Supplemental Regulatory Capital Disclosure

Transcription

1 Supplemental Regulatory Capital Disclosure For the First Quarter Ended January 3, 08 For further information, please contact: Investor Relations Department Gillian Manning

2 Introduction The information contained in this package is designed to facilitate the readers' understanding of the capital requirements of TD Bank Group ("TD" or the "Bank"). This information should be used in conjunction with the Bank's first quarter 08 Report to Shareholders, Earnings News Release, Supplemental Financial Information, and Investor Presentation, as well as the Bank's 07 Annual Report. For Basel-related terms and acronyms used in this package, refer to the "Glossary Basel" and "Acronyms" pages, respectively. How the Bank Reports The Bank prepares its Consolidated Financial Statements in accordance with International Financial Reporting Standards (IFRS) as issued by the International Accounting Standards Board (IASB), the current generally accepted accounting principles (GAAP), and refers to results prepared in accordance with IFRS as "reported" results. Certain comparative amounts have been reclassified to conform with the presentation adopted in the current period. Effective November, 07, the Bank adopted IFRS 9, Financial Instruments (IFRS 9), which replaces the guidance in IAS 39, Financial Instruments: Recognition and Measurement (IAS 39). Accordingly, fiscal 08 numbers are based on IFRS 9. The Bank did not restate prior periods which continue to be based on IAS 39. For further details, refer to Note of the Bank's first quarter 08 Interim Consolidated Financial Statements. Basel III Reporting The Office of the Superintendent of Financial Institutions Canada (OSFI) has implemented a phased-in approach to the Credit Valuation Adjustment (CVA) component included in credit risk-weighted assets (RWA). The CVA capital charge phase-in is based on a scalar approach whereby a CVA capital charge of 80% applies in 08 for the Common Equity Tier (CET) calculation and will increase to 00% in 09. A different scalar applies to the CET, Tier, and Total Capital ratios. Therefore, each capital ratio has its own RWA measure. For fiscal 07, the scalars for inclusion of CVA for CET, Tier, and Total Capital RWA were 7%, 77%, and 8%, respectively. For fiscal 08, the corresponding scalars are 80%, 83%, and 86%, respectively. As the Bank is constrained by the Basel I regulatory floor, the RWA as it relates to the regulatory floor is calculated based on the Basel I risk weights which are the same for all capital ratios. All three RWA measures are disclosed as part of the RWA disclosures on page 6, as well as the Capital Position disclosures on pages to. OSFI approved the Bank i) to use the Advanced Measurement Approach (AMA), and ii) to calculate the majority of the retail portfolio credit RWA in the U.S. Retail segment using the Advanced Internal Ratings Based (AIRB) approach.

3 Table of Contents Page Page Capital Position Basel III - AIRB Credit Risk Exposures: Undrawn Commitments and EAD on Flow Statement for Regulatory Capital 3 Undrawn Commitments 4 Leverage Ratio 4 AIRB Credit Risk Exposures: Loss Experience 5 Reconciliation with Balance Sheet Under Regulatory Scope of Consolidation 5 AIRB Credit Risk Exposures: Actual and Estimated Parameters 6 Risk-Weighted Assets 6 Exposures Covered By Credit Risk Mitigation 7 Consolidated Balance Sheet Cross-Referenced to Credit Risk Exposures 7 Derivatives Notional 8-9 Gross Credit Risk Exposure 8-0 Credit Exposure 30 Retail Advanced IRB Exposures By Obligor Grade Residential Secured - 5 On- and Off-Balance Sheet Loan Securitizations 3 Retail Advanced IRB Exposures By Obligor Grade Qualifying Standardized Charges for Securitization Exposures in the Trading Book 3 Revolving Retail 6-7 Securitization Exposures in the Trading Book 33 Retail Advanced IRB Exposures By Obligor Grade Other Retail 8-9 Securitization Exposures in the Banking Book 34 Non-Retail Advanced IRB Exposures By Obligor Grade Corporate 0 Securitization and Resecuritization Exposures in the Banking Book 35 Non-Retail Advanced IRB Exposures By Obligor Grade Sovereign Third-Party Originated Assets Securitized by Bank Sponsored Conduits 36 Non-Retail Advanced IRB Exposures By Obligor Grade Bank Glossary Basel 37 Standardized Credit Risk Exposures 3 Acronyms 38

4 Capital Position Basel III ($ millions) Line Cross OSFI As at # Q Q4 Q3 Q Q Reference Template Common Equity Tier Capital Common shares plus related contributed surplus $,8 $ 0,967 $,095 $ 0,76 $ 0,8 A+A+B Retained earnings 4,744 40,489 39,473 37,577 37,330 C Accumulated other comprehensive income (loss) 3 4,47 8,006 6,564,853 9,3 D 3 Common Equity Tier Capital before regulatory adjustments 4 67,444 69,46 67,3 70,9 67,83 6 Common Equity Tier Capital regulatory adjustments Goodwill (net of related tax liability) 5 (8,36) (8,80) (8,69) (9,837) (8,986) E+E-E3 8 Intangibles (net of related tax liability) 6 (,4) (,30) (,6) (,350) (,64) F-F 9 Deferred tax assets excluding those arising from temporary differences 7 () (3) (0) (44) (89) G 0 Cash flow hedge reserve 8, (488) (350) H Shortfall of provisions to expected losses 3 9 (679) (805) (747) (83) (769) I Gains and losses due to changes in own credit risk on fair valued liabilities 0 (68) (73) (03) (4) (38) J 4 Defined benefit pension fund net assets (net of related tax liability) (3) (3) () () () K 5 Investment in own shares () (57) 6 Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 0% threshold) 3 (,085) (,06) (767) (980) (855) L+L+L3 9 Total regulatory adjustments to Common Equity Tier Capital 4 (0,635) (,834) (,57) (4,775) (3,56) 8 Common Equity Tier Capital 5 46,809 46,68 44,975 45,47 43,7 9 Additional Tier capital instruments Directly issued qualifying Additional Tier instruments plus stock surplus 6 4,46 4,47 4,47 3,896 3,899 M+N+O 30/3 Directly issued capital instruments subject to phase out from Additional Tier 7,455 3,9 3,070 3,070 3,070 P+P+P3 33 Additional Tier instruments issued by subsidiaries and held by third parties subject to phase out Q 34/35 Additional Tier capital instruments before regulatory adjustments 9 6,946 7,476 7,63 7,7 7,75 36 Additional Tier capital instruments regulatory adjustments Investment in own Additional Tier instruments 0 () 37 Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (35) (35) (35) (35) (35) R+S 40 Total regulatory adjustments to Additional Tier Capital (35) (353) (35) (35) (35) 43 Additional Tier Capital 3 6,594 7,3 7,7 6,90 6,93 44 Tier Capital 4 53,403 53,75 5,46 5,337 50, Tier capital instruments and provisions Directly issued qualifying Tier instruments plus related stock surplus 5 7,08 7,56 7,08 5,786 5,700 T 46 Directly issued capital instruments subject to phase out from Tier 6 836,648,64,646,649 U 47 Tier instruments issued by subsidiaries and held by third parties subject to phase out /49 General allowances 4 8,66,668,57,680,585 V 50 Tier Capital before regulatory adjustments 9 9,56,47,573 0,375 0,96 5 Tier regulatory adjustments Investments in own Tier instruments 30 (5) (9) 5 Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions 3 (60) (60) (70) (70) (70) W 55 Total regulatory adjustments to Tier Capital 3 (60) (85) (89) (70) (70) 57 Tier Capital 33 9,366,87,384 0,05 0,06 58 Total Capital 34 6,769 65,038 63,630 6,54 60, Common Equity Tier Capital RWA ,73 435, ,803 40,053 40,68 60a Tier Capital RWA ,73 435, ,803 40,053 40,68 60b Total Capital RWA 5 37 $ 44,73 $ 435,750 $ 408,803 $ 40,053 $ 40,68 60c Capital position has been calculated using the "all-in" basis. Cross referenced to the Reconciliation with Balance Sheet Under Regulatory Scope of Consolidation table on page 5. Effective the first quarter of fiscal 08, amounts are presented in accordance with IFRS 9. Prior periods have not been restated and are based on IAS 39. Refer to Note of the Bank's first quarter 08 Interim Consolidated Financial Statements. Prior to the first quarter of fiscal 08, was previously collective allowances under IAS 39. Each capital ratio has its own RWA measure due to the OSFI prescribed scalar for inclusion of the CVA. For fiscal 07, the scalars for inclusion of CVA for CET, Tier, and Total Capital RWA were 7%, 77%, and 8%, respectively. For fiscal 08, the corresponding scalars are 80%, 83%, and 86%, respectively. As the Bank is constrained by Basel I regulatory floor, the RWA as it relates to the regulatory floor is calculated based on Basel I risk weights which are the same for all capital ratios.

5 Capital Position Basel III (Continued) ($ millions, except as noted) Line OSFI As at # Q Q4 Q3 Q Q Template Capital Ratios Common Equity Tier Capital (as percentage of CET Capital RWA) % 0.7 %.0 % 0.8 % 0.9 % 6 Tier (as percentage of Tier Capital RWA) Total Capital (as percentage of Total Capital RWA) Buffer requirement (minimum CET requirement plus capital conservation buffer plus global systemically important banks (G-SIBs) buffer plus domestic systemically important banks (D-SIBs) buffer requirement expressed as percentage of RWA), of which: capital conservation buffer requirement of which: countercyclical buffer requirement of which: D-SIB buffer requirement a Common Equity Tier available to meet buffers (as percentage of RWA) OSFI all-in target (minimum plus conservation buffer plus D-SIB surcharge (if applicable)) Common Equity Tier all-in target ratio Tier all-in target ratio Total Capital all-in target ratio Amounts below the thresholds for deduction (before risk weighting) Non-significant investments in the capital of other financials 49 $ 3,38 $,64 $,50 $,49 $,047 7 Significant investments in the common stock of financials 50 4,789 4,783 4,574 4,640 4, Mortgage servicing rights Deferred tax assets arising from temporary differences (net of related tax liability) 5,00 909,073,37,47 75 Applicable caps on the inclusion of allowances in Tier Allowance eligible for inclusion in Tier in respect of exposures subject to standardized approach (prior to application of cap) 53,66,668,57,680, Cap on inclusion of allowances in Tier under standardized approach 54,94,09,894,056, Capital instruments subject to phase-out arrangements (only applicable between January, 03 to January, 0) Current cap on Additional Tier instruments subject to phase out arrangements 55,700 3,376 3,376 3,376 3,376 8 Amounts excluded from Additional Tier due to cap (excess over cap after redemptions and maturities) Current cap on Tier instruments subject to phase out arrangements 57 3,505 4,38 4,38 4,38 4,38 84 Amounts excluded from Tier due to cap (excess over cap after redemptions and maturities) Capital Ratios transitional basis 6 Risk-weighted assets 59 $ n/a 7 $ 443,86 $ 46,59 $ 47,68 $ 409,69 Common Equity Tier Capital 60 n/a 7 5,94 49,458 50,67 48,360 Tier Capital 6 n/a 7 54,53 5,994 53,0 5,394 Total Capital 6 n/a 7 65,646 64,65 63,68 6,9 Common Equity Tier (as percentage of RWA) 63 n/a 7 %.6 %.9 %.8 %.8 % Tier Capital (as percentage of RWA) 64 n/a Total Capital (as percentage of RWA) 65 n/a Capital Ratios for significant bank subsidiaries TD Bank, National Association (TD Bank, N.A.) 8 Common Equity Tier Capital Tier Capital Total Capital TD Mortgage Corporation Common Equity Tier Capital Tier Capital Total Capital Capital position has been calculated using the "all-in" basis. The minimum CET requirement prior to the buffers is 4.5%. The Financial Stability Board, in consultation with Basel Committee on Banking Supervision and national authorities, has identified the 07 list of G-SIBs, using 06 fiscal year-end data. The Bank was not identified as a G-SIB. The countercyclical buffer surcharge is in effect. Common equity capital D-SIB surcharge is in effect. The "transitional" basis of regulatory reporting allows for certain adjustments to CET, the largest of which being goodwill, intangible assets and the threshold deductions, to be phased-in over a period of five years starting in 04. Effective the first quarter of 08, the transitional period has ended and thus there is no longer a transitional ratio. Not applicable. On a stand-alone basis, TD Bank, N.A. reports regulatory capital to the Office of the Comptroller of the Currency (OCC) on calendar quarter ends.

6 Flow Statement for Regulatory Capital ($ millions) Line # Q Q4 Q3 Q Q Common Equity Tier Balance at beginning of period $ 46,68 $ 44,975 $ 45,47 $ 43,7 $ 4,38 New capital issues Redeemed capital 3 (57) (880) Gross dividends (deductions) 4 (,54) (,55) (,55) (,6) (,069) Shares issued in lieu of dividends (add back) Profit attributable to shareholders of the parent company 3 6,335,677,740,475,504 Removal of own credit spread (net of tax) (4) 8 Movements in other comprehensive income Currency translation differences 8 (,45),638 (4,48),35 (,43) Available-for-sale investments 9 n/a 36 (94) Financial assets at fair value through other comprehensive income 0 34 n/a n/a n/a n/a Other (98) (4) () (30) (33) Goodwill and other intangible assets (deduction, net of related tax liability) 75 (600),657 (937) 508 Other, including regulatory adjustments and transitional arrangements Deferred tax assets that rely on future profitability (excluding those arising from temporary differences) 3 (9) (7) Prudential valuation adjustments 4 Other (568) 673 (566) 677 Balance at end of period 6 46,809 46,68 44,975 45,47 43,7 Additional Tier Capital Balance at beginning of period 7 7,3 7,7 6,90 6,93 7,069 New additional Tier eligible capital issues Redeemed capital 9 (600) Other, including regulatory adjustments and transitional arrangements 0 (59) 45 (3) (46) Balance at end of period 6,594 7,3 7,7 6,90 6,93 Total Tier Capital 53,403 53,75 5,46 5,337 50,644 Tier Capital Balance at beginning of period 3,87,384 0,05 0,06,49 New Tier eligible capital issues 4,500 Redeemed capital 5 (,800) (70) (,50) Amortization adjustments 6 Allowable collective allowance 7 (6) 97 (09) 95 (75) Other, including regulatory adjustments and transitional arrangements 8 (5) 76 () 84 (68) Balance at end of period 9 9,366,87,384 0,05 0,06 Total Regulatory Capital 30 $ 6,769 $ 65,038 $ 63,630 $ 6,54 $ 60,670 3 The statement is based on the applicable regulatory rules in force at the period end. Represents impact of shares repurchased for cancellation. Profit attributable to shareholders of the parent company reconciles to the income statement. 3

7 Leverage Ratio ($ millions, except as noted) Line OSFI As at # Q Q4 Q3 Q Q Template Summary comparison of accounting assets vs. leverage ratio exposure measure Total consolidated assets as per published financial statements $,6,36 $,78,995 $,0,38 $,5,90 $,86,883 Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation (5,438) (5,38) (4,58) (4,678) (4,777) Adjustments for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure 3 3 Adjustments for derivative financial instruments 4 (9,90) (,53) (,70) (6,89) (7,604) 4 Adjustment for securities financing transactions (SFT) 5 (3,668) (3,559),993,759,83 5 Adjustment for off-balance sheet items (credit equivalent amounts) 6 30,589 30,89 8,4 3,69 6,70 6 Other adjustments 7 (,387) (,980) (,307) (4,83) (3,67) 7 Leverage Ratio Exposure 8 $,34,50 $,366,804 $,83,953 $,339,960 $,68,84 8 Leverage Ratio Common Disclosure Template On-balance sheet exposures On-balance sheet items (excluding derivatives, SFTs and grandfathered securitization exposures but including collateral) 9 $,070,5 $,08,48 $,03,739 $,070,50 $,04,47 Less: Asset amounts deducted in determining Tier Capital 0 (0,98) (,355) (,675) (4,33) (3,050) Total on-balance sheet exposures (excluding derivatives and SFTs),049,334,060,063 99,064,045,97,00,4 3 Derivative exposures Replacement cost associated with all derivative transactions (such as net of eligible cash variation margin) 3,4,074,784 4,388 3,543 4 Add-on amounts for potential future exposure (PFE) associated with all derivative transactions 3 35,850 38, 35,865 38,303 35,806 5 Gross up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework 4 6 Deductions of receivables assets for cash variation margin provided in derivative transactions 5 (9,003) (5,85) (6,998) (7,6) (6,640) 7 Exempted central counterparty (CCP)-leg of client cleared trade exposures 6 8 Adjusted effective notional amount of written credit derivatives 7 840,694,00,84,04 9 Adjusted effective notional offsets and add-on deductions for written credit derivatives 8 (74) (,085) (99) (98) (73) 0 Total derivative exposures 9 40,655 45,043 4,37 45,83 43,00 Securities financing transaction exposures Gross SFT assets recognized for accounting purposes (with no recognition of netting), after adjusting for sale accounting transactions 0 4,600 34,49 0,400 3,834 96,389 Netted amounts of cash payables and cash receivables of gross SFT assets (5,837) (4,95) 3 Counterparty credit risk (CCR) exposure for SFTs,69,39,993,759,83 4 Agent transaction exposures 3 5 Total securities financing transaction exposures 4 0,93 30,869,393 6,593 97,57 6 Other off-balance sheet exposures Off-balance sheet exposure at gross notional amount 5 506,6 504,44 493, , ,340 7 Adjustments for conversion to credit equivalent amounts 6 (376,033) (373,6) (365,350) (368,970) (35,70) 8 Off-balance sheet items 7 30,589 30,89 8,4 3,69 6,70 9 Capital and Total Exposures Transitional basis Tier Capital 8 n/a 54,53 5,994 53,0 5,394 Total Exposures (sum of lines, 9, 4, and 7) 9 $ n/a $,366,804 $,83,953 $,339,960 $,68,84 Leverage Ratio Transitional basis (line 8 divided by line 9) 30 n/a % 4.0 % 4. % 4.0 % 4. % "All-in" basis (required by OSFI) Tier Capital "All-in" basis (line 4 on page ) 3 $ 53,403 $ 53,75 $ 5,46 $ 5,337 $ 50,644 0 Regulatory adjustments 3 n/a (3,4) (,406) (4,984) (3,776) Total Exposures (sum of lines, 9, 4 and 7) All-in basis 33 $,34,50 $,366,045 $,83, $,339,09 $,67,458 Leverage Ratio "All-in" basis (line 3 divided by line 33) % 3.9 % 4. % 3.9 % 4.0 % Prior to the first quarter of 08, lines to 7 were measured on the transitional basis. Effective the first quarter of 08, the transitional period has ended and thus all items are measured on the 'all-in' basis and there is no longer a transitional ratio. 4

8 Reconciliation with Balance Sheet Under Regulatory Scope of Consolidation ($ millions) 08 As at Q Line Under Regulatory scope Cross # Balance Sheet of consolidation Reference 3 Cash and due from banks $ 3,896 $ $ 3,896 Interest-bearing deposits with banks 44,893 44,788 Trading loans, securities, and other 3,875,875 Non-trading financial assets at fair value through profit or loss 4 4,504 4,7 Derivatives 5 60,557 60,557 Financial assets designated at fair value through profit or loss 6 3,305,450 Financial assets at fair value through other comprehensive income 7 35,6 33,79 Debt securities at amortized cost, net of allowance for credit losses 8 8,695 8,38 Securities purchased under reverse repurchase agreements 9 4,600 4,600 Loans 0 60,594 60,594 Allowance for loan losses (3,465) (3,465) Eligible general allowance reflected in Tier regulatory capital (,66) V Shortfall of allowance to expected loss 3 (679) I Allowances not reflected in regulatory capital 4 (,4) Other 5 83,600 8,735 Investment in TD Ameritrade Significant investments exceeding regulatory thresholds L Significant investments not exceeding regulatory thresholds 7 3,979 Imputed goodwill 8,660 E Goodwill 9 5,558 E Other intangibles 0,490 F Other intangibles (Mortgage Servicing Rights) 3 Deferred tax assets Deferred tax assets (DTA) excluding those arising from temporary differences G DTA's (net of associated deferred tax liabilities (DTL)) realizable through net operating loss (NOL) carryback 3,00 DTA's (net of associated DTL's) arising from temporary differences but not realizable through NOL carryback 4 88 DTA's (net of associated DTL's) arising from temporary differences but not realizable through NOL carryback exceeding regulatory thresholds 5 Other DTA/DTL adjustments Significant investments in financials (excluding TD Ameritrade) Significant investments exceeding regulatory thresholds 7 3 L Significant investments in Additional Tier Capital 8 S Significant investments not exceeding regulatory thresholds 9 57 Defined pension benefits 30 3 K Other Assets 3 53,83 TOTAL ASSETS 3,6,36,54,809 LIABILITIES AND EQUITY 5 Trading deposits 33 93,87 93,87 Derivatives 34 58,578 58,578 Securitization liabilities at fair value 35,840,840 Deposits 36 83,444 83,444 Other 37 0,935 96,48 Deferred tax liabilities Goodwill 38 8 E3 Intangible assets (excluding mortgage servicing rights) F Other deferred tax liabilities (Cash flow hedges and other DTL's) 40 (9) Other DTA/DTL adjustments Gains and losses due to changes in own credit risk on fair value liabilities 4 68 J Other liabilities 43 96,8 Subordinated notes and debentures 44 7,58 7,58 Directly issued qualifying Tier instruments 45 7,08 T Directly issued capital instruments subject to phase out from Tier U Capital instruments not allowed for regulatory capital 47 (346) Liabilities 48,88,4,8,635 Common Shares 49,094,094 A Preferred Shares 50 4,750 4,750 Directly issued qualifying Additional Tier instruments 5 4,5 M Directly issued capital instruments subject to phase out from Additional Tier 5,358 P Preferred shares not allowed for regulatory capital 53 (859) Treasury Shares Common 54 (9) (9) A Treasury Shares Preferred 55 (9) (9) Treasury Shares non-viability contingent capital (NVCC) Preferred Shares 56 (8) N Treasury Shares non-nvcc Preferred Shares 57 () Contributed Surplus Contributed surplus Common Shares 59 6 B Contributed surplus Preferred Shares 60 3 O Retained Earnings 6 4,744 4,744 C Accumulated other comprehensive income (AOCI) 6 4,47 4,47 D Cash flow hedges requiring derecognition 63 (,73) H Net AOCI included as capital 64 6,03 Non-controlling interests in subsidiaries Portion allowed for regulatory capital (directly issued) P Portion allowed for regulatory capital (issued by subsidiaries and held by third parties) subject to phase out additional Tier Q Portion not allowed for regulatory capital subject to phase out TOTAL LIABILITIES AND EQUITY 69 $,6,36 $,54, As per Balance Sheet on page in the Supplemental Financial Information Package. Legal entities excluded from the regulatory scope of consolidation included the following insurance subsidiaries: Meloche Monnex Inc. (consolidated), TD Life Insurance Company and TD Reinsurance (Barbados) Inc. which have total assets included in the consolidated Bank of $6.5 billion and total equity of $.6 billion, of which $06 million is deducted from CET, $350 million is deducted from additional Tier and $60 million is deducted from Tier Capital. Cross referenced (L3, R, W) respectively, to the Capital Position Basel III on page. Cross referenced to the current period on the Capital Position Basel III on pages and. This adjustment is related to deferred tax assets/liabilities netted for financial accounting purposes. Included in current cap on additional Tier instruments is $.7 billion related to TD Capital Trust IV (no longer consolidated as the Bank is not the primary beneficiary of the trust). The allowed for regulatory capital is $700 million (P3 cross referenced to Capital Position Basel III on page ). 5

9 Risk-Weighted Assets ($ millions) LINE As at # Q Q4 Q3 Risk-weighted assets Risk-weighted assets Risk-weighted assets Gross Standardized Advanced Gross Standardized Advanced Gross Standardized Advanced exposures Approach Approach Total exposures Approach Approach Total exposures Approach Approach Total Credit Risk Retail Residential secured $ 353,80 $,385 $ 7,60 $ 8,987 $ 355,6 $,507 $ 7,993 $ 30,500 $ 344,38 $ 93 $ 7,783 $ 8,696 Qualifying revolving retail 9,678 9,706 9,706 93,57 9,43 9,43 93,504 9,30 9,30 Other retail 3 94,396 3,97 3,36 45,08 94,577 4,63 3,37 45,300 9,554 3,9 9,860 43,78 Non-retail Corporate 4 433,834 08,980 55,788 64,768 43,488 4,000 54,9 68,9 405,667 07,83 53,4 60,964 Sovereign 5 43,983 6, ,57 49,54 7,0 57 7,68 33,78 4, ,466 Bank 6,480 3,460 5,6 8,686,376 3,639 4,636 8,75 05,90 3,365 4,370 7,735 Securitization exposures 7 7,45,98,064 4,045 73,553,94,50 4,44 67,4,696,66 3,96 Equity exposures 8, , , Exposures subject to standardized or IRB approaches 9,44,436 37,766 5,009 89,775,43,34 44,35 50,40 94,49,344,4 33,633 47,089 80,7 Adjustment to IRB RWA for scaling factor 0 8,764 8,65 8,4 Other assets not included in standardized or IRB approaches 5,457 n/a n/a 37,06 46,936 n/a n/a 36,687 4,855 n/a n/a 36,945 Total credit risk $,565,893 $ 335,600 $,560,78 $ 339,793 $,487,069 $ 36,089 Market Risk 3 n/a 06,97,303 n/a,049,97 4,00 n/a 55 3,90 3,84 Operational Risk 4 n/a 3,795 45,6 49,46 n/a 3,643 44,749 48,39 n/a 3,487 43,840 47,37 Regulatory Floor 5 n/a 44,954 n/a 33,545 n/a,545 Total Common Equity Tier Capital risk-weighted assets ,73 435, ,803 Tier Capital risk-weighted assets ,73 435, ,803 Total Capital risk-weighted assets 3 8 $ 44,73 $ 435,750 $ 408, Q Q Risk-weighted assets Risk-weighted assets Gross Standardized Advanced Gross Standardized Advanced exposures Approach Approach Total exposures Approach Approach Total Credit Risk Retail Residential secured 9 $ 34,88 $ 97 $ 7,764 $ 8,736 $ 336,744 $ 870 $ 7,790 $ 8,660 Qualifying revolving retail 0 93,696 9,797 9,797 9,856 9,66 9,66 Other retail 9,885 4,374 3,544 45,98 90,43 4,050 9,83 43,33 Non-retail Corporate 44,007 7,66 57,07 74, ,734, 54,980 66,0 Sovereign 3 4,654 5, ,06 4,03 4, ,343 Bank 4 06,94 3,56 5,865 9,47 0,6 3,455 5,978 9,433 Securitization exposures 5 70,898,575,64 5,6 64,845,9,564 3,856 Equity exposures 6,87 9 9, Exposures subject to standardized or IRB approaches 7,374,76 44,653 56,48 300,80,99,797 36,60 50,9 86,793 Adjustment to IRB RWA for scaling factor 8 8,908 8,55 Other assets not included in standardized or IRB approaches 9 43,738 n/a n/a 40,309 6,069 n/a n/a 39,38 Total credit risk 30 $,58,464 $ 350,08 $,45,866 $ 334,483 Market Risk 3 n/a,6,69 3,78 n/a,546,04 3,587 Operational Risk 3 n/a 3,98 47,6 50,90 n/a 3,58 45,638 48,796 Regulatory Floor 33 n/a 5,334 n/a 5,30 Total Common Equity Tier Capital risk-weighted assets ,053 40,68 Tier Capital risk-weighted assets ,053 40,68 Total Capital risk-weighted assets 3 36 $ 40,053 $ 40,68 3 Amounts are calculated in accordance with the Basel III regulatory framework, and are presented based on the "all-in" methodology. Non-retail exposures do not include OSFI "deemed" Qualifying Central Counterparty (QCCP) exposures; as such exposures are included in "Other assets not included in standardized or Internal Ratings Based (IRB) approaches", in accordance with the Basel III regulatory framework. Each capital ratio has its own RWA measure due to the OSFI-prescribed scalar for inclusion of the CVA. For fiscal 07, the scalars for inclusion of CVA for CET, Tier, and Total Capital RWA were 7%, 77%, and 8%, respectively. For fiscal 08, the corresponding scalars are 80%, 83%, and 86% respectively. As the Bank is constrained by the Basel I regulatory floor, the RWA as it relates to the regulatory floor is calculated based on the Basel I risk weights which are the same for all capital ratios. 6

10 Consolidated Balance Sheet Cross-Referenced to Credit Risk Exposures ($ millions) LINE 08 As at # Q Credit risk exposures Drawn Other exposures Subject to Other exposures Non- Repo-style market risk retail Retail Securitization transactions Derivatives capital All other Total Cash and due from banks $ 70 $ $ $ $ $ $ 3,76 $ 3,896 Interest-bearing deposits with banks 44, ,893 Trading loans, securities, and other 3 08,53 3,343,875 Non-trading financial assets at fair value through profit or loss 4 0 3, ,504 Derivatives 5 60,557 60,557 Financial assets designated at fair value through profit or loss 6,450,855 3,305 Financial assets at fair value through other comprehensive income 7 05,89 4,736 4,634 35,6 Debt securities at amortized cost, net of allowance for credit losses 8 57,769 3, ,695 Securities purchased under reverse repurchase agreements 9 4,600 4,600 Residential mortgages 0 76,59 4,694 (34) 7,87 Consumer instalment and other personal 5,48 39,08 3,0 57,7 Credit card 9,76 3,37 33,34 Business and government 3 84,4,66 6,86 (48) 0,878 Allowance for loan losses 3 4 (54) (389) (3,0) (3,465) Customers' liability under acceptances 5 4,87 4,87 Investment in TD Ameritrade 6 7,505 7,505 Goodwill 7 5,558 5,558 Other intangibles 8,5,5 Land, buildings, equipment, and other depreciable assets 9 5,0 5,0 Deferred tax assets 0,35,35 Amounts receivable from brokers, dealers and clients,438,464,90 Other assets, ,79,843 Total 3 $ 505,668 $ 3,984 $ 58,64 $ 4,600 $ 60,557 $ 08,63 $ 8,60 $,6,36 3 Includes the Bank's insurance subsidiaries' assets and all other assets which are not subject to market risks or standardized/airb credit risk. Includes Canada Mortgage and Housing Corporation (CMHC) insured exposures classified as sovereign exposures under Basel III and therefore included in the non-retail category. Allowances related to exposures under standardized methodology are included under non-retail or retail. 7

11 Gross Credit Risk Exposure ($ millions) LINE As at # Q Q4 Repo-style OTC 3 Other off- Repo-style OTC Other off- By Counterparty Type Drawn Undrawn transactions derivatives balance sheet Total Drawn Undrawn transactions derivatives balance sheet Total Retail Residential secured $ 304,00 $ 49,080 $ $ $ $ 353,80 $ 307,097 $ 48,54 $ $ $ $ 355,6 Qualifying revolving retail,40 70,58 9,678,385 7,4 93,57 Other retail 3 87,88 6, ,396 88,64 6, , ,40 5, ,54 47,646 6, ,75 Non-retail Corporate 5 89,65 7,356 45,888,476 5,46 433,834 89,53 70,0 43,807,8 5,830 43,488 Sovereign 6 93,49,379 3,556 4,98,647 43,983 05,35,34 30,9,46,448 49,54 Bank 7 30,64,344 68,85 6,960 3,367,480 4,56,808 64,70 7,80 3,476, ,695 75,079 46,69 43,48 0, ,97 49,400 73,3 38,88 4,74 0, ,378 Total 9 $ 88,097 $ 00,89 $ 46,69 $ 43,48 $ 0,55 $,339,55 $ 837,046 $ 99,66 $ 38,88 $ 4,74 $ 0,789 $,337,093 By Country of Risk Canada 0 $ 453,895 $ 9,455 $ 85,08 $,083 $ 9,74 $ 688,75 $ 445,745 $ 7,430 $ 80,33 $ 4,456 $ 9,438 $ 677,38 United States 304,383 68,0 83,675,397 0, ,0 35,848 68,344 84,398 0,809 0,56 499,95 Other International Europe 48,46,54 56,37 5, ,933 43,555,637 5,937, ,55 Other 3,573 7,609 4, ,87, ,70 3, , ,89 3,36 77,936 9, ,804 65,453 3,49 74,07 5, ,786 Total 5 $ 88,097 $ 00,89 $ 46,69 $ 43,48 $ 0,55 $,339,55 $ 837,046 $ 99,66 $ 38,88 $ 4,74 $ 0,789 $,337,093 By Residual Contractual Maturity Within year 6 $ 86,33 $ 4,33 $ 46,69 $,483 $ 8,4 $ 704,70 $ 83,03 $ 39,96 $ 38,88 $ 9,63 $ 8,87 $ 689,6 Over year to 5 years 7 375,838 57,79 5,4,4 459,76 384,9 57,48 5,477, ,394 Over 5 years 8 65,936,90 6, ,69 69,8,55 6, ,573 Total 9 $ 88,097 $ 00,89 $ 46,69 $ 43,48 $ 0,55 $,339,55 $ 837,046 $ 99,66 $ 38,88 $ 4,74 $ 0,789 $,337,093 Non-Retail Exposures by Industry Sector Real estate Residential 0 $ 3,385 $,464 $ $ 8 $,503 $ 7,38 $,780 $,40 $ 7 $ 43 $,594 $ 6,835 Non-residential 35,77 4, ,90 35,677 4, ,750 Total real-estate 58,56 6, ,864 67,57 58,457 6, ,959 67,585 Agriculture 3 6, ,67 6, ,447 Automotive 4 0,77 4, ,03 9,775 4, ,05 Financial 5 4,880 0,503 0,065,375,0 78,043 34,905 9,759 96,673 4,849,357 67,543 Food, beverage, and tobacco 6 4,743, ,46 5,47 3, ,05 Forestry 7, ,09, ,898 Government, public sector entities, and education 8 05,985 3,83 33,73 6,59 4,94 63,974 8,563 3,6 30,80,98 5,06 69,634 Health and social services 9 6,555, ,745 9,948 6,34, ,937 9,664 Industrial construction and trade contractors 30 3,83, ,04 3,863, ,0 Metals and mining 3 3,97 3, ,04 8,05 3,7 3, ,030 Pipelines, oil, and gas 3 6,6 0, ,074 9,3 6,78 9, ,956 9,97 Power and utilities 33 5,38 6, ,48 5,59 5,303 6, ,398 5,907 Professional and other services 34 3,59 4, ,696,95 4, ,46 Retail sector 35 5,854, ,750 6,33, ,079 Sundry manufacturing and wholesale 36 9,40 6, ,48 9,605 6, ,88 Telecommunications, cable, and media 37 4,805 6, ,564 5,457 5, ,739 Transportation 38,98, ,086 4,849,387, ,059 4,8 Other 39 4,8,009 9, ,464 4,356,9 9, ,447 Total 40 $ 43,695 $ 75,079 $ 46,69 $ 43,48 $ 0,476 $ 799,97 $ 49,400 $ 73,3 $ 38,88 $ 4,74 $ 0,754 $ 793,378 3 Gross credit risk exposure is before credit risk mitigants. This table excludes securitization, equity, and other credit RWA. Gross exposure on undrawn commitments is exposure at default which is the amount currently undrawn but expected to be drawn assuming a default on the underlying committed loan agreement. Over-the-counter (OTC). 8

12 Gross Credit Risk Exposure (Continued) ($ millions) LINE As at # Q3 Q Repo-style OTC Other off- Repo-style OTC Other off- By Counterparty Type Drawn Undrawn transactions derivatives balance sheet Total Drawn Undrawn transactions derivatives balance sheet Total Retail Residential secured $ 97,64 $ 47,7 $ $ $ $ 344,38 $ 95,34 $ 46,477 $ $ $ $ 34,88 Qualifying revolving retail,77 70,73 93,504,93 7,403 93,696 Other retail 3 85,338 6,8 34 9,554 86,564 6, , ,374 4, , ,98 4, ,399 Non-retail Corporate 5 8,633 68,004 9,865,04 5,4 405,667 89,580 7,34 33,99 3,354 6,540 44,007 Sovereign 6 8,994,57 35,764,79,37 33,78 94,75,405 3,4,396,436 4,654 Bank 7 5,73,60 58,883 6,36 3,360 05,90 3,09,550 5,9 7,960 3,73 06, ,350 70,87 4,5 39,58 9, ,747 45,784 74,89 7,670 43,70,49 77,60 Total 9 $ 795,74 $ 94,90 $ 4,5 $ 39,58 $ 9,890 $,74,86 $ 89,98 $ 98,356 $ 7,670 $ 43,70 $,83 $,30,00 By Country of Risk Canada 0 $ 440,089 $ 5,53 $ 75,48 $,75 $ 9,03 $ 66,444 $ 49,950 $ 4,04 $ 73,070 $ 7,480 $ 8,94 $ 653,483 United States 89,678 66,78 75,44 0,993 0,0 45,5 38,94 70,893 7,548 3,078,74 486,74 Other International Europe 47,090,578 5,368, ,80 5,79,543 55,0 9, ,564 Other 3 8, ,75 5, ,707 9, ,040 3, , ,957 3,37 74,0 6, ,57 7,8 3,4 73,05 3, ,344 Total 5 $ 795,74 $ 94,90 $ 4,5 $ 39,58 $ 9,890 $,74,86 $ 89,98 $ 98,356 $ 7,670 $ 43,70 $,83 $,30,00 By Residual Contractual Maturity Within year 6 $ 64,04 $ 38,058 $ 4,5 $ 8,867 $ 8,638 $ 654,099 $ 57,689 $ 38,964 $ 7,670 $ 8,7 $ 9,57 $ 64,9 Over year to 5 years 7 373,748 54,574 4,04 0,603 45, ,63 56,88 7,590, ,073 Over 5 years 8 57,95,70 6, ,38 64,030,5 7, ,736 Total 9 $ 795,74 $ 94,90 $ 4,5 $ 39,58 $ 9,890 $,74,86 $ 89,98 $ 98,356 $ 7,670 $ 43,70 $,83 $,30,00 Non-Retail Exposures by Industry Sector Real estate Residential 0 $,88 $,580 $ $ 46 $,508 $ 6,06 $,763 $,693 $ $ 57 $,589 $ 6,03 Non-residential 34,49 4, ,636 35,79 4, ,50 Total real-estate 56,30 6, ,893 65,65 57,555 7, ,990 67,53 Agriculture 3 5, ,3 5, ,5 Automotive 4 9,605 4, ,80 0,04 4, ,09 Financial 5 7,483 8,76 76,45,53,66 35,403 33,704 9,043 73,66 5, ,377 Food, beverage, and tobacco 6 4,593 3, ,586 4,903 3, ,7 Forestry 7, ,0, ,948 Government, public sector entities, and education 8 96,645,94 36,63 3,05 4,879 54,0 08,337 3,35 33,4 3,093 5,30 63,099 Health and social services 9 4, ,745 8,34 6,036, ,03 9,856 Industrial construction and trade contractors 30 3,795, ,688 3,886, ,798 Metals and mining 3,948 3, ,399 3,05 3, ,4 Pipelines, oil, and gas 3 6,9 9, ,9 8,394 6,539 0, ,835 9,59 Power and utilities 33 5,556 6, ,39 5,530 5,505 6, ,737 5,987 Professional and other services 34, 4, ,64 3,840 4, ,00 Retail sector 35 5,966, ,84 6,7, ,06 Sundry manufacturing and wholesale 36 9,470 6, ,336 9,843 6, ,804 Telecommunications, cable, and media 37 5,63 6, ,905 5,946 7, ,707 Transportation 38,7, ,03 4,69,499, ,4 6,450 Other 39 0,374,90 9, ,73 0,63,995 8, ,00 Total 40 $ 390,350 $ 70,87 $ 4,5 $ 39,58 $ 9,856 $ 744,747 $ 45,784 $ 74,89 $ 7,670 $ 43,70 $,49 $ 77,60 Gross credit risk exposure is before credit risk mitigants. This table excludes securitization, equity, and other credit RWA. Gross exposure on undrawn commitments is exposure at default which is the amount currently undrawn but expected to be drawn assuming a default on the underlying committed loan agreement. 9

13 Gross Credit Risk Exposure (Continued) ($ millions) LINE 07 As at # Q Repo-style OTC Other off- By Counterparty Type Drawn Undrawn transactions derivatives balance sheet Total Retail Residential secured $ 9,4 $ 45,3 $ $ $ $ 336,744 Qualifying revolving retail,700 70,56 9,856 Other retail 3 83,979 6,3 3 90, ,0, ,843 Non-retail Corporate 5 8,47 68,55,795,006 4,9 387,734 Sovereign 6 87,438,403 3,046 0,756,370 4,03 Bank 7 7,948,599 49,43 9,69 3,475 0, ,857 7,553 84,7 40,93 9,756 73,369 Total 9 $ 793,958 $ 93,63 $ 84,7 $ 40,93 $ 9,788 $,3, By Country of Risk Canada 0 $ 4,869 $,075 $ 69,048 $ 3,94 $ 8,63 $ 636,566 United States 306,6 68,093 59,856,97 0,65 457,688 Other International Europe 46,698,90 4,934 9, ,953 Other 3 8, ,434 4,35 37, ,98 3,095 55,368 4, ,958 Total 5 $ 793,958 $ 93,63 $ 84,7 $ 40,93 $ 9,788 $,3, By Residual Contractual Maturity Within year 6 $ 46,5 $ 36,33 $ 84,65 $ 7,8 $ 7,343 $ 59,8 Over year to 5 years 7 387,07 54, ,49, ,6 Over 5 years 8 60,76,65 7, 7 70,84 Total 9 $ 793,958 $ 93,63 $ 84,7 $ 40,93 $ 9,788 $,3, Non-Retail Exposures by Industry Sector Real estate Residential 0 $,50 $,65 $ $ 55 $,55 $ 5,753 Non-residential 30,789, ,97 Total real-estate 5,309 5, ,873 59,950 Agriculture 3 5, ,965 Automotive 4 9,633 4, ,83 Financial 5 33,073 0,66 48,557 4,034,3 7,6 Food, beverage, and tobacco 6 4,39, ,875 Forestry 7, ,968 Government, public sector entities, and education 8 99,88,963 4,37,508 5,07 43,74 Health and social services 9 7,67, ,93,539 Industrial construction and trade contractors 30,83, ,535 Metals and mining 3 3,56 3, ,35 Pipelines, oil, and gas 3 5,70 9, ,305 7,603 Power and utilities 33 4,59 6, ,49 5,036 Professional and other services 34 0,43 3, ,53 Retail sector 35 5,8, ,00 Sundry manufacturing and wholesale 36 0,965 6, ,880 Telecommunications, cable, and media 37 7,339 7, ,58 Transportation 38,587, ,03 6,330 Other 39 9,967,473 9, ,459 Total 40 $ 396,857 $ 7,553 $ 84,7 $ 40,93 $ 9,756 $ 73,369 Gross credit risk exposure is before credit risk mitigants. This table excludes securitization, equity, and other credit RWA. Gross exposure on undrawn commitments is exposure at default which is the amount currently undrawn but expected to be drawn assuming a default on the underlying committed loan agreement. 0

14 Retail Advanced IRB Exposures By Obligor Grade Residential Secured ($ millions, except as noted) LINE 08 As at # Q Notional Average EL adjusted of undrawn Average Average Average risk average Insured Drawn and Undrawn,3 PD range EAD 4 commitments EAD PD 5 LGD 6 RWA weighting EL 7 risk weight 8 Low Risk 0.00 to 0.5 % $ 08,637 $, % % 4. % $ % $ 0.0 % Normal Risk 0.6 to 0.4 5, to.0, Medium Risk 4. to to High Risk to to to Default Total 0 $ 7,663 $, % 0. % 3.05 % $ % $ % Uninsured Undrawn Low Risk 0.00 to 0.5 % $ 8,37 $ 54, % 0.03 %. % $ % $. % Normal Risk 0.6 to 0.4,689 3, to Medium Risk 4. to to High Risk to to to Default Total 0 $ 3,434 $ 59, % 0.07 %.50 % $, % $ 5 4. % Uninsured Drawn Low Risk 0.00 to 0.5 % $ 00,37 n/a n/a 0.06 % 3.53 % $ 3, % $ % Normal Risk 0.6 to ,75 n/a n/a , to.0 5,95 n/a n/a , Medium Risk 4. to.93 4,977 n/a n/a , to n/a n/a High Risk to n/a n/a to n/a n/a to n/a n/a Default n/a n/a Total 30 $ 56,80 n/a n/a 0.47 % 4.44 % $ 5, % $ 4.5 % U.S. Retail Uninsured Drawn and Undrawn Low Risk to 0.5 % $ 0,906 $ 9, % 0.06 % 3. % $ % $ % Normal Risk to 0.4 9, , to.0 6, , Medium Risk 34. to.93 3, , to High Risk to to , to Default Total 40 $ 44,557 $, %.66 % 4.7 % $ 9,60.55 % $ % Represents retail exposures under the AIRB approach. Amounts are before allowance for credit losses and after credit risk mitigation. Includes Canadian residential mortgages and home equity lines of credit (HELOC). Includes CMHC insured exposures and exposures insured by corporate entities. CMHC insured exposures are already included in the Non-Retail Advanced IRB Exposures By Obligor Grade Sovereign on page. Exposure at Default (EAD). Probability of Default (PD). Loss Given Default (LGD). Expected Loss (EL). EL adjusted average risk weight is calculated as (RWA +.5 x EL) / EAD.

15 Retail Advanced IRB Exposures By Obligor Grade Residential Secured (Continued) ($ millions, except as noted) LINE 07 As at # Q4 Notional Average EL adjusted of undrawn Average Average Average risk average Insured Drawn and Undrawn,3 PD range EAD commitments EAD PD LGD RWA weighting EL risk weight Low Risk 0.00 to 0.5 % $,737 $, % % 4.44 % $ % $ 0.09 % Normal Risk 0.6 to 0.4 5, to.0, Medium Risk 4. to to High Risk to to to Default Total 0 $,336 $, % 0. % 3. % $ % $ % Uninsured Undrawn Low Risk 0.00 to 0.5 % $ 7,900 $ 53, % 0.03 %.39 % $ % $.7 % Normal Risk 0.6 to 0.4,6 3, to Medium Risk 4. to to High Risk to to to Default Total 0 $ 30,673 $ 57, % 0.07 %.55 % $, % $ % Uninsured Drawn Low Risk 0.00 to 0.5 % $ 96,57 n/a n/a 0.06 % 3.30 % $ 3, % $ 3.57 % Normal Risk 0.6 to 0.4 3,47 n/a n/a , to.0 5,88 n/a n/a , Medium Risk 4. to.93 4,967 n/a n/a , to n/a n/a High Risk to n/a n/a to n/a n/a to n/a n/a Default n/a n/a Total 30 $ 5,369 n/a n/a 0.49 % 4. % $ 5, % $ 38.3 % U.S. Retail Uninsured Drawn and Undrawn Low Risk to 0.5 % $ 0,85 $ 9,9 86. % 0.06 % 3.66 % $ % $ % Normal Risk to 0.4 0, , to.0 7, , Medium Risk 34. to.93 4, , to , High Risk to to , to Default Total 40 $ 46,37 $, %.7 % 5.8 % $ 0,483.6 % $ % 3 Represents retail exposures under the AIRB approach. Amounts are before allowance for credit losses and after credit risk mitigation. Includes Canadian residential mortgages and HELOC. Includes CMHC insured exposures and exposures insured by corporate entities. CMHC insured exposures are already included in the Non-Retail Advanced IRB Exposures By Obligor Grade Sovereign on page.

16 Retail Advanced IRB Exposures By Obligor Grade Residential Secured (Continued) ($ millions, except as noted) LINE 07 As at # Q3 Notional Average EL adjusted of undrawn Average Average Average risk average Insured Drawn and Undrawn,3 PD range EAD commitments EAD PD LGD RWA weighting EL risk weight Low Risk 0.00 to 0.5 % $ 4,34 $, % % 5. % $ % $ 0.09 % Normal Risk 0.6 to 0.4 5, to.0, Medium Risk 4. to to High Risk to to to Default Total 0 $ 4,43 $, % 0.3 % 3.90 % $, % $ 0.9 % Uninsured Undrawn Low Risk 0.00 to 0.5 % $ 5,88 $ 50, % 0.03 % 9.97 % $ 59.0 % $.0 % Normal Risk 0.6 to 0.4 3,347 4, to Medium Risk 4. to to High Risk to to to Default Total 0 $ 9,69 $ 55, % 0.07 %.5 % $, % $ % Uninsured Drawn Low Risk 0.00 to 0.5 % $ 90,705 n/a n/a 0.06 %.95 % $ 3, % $ 3.50 % Normal Risk 0.6 to 0.4 3,670 n/a n/a , to.0 3,896 n/a n/a , Medium Risk 4. to.93 4,506 n/a n/a , to n/a n/a High Risk to n/a n/a to n/a n/a to n/a n/a Default n/a n/a Total 30 $ 44,30 n/a n/a 0.5 % 4.03 % $ 4, % $ 34.5 % U.S. Retail Uninsured Drawn and Undrawn Low Risk to 0.5 % $,956 $ 9, % 0.07 % 3.5 % $ % $ 4.58 % Normal Risk to 0.4 3, , to.0 9, , Medium Risk 34. to.93 4, , to 4.74, , High Risk to to , to Default Total 40 $ 44,550 $,89 9. %.79 % 6.6 % $ 0,9 4.5 % $ % 3 Represents retail exposures under the AIRB approach. Amounts are before allowance for credit losses and after credit risk mitigation. Includes Canadian residential mortgages and HELOC. Includes CMHC insured exposures and exposures insured by corporate entities. CMHC insured exposures are already included in the Non-Retail Advanced IRB Exposures By Obligor Grade Sovereign on page. 3

17 Retail Advanced IRB Exposures By Obligor Grade Residential Secured (Continued) ($ millions, except as noted) LINE 07 As at # Q Notional Average EL adjusted of undrawn Average Average Average risk average Insured Drawn and Undrawn,3 PD range EAD commitments EAD PD LGD RWA weighting EL risk weight Low Risk 0.00 to 0.5 % $ 8,0 $, % % 5.7 % $ % $ 0.09 % Normal Risk 0.6 to 0.4 6, to.0 3, Medium Risk 4. to to High Risk to to to Default Total 0 $ 9,30 $, % 0.4 % 4.9 % $, % $ 0.97 % Uninsured Undrawn Low Risk 0.00 to 0.5 % $ 5,98 $ 50, % 0.03 % 0.45 % $ % $.5 % Normal Risk 0.6 to 0.4,843, to Medium Risk 4. to to High Risk to to to Default Total 0 $ 8,33 $ 53, % 0.06 %.64 % $, % $ % Uninsured Drawn Low Risk 0.00 to 0.5 % $ 84,358 n/a n/a 0.06 % 3.05 % $, % $ 3.54 % Normal Risk 0.6 to 0.4 8,863 n/a n/a , to.0 3,774 n/a n/a , Medium Risk 4. to.93 4,650 n/a n/a , to n/a n/a High Risk to n/a n/a to n/a n/a to n/a n/a Default n/a n/a Total 30 $ 34,30 n/a n/a 0.57 % 3.77 % $ 3, % $ % U.S. Retail Uninsured Drawn and Undrawn Low Risk to 0.5 % $ 3,85 $ 9, % 0.07 % 3.7 % $ % $ 4.6 % Normal Risk to 0.4 5, , to.0 0, , Medium Risk 34. to.93 5, , to 4.74, , High Risk to to , to Default Total 40 $ 48,498 $,6 9.4 %.8 % 6. % $, % $ % 3 Represents retail exposures under the AIRB approach. Amounts are before allowance for credit losses and after credit risk mitigation. Includes Canadian residential mortgages and HELOC. Includes CMHC insured exposures and exposures insured by corporate entities. CMHC insured exposures are already included in the Non-Retail Advanced IRB Exposures By Obligor Grade Sovereign on page. 4