, assets purcrepurchase agrty risk framewouture exposure the calculation

n-balance shence requiremealance sheet.

hapter 9. We ek. Refer to our k and the linka

Q4 2018

13

cial Reporting sheet to applyet.

cial statement balance sheet consolidated except for our

tatements, we

ued loans and AS 39), which ect prescribed

chased under reements and ork. The main amounts and of regulatory

et third party nts under the

mploy OSFI’s 2018 Annual

age of market

CR

CR

Theincohttp

P

a)

b)

c)

d)

e)

Royal Ban

REDIT RISK

RA: General


Pillar 3 disclos

Translation ofinto the compcredit risk pro

Criteria and adefining creditpolicy and for limits

Structure andcredit risk mafunction

Interaction bemanagement,compliance anfunctions

Scope and coon credit risk executive manboard of direc

nk of Cana

qualitative in


sures requirem

f the business monents of the bfile

pproach used t risk managemsetting credit r

organization onagement and

etween the cred, risk control, nd internal aud

ontent of the reexposure to thenagement and

ctors

ada Pillar 3

nformation a


ions

ment RBC

model bank’s Credit

for ment risk

Enterp

Credit

of the control Enterp

dit risk

dit Enterp

porting e to the

Enterp

3 Report

about credit


2018 Annual R

t risk

prise risk mana

t risk

prise risk mana

prise risk mana

prise risk mana

risk


Report section

agement

agement

agement

agement


n

Overview

Gross credit

Risk govern

Risk appetit

Risk measu

Risk control

Overview

Credit risk a

Credit risk m

Credit risk a

Risk govern

Risk control

Risk govern

Risk govern

Risk control


Sub-s

t risk exposure

ance

e

rement

- Authorities a

assessment

mitigation

approval

ance

ance

ance

- Reporting


section

e

and limits

Q4 2018

14


CR

The

As a

1

2

3

4 1 Def2 Ref3 Off exclu

CR

Theand

For t

1

2

3

4

5

6

CR

Theincohttp

P

a)

b)

c)

d)

Royal Ban

R1: Credit qu

e following table

at October 31, 201

(Millions of Canad

Loans

Debt Securities

Off-Balance Sh

Total finition of default as pflects Stage 3 IFRS 9

balance sheet amouuded as per BCBS re

R2: Changes

e following tabld reductions in

the six months en

(Millions of Canad

Defaulted loan

Loans and debt

Returned to no

Amounts writte

Other changes

Defaulted loan

RB: Addition


Pillar 3 disclos

Definitions of exposures

Extent of past

Description ofdetermining im

Definition of aexposure

nk of Cana

uality of asse

e presents a co

18

dian dollars)

s

heet exposures3

per the CAR guidelin9 allowances only.

unts are before the aequirements.

s in stock of

e presents ourthe defaulted e

nded October 31, 2

dian dollars)

ns and debt secu

t securities that ha

n-defaulted status

n off

ns and debt secu

nal disclosur


sures requirem

past due and i

t due exposure

f methods usedmpairments

a restructured

ada Pillar 3

ets

omprehensive

a

Defaulted ex

nes.

application of credit c

defaulted loa

r defaulted expexposure balan

2018

urities at the end

ave defaulted sinc

s

urities at the end

re related to t


ions

ment RBC

mpaired Cons

es Cons

d for Cons

Cons

3 Report

view of the cre

Gross carrying v

xposures1 N

2,027

-

289

2,316

conversion factors an

ans and deb

posure balancences due to writ

of the previous

ce the last reportin

of the reporting

the credit qu


C 2018 Annual

solidated Finan

solidated Finan

solidated Finan

solidated Finan

edit quality of ou

b

values of

on-defaulted expo

5

2

8

nd reflect guarantees

t securities

s, the flows bete-offs.

reporting period

ng period

period

uality of asse


Report sectio

cial Statement

cial Statement

cial Statement

cial Statement

ur on- and off-b

Allowaosures

554,073

79,190

255,609

888,872

s given and irrevoca

etween non-def

d

ets


on

ts

Note 2 - Suestimates a"Definition "Credit imp

ts Note 2 - Suestimates a"Definition

ts Note 2 - Suestimates a"Allowance

ts Note 2 - Suestimates a"Modificatio

balance sheet

c

ances/impairments

7

7

able loan commitmen

faulted and de


Sub-

ummary of signand judgmentsof default"

paired financial

ummary of signand judgmentsof default"

ummary of signand judgmentse for credit loss

ummary of signand judgmentsons”

assets.

s2 Net

(a

700

-

-

700

nts. Revocable loan

efaulted exposu

a


-section

nificant accouns

assets (Stage

nificant accouns

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


ting policies,

e 3)"

ting policies,

ting policies,

ting policies,

CR

(e) Theclas(EA As a

(Millio

Reta

R

Q

O

Who

A

A

B

C

C

O

F

F

Fo

G

In

In

In

M

P

R

O

Te

T

U

O

Tota

By G

C

U

E

O

Tota

By M

U

W

1

O

Tota1 Exc2 Off 3 Inclu4 Cou5 Inclu

Royal Ban

RB: Addition

Breakdown

e following tablssification beloAD).

at October 31, 201

ons of Canadian dol

ail

Residential secured

Qualifying revolving

Other retail Total Reta

olesale

Agriculture

Automotive

anking

Consumer Discretio

Consumer Staples

Oil & gas

inancial Services

inancing Products

orest Products

Governments

ndustrial Products

nformation Techno

nvestments

Mining & Metals

ublic Works & Infr

Real Estate & Rela

Other services

elecom & Media

ransportation

tilities

Other sectors

Total Who

al Exposure1

Geography

Canada

nited States

urope

Other International

al Exposure1

Maturity

nconditionally can

Within 1 year

to 5 year

Over 5 years

al Exposure1

cludes securitization,

balance sheet amou

udes 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

ail

onary

s

ology

rastructure

ated

olesale

ncellable

banking book equiti

unts are after the app

ce sheet exposures

EAD reflects exposu

rtgages and home eq

ada Pillar 3

re related to t

by geographica

breakdown of oBasel regulato

On-balam

ies and other assets

plication of credit con

such as letters of cr

ure amount after net

quity 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 stand

nversion factors.

redit & guarantees.

tting. Collateral is inc

uality of asse

stry and residua

exposures by xposure classe

b

Credit Risk1

Off-balance s

Undrawn

59,840

65,617

12,693138,150

1,760

6,435

1,734

7,928

6,316

10,704

22,345

1,269

933

7,566

8,219

5,152

956

3,886

1,836

11,832

12,452

12,116

5,600

19,598

303148,940

287,090

205,875

60,172

18,450

2,593

287,090

136,478

50,952

92,337

7,323

287,090

dardized or IRB appr

cluded in EAD for rep

ets (continue

al maturity

geographical aes. Amounts sh

c

sheet amount2

Other3

1

2

1

1

2

3

18,

18,

9

7

1

18,

9

7

1

18,

roach.

po-style transactions

ed)

areas, industryhown below re

d

Coun

Repo-Transa

52

52

43

345

549

587

517

,483

,164

359

89

,798

686

178

389

917

425

,338

877

134

,185

,561

1

,625

,677

,387

,981

,150

159

,677

51

,496

,798

,332

,677

s to the extent allowe

y and residual eflects Exposu

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.

CR

(f)

The As a

Impa(Millio

Can

R

W

STo

Unit

R

W

STo

Othe

R

W

STo

Tota

R

W

STota1 Geo2 Allo

Net (Millio

Can

R

W

Unit

R

W

Othe

R

W

Tota

R

W

Tota1 Geo2 Inclu

Royal Ban

RB: Addition

Amounts oallowances

e following table

at October 31, 201

aired exposures ons of Canadian dol

ada

Retail

Wholesale

ecurities

otal - Canada

ted States

Retail

Wholesale

ecurities

otal - United Stat

er International

Retail

Wholesale

ecurities

otal - Other Inter

al

Retail

Wholesale

ecurities

al impaired expos

ographic information

owance 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 residen

Stage 3 IFRS 9 allo

ography1 and po

lars)

is based on residen

t-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

CR

As a

Impa (Millio

Reta

R

P

S

Who

B

S

B

Tota

S

Tota1 Allo

Royal Ban

RB: Addition

at October 31, 201

aired exposures

ons of Canadian dol

ail

Residential mortga

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 loans

ecurities

al impaired expos

owance reflects only

nk of Cana

nal disclosur

18

by portfolio and

lars)

ages

ds

ucts

s

estments

cts

als

cial services

d related

d media

and environment

s

sures

Stage 3 IFRS 9 allow

ada Pillar 3

re related to t

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

-

-

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

-

-

1,483

125

1,608

CR

(g) The

As a

(Millio

Reta

Who

Tota

(h) Amo

CR

Theincohttp

P

a)

b)

c)

Royal Ban

RB: Addition

Ageing ana

e following table

at October 31, 201

ons of Canadian dollar

ail

olesale

al

Breakdown

ounts are deem

RC: Qualitati


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

e provides the

18

rs)

n of restructured

med not signific

ive disclosur


sures requirem

s of policies andr, and an indicawhich the banknd off-balance s

s of policies andr collateral evalment

bout market or ations under then instruments u

ada Pillar 3

re related to t

nting past-due

ageing of our r

1 to 29 days

2

1

4

d exposures be

cant for disclos

re requireme


ions

ment RBC

d ation of k makes sheet

Credit

Conso

d uation Credit

credit e credit sed

Credit

Conso

3 Report

the credit qu

exposures

retail and whole

30

2,995

1,246

4,241

etween impaire

sure.

ents related t


2018 Annual R

t risk

olidated Financ

t risk

t risk

olidated Financ

uality of asse

esale past due

0 to 89 days

1,40

46

1,87

ed and not impa

to credit risk


Report section

cial Statements

cial Statements

ets (continue

e exposures.

90 days

02

68

70

aired exposure

k mitigation t


n

Counterpart

s

Note 8 - Deractivities – D

Note 30 - Ofliabilities

Credit risk m

Credit risk m

Credit risk a

sNote 8 - Deractivities

ed)

and greater

179

-

179

es

techniques


Sub-s

ty credit risk

rivative financiaDerivative-relat

ffsetting financ

mitigation - Coll

mitigation

approval – Cred

rivative financia

Tot


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


and hedging

financial

and hedging

CR

We expSecutiliz

As a

1

2

3

4 1 Colu2 Crefor an3 Colu

CRcr

As AppcouStaappundAs w Extean ionly OurageApp

Stan

Lon

(AAA

(A+

(BBB

(BB+

(B+

(Belo

We age

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 AA

A+ to A-

BBB+ to BB

BB+ 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

18,284

274,008

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

oned rating agepurposes of d

with senior claim

deline the requiy on OSFI’s ms current mapp

Lon

Mo

A- AAA

A1

BB- BAA1

B- 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

18,284

265,432

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


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 AA

A(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


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) A

A(low)

BBB(low) BB

BB(low) B

B(low)

ower

y changes in a

Q4 2018

20

balance sheet es exposures. ometimes also

g


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

ExposurCCF a

On-balance sheet amount

16,011

8,904

367

4,164

1,327

44,961

7,013

35,187

-

-

449

452

12,678

131,513

portion 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

-

34,144

red 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

124,958

e 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 -

75 -

- -

8 -

862 -

34 -

- 6,697

- 1,737

- -

- -

- -

- -

- -

990 8,434

ts

dized approach

g h

100% 150

3

38

-

384

167

44,393

1,814

-

-

-

135

-

10,634

57,568

h by asset cla

h i

0% Others

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

312 -

635 -

- 254

947 254

Q4 2018

22

sses and risk

j

Total credit exposures

amount (post CCF and

post-CRM)

33,547

8,942

367

4,289

3,453

44,483

8,511

16,669

-

-

447

635

12,678

134,021

CR

In mappappuse Undat Dfacigov In aportFor segreguInst Credatais otranthe PD gradcredoblicondiffeobli EADobliestimod LGDcredestirateneccon Estion a

Royal Ban

RE: Qualitati

measuring credproach and theproved by OSFes risk weights

der the IRB apDefault (EAD). lities and their

vernance functi

accordance witfolios, a PD isRetail portfoli

gmentation of tulatory capital titutions (OSFI)

edit parameter a where approp

oriented to the nsaction-specifcredit facility le

is an estimatede or for a pardit quality of thgor’s businessservative refleerentiates the rgations on time

D is an amountgor and the pomated to refledelling process

D is an estimadit facility is asmating LGD in

es draw primarcessary. LGD raservatism adde

imates of PD, Lan annual basi

nk of Cana

ve disclosur

dit risk to detee StandardizedFI. The remainprescribed by O

proach, we deThey are the kcorrespondingons. In addition

ith the IRB aps estimated for os, borrowers he portfolios inmodels for wh).

estimates are priate. We emprisk of borroweic factors such evel.

ed percentage trticular pool of e obligor and es risk and finaection of our riskiness of obe over a three-

t expected to bossible future cect an economs.

ated percentagssigned an LGDnclude seniorityrily on internal ates are estimaed to reflect da

LGD and EAD s. In addition, q

ada Pillar 3

res related to

ermine regulatod approach. Thder of our porOSFI to calcula

termine our owkey credit para

g estimates aren, the IRB para

pproach for creach internal are risk rated

nto pools. Retaolesale and ret

based on our ploy a two-dimeer default and q

as collateral, p

that representsexposure. Eac

each BRR has ancial risk andexperience th

ligors and repryear time horiz

be owed by an changes in thaic downturn, w

e of EAD thatD rate reflectivey of debt, collaloss experiencated to reflect cata limitations a

are updated aquarterly monit

3 Report

o internal ris

ory capital, twohe majority ofrtfolios are repate RWA for cr

wn estimates foameters that fo used for credi

ameter estimate

edit risk, modborrower grad using internaail PD, EAD antail credit risk a

internal historensional risk raquantified throuproduct type, a

s the likelihoodch obligor is asa PD calibrated is based onhrough an ecoresents our evazon.

obligor at the tt exposure driv

with added con

is not expectee of the extent

ateral security,ce and approprconditions that

and statistical u

nd then validattoring and back

k-based (IRB

o principal appour credit risk

ported under thredit risk expos

or Probability oorm the basis ot approval, riskes are critical i

els are designe and LGD anl credit scoringnd LGD paramare subject to a

rical default anating system fough the PD as

and seniority, a

d of default of asigned a Borro

ed against it. Thn fundamentalonomic cycle,aluation of the

time of defaultven by factorsnservatism to r

ed to be recov of losses anticand the indust

riate external dt might be expeuncertainties id

ted and back-tk-testing proce

B) models

proaches applik exposures ahe Standardizesures.

of Default (PD)of our credit risk managementnputs for enter

ned for wholed EAD parameg models. Cre

meters are estimapproval by the

nd loan loss exor the majorityssigned to the bnd is quantified

an obligor withower Risk Ratinhe assignmentl credit analys including peobligors’ ability

. EAD is estimsuch as the n

reflect data an

vered during thcipated in the etry sector in w

data is used toected to prevaientified in the e

tested by an indedures are perfo

ied are: the Inare reported ued approach. T

, Loss Given Dsk measures. I, internal capitarprise and regu

sale and retaieters are estimedit scores aremated at the pe Office of the

xperience and of our credit poborrower. The d by LGD and

hin a given timeng (BRR), refleof BRRs is ba

sis. PD estimaeriods of econy and willingne

ated based onature of the cr

nd statistical un

he collection aevent the oblig

which the obligo supplement thil in an economestimation proc

dependent valiormed.

nternal Ratingsnder the IRBThe Standardiz

Default (LGD) aInternal ratingsal allocations, a

ulatory stress-te

il portfolios. Fmated for eache one of the kpool level. All ISuperintenden

are augmenteortfolios. The fisecond dimenEAD estimates

e period for a secting an asse

ased on the evaates are designomic downturess to meet the

the current exredit commitmencertainties ide

and recovery pgor defaults. Faor operates. Eshe estimation p

mic downturn, wcess.

idation team w

Q4 2018

23

s Based (IRB)approach, aszed approach

and Exposure s for borrowerand corporateesting.

or Wholesalecredit facility.ey drivers forIRB approach nt of Financial

ed by external irst dimensionsion capturess that apply at

specific rating ssment of the aluation of the gned to be a rn. The BRR eir contractual

xposure to the ent. Rates areentified in the

process. Eachactors used instimated LGDprocess whenwith additional

within the bank

CR

EAD TheThe As a

EAD

Reta

R

Q

O

Who

C

S

B

E

Othe

Tota1 Stan

Royal Ban

RE: Qualitati

D Covered by

e following tablee Foundation In

at October 31, 201

D (in %)

ail

Residential secured

Qualifying revolving

Other retail

olesale

Corporate

overeign

ank

quity

er assets not sub

al

ndardized Approach

nk of Cana

ve disclosur

the Various A

e outlines the pnternal Ratings

18

d

g

bject to Standard

includes assumptio

ada Pillar 3

res related to

Approaches

percentage of o Based (FIRB)

dized or IRB App

ns and waivers gran

3 Report

o internal ris

our EAD coverapproach is cu

proaches

nted by OSFI based o

k-based (IRB

red by the IRB urrently not app

StaA

on an OSFI approve

B) models (c

and Standardiplied.

EAD cov

andardized Approach1

14%

-

5%

-

15%

18%

5%

-

-

11%

ed rollout plan.

ontinued)

ized approache

vered by the vario

IRB Approach

86%

100%

95%

-

85%

82%

95%

100%

-

87%

es for each of

ous approaches

h

Q4 2018

24

our portfolios.

Other

-

-

-

-

-

-

-

-

100%

2%

CR

Par Thecalialso Ourthe requ Our(EMpararevimanDire Stre Thetestderimetare use CrematAnyesti

Royal Ban

RE: Qualitati

rameters Gove

e techniques ubrate our modo build conserv

r models have framework setuirements, coll

r models are reMRM) team. Eameters. EMRiew. The paramnagement comectors.

ess Testing of

e IRB credit parting is to track ive the paramthodological adoutside accep

ed in the back-t

edit risk parameterial events ary changes resumation cycle, e

nk of Cana

ve disclosur

ernance

used to develoels to ensure t

vatism into our

Model Developt by our policiesecting and revi

equired to be inEMRM is respM issues a repmeters reviewe

mmittees for ef

f Parameters a

rameters are sand assess a

eters are refledvances are incptable toleranceesting of param

eters are estimre identified in ulting from thiseach change is

ada Pillar 3

res related to

op models arethat variations model develop

pment Ownerss, standards aniewing data, te

ndependently ronsible for thport at the ended by EMRM ffective challen

and Model Per

ubject to quartactual performaective of currecorporated. If te limits, a full remeters and the

ated, at a minia timely fashios monitoring p

s reviewed by th

3 Report

o internal ris

in accordancof default rate

pment process

s (MDO) who and procedures.sting and evalu

reviewed and ce review and of each validaare presented

nge and review

rformance

terly back-testinance against thnt and expectthe quarterly reeview may becalibration of t

mum, annuallyon, we engageprocess are aphe Rating Mod

k-based (IRB

ce with bankinges through an eto reflect statis

are accountable. MDOs are resuating, designin

comprehensivechallenge of

ation exercise td to the Ratingw prior to ultim

ng, the resultshe estimated pted conditionseview indicatestriggered earliethe models is r

y and more freqin regular mon

ppropriately doels Governanc

B) models (c

g industry staeconomic cyclestical uncertain

e for the develosponsible for cng model perfo

ely evaluated bthe methodo

that documentg Models Govemate approval

of which are reparameters. Thand that any

s a substantialer than the annreviewed if pred

quently if deemnitoring of realiocumented. Whce Committee.

ontinued)

ndards and ree are includedties.

opment and pecollecting, definormance monit

by the Enterprislogy underpints the scope, aernance Comm

by the Risk C

eported to OSFhis ensures tha

significant nechange in con

nual schedule.defined thresho

med necessaryized results aghen changes a

egulatory requd in the underly

erformance of ning and documoring, and doc

se Model Riskning the estim

approach and fmittee and othCommittee of

FI. The purposeat the assump

ew data or tecnditions or the Stress testingolds are breach

. In order to enainst establisharise outside o

Q4 2018

25

irements. We ying data. We

models withinmenting model umenting.

Management mation of thefindings of theer senior riskthe Board of

e of the back-ptions used to chnical and/or actual results

g methods arehed.

nsure that anyhed estimates. of the annual

Roy CR6: IR

The followPD range As at Octob

(Millions except a

Asset Cl

1 Sovereig

Total

2 Banks

Total

3 Corpora

Total Lendi

1 Refer to “Inte2 Number of ounique borrow3 Provisions re

yal Bank of Ca

RB – Credit risk e

wing table provides.

ber 31, 2018

of Canadian dollars, s otherwise noted)

lasses

gns

Sovereigns

Banks

ates excl. Specialized Lend

Corporates excl. Specializeing

ernal ratings map” under t

obligors is defined as the nwers. For example, sovere

eflect only IFRS 9 Stage 3

anada Pillar 3

exposures by po

s the key paramete

PD scale1

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 < 100.0

100.00 (default

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 < 100.0

100.00 (default

ding

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 < 100.0

100.00 (defaultd

the Credit Risk Assessmen

number of borrowers in eaceign obligors include centra

3 allowances under the IRB

3 Report

ortfolio and PD r

rs used for the calc

a b

Original on-balance sheet

gross exposure

Off-bashe

exposuCC

102,992 2

135

353

-

67

0 10

00 -

) 1

103,558 2

28,277

1,447

1,160

-

396

0 43

00 4

) -

31,327

24,614 10

10,854 2

30,349 4

-

58,615 5

0 20,953 2

00 1,159

) 760

147,304 27

nt section in our 2018 Ann

ch PD band. For Retail expal banks or agencies, publ

B portfolio.

range

culation of capital r

b c

alance eet

ures pre CF

Average CCF (%)

27,007 56.03

408 67.32

110 53.64

- -

18 38.01

22 42.94

- 65.00

- -

27,565 56.17

2,677 44.47

414 45.65

201 48.70

- -

1,264 42.11

61 34.65

37 35.58

- -

4,654 43.91

08,848 57.25

29,927 58.89

48,298 51.72

- -

58,669 42.85

25,686 44.43

613 47.70

328 14.50

72,369 52.07

ual Report MD&A.

posures, a borrower can aic sector entities and mult

requirements for cr

d e

EAD post CRM and post-CCF

Average PD(%)

171,023 0.03

375 0.23

402 0.32

- -

74 1.15

14 3.19

- 13.37

1 100.00

171,889 0.03

36,548 0.06

1,863 0.23

1,601 0.35

- -

933 0.98

64 5.96

17 22.24

- 100.00

41,026 0.12

84,685 0.09

27,328 0.23

53,851 0.61

- -

79,721 1.21

28,638 3.71

1,270 20.97

868 100.00

276,361 1.28

appear in multiple PD bandilateral development bank

redit risk exposures

f g

Number of obligors2

Average(%)

3 1,859 1

3 101 3

2 81 4

- -

5 55 3

9 75 3

7 2 2

0 3 2

3 2,176 1

6 238 3

3 44 3

5 70 4

- -

8 101 3

6 15 4

4 13 4

0 1 6

2 482 3

9 9,090 4

3 4,644 4

14,909 3

- -

30,470 3

27,532 3

7 1,514 3

0 1,163 3

8 89,322 3

ds if the borrower has mores which are each reflected

s under the IRB ap

h

e LGD )

Average maturity

(in years)

19.60 1.34

39.99 2.73

43.86 1.62

- -

33.45 2.75

37.15 3.14

25.00 1.12

20.08 2.50

19.71 1.34

33.86 2.06

36.53 1.52

45.16 2.40

- -

30.68 3.18

42.39 1.51

44.77 1.00

60.00 2.50

34.37 2.08

41.04 2.50

41.97 2.78

38.99 2.63

- -

35.58 2.51

36.30 2.62

35.43 1.88

36.59 1.95

38.64 2.56

re than one type of productd as unique borrowers in th

pproach, broken do

i j

RWA RWA density

(%)

9,472 6.0

175 47.0

206 51.0

- -

56 77.0

17 121.0

- 117.0

- 2.0

9,926 6.0

6,980 19.0

822 44.0

1,182 74.0

- -

674 72.0

105 164.0

44 266.0

- 795.0

9,807 24.0

23,112 27.0

13,619 50.0

30,511 57.0

- -

60,358 76.0

30,251 106.0

2,143 169.0

1,867 215.0

161,861 59.0

t with the bank. Wholesalehe sovereign asset class.

Q4 20

own by asset class

k l

EL Provision

10

-

1

-

-

-

-

-

11

7

2

3

-

3

2

2

-

19

30

26

80

-

340

384

93

287

1,240 4

e obligors are reflected as

018

26

and

ns3

3

-

424

Roy CR6: IR

As at Octob

(Millions except a

Asset Cl

4 Corpora

Total

5 Total Wh

6 Retail reHELOCs

Total HELO

7 HELOCs

Total 1 Refer to “Inte2 Number of ounique borrow3 Provisions re

yal Bank of Ca


ber 31, 2018


lasses

ate - Specialized Lending

Corporate Specialized Lend

holesale

esidential mortgages excl. s

Retail residential mortgagesOCs

s

HELOCs




anada Pillar 3

exposures by po

PD scale1

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 < 100.0

100.00 (default

ding

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 < 100.0

100.00 (default

s excl.

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 < 100.0

100.00 (default




3 Report

ortfolio and PD r

a b


gross exposure

Off-bashe

exposuCC

451

25

2,196

-

4,609

0 3

00 -

) -

7,284

289,473 30

116,154

46,603

16,957

18,002

8,803

0 14,566

00 1,860

) 412

223,357

23,667 7

9,206

-

4,339

-

0 2,203

00 362

) 108

39,885 8



B portfolio.

range (continue

b c

alance eet

ures pre CF

Average CCF (%)

240 58.05

192 61.56

371 59.78

- -

439 40.26

- -

- -

- -

1,242 53.20

05,830 52.83

238 100.00

153 100.00

167 100.00

47 100.00

107 100.00

46 100.00

- 100.00

- -

758 100.00

71,383 72.42

8,556 67.53

- -

2,033 64.84

- -

361 61.05

100 67.44

1 -

82,434 71.67

ual Report MD&A.


d)

d e


Average PD(%)

595 0.13

144 0.23

2,418 0.44

- -

4,779 0.93

- 2.64

- -

- -

7,936 0.71

497,212 0.74

114,009 0.06

35,659 0.23

2,692 0.45

15,476 0.65

353 1.10

7,820 4.22

978 42.71

193 100.00

177,180 0.83

75,363 0.05

14,984 0.21

- -

5,657 0.73

- -

2,423 4.97

430 44.24

108 100.00

98,965 0.53


f g

Number of obligors2

Average(%)

3 7 3

3 3 3

4 70 2

- -

3 84 3

4 1 3

- -

- -

165 3

4 92,145 3

6 519,908 1

3 179,443 1

5 72,663 2

5 73,936 1

0 42,860 2

2 76,017 1

9,075 1

0 2,672 1

3 976,574 1

5 586,545 2

153,544 2

- -

3 67,949 2

- -

7 31,099 2

4 3,764 2

0 925 2

3 843,826 2


h

e LGD )

Average maturity

(in years)

36.82 3.25

39.27 5.00

28.61 3.11

- -

32.13 3.82

30.00 1.98

- -

- -

31.54 3.58

31.63 2.12

16.07

18.99

21.41

19.66

25.54

19.48

18.47

19.49

17.23

21.26

21.25

-

22.04

-

22.08

21.22

23.96

21.33


i j

RWA RWA density

(%)

209 35.0

94 66.0

1,199 50.0

- -

3,873 81.0

- 83.0

- -

- -

5,375 68.0

186,969 38.0

3,266 3.0

3,167 9.0

412 16.0

3,001 20.0

81 34.0

4,791 62.0

860 88.0

111 57.0

15,689 9.0

2,314 3.0

1,389 9.0

- -

1,338 24.0

- -

1,862 77.0

440 103.0

81 74.0

7,424 8.0


Q4 20

k l

EL Provision

-

-

3

-

15

-

-

-

18

1,288 4

12

15

2

20

1

63

77

32

222

8

7

-

9

-

27

41

25

117


018

27

ns3

-

427

33

25

Roy CR6: IR

As at Octob

(Millions except a

Asset Cl

8 Other rerevolvin

Total revolv

9 Qualifyin

Total

10 Total ret

Total 1 Refer to “Inte2 Number of ounique borrow3 Provisions re

yal Bank of Ca


ber 31, 2018


lasses

etail excl. Qualifying g retail

Other retail excl. Qualifying ving retail

ng revolving retail

Qualifying revolving retail

tail




anada Pillar 3

exposures by po

PD scale1

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 < 100.0

100.00 (default

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 < 100.0

100.00 (default




3 Report

ortfolio and PD r

a b


gross exposure

Off-bashe

exposuCC

16,241

9,768

5,030

2,254

8,236

0 4,843

00 629

) 104

47,105

8,483 4

464

1,828

3,048

6,438

0 3,342

00 555

) 66

24,224 6

334,571 16

624,044 46



B portfolio.

range (continue

b c

alance eet

ures pre CF

Average CCF (%)

5,742 99.38

1,353 97.74

715 100.05

720 116.73

1,918 98.68

789 94.77

25 93.69

1 -

11,263 99.88

46,719 95.10

403 109.58

6,613 107.42

4,282 95.12

7,706 97.12

2,010 96.75

158 86.55

2 -

67,893 96.65

62,348 92.66

68,178 63.37

ual Report MD&A.


d)

d e


Average PD(%)

21,935 0.08

11,046 0.20

5,683 0.45

3,092 0.63

9,930 1.21

5,332 4.00

470 43.41

80 100.00

57,568 1.22

52,915 0.08

906 0.17

8,932 0.34

7,121 0.59

13,923 1.50

5,286 4.80

692 38.74

66 100.00

89,841 1.01

423,554 0.85

920,766 0.79


f g

Number of obligors2

Average(%)

8 481,274 4

0 338,873 5

5 217,618 6

3 136,800 5

518,091 7

0 331,274 7

23,829 6

0 3,086 6

2 2,050,845 5

8 6,345,031 8

7 57,029 7

4 3,371,429 8

9 784,376 8

0 3,590,109 8

0 1,686,755 8

4 551,565 8

0 45,703 8

16,431,997 8

5 20,303,242 3

9 20,395,387 3


h

e LGD )

Average maturity

(in years)

49.29

54.43

66.86

53.72

74.01

73.09

66.67

65.46

58.88

88.71

78.54

87.84

86.21

89.29

89.97

89.12

85.78

88.49

38.96 -

35.00 2.12


i j

RWA RWA density

(%)

2,431 11.0

2,457 22.0

2,720 48.0

1,398 45.0

8,338 84.0

5,932 111.0

793 169.0

142 178.0

24,211 42.0

2,383 5.0

69 8.0

1,367 15.0

1,650 23.0

6,761 49.0

5,887 111.0

1,755 254.0

182 274.0

20,054 22.0

67,378 16.0

254,347 27.6


Q4 20

k l

EL Provision

9

11

17

10

86

155

140

42

470

36

1

27

36

186

226

241

43

796

1,605

2,893 5


018

28

ns3

42

43

143

570

Roy CR6: M

As at Octob

(Millions otherwise

1 Sovereig

Total

2 CorporaSpecializ

Total Spec

3 Retail inmortgag

Total comm

Total 1 Refer to “Inte2 Provisions re

yal Bank of Ca

Memo Item: Retai

ber 31, 2018

of Canadian dollars, except e noted)

gns

Sovereigns

ates excl. zed Lending

Corporates excl. SMEs andialized Lending

nsured residential & commges & HELOCs

Retail insured residential & mercial mortgages & HELOC

ernal ratings map” under the flect only IFRS 9 Stage 3 all

anada Pillar 3

il Insured Expos

as PD scale1

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 < 10.0

10.00 to < 100.

100.00 (defaul

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 < 10.0

10.00 to < 100.

100.00 (defaul

ercial

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 < 10.0

10.00 to < 100.

100.00 (defaul

Cs

Credit Risk Assessment secowances under the IRB port

3 Report

sures

a


gross exposure

Of

exp

5 -

5 -

0 -

5 -

0 -

0 -

00 -

lt) -

-

5 -

5 -

0 -

5 -

0 -

0 -

00 -

lt) -

-

5 37,542

5 12,185

0 14,907

5 2,769

0 9,145

0 7,305

00 1,074

lt) 250

85,177

85,177 ction in our 2018 Annual Reptfolio.

b c

ff-balance sheet

posures pre CCF

Average CCF(%)

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -port MD&A.

d

F EAD post CRM and Post CCF

Avera(%

- 47,645

- -

- -

- -

- -

- -

- -

- -

- 47,645

- 78

- -

- -

- -

- -

- -

- -

- -

- 78

- 35,148

- 1,043

- 411

- 192

- 390

- 252

- 9

- 8

- 37,453

- 85,176

e f

age PD %)

Average LGD (%)

0.01 15.06

- -

- -

- -

- -

- -

- -

- -

0.01 15.06

0.10 19.02

- -

- -

- -

- -

- -

- -

- -

0.10 19.02

0.09 10.07

0.17 11.39

0.38 13.04

0.65 10.83

1.17 21.31

4.00 25.84

26.00 79.09

100.00 78.05

0.16 10.40

0.08 13.01

g h

Average maturity

(in years) RWA

- 1

-

-

-

-

-

-

-

- 1

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

- 1

- 2

i

A RWA density

(%)

1,411 3.00

- -

- -

- -

- -

- -

- -

- -

1,411 3.00

23 30.00

- -

- -

- -

- -

- -

- -

- -

23 30.00

746 2.00

42 4.00

34 8.00

19 10.00

102 26.00

121 48.00

14 156.00

4 50.00

1,082 3.00

2,516 3.00

Q4 20

j k

EL Provisions2

1

-

-

-

-

-

-

-

1 1

-

-

-

-

-

-

-

-

-

3

-

-

-

1

4

2

6

16

17 1

018

29

3

-

6

9

CR

The

As a

2

4

6

8

9

10

11

12

14

16

17

CR

Thecred As a

1

2

3

4

5

6

7

8

9 1 RW2 Org3 Qua4 Updcalibr5 Met

Royal Ban

R7: IRB – Eff

e following table

at October 31, 201

(Millions of Canad

Sovereign - AIR

Banks - AIRB

Corporate - AIR

Specialised len

Retail - qualifyin

Retail - residen

Retail - SME

Other retail exp

Equity - AIRB

Purchased rece

Total

R8: RWA flow

e following tabldit risk.

at October 31, 201

(Millions of Canad

RWA as at end

Asset size2

Asset quality3

Model updates4

Methodology an

Acquisitions an

Foreign exchan

Other

RWA as at end

WA flow amounts refle

anic changes in port

ality of book changes

dates to the model torations/realignments

thodology changes to

nk of Cana

fect on RWA

e provides the

18

dian dollars)

RB

RB

ding - AIRB

ng revolving (QRR

tial mortgage exp

posures

eivables - AIRB

w statements

e presents the

18

dian dollars)

d of previous rep

4

nd policy5

d disposals

nge movements

d of reporting pe

ect both IRB and Sta

tfolio size and compo

s caused by experien

o reflect recent expers.

o the calculations dr

ada Pillar 3

of credit de

effect of credit

RE)

posures

s of credit ris

e changes in S

porting period

riod

andardized Approach

osition (including new

nce such as underly

rience, model implem

iven by regulatory po

3 Report

rivatives use

derivatives us

sk exposure

Standardized a

h figures reflecting o

w business and mat

ing customer behavi

mentation, change in

olicy changes.

ed as CRM te

ed as mitigatio

Pre-credit

s under IRB

nd IRB RWA a

ur approved roll-out

uring loans).

iour or demographic

n model scope or any

echniques

on techniques i

a

derivatives RWA

amounts over

plan for transition to

cs and credit mitigatio

y change to address

n determining

A

-

-

95

-

-

-

-

-

-

-

95

the reporting p

RWA a

o IRB.

on.

s model malfunctions

RWA amounts

b

Actual RWA

period for the k

amounts1

s including changes

Q4 2018

30

s.

A

-

-

90

-

-

-

-

-

-

-

90

key drivers of

366,581

3,359

286

(8,709)

-

-

2,212

(2,337)

361,392

through model

Roy CR9: IR

The followcalculatio As at Octob

(Millions otherwise

Asset C1 Sovere Tota2 Banks Tota

3 Corpspec

Totaspec

1 Refer to "Int2 Weighted av3 Number of ounique borrow4 Number of d5 Number of n6 Defaulted ob7 Number of o

yal Bank of Ca

RB – Backtesting

wing table presentsns.

ber 31, 2018 a


Classes eigns

l sovereigns

l banks

porates excl. cialized lending

l corporates excl. cialized lending ernal ratings map" under tverage PD means PD (afte

obligors is defined as the nwers. For example, soveredefaulted obligors in the yenew defaulted obligors in tbligors reflects obligors whobligors by PD range for th

anada Pillar 3

g of probability o

s a comparison of

b as

PD Range1

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)

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)

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)

the Credit Risk Assessmener CRM) weighted by EAD

number of borrowers in eaceign obligors include centraear includes i) existing oblihe year reflects the amoun

ho were in default after 90 he prior year has been upd

3 Report

of default (PD) p

the PD used in o

E

S&P Moody

AAA to A- Aaa to A

BBB+ to BBB Baa1 to B

BBB- to BB+ Baa3 to B

BB Ba2

BB- to B+ Ba3 to B

B to CCC+ B2 to Ca

CCC to CC Caa2 to

C or lower C or low

AAA to A- Aaa to A



BB Ba2

BB- to B+ Ba3 to B

B to CCC+ B2 to Ca

CCC to CC Caa2 to

C or lower C or low

AAA to A- Aaa to A



BB Ba2

BB- to B+ Ba3 to B

B to CCC+ B2 to Ca

CCC to CC Caa2 to

C or lower C or low

nt section in our 2018 AnnD as at October 31, 2018. A

ch PD band. For Retail expal banks or agencies, publgors not in default at the bnt in column g that relates days that have either retu

dated to align with current p

per portfolio

our IRB models wit

c

External rating equivalent

y's Fitch D

A3 AAA to A- AA

Baa2 BBB+ to BBB BBB

Ba1 BBB- to BB+ BBB

BB

B1 BB- to B+ BB

aa1 B to CCC+ BL t

Ca CCC or CC CCC

wer C or lower C o

A3 AAA to A- AA


Ba1 BBB- to BB+ BBB

BB

B1 BB- to B+ BB

aa1 B to CCC+ BL t

Ca CCC or CC CCC

wer C or lower C o

A3 AAA to A- AA


Ba1 BBB- to BB+ BBB

BB

B1 BB- to B+ BB

aa1 B to CCC+ BL t

Ca CCC or CC CCC

wer C or lower C o

ual Report MD&A. Arithmetic average PD is th


beginning of the year who wto new obligors in the yearned to performing status period PD methodology up

th the effective def

t

aDBRS Kroll

AA to AL AAA to A-

H to BBB BBB+ to BBB

L to BBH BBB- to BB+

BB BB

L to BH BB- to B+

to CCCH B to CCC+

C or CC CCC or CC

or lower C or lower

AA to AL AAA to A-



BB BB

L to BH BB- to B+

to CCCH B to CCC+

C or CC CCC or CC

or lower C or lower

AA to AL AAA to A-



BB BB

L to BH BB- to B+

to CCCH B to CCC+

C or CC CCC or CC

or lower C or lower

he sum of all the PDs (afte

appear in multiple PD bandilateral development bankwent into default during th

ar who went into default. or were written-off. For expdates.

fault rates of the b

d e

Weighted average PD2

Arithmeticaverage Pby obligor

0.03% 0.080.23% 0.230.32% 0.34

- 1.15% 1.333.19% 3.63

13.37% 17.56100.00% 100.00

0.03% 0.23

0.06% 0.090.23% 0.230.35% 0.38

- 0.98% 1.155.96% 6.56

22.24% 20.62100.00% 100.00

0.12% 0.81

0.09% 0.100.23% 0.230.61% 0.40

- 1.21% 1.273.71% 4.13

20.97% 19.33100.00% 100.00

1.28% 3.33

er CRM) over the number o

ds if the borrower has mores which are each reflectede year; and ii) new obligor

ample, unadvised overdra

bank’s obligors in o

f

c PD rs2

Number of oblig

End of previous year7

Eth

8% 1,827 3% 111 4% 81

- - 3% 47 3% 58 6% 3 0% 2 3% 2,129

9% 205 3% 43 8% 70

- - 5% 67 6% 20 2% 11 0% 1 1% 417

0% 7,451 3% 4,266 0% 13,987

- - 7% 30,848 3% 24,788 3% 1,521 0% 1,210

3% 84,071

of accounts as at October

re than one type of productd as unique borrowers in thrs in the year who went int

aft facilities have been inclu

order to validate th

g

gors3

Defaulted obligors in the year4,6

End of he year

1,859 -101 -81 -

- -55 -75 -2 13 -

2,176 1

238 -44 -70 -

- -101 -15 -13 -1 -

482 -

9,090 -4,644 -

14,909 5- 15

30,470 10627,532 3211,514 2631,163 -

89,322 710

r 31, 2018.

t with the bank. Wholesalehe sovereign asset class.to default.

uded that returned to perfo

Q4 20

he reliability of our

h iof which:

new defaulted obligors in the year5,6

Averahistoriannu

default

- - - - 1- - 01 5- 1

- - - - - - - 2- -

- 0- 03 0

12 060 0

178 0180 9

-

433


orming status.

018

31

r PD

age cal

ual rate

- - -

.05% -

.20%

.00% -

- - - - - -

.00% -

.02% .03% .05% .09% .31% .94% .25%

-

Roy CR9: IR

As at Octob

(Millions otherwise

Asset C

4 Corpspec

Totaspec

5 Retail rexcl. H

Totaexcl.


yal Bank of Ca

RB – Backtesting

ber 31, 2018 a


Classes

porate - cialized lending

l corporate - cialized lending

residential mortgages ELOGs

l retail residential mortga HELOCs ernal ratings map" under tverage PD means PD (afte


anada Pillar 3

g of probability o

b as

PD Range1

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)

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)

ages




3 Report

of default (PD) p

E

S&P Moody

AAA to A- Aaa to A



BB Ba2

BB- to B+ Ba3 to B

B to CCC+ B2 to Ca

CCC to CC Caa2 to

C or lower C or low

nt section in our 2018 AnnD as at October 31, 2018. A



per portfolio (con

c


y's Fitch D

A3 AAA to A- AA


Ba1 BBB- to BB+ BBB

BB

B1 BB- to B+ BB

aa1 B to CCC+ BL t

Ca CCC or CC CCC

wer C or lower C o

ual Report MD&A. Arithmetic average PD is th



ntinued)

t

aDBRS Kroll

AA to AL AAA to A-



BB BB

L to BH BB- to B+

to CCCH B to CCC+

C or CC CCC or CC

or lower C or lower




d e



0.13% 0.180.23% 0.230.44% 0.46

- 0.93% 0.932.64% 2.64

- -

0.71% 0.66

0.06% 0.070.23% 0.210.45% 0.360.65% 0.651.10% 0.844.22% 3.72

42.71% 44.67100.00% 100.00

0.83% 1.17




f

c PD rs2

Number of oblig


Eth

8% 9 3% 5 6% 90

- - 3% 184 4% 3

- - - -

6% 291

7% 497,374 1% 180,048 6% 73,987 5% 76,241 4% 44,340 2% 68,977 7% 5,488 0% 2,826

7% 949,281




g

gors3


End of he year

7 -3 -

70 -- -

84 -1 -- -- -

165 -

519,908 208179,443 -72,663 11773,936 10942,860 38076,017 3369,075 2,2272,672 -

976,574 3,377

r 31, 2018.



Q4 20

h iof which:


Averahistoriannu

default

- - - - - 0- - -

-

2 0- 02 01 0

12 02 0

29 9-

48


orming status.

018

32

age cal

ual rate

- - - -

.65% - - -

.01% .03% .03% .03% .30% .64% .30%

-

Roy CR9: IR

As at Octob

(Millions otherwise

Asset C6 HELOC Tota

7 Other rrevolvi

Totarevo

8 Qualify Tota


yal Bank of Ca

RB – Backtesting

ber 31, 2018 a


Classes Cs

l HELOCs retail excl. qualifying ng retail

l other retail excl. qualifylving retail

ying revolving retail6

l qualifying revolving reta

ernal ratings map" under tverage PD means PD (afte


anada Pillar 3

g of probability o

b as

PD Range1

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)

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)

ying

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)

ail




3 Report

of default (PD) p

E

S&P Moody


D as at October 31, 2018. A



per portfolio (con

c


y's Fitch D

ual Report MD&A.

Arithmetic average PD is th



ntinued)

t

aDBRS Kroll




d e



0.05% 0.050.21% 0.21

- 0.73% 0.73

- 4.97% 4.97

44.24% 45.72100.00% 100.77

0.53% 0.64

0.08% 0.080.20% 0.190.45% 0.460.63% 0.591.21% 1.264.00% 4.01

43.41% 41.07100.00% 100.00

1.22% 1.77

0.08% 0.070.17% 0.170.34% 0.310.59% 0.581.50% 1.564.80% 4.84

38.74% 41.41100.00% 100.00

1.01% 2.59




f

c PD rs2

Number of oblig


Eth

5% 511,175 1% 142,123

- - 3% 61,067

- - 7% 21,763 2% 1,916 7% 985 4% 739,029

8% 286,661 9% 302,179 6% 213,776 9% 76,216 6% 466,065 1% 267,020 7% 28,008 0% 4,896

7% 1,644,821 2

7% 5,548,104 67% 31,405 1% 3,217,194 38% 598,782 6% 3,329,434 34% 1,501,333 11% 397,307 0% 45,250 9% 14,668,809 16




g

gors3


End of he year

586,545 164153,554 -

- -67,949 -

- 9231,099 3183,764 807

925 -843,836 1,381

481,274 65338,863 10217,618 635136,800 8518,091 2,028331,274 1,91223,829 5,9503,086 -

2,050,835 10,608

6,345,031 -57,029 991

3,371,429 991784,376 12

3,590,109 12,2511,686,755 26,684

551,565 165,81045,703 -

6,431,997 206,739

r 31, 2018.



Q4 20

h iof which:


Averahistoriannu

default

1 0- - - 0- 01 18 10-

10

10 0- 0

50 01 0

604 0238 1

1,027 6-

1,930

- 60 017 03 0

718 02,477 1

50,813 20-

54,088


orming status.

018

33

age cal

ual rate

.02%

- -

.06%

.33%

.02%

.16% -

.06% .04% .11% .09% .46% .21% .95%

-

- .04% .03% .05% .30% .70% .06%

-

CO

CC

Theincohttp

P

a)

b)

c)

d)

e)

CC

Royal Ban

OUNTERPAR

CRA: Qualita


Pillar 3 disclos

Risk managempolicies relatecredit risk

The method uoperating limitinternal capitacredit exposuexposures

Policies relatinother risk mitigassessments counterparty cexposures tow

Policies with rrisk exposures

The impact inof collateral threquired to prorating downgr

CRA: Qualita

nk of Cana

RTY CREDIT

ative disclos


sures requirem

ment objectivesed to counterpa

used to assign ts defined in teal for counterpares and for CC

ng to guarantegants and concerning

credit risk, incluwards CCPs

respect to wrons

terms of the ahat the bank woovide given a crade

ative disclos

ada Pillar 3

RISK

ure related to


ions

ment RBC

s and arty

Credit

Conso

the erms of arty

CP Credit

es and

uding

Credit

Conso

ng-way Credit

mount ould be credit

Liquid

ure related to

3 Report

o counterpa


2018 Annual R

t Risk

olidated Financ

t Risk

t Risk

olidated Financ

t Risk

dity and funding

o counterpa

rty credit ris


Report section

cial Statements

cial Statements

g risk

rty credit ris

k


n

Credit risk a

s


Note 2 - Sumestimates an

Credit risk a

Credit risk a

s


Note 30 - Ofliabilities

Credit risk a

Credit rating

k (continue


Sub-s

assessment – C


mmary of signifnd judgements

assessment – C

assessment – C


ffsetting financ

assessment – C

gs


section

Counterparty cr


ficant accountis – Derivatives

Counterparty cr

Counterparty cr


cial assets and

Counterparty cr

Q4 2018

34


redit risk

and hedging

ng policies,

redit risk

redit risk

and hedging

financial

redit risk

CC

ThemaiFigu

As a

1

1a

2

3

4

5

6 1 RW

CC

The

As a

1

2

3

4 1 RW

CC

Theby p

As a

Reg(Millio

Sove

Nonentit

Mult

Bank

Secu

Corp

Reg

Othe

Tota

Royal Ban

CR1: Analys

e following tablin parameters ures below refl

at October 31, 201

(Millions of Canad

SA-CCR (for de

Current Exposu

Internal Model

Simple Approac

Comprehensive

VaR for SFTs

Total

WA includes a calibrat

CR2: Credit v

e following table

at October 31, 201

(Millions of Canad

Total portfolios

(i) VaR compon

(ii) Stressed Va

All portfolios su

Total subject t

WA reflects OSFI perm

CR3: Standa

e following tablportfolio and ris

at October 31, 201

ulatory portfolio ons of Canadian dollar

ereigns

-central governmeties (PSEs)

tilateral developm

ks

urities firms

porates

ulatory retail portf

er assets

al

nk of Cana

is of counter

le provides a cused within eaect both house

18

dian dollars, except a

erivatives)

ure Method (CEM

Method (for deriva

ch for credit risk m

e Approach for cre

tion adjustment of 1.

valuation adj

e presents a br

18

dian dollars)

subject to the Adv

nent (including the

aR component (inc

ubject to the Stand

to the CVA capita

mitted CVA phase-in

rdized appro

e presents a bsk weight.

18

Risk weight

rs)

ent public sector

ent banks (MDBs

folios

ada Pillar 3

rparty credit

comprehensiveach method, if e and client trad

as otherwise noted)

- for derivatives)

atives and SFTs)

mitigation (for SFT

edit risk mitigation

.06% as prescribed b

justment (CV

reakdown of th

vanced CVA capi

e 3x multiplier)

cluding the 3x mu

dardized CVA cap

al charge

n of 86% for Total Ca

oach – CCR e

breakdown of c

a

0%

-

-

) -

-

-

-

-

-

-

3 Report

risk (CCR) e

e view of the mapplicable. Re

des.

Ts)

n (for SFTs)

by OSFI under the B

VA) capital c

e CVA capital

tal charge

ltiplier)

pital Charge

apital in 2018. CVA p

exposures b

counterparty cr

b c

10% 20

-

-

-

-

-

-

-

-

-

exposure by

methods used efer to CCR 8

a

Replacement Cost

27,702

Basel III framework.

harge

charge by adva

phase-in is no longer

y regulatory

edit risk expos

c d

0% 50%

-

-

-

30

-

625

-

-

655

approach

to calculate c8 for our centra

b

Potential future

exposure E

37,877

anced and stan

r applicable in 2019.

y portfolio an

sures calculate

e

75%

- -

- -

- -

- -

- -

- -

- -

- -

- -

counterparty cral counterparty

c d

EEPE

Alpha ufor

compuregulat

EAD

ndardized appr

a

EAD post

.

nd risk weigh

ed according to

f

100% 15

-

-

-

27

7

626

-

-

660

edit risk exposy clearing hous

e used

ting tory D

EAD post-CRM

1.4

63,90

170,56

roaches.

t-CRM

64,008

64,008

hts

o the standardiz

g h

50% Others

-

-

-

-

-

-

-

-

-

Q4 2018

35

sures and the se exposures.

f

M RWA1

03 19,234

62 10,254

29,488

b

RWA1

13,335

13,335

zed approach

i

Total credit exposure

- -

- -

- -

- 57

- 7

- 1,251

- -

- -

- 1,315

CC

The

As a

(MilliodollaotherAsseSove

ToBan

ToCorp

Corpspec

Tosp

Tota1 Ref

Royal Ban

CR4: IRB – C

e following table

at October 31, 201

ons of Canadian rs, except as rwise noted) et classes ereigns

otal sovereigns ks

otal banks porates

porates excl. cialized lending

otal corporates expecialized lending

al

fer to “Internal rating

nk of Cana

CCR exposur

e presents a de

18

PD sc

0.00 to <0.15 to <0.25 to <0.50 to <0.75 to <2.50 to <

10.00 100.00 (d

0.00 to <0.15 to <0.25 to <0.50 to <0.75 to <2.50 to <

10.00 100.00 (d

0.00 to <0.15 to <0.25 to <0.50 to <0.75 to <2.50 to <

10.00 100.00 (d

xcl. g

s map” in the Credit

ada Pillar 3

res by portfo

etailed view of

cale1

a

EADpost-C

< 0.15 2< 0.25 < 0.50 < 0.75 < 2.50 < 10.00 to <

default)

2

< 0.15 10< 0.25 1< 0.50 1< 0.75 < 2.50 < 10.00 to <

default)

13

< 0.15 5< 0.25 < 0.50 < 0.75 < 2.50 < 10.00 to <

default)

7

23

risk assessment sec

3 Report

olio and PD s

CCR exposure

b

D CRM

Average(%)

4,736

40 166

- 5 5 - -

4,952

6,888 7,942 1,921

- 1,007

4 - -

7,762

3,6706,4905,999

-3,623

62413 115 10

0,434

3,148

ction in our 2018 An

scale

es subject to IR

c

e PD Number obligors

0.03 0.23 0.34

- 0.88 2.73

- -

0.04 4

0.09 0.23 0.33

- 0.89 3.13

- -

0.13

0.07 6,0.23 1,0.34 1,4

-1.083.184.80

00.00

0.21 10,

0.15 11,

nual Report MD&A.

RB approach by

d

of s

Average LG(%)

385 10.

15 22.29 39.

- 6 45.3 45.- -

438 10.

377 12.71 10.

108 15.-

56 5.10 45.

- -

622 12.

288 35.194 35.410 36.

-936 35.506 42.

11 45.5 45.

350 35.

410 19.

y asset classes

e

GD Average maturity

(in years)

.68 1.8

.30 1.7

.49 1.5-

.00 1.0

.00 1.1- -

.90 1.8

.68 0.5

.45 0.2

.19 0.7-

.71 0.1

.00 1.0- -

.55 0.5

.29 0.8

.27 1.6

.95 1.0-

.86 1.7

.96 1.9

.00 1.5

.00 1.2

.53 0.9

.23 0.7

s and PD scale

f

RWA

83 70974 957 67

- 00 317 6

- -

83 794

53 7,67728 1,91371 2,255

- 16 10600 5

- -

51 11,956

83 7,1163 2,49509 2,60

- 73 2,85599 7650 2720 9

98 15,94

79 28,691

Q4 2018

36

e.

g

RWA density(%)

9 39 217 41- -3 736 115- -- -

4 3

7 73 115 19- -6 115 126- -- -

6 9

1 135 381 43- -5 791 1227 2181 596

1 23

1 12

CC

Thedericlea

As a

(Millio

Cash

Cash

Dom

Othe

Gov

Corp

Equi

Othe

Tota

CC

The

As a

(Millio

Noti

S

In

To

C

O

Tota

Fair

P

N

CC

We

Royal Ban

CR5: Compo

e following tabivative transacaring house (CC

at October 31, 201

ons of Canadian dol

h - domestic curre

h - other currencie

mestic sovereign d

er sovereign debt

ernment agency d

porate bonds

ity securities

er collateral

al

CR6: Credit d

e following table

at October 31, 201

ons of Canadian dol

ionals

ingle-name credit

ndex credit default

otal return swaps

Credit options

Other credit derivat

al notionals

r values

ositive fair value (

egative fair value

CR7: RWA flo

currently do no

nk of Cana

osition of col

le presents a ctions or securCP).

18

lars)

ency

es

debt

debt

derivatives e

e presents cred

18

lars)

t default swaps

t swaps

tives

(asset)

(liability)

ow statemen

ot apply the IM

ada Pillar 3

lateral for CC

breakdown ofrities financing

a

Fair valu

Segrega

exposures

dit derivatives b

nts of CCR ex

MM to our count

3 Report

CR exposure

f collateral postransactions (

b

Collateral u

ue of collateral rec

ated Unsegre

5

1,776

-

1,541

37

-

-

-

3,359

bought or sold

xposures un

terparty credit r

e

sted or receive(SFTs), includi

sed in derivative t

ceived Fair

egated Segr

2,216

15,490

886

3,487

294

139

-

-

22,512

by notional an

Prote

nder the Inter

risk exposures

ed to support ing transaction

c

transactions

value of posted c

regated Uns

3

4,755

-

1,819

101

45

-

4

6,727

d fair values.

a

ection bought

rnal Model M

s.

or reduce the ns cleared thro

d

collateral F

egregated

2,270

16,804

241

233

549

479

976

-

21,552

3,564

3,102

-

-

-

6,666

(22)

90

Method (IMM)

CCR exposurough a central

e

Collateral usedair value of collateral received po

20,953

207,325

104,913

190,457

68,490

27,054

119,214

36,207

774,613

b

Protection so

)

Q4 2018

37

res related to counterparty

f

d in SFTs

Fair value of osted collateral

39,164

278,038

108,065

159,691

71,746

28,299

143,153

7,481

835,637

old

1,641

1,958

-

-

-

3,599

60

4

CC

Theto o

As a

(Millio

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15

16

17

18

19

20 1 Unf

Royal Ban

CR8: Exposu

e following tableoperations, mar

at October 31, 201

ons of Canadian dol

Exposures to Q

Exposures for tdefault fund con

(i) OTC deriv

(ii) Exchange

(iii) Securitie

(iv) Netting sapproved

Segregated init

Non-segregated

Pre-funded defa

Unfunded defau

Exposures to

Exposures for tdefault fund con

(i) OTC deriv

(ii) Exchange

(iii) Securitie

(iv) Netting sapproved

Segregated init

Non-segregated

Pre-funded defa

Unfunded defau

funded default fund c

nk of Cana

ures to centr

e presents a corgins and contr

18

lars)

QCCPs (total)

trades at QCCPs ntributions); of wh

vatives

e-traded derivative

s financing transa

sets where cross-p

tial margin

d initial margin

ault fund contribu

ult fund contributio

non-QCCPs (tota

trades at non-QCCntributions); of wh

vatives

e-traded derivative

s financing transa

sets where cross-p

tial margin

d initial margin

ault fund contribu

ult fund contributio

contributions are risk

ada Pillar 3

ral counterpa

omprehensive ributions to defa

(excluding initial mhich

es

actions

product netting ha

tions

ons1

al)

CPs (excluding inhich

es

actions

product netting ha

tions

ons

k weighted at 0%.

3 Report

arties

view of our exault funds, and

margin and

as been

itial margin and

as been

xposures to cend related RWA.

EAD

ntral counterpa

a

D (post-CRM)

arty clearing ho

35,301

26,582

13,590

11,285

1,707

-

2,396

1,875

889

3,559

ouses (CCPs),

b

RWA

Q4 2018

38

including due

620

543

283

226

34

-

37

40

-

SE

SE

Theincohttp

a)

b)

c)

d)

e)

f)

Royal Ban

ECURITIZAT

ECA: Qualita


Pillar 3 disclo

Objectives in securitization

List of SPEs w/ provides imp

Accounting posecuritization

the names of assessment iused for secutypes of secuwhich each a

Use of Basel purposes

Use of other ifor capital pur

nk of Cana

ION

ative disclosu


sures require

relation to activities

where RBC is splicit support

olicies for

external creditnstitution (ECA

uritizations and ritization exposgency is used

IAA for capital

internal assessrposes

ada Pillar 3

ure requirem


ions

ment RBC

Off-b

Cons

Cons

sponsor Cons

Cons

Criticestim

t AIs)

the sure for

Capi(also

Cred

Capi

sment Cred

3 Report

ments related


C 2018 Annual

balance sheet a

solidated Finan

solidated Finan

solidated Finan

solidated Finan

cal accounting mates

tal Managemeo refer to CRD i

dit risk

tal Manageme

dit risk

d to securitiza


l Report sectio

arrangements

ncial Statement

ncial Statement

ncial Statement

ncial Statement

policies and

nt in this docume

nt

ation exposu


on

"Off-balanc

ts Note 6 - D

ts Note 7 - St

ts Note 7 - St

ts

Note 2 - Suestimates - Basis of c- Derecogn

Consolidat

ent)Regulatoryexposures

n/a

Regulatoryexposures

Credit risk

ures


Sub-

ce sheet arrang

erecognition of

tructured entitie

tructured entitie

ummary of signand judgmentsconsolidation nition of financi

tion of structure

y capital approas

y capital approas

assessment


-section

gements"

f financial asse

es

es

nificant accouns

ial assets

ed entities

ach for securiti

ach for securiti

Q4 2018

39

al Report and ur website at

ets

nting policies,

ization

ization

SE

The

As a

(Millio

1

2

3

4

4a

4b

4c

4d

5

6

7

8

9

10

10a

10b

10c

10d

11 1 Ban2 Banfacilit3 Ban

Royal Ban

EC1: IRB – S

e following table

at October 31, 201

ons of Canadian dol

Retail (total) - of which

residential m

credit card

other retail eof which sloans of which aand leaseof which cloans

of which o

re-securitizatWholesale (tot– of which

loans to corp

commercial m

lease and re

other wholes

a of which dplan recei

b of which ereceivable

c of which treceivable

d of which owholesale

re-securitizatnk acts as originator nk acts as sponsor reties to the SPE. nk acts as investor re

nk of Cana

Securitization

e presents the

18

lars) Tra

mortgage

exposures student

auto loans es consumer

other retail

tion

tal)

porates

mortgage

ceivables

sale dealer floor vable

equipment e rade e other e

tion reflects securitizatio

eflects securitization

eflects purchases of

ada Pillar 3

n exposures

breakdown of

a b

Bank acts as

aditional Synth

1,598

-

1,569

29

-

-

-

29

-

-

-

-

-

-

-

-

-

-

- n activities in which activities in which R

securitization assets

3 Report

in the bankin

our balance sh

c

s originator1

hetic Sub-tota

- 1,59

-

- 1,56

- 2

-

-

-

- 2

-

-

-

-

-

-

-

-

-

-

- we securitize our ow

RBC works with its cl

s from the market.

ng book

heet banking bo

e

Bank

l Traditional

98 35,753

- 1,671

69 7,487

29 26,595

- 4,204

- 18,664

- 3,727

29 -

- -

- 12,934

- 1,939

- -

- -

- 8,892

- 1,839

- 2,463

- 668

- 3,922

- 2,103 wn assets (e.g. Goldeient to originate secu

ook carrying va

f

k acts as sponsor2

Synthetic S

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

- en credit card securiuritization transactio

alues by our ro

g i 2

ub-total Tradit

35,753 5

1,671 3

7,487

26,595 1

4,204 1

18,664

3,727

-

-

12,934 7

1,939 6

-

-

8,892

1,839

2,463

668

3,922

2,103 itization). ns. RBC provides th

ole and type.

j

Bank acts as in

tional Synthetic

5,573

3,291

586

1,696

1,212

484

-

-

-

7,478

6,239

957

-

282

-

-

-

282

-

he liquidity and credit

Q4 2018

40

k

nvestor3

c Sub-total

- 5,573

- 3,291

- 586

- 1,696

- 1,212

- 484

- -

- -

- -

- 7,478

- 6,239

- 957

- -

- 282

- -

- -

- -

- 282

- -

t enhancement

SE

The As a

1

2

3

4

5

6

7

7a

7b

7c

7d

7e

8

9

10

10a

10b

11

12 1 Ban

2 Banfacilit3 Ban

Royal Ban

EC2: IRB – S

e following table

at October 31, 201

(Millions of Canadia

Retail (total) - of which

residential m

asset-backed

commercial m

re-securitizatWholesale (tot- of which

loans to corpof which rmortgages

of which c

of which c

of which s

of which o

commercial m

leases and r

other wholes

a of which dreceivable

b of which ereceivable

re-securitizat

asset-backed

nk acts as originator

nk acts as sponsor reties to the SPE.

nk acts as investor re

nk of Cana

Securitization

e presents the

18

an dollars)

mortgages

d securities

mortgages

tion

tal)

porates

residential s

consumer loans

credit cards

student loans

other

mortgages

eceivables

sale

dealer floor plan es

equipment es

tion

d securities

reflects securitizatio

eflects securitization

eflects purchases of

ada Pillar 3

n exposures

breakdown of

a

Bank ac

Traditional S

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

n activities in which

activities in which R

securitization assets

3 Report

in the tradin

our balance sh

b c

cts as originator1

Synthetic Sub-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

we securitize our ow

RBC works with its cl

s from the market.

g book

heet trading bo

c e

Ba

-total Traditiona

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

wn assets.

ient to originate secu

ook carrying val

f

ank acts as spons

al Synthetic

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

uritization transactio

lues by our role

g

sor2

Sub-total Trad

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

ns. RBC provides th

e and type.

i j

Bank acts as in

ditional Syntheti

800

760

37

3

-

9,210

853

74

61

45

45

628

7,127

448

90

42

48

-

692

he liquidity and credit

Q4 2018

41

k

nvestor3

ic Sub-total

- 800

- 760

- 37

- 3

- -

- 9,210

- 853

- 74

- 61

- 45

- 45

- 628

- 7,127

- 448

- 90

- 42

- 48

- -

- 692

t enhancement

Roy SEC3: S

The followassociate

As at Octob

(Millions of Ca

1 Total e

2 Traditio

3 Of wh

4 Of w

5 Of w

6 Of wh

7 Of w

8 Of w

9 Synthe

10 Of wh

11 Of w

12 Of w

13 Of wh

14 Of w

15 Of w

yal Bank of Ca

Securitization ex

wing table presentsd capital requireme

ber 31, 2018

anadian dollars)

exposures

onal securitization

hich securitization

which retail underlying

which wholesale

hich re-securitization

which senior

which non-senior

etic securitization

hich securitization


which wholesale


which senior

which non-senior

anada Pillar 3

xposures in the

s a breakdown of sents.

a b

Exposure v

≤20

% R

W

>2

0%

to

50

% R

W

45,729 815

45,729 815

45,729 305

37,019 305

8,710 -

- 510

- -

- 510

- -

- -

- -

- -

- -

- -

- -

3 Report

banking book a

ecuritization expos

c d

values (by RW bands)

>5

0%

to

10

0%

RW

>1

00

% t

o

<1

250

% R

W

1,874 1,841

1,874 1,841

281 1,841

- -

281 1,841

1,593 -

- -

1,593 -

- -

- -

- -

- -

- -

- -

- -

and associated r

sures in the banking

e f

(by

12

50%

RW

RB

A

(inc

l. IA

A)

28 50,258

28 50,258

28 48,155

28 37,323

- 10,832

- 2,103

- -

- 2,103

- -

- -

- -

- -

- -

- -

- -

regulatory capita

g book by risk weig

g h

Exposure values regulatory approach)

IRB

SF

A

SA

/SS

FA

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

al requirements

ght and by regulato

i j

(by re

12

50%

RB

A

(inc

l. IA

A)

28 8,146

28 8,146

28 6,832

28 3,508

- 3,324

- 1,314

- -

- 1,314

- -

- -

- -

- -

- -

- -

- -

– bank acting as

ory approach when

k l mRWA

egulatory approach)

IRB

SF

A

SA

/SS

FA

12

50%

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

s originator or a

n we act as originat

m n oCapital (by regu

12

50%

RB

A

(inc

l. IA

A)

IRB

SF

A

349 652

349 652

349 547

349 281

- 266

- 105

- -

- 105

- -

- -

- -

- -

- -

- -

- -

Q4 20

as sponsor

tor or sponsor, and

p qcharge after cap

ulatory approach)

IRB

SF

A

SA

/SS

FA

12

50%

- - 2

- - 2

- - 2

- - 2

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

018

42

d the

28

28

28

28

-

-

-

-

-

-

-

-

-

-

-

Roy SEC4: S

The followcapital req

As at Octob

(Millions of Ca

1 Total e

2 Traditio

3 Of wh

4 Of w

5 Of w

6 Of wh

7 Of w

8 Of w

9 Synthe

10 Of wh

11 Of w

12 Of w

13 Of wh

14 Of w

15 Of w

yal Bank of Ca

Securitization ex

wing table presentsquirements.

ber 31, 2018

anadian dollars)

exposures

onal securitization

hich securitization


which wholesale


which senior

which non-senior

etic securitization

hich securitization


which wholesale


which senior

which non-senior

anada Pillar 3

xposures in the

s a breakdown of s

a b

Exp(by

≤20

%

RW

>2

0%

to

50

% R

W

12,940 83

12,940 83

12,940 83

5,461 83

7,479 -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

3 Report

banking book a

securitization expos

c d

posure values y RW bands)

>5

0%

to

10

0%

RW

>1

00

% t

o

<1

250

% R

W

7 -

7 -

7 -

7 -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

and associated c

sures in the bankin

e f

(by

12

50%

RW

RB

A

(inc

lud

ing

IAA

)

23 13,030

23 13,030

23 13,030

23 5,551

- 7,479

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

capital requireme

ng book by risk wei

g h

Exposure values regulatory approach)

IRB

SF

A

SA

/SS

FA

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

ents – bank acti

ight and by regulat

i j

(by re

12

50%

RB

A

(inc

lud

ing

IAA

)

23 1,542

23 1,542

23 1,542

23 964

- 578

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

ing as investor

tory approach whe

k l m

RWA egulatory approach)

IRB

SF

A

SA

/SS

FA

12

50%

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

n we act as invest

m n o

Capital

12

50%

RB

A

(inc

lud

ing

IAA

)

IRB

SF

A

284 123

284 123

284 123

284 77

- 46

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

Q4 20

tor, and the associa

p q

charge after cap

IRB

SF

A

SA

/SS

FA

12

50%

- - 2

- - 2

- - 2

- - 2

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

018

43

ated

23

23

23

23

-

-

-

-

-

-

-

-

-

-

-

MA

MR

Mar Marour tran Marprodmanexp To andour Theincohttp

P

a)

Mar Thewiththe marand Theincohttp

P

b)

Royal Ban

ARKET RISK

RA: Qualitat

rket risk mana

rket risk arisescapital while

nsactions and h

rket risk also aducts (such anagement and

posures from ou

ensure that mad derivative fina

trading and no


illar 3 disclos

Processes imidentify, meascontrol the ba

Policies for hestrategies/promonitoring theeffectiveness

rket risk mana

e Enterprise Mahin the bank. T

context of eacrket risk are co

d regulatory con


illar 3 disclos

Description ofgovernance sto implement processes of t

Description ofand the commmechanisms bdifferent partiemarket risk m

nk of Cana

K

ive disclosu

agement strate

s from our tradensuring that

hedging risks g

arises from ouas loans and

liquidity manaur insurance op

arket risk remaancial instrumeon-trading activ


ures requirem

plemented to sure, monitor aank’s market ris

edging risk andocesses for e continuing of hedges

agement struc

arket Risk ManThe market riskch business coonsidered in thnditions.


ures requirem

f the market ristructure establthe strategies athe bank

f the relationshmunication between the es involved in anagement

ada Pillar 3

re requireme

egies and pro

ing and non-trarisks remains

generated from

ur non-trading deposits) and

agement, exposperations.

ains within our ents, as permittvities.


ions

ment RBC

nd sks

Mar

d

Con

cture and orga

nagement Framk managementonsidering opehe bank’s polic


ions

ment RB

sk ished and

Ente

ips

Ente

3 Report

ents related t

ocesses

ading portfolioswithin our riskthese activities

portfolio as a d related hedgsures designat

risk appetite, wed by regulato


C 2018 Annua

ket Risk

nsolidated Fina

anization

mework is the gt structure is deerating environmies, practices a


C 2018 Annua

erprise Risk Ma

erprise Risk Ma

to market ris

s. The primaryk appetite. Tras.

result of: mange transactionted as Fair Val

we hedge our ry and jurisdict


al Report secti

ncial Statemen

governance anesigned to ensment, industry and standards


al Report secti

anagement

anagement

sk

y objective of trading activities

naging interesns, corporate lue through Ot

market risk extional requirem


ionMarket RStress TeMarket RMarket R– Assets Market RRisk (SIRSIRR MeMarket RSensitivitMarket ritrading p

nts Note 2 - policies, accountin

nd control framsure strong cor

best practiceswhich are con


ionRisk GovRisk AppRisk MeaRisk ConStress TeRisk Con

Risk Gov

Risk Con

rading is to ges involve marke

st rate risk fromtreasury portfo

ther Comprehe

xposures wherements, to manag


Sub-Risk Controls – ests

Risk Measures Risk Measures and liabilities o

Risk Controls – RR) positions easurement Risk Measures ties isk measures fo

portfolios

Summary of siestimates and ng

mework for the rporate governs, and regulatontinuously upda


Sub-vernance petite asurement ntrol esting nduct and Cultu

vernance

ntrol

enerate an optiet making, fac

m client-originaolio used for

ensive Income

e appropriate. ge the market


Section FVTPL positio

– FVTPL positfor other FVTPof RBC InsuranStructural Inte

– Structural Int

or other materi

gnificant accoujudgements –

management onance over all ory requiremenated given dyn


-Section

ure

Q4 2018

44

mal return on cilitating client

ating banking asset-liability

(FVOCI), and

We use cash risk related to


ons

tions PL positions nce

erest Rate

terest Rate

ial non-

unting Hedge

of market risk market risk in

nts. Drivers of namic market,


MR

Sco Theincohttp

P

c)

MR

Inte

M

ReguValu(VaR

Stres(SVa

IncreRisk(IRC1 As a

VaR Thehavtotawhiccap For impsom

Royal Ban

RA: qualitati

ope and nature

e table below porporated by rep://www.rbc.com

illar 3 disclos

Scope and nareporting and/systems

RB: Qualitat

ernal models u

Measure

ulatory ue at Risk R)

VaR holditen-dto geto comix o

ssed VaR aR)

SVaRperiovolatconti

emental k Charge C)

IRC year unde

at October 31, 2018.

R and SVaR

e VaR and SVave obtained appal risk measurech we do not

pital.

management pact the bank’sme positions ins

nk of Cana

ve disclosur

e of risk repor

resents an oveeference into thm/investorrelat

ures requirem

ature of risk /or measureme

ive disclosu

used for meas

is a statistical meaing period. We meaday holding period enerate potential prompute VaR comprof absolute and rela

R is calculated dailod of extreme volattility during that timinues to reflect the

captures the risk ofhorizon at a 99.9%

er a constant level o

.

aR models areproval from ou; along with a thave regulato

purposes, VaR revenue acrosstead of full-rev

ada Pillar 3

re requireme

rting and/or m

erview of Pillar his Pillar 3 repoions

ment RBC

ent

Ente

Mar

res for banks

suring Market

asure of potential loasure VaR at the 9for regulatory capitrofit or loss values arises of the recent tative returns are us

y in a similar mannility. We currently ue in relation to the one year period of

f losses under defa% confidence level, of risk assumption.

e used for comur regulator. Wetotal correlatedry approval fo

R and SVaR ass the trading valuation, and i

3 Report

ents related t

measurement s

3 disclosure reort. Our 2018 A

C 2018 Annua

erprise Risk Ma

ket Risk

s using the i

Risk

De

oss for a financial p9th percentile confidtal measurement. Tarising from historictwo years of equallysed in generating th

ner as VaR, but basuse the historical perisks within our por

f greatest potential

ault or rating changand captures diffe

mputing regulate model a gen risk measure wr models base

are both compubook and non-inactive non-tra

to market ris

systems

equirements thaAnnual Report is

al Report secti

anagement

nternal mod

scription

portfolio computed adence level for a onThe measure is comcally observed dailyy weighted market he historical marke

sed on a ten-day hoeriod from Septembrtfolio. This historicloss for our portfoli

ges for issuers of trarent liquidity horizo

ory capital for neral market riswhich combine

ed capital, we

uted with one-d-trading book. ading book pos

k (continued

at have been ms available free

ionRisk MeaRisk ConStress TeMarket RStress TeMarket RMarket R– Assets Market RRisk (SIRSIRR MeMarket RSensitivitMarket Rtrading p

dels approach

at a given level of cne-day holding permputed daily, usingy market movemendata, and is rolled

et changes.

olding period directber 2008 to August

cal period is assessio.

aded instruments. ons for instruments

trading book psk measure, a es the above diuse the Stand

day holding peA sensitivity-la

sitions are refre

d)

met within our 2e of charge on

Sub-S

asurement ntrol esting

Risk Controls – ests

Risk Measures Risk Measures

and liabilities oRisk Controls – RR) positions easurement Risk Measures ties

Risk Measures portfolios

h (IMA)

confidence and overiod, and then scaleg a full-revaluation ants. The historical pforward at least m

tly and using a onet 2009, given the m

sed quarterly to ens

IRC is measured oand concentration

positions acrosdebt specific ristributions. Fodardized Appro

eriods and are adder interpolaeshed monthly

2018 Annual Rour website at

Section

FVTPL positio

– FVTPL positfor other FVTPof RBC InsuranStructural Inte

– Structural Int

for other mater

Pem

regu

er a defined e up to a approach period used onthly. A

e year market sure that it

over a one-s in issuers

ss the enterpririsk measure, aor portions of ouoach to compu

applied to all ation approach .

Q4 2018

45

Report and

ons

tions PL positions nce

erest Rate

terest Rate

rial non-

ercentage of market risk ulatory capital1

8%

22%

30%

se, where we and an equity ur portfolio for ute regulatory

positions that is applied for

MR

Theincohttp

P

c)

g)

Thereguto oVaRexpallo Whcapmodincothre Incr Ourmodscedetedefadatamon TheVaRstremea

Royal Ban

RB: Qualitat

e table below porporated by rep://www.rbc.com

illar 3 disclosGeneral descmodels (VaR/Description ofapplied to theparameters

e VaR and SVaular basis by a

ongoing model R on a daily bapectations of thws for compar

ile the majorityptured. This cadels. These Rorporated into tesholds regular

remental Risk

r IRC model isdelling techniqnarios due to iermined using ault observatioa. For the Monnths, six month

e IRC model is R and SVaR mess testing the asure, we do n

nk of Cana

ive disclosu

resents an oveeference into thm/investorrelat

ures requiremription of the /stressed VaR)f stress testing modelling

aR models are model validatiperformance masis, in order te applied confisons to the tot

y of market rian occur due tRisks Not in Vthe VaR moderly.

k Charge

s applied to deque known as issuer ratings ma transition prns. Correlation

nte Carlo procehs, or one year

also subject toodels. Model phistorical correot perform bac

ada Pillar 3

res for banks

erview of Pillar his Pillar 3 repoions

ment RBC

Mar

Mar

e governed by ion group that monitoring. Theto ensure that fidence intervaltal correlated V

sks are reflectto infrastructur

VaR (RNIV) arels, where poss

ebt instrumentthe Monte Ca

migration and robability matrixns between issess, each posit, depending on

o the same indeperformance moelation and liquick-testing of the

3 Report

s using the i

3 disclosure reort. Our 2018 A

C 2018 Annua

ket Risk

ket Risk

a model risk gis independent

e VaR model isactual outcoml. Backtesting i

VaR, the genera

ted in our VaRre limitations, lre identified thsible. An asses

ts, credit produarlo simulationdefault in ordex which is caliuer regions antion is assignedn its issuer type

ependent vettinonitoring includidity assumptioe IRC model as

nternal mod

equirements thaAnnual Report is

al Report secti

governance frat of the model ds back tested b

mes in trading rs also performal market risk V

R models, thelack of historic

hrough backtesssment of resid

ucts, and credprocess is us

er to establish tbrated using red sectors are cd a liquidity hoe, credit rating,

ng, validation pdes reviews anons. Due to the s we do for the

dels approach

at have been ms available free

ion

Market R

Stress Te

amework, whicdevelopers. Th

by comparing mrevenue do no

med using a hypVaR, and asset

ere is the potecal market datsting and othedual RNIV mat

it derivatives wsed to generathe losses at tecent 20 yearscalibrated usin

orizon (the lengand maturity p

procedures andnd stress testing long time horiz

e VaR measure

h (continued

met within our 2e of charge on

Sub-S

Risk Controls –

ests

h requires thathe VaR and SVmarked-to-markot exceed the Vpothetical profit class VaR me

ential for certata or missing er model monteriality is revie

within our tradate a statisticahat confidences of historical ig five years of

gth of time to cprofile.

d model risk gog of model asszon and high c

e.

d)

2018 Annual Rour website at

Section

FVTPL positio

t models are vVaR models areket revenue to VaR projectionit and loss calceasures separa

in risks to be risk factors wi

nitoring procesewed and mon

ding portfolios.lly relevant nu

e level. These issuer ratings mf historical equiclose out a pos

overnance framsumptions, whicconfidence leve

Q4 2018

46

Report and

ons

validated on a e also subject the computed

ns beyond the culation which ately.

inadequately ithin our VaR

sses, and are itored against

A probability umber of loss scenarios are migration and ity time series sition) of three

mework as the ch includes el of the risk

MR

The As a

1

2

3

4

5

6

7

8

9

MR

The As a

1

2

3

4

5

6

7

8 1 Cha2 Updcalibr3 Met

Royal Ban

R1: Market r

e following table

at October 31, 201

(Millions of Canad

Outright produc

Interest ra

Equity risk

Foreign ex

Commodi

Options

Simplified

Delta-plus

Scenario a

Securitization

Total

R2: RWA flow

e following table

at October 31, 201

(Millions of Canad

RWA at previou

Movement in ris

Model updates/

Methodology an

Acquisitions an

Foreign exchan

Other

RWA at end of

ange in risk due to po

dates to the model torations/realignmentsthodology changes to

nk of Cana

isk under sta

e presents the

18

dian dollars)

cts

ate risk (general a

k (general and spe

xchange risk

ty risk

approach

s method

approach

w statement

e presents vari

18

dian dollars)

us quarter end

sk levels1

/changes2

nd policy3

d disposals

nge movements

Reporting Period

osition changes and

o reflect recent expers. o the calculations dr

ada Pillar 3

andardized a

components o

nd specific)

ecific)

s of market r

ations in the M

market movements.

rience, model implem

iven by regulatory po

3 Report

approach

of the capital re

risk exposur

Market RWA de

a

VaR Str

2,798

25

(184)

-

-

(46)

-

2,593

.

mentation, change in

olicy changes.

quirement und

res under an

etermined unde

b

essed VaR

6,658

85

151

-

-

56

-

6,950

n model scope or any

er the standard

IMA

er an internal m

c

IRC

8,332

329

650

-

-

379

-

9,690

y change to address

dized approach

model approach

d

CRM

-

-

-

-

-

-

-

-

s model malfunctions

h for Market ris

a

RW

h.

e

Other

-

-

-

-

-

-

-

-

s including changes

Q4 2018

47

sk.

a

WA

3,774

186

857

158

-

-

3,973

4,028

12,976

f

Total RWA

17,788

439

617

-

-

389

-

19,233

through model

MR

Theincrwith

Royal Ban

R3: IMA valu

e following tableremental risk chh internal mode

nk of Cana

ues for tradin

e presents minharge and comels approach (IM

A

(

V

S

I

C

1

cA

ada Pillar 3

ng portfolios

nimum, maximumprehensive risMA) approval f

As at October 31,

(Millions of Canadian

VaR (10 day 99%

1 Maximum v

2 Average va

3 Minimum v

4 Period end

Stressed VaR (10

5 Maximum v

6 Average va

7 Minimum v

8 Period end

Incremental Risk

9 Maximum v

10 Average va

11 Minimum v

12 Period end

Comprehensive

13 Maximum v

14 Average va

15 Minimum v

16 Period end

17 Floor (stan1 The portfolio includcaptured in managemAnnual Report.

3 Report

um, average ansk capital chargfrom OSFI for c

2018

n dollars)

%)1

value

alue

value

d

0 day 99%)1

value

alue

value

d

k Charge (99.9%)

value

alue

value

d

Risk capital cha

value

alue

value

d

dardized measure

ed in regulatory VaRment VaR and SVaR

nd period-end ge. These meacalculating regu

)

rge (99.9%)

ement method)

R and SVaR represeR reported in the Ma

regulatory 10 dasures are baseulatory market

ents a subset of the prket Risk section of t

day VaR, regued on the scoprisk capital.

a

Value 86

67

46

83

227

184

140

152

801

637

503

775

- - - - -

portfolio the 2018

latory 10 day spe of the globa

Q4 2018

48

stressed VaR, l trading book

MR

Theoutcregu

Actuanda suday Refexp DurActu

Royal Ban

R4: Compari

e following grapcomes, using ulatory market

ual Gain/Loss d therefore incluubset of the ris

y positions rema

fer to table MRplanations as to

ring the six moual Gain/Loss o

nk of Cana

ison of VaR e

ph presents thethe scope of trisk capital.

reported in thiudes commisssk categories aained unchang

RB for further do the extent the

onth period endor Hypothetica

ada Pillar 3

estimates wi

e results of estithe global trad

s table is that ions, fees, rese

are included in ged, and therefo

details into our ey represent the

ding October 3l Gain/Loss.

3 Report

ith gains/loss

imates from theding book with

which occurreerves, and intrregulatory Va

ore excludes th

r backtesting pre models used

31 2018, the b

ses

e 1 day regulath internal mode

d as a result oraday trading. AR. Hypotheticahe elements re

rogram and a d at the group-w

ank experience

tory VaR modeels approach

of all changes Actual Gain/Loal Gain/Loss iseferenced in Ac

list of the key wide level.

ed no backtes

el with both hyp(IMA) approva

impacting incooss includes alls that which woctual Gain/Loss

models used

sting exceptions

pothetical and al from OSFI f

ome over the hl portfolios for would have occus.

at the group-w

s of regulatory

Q4 2018

49

actual trading for calculating

holding period which at least urred if end of

wide level with

y VaR against

OP

Theincohttp

P

a)

b)

c)

IN

Theincohttp

Inte

Royal Ban

PERATIONA


Pillar 3 disclos

Details of the operational risfor which the

Description ofmeasurementoperational ris

Description offor the purposoperational ris

TEREST RA


Pillar 3 disclo

erest rate risk in

nk of Cana

L RISK


sures requirem

approach for sk capital assebank qualifies

f the advancedt approaches fosk (AMA)

f the use of insse of mitigatingsk

TE RISK IN T


sures require

n the banking b

ada Pillar 3


ions

ment RBC

ssment Opera

Capita

or

Opera

Capita

urance Opera

THE BANKIN


ions

ment RBC

book Mark

3 Report


2018 Annual R

ational risk

al managemen

ational risk

al managemen

ational risk

NG BOOK


C 2018 Annual

ket Risk


Report section

nt

nt


Report sectio


n

Operational

Attributed caactivities

Operational

Attributed caactivities

Operational


on

Market Ris


Sub-s

risk capital

apital in the con

risk capital

apital in the con

risk capital


Sub-

k


section

ntext of our bu

ntext of our bu


-section

Q4 2018

50


siness

siness


as at october 31, 2018 - rbc.com · ab roy perf clie cap mill our and fun and func ca our fina (bc...

Documents