Supplemental Financial Information (unaudited)

Transcription

1 Supplemental Financial Information (unaudited) For the period ended September 30, 2015 TABLE OF CONTENTS Page Page Notes to readers 2 Risk management Financial information Table 11 Loan portfolio by product 22 Table 1 Combined Balance Sheets 3 Table 12 Loan portfolio by entity 22 Table 2 Combined Statements of Income 5 Table 13 Personal residential mortgage loan portfolio 23 Capital management Table 14 Average loan-to-value (LTV) ratio for uninsured personal residential mortgage Table 3 Main capital components 6 loans granted during the quarter 24 Table 4 Regulatory ratios and capital 7 Table 15 Remaining amortization period for personal residential mortgage loans 24 Table 5 Quarterly changes in regulatory capital 9 Table 16 Risk exposure by asset class (exposure at default [EAD]) 25 Table 6 Reconciliation of regulatory capital and equity 10 Table 17 Risk exposure by asset class and risk tranche (Standardized Approach) 27 Table 7 Reconciliation of capital and the combined regulatory balance sheet 11 Table 18 Risk exposure by asset class and remaining contractual term to maturity 29 Table 8 Risk-weighted assets (RWA) 13 Glossary 30 Table 9 Change in risk-weighted assets 14 Table 10 Details of the credit portfolio subject to the Internal Rating-Based Approach 16 Third quarter September 30,

2 NOTES TO READERS USE OF THIS DOCUMENT The Supplemental Financial Information (this document) is designed to support the transparency and disclosure of additional information on Desjardins Group's capital and risk management so that the various financial market participants can assess its risk profile and financial performance. The information disclosed in this document is unaudited. This document should be used as a supplement to Desjardins Group's Interim Financial Reports and 2014 Annual Report. These reports, which include Desjardins Group's Combined Financial Statements as well as its MD&As, are available on and on the SEDAR website at (under the Capital Desjardins inc. profile). BASIS OF PRESENTATION OF FINANCIAL INFORMATION The Annual and Interim Combined Financial Statements have been prepared by Desjardins Group's management in accordance with International Financial Reporting Standards (IFRS) issued by the International Accounting Standards Board (IASB) and the accounting requirements of the Autorité des marchés financiers (AMF) in Quebec, which do not differ from IFRS. For further information about the accounting policies applied, see the Interim and Annual Combined Financial Statements. To assess its performance, Desjardins Group uses IFRS measures and various non-ifrs financial measures. Material non-ifrs financial measures, other than the regulatory ratios, do not have a standardized definition and are not directly comparable to similar measures used by other companies, and may not be directly comparable to any IFRS measures. The non-ifrs measures may be useful to investors to analyze financial performance, among other things. They are defined in the interim and annual MD&As. Unless indicated otherwise, all amounts are in Canadian dollars. SCOPE OF THIS DOCUMENT The information presented in this document relates to the Desjardins Group entities that are included in its accounting scope. The entities included in Desjardins Group's accounting scope of consolidation are presented in the Scope of the group section of Note 2, Significant accounting policies, to its Annual Combined Financial Statements. In the tables on capital management and tables 16, 17 and 18 of the Risk management section, the information presented is prepared using Desjardins Group's regulatory scope in accordance with Basel III. This scope differs from the accounting scope as investments in insurance subsidiaries are excluded from it through capital deductions. In addition, data related to capital and risks are presented to meet the disclosure requirements set out in the recommendations of the Enhanced Disclosure Task Force document dated October 29, 2012 and the Residential Hypothecary Lending Guideline as well as certain requirements of Basel III Pillar 3. Third quarter September 30,

3 FINANCIAL INFORMATION TABLE 1 COMBINED BALANCE SHEETS (in millions of dollars) ASSETS September 30, 2015 June 30, 2015 March 31, 2015 December 31, 2014 September 30, 2014 Cash and deposits with financial institutions $ 1,924 $ 1,848 $ 1,921 $ 1,781 $ 1,484 Securities Securities at fair value through profit or loss 31,848 32,181 34,273 24,845 24,617 Available-for-sale securities 22,194 23,631 22,781 19,890 19,769 54,042 55,812 57,054 44,735 44,386 Securities borrowed or purchased under reverse repurchase agreements 10,134 10,828 14,701 9,959 10,079 Loans Residential mortgages 101, ,187 97,936 97,512 96,375 Consumer, credit card and other personal loans 21,049 20,854 20,627 20,495 20,379 Business and government loans 34,915 34,636 34,662 32,903 32, , , , , ,108 Allowance for credit losses (478) (476) (463) (456) (458) 156, , , , ,650 Segregated fund net assets 9,503 9,774 10,027 8,695 8,307 Other assets Clients liability under acceptances Premiums receivable 1,675 1,633 1,503 1,127 1,162 Derivative financial instruments 4,739 4,131 4,706 3,133 2,806 Amounts receivable from clients, brokers and financial institutions 2,745 3,416 3,196 1,742 2,375 Reinsurance assets 1,750 1,452 1, Investment property Property, plant and equipment 1,450 1,456 1,458 1,374 1,367 Goodwill Intangible assets Deferred tax assets ,187 1, Other 2,858 2,523 2,346 2,089 2,257 18,463 17,430 17,624 13,763 13,991 TOTAL ASSETS $ 250,972 $ 250,893 $ 254,089 $ 229,387 $ 226,897 Third quarter September 30,

4 TABLE 1 COMBINED BALANCE SHEETS (continued) (in millions of dollars) LIABILITIES AND EQUITY LIABILITIES Deposit September 30, 2015 June 30, 2015 March 31, 2015 December 31, 2014 September 30, 2014 Individuals $ 89,161 $ 89,301 $ 88,390 $ 88,463 $ 87,044 Business and government 63,553 61,770 60,652 56,516 55,094 Deposit-taking institutions 1,829 1,750 1,395 1,345 1,998 Other liabilities 154, , , , ,136 Acceptances Commitments related to securities sold short 8,582 9,612 9,134 6,304 8,217 Commitments related to securities lent or sold under repurchase agreements 9,405 11,970 17,737 13,072 11,939 Derivative financial instruments 1,624 1,823 2,137 1,675 1,602 Amounts payable to clients, brokers and financial institutions 6,809 5,482 4,959 3,713 4,419 Insurance contract liabilities 26,572 26,321 27,088 19,435 18,655 Segregated fund net liabilities 9,509 9,796 10,023 8,706 8,279 Net defined benefit plan net liabilities 2,416 2,371 2,928 2,700 2,427 Deferred tax liabilities Other 6,830 6,565 5,883 4,814 5,099 72,495 74,319 80,672 61,606 61,742 Subordinated notes 2,553 2,587 2,600 2,564 2,542 TOTAL LIABILITIES 229, , , , ,420 EQUITY Capital stock 5,151 5,116 4,968 4,777 4,548 Share capital Undistributed surplus earnings 1,429 1,066 1,174 1,468 1,175 Accumulated other comprehensive income Reserves 12,948 12,951 12,020 11,476 11,660 Equity Group s share 20,206 19,976 19,241 18,421 18,010 Non-controlling interests 1,175 1,190 1, Total equity 21,381 21,166 20,380 18,893 18,477 TOTAL LIABILITIES AND EQUITY $ 250,972 $ 250,893 $ 254,089 $ 229,387 $ 226,897 Third quarter September 30,

5 TABLE 2 COMBINED STATEMENTS OF INCOME For the three-month periods ended For the nine-month periods ended (in millions of dollars) Interest income September 30, 2015 June 30, 2015 March 31, 2015 December 31, 2014 September 30, 2014 September 30, 2015 September 30, 2014 Loans $ 1,464 $ 1,438 $ 1,385 $ 1,420 $ 1,406 $ 4,287 $ 4,111 Securities Interest expense 1,543 1,516 1,462 1,503 1,489 4,521 4,363 Deposits ,280 1,303 Subordinated notes and other ,375 1,408 Net interest income 1,094 1, ,021 1,013 3,146 2,955 Net premiums 1,692 1,698 1,876 1,480 1,496 5,266 4,436 Other income Deposit and payment service charges Lending fees and credit card service revenues Brokerage and investment fund services Management and custodial service fees Net income (losses) on securities at fair value through profit or loss 17 (612) 1, ,319 Net income on available-for-sale securities Net other investment income Foreign exchange income Other ,056 1,529 1,086 3,079 3,814 Total income 3,539 3,025 4,927 4,030 3,595 11,491 11,20 Provision for credit losses Claims, benefits, annuities and changes in insurance contract liabilities 1, ,503 1,760 1,369 4,081 4,543 Non-interest expense Salaries and fringe benefits ,614 2,381 Premises, equipment and furniture, including depreciation Service agreements and outsourcing Communications Other ,683 1,591 1,673 1,791 1,752 1,745 1,582 5,216 4,809 Operating surplus earnings ,900 1,570 Income taxes on surplus earnings Surplus earnings before member dividends ,497 1,239 Member dividends Tax recovery on member dividends (9) (10) (10) (1) (18) (29) (56) Net surplus earnings for the period after member dividends $ 378 $ 605 $ 434 $ 349 $ 360 $ 1,417 $ 1,084 of which: Group s share $ 361 $ 531 $ 409 $ 326 $ 348 $ 1,301 $ 1,050 Non-controlling interests share Third quarter September 30,

6 CAPITAL MANAGEMENT TABLE 3 - MAIN CAPITAL COMPONENTS Total capital Tier 1A Tier 1 capital Tier 1B Tier 2 capital Eligible items > Reserves and undistributed surplus earnings > Non-controlling interests (1) > Eligible collective allowance Regulatory > Goodwill adjustments > Software > Eligible accumulated other comprehensive income > Subordinated notes subject to phase-out > Federation capital shares > Eligible qualifying shares > Permanent shares and surplus shares subject to phase-out > Non-controlling interests (1) > Non-controlling interests (1) > Other intangible assets > Deferred tax assets essentially resulting from loss carryforwards > Shortfall in allowance Deductions > Mainly significant investments in financial entities (2) > Investment in preferred shares of a component deconsolidated for regulatory capital purposes > Subordinated financial instrument (1) The amount of non-controlling interests allocated to the various capital tiers is determined, in particular, based on the nature of the operations and the capitalization level of the investee. (2) Represents the portion of investments in the components deconsolidated for regulatory capital purposes (mainly Desjardins Financial Corporation Inc.) that exceeds 10% of capital net of regulatory adjustments. In addition, when the non-deducted balance, plus deferred tax assets net of related deferred tax liabilities, exceeds 15% of such adjusted capital, the excess is also deducted from such capital. The non-deducted balance will be subject to risk-weighting at a rate of 250%. Third quarter September 30,

7 TABLE 4 REGULATORY RATIOS AND CAPITAL (1)(2) September 30, 2015 Crossreference (3) June 30, 2015 March 31, 2015 December 31, 2014 September 30, 2014 (in millions of dollars and as a percentage) Tier 1A capital Federation capital shares (4) $ 3,465 B $ 3,248 $ 2,874 $ 2,486 $ 2,091 Permanent shares and surplus shares subject to phase-out 1,471 C 1,471 1,471 1,681 1,681 Reserves 12,948 A 12,951 12,020 11,476 11,710 Undistributed surplus earnings 1,406 D 1,045 1,142 1,436 1,093 Eligible accumulated other comprehensive income 315 E + F Deferral attributable to amendments to IAS Non-controlling interests 15 G Tier 1A capital: regulatory adjustments Goodwill (net of related deferred tax liabilities) (35) K (457) (458) (433) (456) Intangible assets other than mortgage servicing rights and software (net of related deferred tax liabilities) (50) M+N (190) (195) (225) (203) Software considered as intangible assets (net of related tax liabilities) (204) M+N (205) (198) (193) (193) Deferred tax assets other than those attributable to temporary differences (net of related deferred tax liabilities) (26) J+P (29) (36) (45) (31) Shortfall in allowance (5) (265) (258) (252) (241) (270) Reciprocal cross-holdings in Tier 1A capital (5) (7) (5) (4) (2) (21) Adjusted Tier 1A capital after allocation of allocated threshold deductions Significant investments in the Tier 1A capital of financial institutions (greater than 10%) (2,109) Q+T (1,865) (1,781) (1,051) (1,202) Adjusted Tier 1A capital after allocated threshold deductions Amount greater than the 15% threshold Including: Significant investments in the Tier 1A capital of deconsolidated subsidiaries (5) R+U (15) (131) (75) (74) Including: Deferred tax assets arising from temporary differences (1) S (5) (57) (35) (33) Total net Tier 1A capital 16,918 16,207 15,104 15,263 14,595 Non-controlling interests 17 H Total Tier 1B capital Total Tier 1 capital 16,935 16,226 15,123 15,287 14,616 Tier 2 capital Subordinated notes (6) subject to phase-out 2,164 L 2,164 2,164 2,474 2,474 Eligible collective allowance 285 O Eligible qualifying shares 24 W Non-controlling interests 3 I Tier 2 capital: regulatory adjustments Significant investments in financial entities (872) V (820) (820) (700) (700) Total net Tier 2 capital 1,604 1,655 1,667 2,092 2,095 Total regulatory capital (Tier 1 and 2) $ 18,539 $ 17,881 $ 16,790 $ 17,379 $ 16,711 Total risk-weighted assets (RWA) $ 106,761 $ 101,240 $ 95,954 $ 96,923 $ 95,081 Exposure measure for the leverage ratio (7) 225, , ,728 N/A N/A Footnotes to this table are presented on the next page. Third quarter September 30,

8 TABLE 4 REGULATORY RATIOS AND CAPITAL (1)(2) (continued) (in millions of dollars and as a percentage) Ratios September 30, 2015 Crossreference (3) June 30, 2015 March 31, 2015 December 31, 2014 September 30, 2014 Tier 1A capital ratio 15.8% 16.0% 15.7% 15.7% 15.3% Tier 1 capital ratio Total capital ratio Leverage ratio N/A N/A Ratios Tier 1A capital ratio Tier 1 capital ratio Total capital ratio Leverage ratio N/A N/A Amounts below the thresholds for deduction (before risk weighting) Non-significant investments in the capital of other financial institutions $ 19 AA $ 18 $ 39 $ 184 $ 196 Significant investments in the Tier 1A capital of financial institutions 1,898 AC 1,794 1,576 1,567 1,517 Deferred tax assets arising from temporary differences (net of related tax liabilities) 639 AB Caps on inclusion of allowances in Tier 2 capital (1) (2) (3) (4) (5) (6) (7) Allowances eligible for inclusion in Tier 2 capital in respect of exposures subject to the Standardized Approach (before application of cap) Cap on inclusion of allowances in Tier 2 capital under the Standardized Approach 285 O Allowances eligible for inclusion in Tier 2 capital in respect of exposures subject to the Internal Ratings-Based Approach (before application of cap) N/A N/A N/A N/A N/A Cap on inclusion of allowances in Tier 2 capital under the Internal Ratings-Based Approach N/A N/A N/A N/A N/A Amounts included in this document comply with the all-in method, which is defined by the AMF as equity calculated to include all of the regulatory adjustments that will be required by 2019 but retaining the phase-out rules for non-eligible capital instruments. Per the advisory on the public capital disclosure requirements related to Basel III Pillar 3, in accordance with the calculations under the Basel III all-in method. Cross-reference to the consolidated regulatory balance sheet, refer to Table 7. Includes capital shares held in a segregated fund. Items considered only in regulatory capital. Includes subordinated notes described in Note 20 to the 2014 Combined Financial Statements. The asset/capital ratio has been replaced by the new leverage ratio effective January 1, 2015 in accordance with the AMF guideline. Third quarter September 30,

9 TABLE 5 - QUARTERLY CHANGES IN REGULATORY CAPITAL (in millions of dollars) Tier 1A capital September 30, 2015 June 30, 2015 March 31, 2015 December 31, 2014 September 30, 2014 Balance at beginning of period $ 16,207 $ 15,104 $ 15,263 $ 14,595 $ 14,336 Increase in reserves and undistributed surplus earnings Amortization of the amendments to IAS (72) (71) Eligible accumulated other comprehensive income (191) (186) (11) Federation capital shares Permanent shares and surplus shares subject to phase-out - - (210) - - Non-controlling interests - (2) 3 9 (3) Deductions (812) 183 (1) Balance at end of period 16,918 16,207 15,104 15,263 14,595 Tier 1B capital Balance at beginning of period Non-controlling interests (2) - (5) 3 (3) Balance at end of period Total Tier 1 capital 16,935 16,226 15,123 15,287 14,616 Tier 2 capital Balance at beginning of period 1,655 1,667 2,092 2,095 2,098 Eligible qualifying shares - - (1) 1 - Non-controlling interests - (1) Subordinated notes subject to phase-out - - (310) - - Eligible collective allowance 1 (11) 4 (5) (3) Deductions (52) - (120) - - Balance at end of period 1,604 1,655 1,667 2,092 2,095 Total capital $ 18,539 $ 17,881 $ 16,790 $ 17,379 $ 16,711 Third quarter September 30,

10 TABLE 6 - RECONCILIATION OF REGULATORY CAPITAL AND EQUITY (in millions of dollars) September 30, 2015 June 30, 2015 March 31, 2015 December 31, 2014 September 30, 2014 Equity balance in the Combined Financial Statements $ 20,206 $ 19,975 $ 19,242 $ 18,421 $ 18,010 Items eligible for Tier 1A capital Deferral attributable to the amendments to IAS Non-controlling interests Items not eligible for Tier 1A capital Non-eligible portion of permanent shares and surplus shares (192) (372) (596) (579) (747) Preferred shares of La Fédération des caisses populaires de l'ontario Inc. and the caisses in Ontario (84) (84) (84) (82) (82) Qualifying shares (34) (35) (35) (36) (35) Other (291) (263) (328) (175) (145) Deductions (2,702) (3,029) (3,112) (2,300) (2,483) Tier 1A capital 16,918 16,207 15,104 15,263 14,595 Non-controlling interests Tier 1B capital Tier 1 capital 16,935 16,226 15,123 15,287 14,616 Items eligible for Tier 2 capital Subordinated notes subject to phase-out 2,164 2,164 2,164 2,474 2,474 Eligible collective allowance Eligible qualifying shares Non-controlling interests Deductions (872) (820) (820) (700) (700) Tier 2 capital 1,604 1,655 1,667 2,092 2,095 Total capital $ 18,539 $ 17,881 $ 16,790 $ 17,379 $ 16,711 Third quarter September 30,

11 TABLE 7 RECONCILIATION OF CAPITAL AND THE COMBINED REGULATORY BALANCE SHEET (1) September 30, 2015 Balance sheet Items Balance sheet per the combined deconsolidated using the Crossfinancial for regulatory regulatory scope reference to (in millions of dollars) statements capital purposes (2) of consolidation Including the capital table (3) Assets Cash and deposits with financial institutions $ 1,924 $ 497 $ 1,427 Securities 54,042 24,726 29,316 Non-significant investments in the capital of other financial institutions not exceeding regulatory thresholds $ 19 AA Significant investments in the Tier 2 capital of other financial institutions 872 V Other securities 28,425 Investments in associates and joint ventures accounted for using the equity method 410 (3,588) 3,998 Significant investments in the capital of other financial institutions exceeding the regulatory thresholds of 10% of Tier 1A capital 88 Q Significant investments in the capital of other financial institutions exceeding the regulatory threshold corresponding to the basket of 15% of Tier 1A capital - R Significant investments in the capital of other financial institutions not exceeding the regulatory thresholds 1,898 AC Investments in deconsolidated subsidiaries exceeding the regulatory thresholds of 10% of Tier 1A capital 2,021 T Investments in deconsolidated subsidiaries exceeding the regulatory thresholds corresponding to the basket of 15% of Tier 1A capital 5 U Other adjustments related to investments (14) Securities borrowed or purchased under reverse repurchase agreements 10, ,023 Loans 157,384 2, ,696 Significant investments in the Tier 2 capital of other financial institutions (872) V Other loans 155,568 Allowances for credit losses (478) (1) (477) Collective allowance allowed for inclusion in Tier 2 capital (285) O Allowances not allowed for regulatory capital (192) Segregated fund net assets 9,503 9,503 - Other assets Clients liability under acceptances Premiums receivable 1,675 1,675 - Derivative financial instruments 4, ,381 Amounts receivable from clients, brokers and financial institutions 2, ,668 Reinsurance assets 1,750 1,750 - Land, buildings and equipment 2,141 1, Goodwill K Software and other intangible assets M Deferred tax assets Deferred tax assets other than those attributable to temporary differences 67 J Deferred tax liabilities other than those attributable to temporary differences (41) P Deferred tax assets related to temporary differences exceeding the regulatory thresholds corresponding to the basket of 15% of Tier 1A capital 1 S Deferred tax assets related to temporary differences not exceeding the regulatory thresholds 639 AB Deferred tax liabilities related to software and other intangible assets (59) N Deferred tax liabilities related to goodwill - K Other deferred tax assets (103) Miscellaneous 2, ,483 Total assets $ 250,972 $ 41,049 $ 209,923 Footnotes to this table are presented on the next page. Third quarter September 30,

12 TABLE 7 RECONCILIATION OF CAPITAL AND THE COMBINED REGULATORY BALANCE SHEET (1) (continued) September 30, 2015 Balance sheet Items Balance sheet Crossper the combined deconsolidated using the reference to financial for regulatory regulatory scope the capital (in millions of dollars) statements capital purposes (2) of consolidation Including table (3) Liabilities Deposits $ 154,543 $ (380) $ 154,923 Other liabilities Acceptances Commitments related to securities sold short 8, ,402 Commitments related to securities lent or sold under repurchase agreements 9, ,940 Derivative financial instruments 1, ,494 Amounts payable to clients, brokers and financial institutions 6, ,743 Insurance contract liabilities 26,572 26,572 - Segregated fund net liabilities 9,509 9,509 - Net defined benefit plan liabilities 2, ,855 Deferred tax liabilities (10) Other 6,830 2,693 4,137 Subordinated notes 2, ,540 Subordinated notes allowed for inclusion in Tier 2 capital subject to phase-out $ 2,164 L Subordinated indebtedness not allowed for Tier 2 capital 376 Total liabilities 229,591 39, ,637 Equity Capital stock 5,151-5,151 Permanent shares and surplus shares 1,469 C Qualifying shares 24 W Qualifying shares, permanent shares and surplus shares not allowed for Tier 1A capital 193 Federation capital shares 3,465 B Share capital Preferred shares allowed for inclusion in Tier 1A capital 2 C Preferred shares not allowed for regulatory capital 85 Undistributed surplus earnings 1, ,406 D Accumulated other comprehensive income 591 (17) 608 Unrealized gains on available-for-sale securities 298 E Gains on derivative financial instruments designated as cash flow hedges 293 Unrealized gains on available-for-sale securities (FV hedges) 17 F Miscellaneous - Reserves 12,948-12,948 A Non-controlling interests 1,175 1, Portion allowed for inclusion in Tier 1A capital 15 G Portion allowed for inclusion in additional Tier 1 capital 17 H Portion allowed for inclusion in Tier 2 capital 3 I Portion not allowed for regulatory capital 51 Total equity 21,381 1,095 20,286 Total liabilities and equity $ 250,972 $ 41,049 $ 209,923 (1) (2) (3) Per the advisory on the public capital disclosure requirements related to Basel III Pillar 3. Mainly Desjardins Financial Corporation Inc., which encompasses, among others, the Desjardins Financial Security Life Assurance Company and Desjardins General Insurance Group Inc. insurance companies. A description of their activities can be found in section 2.2 of the MD&A, in the 2014 Annual Report. Refer to Table 4. Third quarter September 30,

13 TABLE 8 - RISK-WEIGHTED ASSETS (RWA) Internal Ratings- Based Approach Standardized Approach Total as at September 30, 2015 Risk-weighted assets Average risk- (in millions of dollars and as a percentage) Exposure (1) RWA Exposure (1) RWA Exposure (1) RWA Capital requirement (2) weighting rate Q Q Q Q Credit risk Sovereign borrowers $ - $ - $ 845 $ - $ 845 $ - $ - - % $ - $ 2 $ 2 $ 2 Financial institutions - - 6,183 1,286 6,183 1, ,209 1,259 1,282 1,250 Businesses ,231 36,682 46,231 36,682 2, ,976 35,037 34,616 33,788 SMEs similar to other retail client exposures - - 5,627 3,451 5,627 3, ,425 3,413 3,367 3,408 Mortgages 89,211 7, ,372 7, ,985 6,980 6,799 8,595 Other retail client exposures (excluding SMEs) 7,688 2, ,857 2, ,712 2,695 2,523 2,623 Qualifying revolving retail client exposures 34,165 8, ,165 8, ,376 8,322 7,971 8,060 Sub-total - Credit risk 131,064 18,467 59,216 41, ,280 60,063 4, ,683 57,708 56,560 57,726 Counterparty and issuer risk Sovereign borrowers ,394-14, Financial institutions - - 3, , Businesses Securitization - - 2,018 1,047 2,018 1, ,562 1,081 1,067 Equities Trading portfolios - - 1, , Credit valuation adjustment charge Additional requirements related to the banking and trading portfolio , Sub-total - counterparty and issuer risk ,678 2,782 23,433 3, ,923 4,980 2,988 3,194 Other assets (3) ,433 8, ,561 8,675 8,049 7,717 Scaling factors (4) - 1, , ,073 1,065 1,028 1,147 Total - Credit risk 131,064 19,575 80,894 44, ,146 73,510 5, ,240 72,428 68,625 69,784 Interest rate position risk ,197-2, ,378 4,094 5,288 4,120 Foreign exchange risk Additional requirements related to other risks (5) Total - Market risk ,410-2, ,536 4,350 5,486 4,331 Operational risk (6) ,969 1,038-12,996 12,821 12,702 12,586 Total risk-weighted assets before threshold $ 131,064 $ 19,575 $ 80,894 $ 46,788 $ 229,146 $ 88,889 $ 7,111 - % $ 87,772 $ 89,599 $ 86,813 $ 86,701 Risk-weighted assets after the transitional provisions for the CVA charge (7) RWA for Tier 1A capital ,573 7,086-87,431 89,301 86,483 86,381 RWA for Tier 1 capital ,635 7,091-87,497 89,359 86,545 86,441 RWA for total capital ,687 7,095-87,554 89,409 86,637 86,530 Transitional threshold adjustment (8) ,188 1,455-13,809 6,653 10,440 8,700 Total risk-weighted assets $ 131,064 $ 19,575 $ 80,894 $ 46,788 $ 229,146 $ 106,761 $ 8,541 - % $ 101,240 $ 95,954 $ 96,923 $ 95,081 (1) Net exposure, after credit risk mitigation (net of specific allowances under the Standardized Approach but not under the Internal Ratings-Based Approach, in accordance with the AMF guideline). (2) The capital requirement represents 8% of risk-weighted assets. (3) Other assets are measured using a method other than the Standardized Approach or the Internal Ratings-Based Approach. Other assets include the investments portion below a certain threshold in components that are deconsolidated for regulatory capital purposes (mainly Desjardins Financial Corporation Inc.), the investments portion in associates, below a certain threshold, as well as the portion of other deferred tax assets below a certain threshold. These three items are weighted at 250% and the deducted portion (above a certain threshold) is weighted at 0%. This class excludes the CVA charge and the additional requirements related to the banking and trading portfolio, which are disclosed in the counterparty and issuer risk section. (4) The scaling factor is a 6% calibration of risk-weighted assets measured using the Internal Ratings-Based Approach for credit exposures in accordance with Section 1.3 of the AMF guideline. (5) Other risks include equities risk, commodities risk and options risk. (6) The Basic Indicator Approach was used to assess operational risk. (7) The scaling factors used to take into account the requirements for the CVA charge have been applied in calculating the Tier 1A capital ratio, the Tier 1 capital and the total capital ratio since January 1, They respectively stand at 64%, 71% and 77%. (8) As prescribed in Section 1.6 of the AMF guideline. In 2014, this threshold is presented to take into account risk-weighted assets after the transitional provisions for the CVA for Tier 1A capital. Third quarter September 30,

14 TABLE 9 CHANGE IN RISK-WEIGHTED ASSETS (1) For the three-month periods ended (in millions of dollars) September 30, 2015 June 30, 2015 Credit risk Credit risk other than counterparty and issuer risk Counterparty and issuer risk Total Credit risk other than counterparty and issuer risk Counterparty and issuer risk Risk-weighted assets at beginning of period (2) $ 68,318 $ 3,581 $ 71,899 $ 66,762 $ 5,368 $ 72,130 Size of portfolio (3) 768 (461) 307 1,760 (778) 982 Quality of portfolio (4) (106) (347) (453) Updating of models (5) Procedures and policies (6) (72) (659) (731) Acquisitions and transfers 246 (6) Change in exchange rates (25) (3) (28) Other (1) - (1) Total changes in risk-weighted assets 1,533 (238) 1,295 1,556 (1,787) (231) Risk-weighted assets at end of period $ 69,851 $ 3,343 $ 73,194 $ 68,318 $ 3,581 $ 71,899 Total For the three-month periods ended (in millions of dollars) March 31, 2015 December 31, 2014 Credit risk Credit risk other than counterparty and issuer risk Counterparty and issuer risk Total Credit risk other than counterparty and issuer risk Counterparty and issuer risk Risk-weighted assets at beginning of period (2) $ 65,637 $ 2,658 $ 68,295 $ 66,590 $ 2,874 $ 69,464 Size of portfolio (3) 2, , (257) 688 Quality of portfolio (4) 438 1,398 1,836 (56) 11 (45) Updating of models (5) (1,896) - (1,896) Procedures and policies (6) (336) 69 (267) Acquisitions and transfers (534) - (534) Change in exchange rates Other 3 (2) Total changes in risk-weighted assets 1,811 2,024 3,835 (953) (216) (1,169) Risk-weighted assets at end of period $ 67,448 $ 4,682 $ 72,130 $ 65,637 $ 2,658 $ 68,295 Footnotes to this table are presented on the next page. Total Third quarter September 30,

15 TABLE 9 CHANGE IN RISK-WEIGHTED ASSETS (continued) (1) For the three-month periods ended September 30, 2015 June 30, 2015 March 31, 2015 December 31, 2014 (in millions of dollars) Market risk Risk-weighted assets at beginning of period $ 2,536 $ 4,350 $ 5,486 $ 4,331 Change in risk level (7) (126) (133) (1,136) 1,155 Updating of models (5) Procedures and policies (6) - (1,681) - - Acquisitions and transfers Change in exchange rates Other Total changes in risk-weighted assets (126) (1,814) (1,136) 1,155 Risk-weighted assets at end of period $ 2,410 $ 2,536 $ 4,350 $ 5,486 Operational risk Risk-weighted assets at beginning of the period $ 12,996 $ 12,821 $ 12,702 $ 12,586 Revenue generated Acquisitions and transfers (192) Total changes in risk-weighted assets (27) Risk-weighted assets at end of period $ 12,969 $ 12,996 $ 12,821 $ 12,702 Transitional threshold adjustment Risk-weighted assets at beginning of the period $ 13,809 $ 6,653 $ 10,440 $ 8,700 Size of portfolio (3) 2,890 5,244 (445) 69 Quality of portfolio (4) (398) (837) Updating of models (5) ,592 Procedures and policies (6) - 1,421 (3,569) - Acquisitions and transfers 1,884 - (654) - Change in exchange rates 3 (1) (2) (84) Other Total changes in risk-weighted assets 4,379 7,156 (3,787) 1,740 Risk-weighted assets at end of year $ 18,188 $ 13,809 $ 6,653 $ 10,440 (1) Risk-weighted assets account for the transitional provision relating to the CVA applicable to Tier 1A capital. (2) A reclassification between Credit risk other than counterparty and issuer risk and Counterparty and issuer risk has occurred as of the second quarter of Prior period data were not restated. (3) Increase or decrease in underlying risk exposure. (4) Change in risk mitigation factors and portfolio quality. (5) Changes in risk parameters and models. (6) Regulatory changes and developments in the regulatory capital calculation method. (7) Change in risk levels and change in exchange rates, which are not considered to be material. Third quarter September 30,

16 TABLE 10 DETAILS OF THE CREDIT PORTFOLIO SUBJECT TO THE INTERNAL RATING-BASED APPROACH Used exposure (in millions of dollars and as a percentage) September 30, 2015 June 30, 2015 RWA RWA EAD- EAD- adjusted for EAD- EAD- adjusted for weighted weighted RWA as a EL, as a weighted weighted RWA as a EL, as a average average percentage percentage average average percentage percentage PD LGD EAD RWA of EAD EL of EAD (1) PD LGD EAD RWA of EAD EL of EAD (1) Exposures related to residential mortgage loans Qualifying revolving retail client exposures Other retail client exposures, excluding SMEs similar to the other retail client exposures Excellent 0.05 % % $ 24,579 $ % $ % 0.05 % % $ 25,011 $ % $ % Very low , , Low ,265 1, ,894 1, Medium-low ,537 1, ,000 1, Medium , , Medium-high , , High , , Very high Default Total ,260 6, ,243 6, Excellent , , Very low , , Low , , Medium-low , , Medium , , Medium-high ,023 1, ,962 1, High Very high Default Total ,316 4, ,172 4, Excellent Very low Low , , Medium-low , , Medium Medium-high , , High Very high Default Total ,496 2, ,418 2, Overall total 1.49 % % $ 102,072 $ 14, % $ % 1.50 % % $ 100,833 $ 13, % $ % Footnote to this table is presented on page 21. Third quarter September 30,

17 TABLE 10 DETAILS OF THE CREDIT PORTFOLIO SUBJECT TO THE INTERNAL RATING-BASED APPROACH (continued) Used exposure (in millions of dollars and as a percentage) March 31, 2015 December 31, 2014 RWA RWA EAD- EAD- adjusted for EAD- EAD- adjusted for weighted weighted RWA as a EL, as a weighted weighted RWA as a EL, as a average average percentage percentage average average percentage percentage PD LGD EAD RWA of EAD EL of EAD (1) PD LGD EAD RWA of EAD EL of EAD (1) Exposures related to residential mortgage loans Qualifying revolving retail client exposures Other retail client exposures, excluding SMEs similar to other retail client exposures Excellent 0.05 % % $ 23,984 $ % $ % 0.05 % % $ 23,972 $ % $ % Very low , , Low , , Medium-low ,150 1, ,846 1, Medium , , Medium-high , , High , , Very high Default Total ,363 6, ,111 6, Excellent , , Very low , , Low , , Medium-low , , Medium , , Medium-high ,911 1, ,935 1, High Very high Default Total ,915 4, ,088 4, Excellent Very low Low , , Medium-low , , Medium Medium-high , , High Very high Default Total ,346 2, ,228 2, Overall total 1.55 % % $ 98,624 $ 13, % $ % 1.46 % % $ 98,427 $ 13, % $ % Footnote to this table is presented on page 21. Third quarter September 30,

18 TABLE 10 DETAILS OF THE CREDIT PORTFOLIO SUBJECT TO THE INTERNAL RATING-BASED APPROACH (continued) Used exposure (in millions of dollars and as a percentage) September 30, 2014 RWA EAD- EAD- adjusted for weighted weighted RWA as a EL, as a average average percentage percentage PD LGD EAD RWA of EAD EL of EAD (1) Exposures related to residential mortgage loans Qualifying revolving retail client exposures Other retail client exposures, excluding SMEs similar to other retail client exposures Excellent 0.05 % % $ 21,976 $ % $ % Very low ,003 1, Low ,981 1, Medium-low ,540 1, Medium , Medium-high , High , Very high Default Total ,195 7, Excellent , Very low , Low , Medium-low , Medium , Medium-high ,923 1, High Very high Default Total ,003 4, Excellent Very low Low , Medium-low , Medium Medium-high , High Very high Default Total ,068 2, Overall total 1.35 % % $ 97,266 $ 14, % $ % Footnote to this table is presented on page 21. Risk-weighted assets adjusted for expected losses as a percentage of exposure at default is calculated as follows: (RWA EL) / EAD. Third quarter September 30,

19 TABLE 10 DETAILS OF THE CREDIT PORTFOLIO SUBJECT TO THE INTERNAL RATING-BASED APPROACH (continued) Unused commitments and off-balance sheet exposure (in millions of dollars and as a percentage) September 30, 2015 June 30, 2015 RWA RWA EAD- EAD- Notional EAD as a adjusted for EAD- EAD- Notional EAD as a adjusted for weighted weighted amount of percentage RWA as a EL, as a weighted weighted amount of percentage RWA as a EL, as a average average unused of notional percentage percentage average average unused of notional percentage percentage PD LGD commitments EAD amount RWA of EAD EL of EAD (1) PD LGD commitments EAD amount RWA of EAD EL of EAD (1) Exposures related to residential mortgage loans Qualifying revolving retail client exposures Other retail client exposures, excluding SMEs similar to other retail client exposures Excellent 0.05 % % $ 6,141 $ 2, % $ % $ % 0.05 % % $ 6,100 $ 2, % $ % $ % Very low ,477 1, ,349 1, Low , , Medium-low , Medium Medium-high High Very high Total ,788 4, ,414 4, Excellent ,674 13, , ,449 13, , Very low ,933 3, ,840 3, Low ,332 2, ,283 2, Medium-low ,040 2, ,935 1, Medium ,467 1, ,338 1, Medium-high ,542 1, ,614 1, High Very high Total ,534 23, , ,020 23, , Excellent Very low Low Medium-low Medium Medium-high High Very high Total Overall total 0.50 % % $ 50,876 $ 28, % $ 4, % $ % 0.50 % % $ 49,935 $ 28, % $ 4, % $ % Footnote to this table is presented on page 21. Third quarter September 30,

20 TABLE 10 DETAILS OF THE CREDIT PORTFOLIO SUBJECT TO THE INTERNAL RATING-BASED APPROACH (continued) Unused commitments and off-balance sheet exposure (in millions of dollars and as a percentage) March 31, 2015 December 31, 2014 RWA RWA EAD- EAD- Notional EAD as a adjusted for EAD- EAD- Notional EAD as a adjusted for weighted weighted amount of percentage RWA as a EL, as a weighted weighted amount of percentage RWA as a EL, as a average average unused of notional percentage percentage average average unused of notional percentage percentage PD LGD commitments EAD amount RWA of EAD EL of EAD (1) PD LGD commitments EAD amount RWA of EAD EL of EAD (1) Exposures related to residential mortgage loans Qualifying revolving retail client exposures Other retail client exposures, excluding SMEs similar to other retail client exposures Excellent 0.05% % $ 5,744 $ 1, % $ % $ % 0.05% % $ 5,553 $ 1, % $ % $ % Very low ,150 1, ,088 1, Low , , Medium-low Medium Medium-high High Very high Total ,781 4, ,425 4, Excellent ,135 12, , ,917 12, , Very low ,790 3, ,753 3, Low ,269 2, ,174 2, Medium-low ,895 1, ,769 1, Medium ,279 1, ,228 1, Medium-high ,048 1, , High Very high Total ,897 23, , ,306 22, , Excellent Very low Low Medium-low Medium Medium-high High Very high Total Overall total 0.51 % % $ 49,168 $ 28, % $ 4, % $ % 0.48 % % $ 47,207 $ 27, % $ 3, % $ % Footnote to this table is presented on the next page. Third quarter September 30,