Page 10
Fixed Income Quarterly—Banks
Table 9: Canadian Banks – Capital Summary Q1/14
(C$ mm)
BMO
BNS
CM
NA
RY
TD
Capital Summary
Common Equity Tier 1 Tier 1 Capital
Tier 2 Capital
Total Capital
Risk Weighted Assets (RWA)
Credit Risk Operational Risk Market Risk
Key Ratios
CET 1 Ratio
Tier 1 Ratio
Total Capital Ratio
Estimated Basel III Leverage Ratio Assets to Capital Multiple (ACM)
22,340 25,382 4,271
29,653
198,803 26,779 14,494
9.3% 10.6% 12.4%
3.7% 17.4x
28,499 33,742 7,069
40,811
253,200 32,200 16,700
9.4% 11.2% 13.5%
3.6% 17.4x
13,347 16,189 3,701
19,890
118,548 17,787 4,170
9.5% 11.5% 14.2%
3.4% 18.4x
5,336 6,885 1,904
8,789
52,030 8,487 4,110
8.3% 10.7% 13.6%
3.1% 20.0x
32,998 39,414 6,564
45,978
253,799 43,898 44,055
9.7% 11.5% 13.5%
3.5% 17.6x
27,803 32,852 8,474
41,326
263,971 35,824 13,177
8.9% 10.5% 13.2%
3.3% 19.4x
Total RWA 240,076 302,100 140,505 64,627 341,752 312,972
Total Balance Sheet Assets 592,662 782,835 400,955 195,300 904,714 908,896
Source: Company reports, BMO Capital Markets
Table 10: Spread Changes
Historical Bank Indicative Spread Performance
% Change % Change 5-Year Historical 31-Dec-09 31-Dec-10 30-Dec-11 31-Dec-12 31-Dec-13 Current QTD 2014 2013 Avg. (Pre-Crisis)
Deposit Notes(1)
5 Year 55 81 121 95 84 77 (9%) (11%) 33 10 Year 88 122 152 136 123 119 (3%) (10%) 52
Subordinated Debt(1)
5 Year 82 125 189 116 108 97 (10%) (7%) 42 10 Year 121 172 231 170 145 141 (3%) (14%) 66
Province of Ontario
5 Year 34 40 49 53 41 50 21% (23%) 16 10 Year 65 70 87 95 79 82 4% (16%) 30
Spread Differential (Senior vs. Sub)
5 Year 27 45 68 21 24 21 (14%) 13% 9 10 Year 33 50 79 34 22 22 0% (34%) 14
Spread Differential (Deposit Note vs. Ontario)
5 Year 21 41 73 42 43 27 (37%) 3% 17 10 Year 23 52 66 42 44 37 (16%) 6% 22
Spread Differential (Sub Debt vs. Ontario)
5 Year 48 85 140 63 67 47 (30%) 6% 26 10 Year 56 102 145 75 66 59 (11%) (12%) 37
As at March 31, 2014
Note: December 31, 2010 onwards sub debt spreads are indicative of new sub debt (1) Avg of five banks
Source: BMO Capital Markets