Basel-3 AIRB approaches P_E, and based on the reference scenario F_j = $99

Basel-3 simplified approach Accounting-based computation

(1) Contractual amount^b, K, C$ in billions

93.27

93.27

93.27

93.27

Contractual amount

(2) Forward funding proportion, , in %

60%

60%

60%

20%

Credit conversion factor

(3) Exposure at funding, C$ in billions

55.96

55.96

55.96

18.65

Credit-equivalent amount

(4) Credit risk exposure per billion

0.01919

0.01688

0.02059

100%

Principal risk factor

(5) Risk-weighted assets, C$ in billions

1.074

0.945

1.152

18.65

Risk-weighted balance

(6) AIRB credit-risk capital charge, C$ in billions

0.08591

0.07557

0.0922

1.492

CET1 8% capital charge

(7) P_E capital difference with, and Basel-3 simplified approach, C$ in millions

10.34

−6.29

1,406