Canadian Banking and Residential Mortgages Overview
Highlights
Strong liquidity, stable funding
• Strong liquidity well in excess of regulatory requirements
o LCR1 of 123%, down 100 bps Q/Q and down 600 bps Y/Y, in-line with target of 125%
o HQLA of $205B, up $8B Q/Q and down $8B Y/Y, is substantially comprised of Level 1 assets
o Pacific Alliance countries LCRs of 129% - 171%
• Stability of funding reflected in NSFR2 of 108%
⚫ 28.3% TLAC³ is above 24% regulatory minimum in effect as of November 1, 2021
⚫ Wholesale funding utilization returning to pre-pandemic levels
o Wholesale funding of $265B, up $41B Q/Q (+$25B in money market funding and +$16B in term) and up $68B Y/Y
o Wholesale funding / total assets increased 240 bps Q/Q to 21.3%, from 18.9%
o Wholesale funding usage driven by strong asset growth, partially offset by deposit retention
1 This measure has been disclosed in this document in accordance with OSFI Guideline - Public Disclosure Requirements for Domestic Systemically Important Banks on Liquidity Coverage Ratio (April 2015)
2 This measure has been disclosed in this document in accordance with OSFI Guideline - Public Disclosure Requirements for Domestic Systemically Important Banks on Net Stable Funding Ratio Disclosure
Requirements (January 2021).
3 This measure has been disclosed in this document in accordance with OSFI Guideline - Public Disclosure Requirements for Domestic Systemically Important Banks on Total Loss Absorbing Capacity (TLAC)
(September 2018).
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