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Refer to footnotes in Table 16.
----------------------------------------------------------------------------Credit Default Swaps (CDS) by Country and Credit Quality (Canadian $ in millions) Table 20----------------------------------------------------------------------------As at January 31, 2013 Fair Value -------------------------------------------- Purchased Written ------------------------------------------- Non- Non- Inv. Inv. Inv. Inv. TotalCountry Grade Grade Grade Grade Exposure------------------------------------------------------------GIIPSGreece - - - - -Ireland (5) 2 - (2) - -Italy 5 - (5) - -Portugal 11 - (11) - -Spain 5 - (5) - -------------------------------------------------------------Total - GIIPS 23 - (23) - -------------------------------------------------------------Eurozone (excluding GIIPS)France (1) - - - (1)Germany (1) - 1 - -Netherlands - - - - -Other (6) (1) - 1 - -------------------------------------------------------------Total - Eurozone (excluding GIIPS) (3) - 2 - (1)------------------------------------------------------------Rest of EuropeDenmark - - - - -Norway - - - - -Sweden - - 1 - 1Switzerland (2) - 1 - (1)United Kingdom 2 - (1) - 1Other (6) - - (1) - (1)------------------------------------------------------------Total - Rest of Europe - - - - -------------------------------------------------------------Total - All of Europe 20 - (21) - (1)------------------------------------------------------------As at January 31, 2013 Notional ------------------------------------------------------------ Purchased Written ----------------------------------------------------------- Non- Non- Inv. Inv. Inv. Inv. TotalCountry Grade Grade Total Grade Grade Total Exposure----------------------------------------------------------------------------GIIPSGreece - - - - - - -Ireland (5) (25) - (25) 25 - 25 -Italy (214) - (214) 214 - 214 -Portugal (125) - (125) 125 - 125 -Spain (136) - (136) 136 - 136 -----------------------------------------------------------------------------Total - GIIPS (500) - (500) 500 - 500 -----------------------------------------------------------------------------Eurozone (excluding GIIPS)France (188) - (188) 160 - 160 (28)Germany (484) - (484) 459 - 459 (25)Netherlands (75) - (75) 57 14 71 (4)Other (6) (172) - (172) 213 - 213 41----------------------------------------------------------------------------Total - Eurozone (excluding GIIPS) (919) - (919) 889 14 903 (16)----------------------------------------------------------------------------Rest of EuropeDenmark (1) - (1) 1 - 1 -Norway - - - - - - -Sweden (41) - (41) 41 - 41 -Switzerland (282) - (282) 60 - 60 (222)United Kingdom (325) - (325) 298 14 312 (13)Other (6) (457) (10) (467) 460 7 467 -----------------------------------------------------------------------------Total - Rest of Europe (1,106) (10) (1,116) 860 21 881 (235)----------------------------------------------------------------------------Total - All of Europe (2,525) (10) (2,535) 2,249 35 2,284 (251)----------------------------------------------------------------------------Refer to footnotes in Table 16.Notes:- All purchased and written exposures are with bank counterparties.- 30% of purchased and 37% of written CDS exposure is subject to complete restructuring trigger events (full restructuring). Under the terms of these contracts, any restructuring event qualifies as a credit event and any bond of maturity up to 30 years is deliverable against the contract.- 70% of purchased and 63% of written CDS exposure is subject to modified- modified restructuring trigger events. Under the terms of these contracts, restructuring agreements count as a credit event; however, the deliverable obligation against the contract is limited to a maturity limit of 60 months for restructured obligations and 30 months for all other obligations.- Table excludes $27 million of Itraxx CDS Index purchased protection. The index is comprised equally of 25 constituent names in the following regions: GIIPS (16%), Eurozone (excluding GIIPS) (44%) and rest of Europe (40%).
