
	As at October 31, 2021
	Term to maturity (1)

(Millions of Canadian dollars)	Within 3 months		3 months to 1 year		1 year to 5 years		5 years to 10 years		Over 10 years		With no specific maturity		Total
Trading (2)
Debt issued or guaranteed by:
Canadian government	$	1,244	$	4,252	$	6,187	$	3,339	$	7,403	$	–	$	22,425
U.S. federal, state, municipal and agencies		2,381		1,616		6,203		4,092		8,686		–		22,978
Other OECD government		2,049		2,073		1,231		294		2,812		–		8,459
Mortgage-backed securities		–		–		–		–		4		–		4
Asset-backed securities		288		27		275		116		187		–		893
Corporate debt and other debt
Bankers’ acceptances		316		135		–		–		–		–		451
Other (3)		2,317		2,526		5,433		3,716		8,667		–		22,659
Equities												61,371		61,371
		8,595		10,629		19,329		11,557		27,759		61,371		139,240
Fair value through other comprehensive income (2)
Debt issued or guaranteed by:
Canadian government
Federal
Amortized cost		161		1,180		1,382		592		526		–		3,841
Fair value		161		1,178		1,375		544		445		–		3,703
Yield (4)		0.4%		0.7%		1.8%		0.9%		2.4%		–		1.3%
Provincial and municipal
Amortized cost		3		283		1,326		158		1,558		–		3,328
Fair value		3		283		1,322		158		1,366		–		3,132
Yield (4)		4.2%		2.6%		2.4%		1.7%		2.9%		–		2.6%
U.S. federal, state, municipal and agencies
Amortized cost		1,131		5,010		7,960		2,380		18,197		–		34,678
Fair value		1,132		5,013		7,960		2,446		18,276		–		34,827
Yield (4)		–		0.9%		0.4%		2.6%		1.3%		–		1.1%
Other OECD government
Amortized cost		176		1,274		4,498		1		–		–		5,949
Fair value		176		1,274		4,505		1		–		–		5,956
Yield (4)		1.7%		1.0%		1.3%		3.9%		–		–		1.2%
Mortgage-backed securities
Amortized cost		–		–		56		55		2,646		–		2,757
Fair value		–		–		56		55		2,636		–		2,747
Yield (4)		–		–		1.2%		1.3%		1.2%		–		1.2%
Asset-backed securities
Amortized cost		–		–		–		4,719		2,935		–		7,654
Fair value		–		–		–		4,719		2,941		–		7,660
Yield (4)		–		–		–		1.2%		1.3%		–		1.3%
Corporate debt and other debt
Amortized cost		5,965		2,597		9,676		1,451		42		–		19,731
Fair value		5,965		2,599		9,699		1,463		51		–		19,777
Yield (4)		0.9%		1.2%		1.5%		0.8%		3.6%		–		1.2%
Equities
Cost												242		242
Fair value (5)												533		533
Amortized cost		7,436		10,344		24,898		9,356		25,904		242		78,180
Fair value		7,437		10,347		24,917		9,386		25,715		533		78,335
Amortized cost (2)
Debt issued or guaranteed by:
Canadian government		453		2,979		17,589		3,601		194		–		24,816
Yield (4)		1.1%		1.5%		1.5%		2.0%		1.7%		–		1.5%
U.S. federal, state, municipal and agencies		1,093		274		3,718		2,767		19,559		–		27,411
Yield (4)		–		1.0%		1.0%		2.1%		1.3%		–		1.3%
Other OECD government		1,914		1,212		2,790		58		–		–		5,974
Yield (4)		–		1.3%		0.8%		1.1%		–		–		–
Asset-backed securities		–		–		320		336		7		–		663
Yield (4)		–		–		0.5%		1.7%		1.4%		–		1.1%
Corporate debt and other debt		1,133		2,072		4,424		633		23		–		8,285
Yield (4)		1.0%		1.2%		1.6%		2.0%		4.7%		–		1.4%
Amortized cost, net of allowance		4,593		6,537		28,841		7,395		19,783		–		67,149
Fair value		4,597		6,567		28,701		7,311		19,647		–		66,823
Total carrying value of securities	$	20,625	$	27,513	$	73,087	$	28,338	$	73,257	$	61,904	$	284,724

(1)

Actual maturities may differ from contractual maturities shown above as borrowers may have the right to extend or prepay obligations with or without penalties.

(2)

Trading securities and FVOCI securities are recorded at fair value. Amortized cost securities, included in Investment securities, are recorded at amortized cost and presented net of allowance for credit losses.

(3)

Primarily composed of corporate debt, supra-national debt, and commercial paper.

(4)

The weighted average yield is derived using the contractual interest rate and the carrying value at the end of the year for the respective securities.

(5)

Certain equity securities that are not held-for-trading purposes are designated as FVOCI.

Unrealized gains and losses on securities at FVOCI

(1), (2)


	As at
	October 31, 2022									October 31, 2021

(Millions of Canadian dollars)	Cost/ Amortized cost		Gross unrealized gains		Gross unrealized losses			Fair value		Cost/ Amortized cost		Gross unrealized gains		Gross unrealized losses			Fair value
Debt issued or guaranteed by:
Canadian government
Federal (3)	$	4,081	$	1	$	(301	)	$	3,781	$	3,841	$	1	$	(139	)	$	3,703
Provincial and municipal		2,685		6		(567	)		2,124		3,328		3		(199	)		3,132
U.S. federal, state, municipal and agencies (3)		46,034		343		(2,019	)		44,358		34,678		353		(204	)		34,827
Other OECD government		5,154		7		(17	)		5,144		5,949		8		(1	)		5,956
Mortgage-backed securities (3)		2,985		1		(98	)		2,888		2,757		2		(12	)		2,747
Asset-backed securities
CDO		7,741		3		(220	)		7,524		7,074		1		(1	)		7,074
Non-CDO securities		547		–		(23	)		524		580		6		–			586
Corporate debt and other debt		25,852		51		(183	)		25,720		19,731		57		(11	)		19,777
Equities		551		284		(7	)		828		242		292		(1	)		533
	$	95,630	$	696	$	(3,435	)	$	92,891	$	78,180	$	723	$	(568	)	$	78,335

(1)

Excludes $77,127 million of held-to-collect securities as at October 31, 2022 that are carried at amortized cost, net of allowance for credit losses (October 31, 2021 – $67,149 million).

(2)

Gross unrealized gains and losses includes $(19) million of allowance for credit losses on debt securities at FVOCI as at October 31, 2022 (October 31, 2021 – $(9) million) recognized in income and Other components of equity.

(3)

The majority of the MBS are residential. Cost/Amortized cost, Gross unrealized gains, Gross unrealized losses and Fair value related to commercial MBS are $2,846 million, $1 million, $92 million and $2,755 million, respectively as at October 31, 2022 (October 31, 2021 – $2,603 million, $1 million, $12 million and $2,592 million, respectively).

Allowance for credit losses on investment securities

The following tables reconcile the opening and closing allowance for debt securities at FVOCI and amortized cost by stage. Reconciling items include the following:

•

Model changes, which generally comprise the impact of significant changes to the quantitative models used to estimate expected credit losses and any staging impacts that may arise.

•

Transfers between stages, which are presumed to occur before any corresponding remeasurement of the allowance.

•

Purchases, which reflect the allowance related to assets newly recognized during the period, including those assets that were derecognized following a modification of terms.

•

Sales and maturities, which reflect the allowance related to assets derecognized during the period without a credit loss being incurred, including those assets that were derecognized following a modification of terms.

•

Changes in risk, parameters and exposures, which comprise the impact of changes in model inputs or assumptions, including changes in forward-looking macroeconomic conditions; partial repayments; changes in the measurement following a transfer between stages; and unwinding of the time value discount due to the passage of time.

Allowance for credit losses – securities at FVOCI

(1)


	For the year ended
	October 31, 2022												October 31, 2021
	Performing						Impaired						Performing						Impaired

(Millions of Canadian dollars)	Stage 1			Stage 2			Stage 3 (2)			Total			Stage 1			Stage 2			Stage 3 (2)			Total
Balance at beginning of period	$	2		$	1		$	(12	)	$	(9	)	$	12		$	–		$	(4	)	$	8
Provision for credit losses
Model changes		–			–			–			–			(4	)		–			–			(4	)
Transfers to stage 1		1			(1	)		–			–			1			(1	)		–			–
Transfers to stage 2		–			–			–			–			–			–			–			–
Transfers to stage 3		–			–			–			–			–			–			–			–
Purchases		3			–			–			3			8			–			–			8
Sales and maturities		(1	)		–			–			(1	)		(10	)		(1	)		–			(11	)
Changes in risk, parameters and exposures		(2	)		1			(10	)		(11	)		(4	)		3			(9	)		(10	)
Exchange rate and other		–			–			(1	)		(1	)		(1	)		–			1			–
Balance at end of period	$	3		$	1		$	(23	)	$	(19	)	$	2		$	1		$	(12	)	$	(9	)

(1)

Expected credit losses on debt securities at FVOCI are not separately recognized on the Consolidated Balance Sheets as the related securities are recorded at fair value. The cumulative amount of credit losses recognized in income is presented in Other components of equity.

(2)

Reflects changes in the allowance for purchased credit impaired securities.

Allowance for credit losses – securities at amortized cost


	For the year ended
	October 31, 2022											October 31, 2021
	Performing						Impaired					Performing						Impaired

(Millions of Canadian dollars)	Stage 1			Stage 2			Stage 3		Total			Stage 1			Stage 2			Stage 3		Total
Balance at beginning of period	$	5		$	18		$	–	$	23		$	10		$	19		$	–	$	29
Provision for credit losses
Model changes		–			–			–		–			(4	)		–			–		(4	)
Transfers to stage 1		–			–			–		–			–			–			–		–
Transfers to stage 2		–			–			–		–			–			–			–		–
Transfers to stage 3		–			–			–		–			–			–			–		–
Purchases		11			–			–		11			9			–			–		9
Sales and maturities		(1	)		–			–		(1	)		(1	)		–			–		(1	)
Changes in risk, parameters and exposures		(7	)		(6	)		–		(13	)		(9	)		1			–		(8	)
Exchange rate and other		–			2			–		2			–			(2	)		–		(2	)
Balance at end of period	$	8		$	14		$	–	$	22		$	5		$	18		$	–	$	23

Credit risk exposure by internal risk rating

The following table presents the fair value of debt securities at FVOCI and gross carrying amount of securities at amortized cost. Risk ratings are based on internal ratings used in the measurement of expected credit losses, as at the reporting date, as outlined in the internal ratings maps in the Credit risk section of Management’s Discussion and Analysis.


	As at
	October 31, 2022								October 31, 2021
	Performing				Impaired				Performing				Impaired

(Millions of Canadian dollars)	Stage 1		Stage 2		Stage 3 (1)		Total		Stage 1		Stage 2		Stage 3 (1)		Total
Investment securities
Securities at FVOCI
Investment grade	$	91,177	$	56	$	–	$	91,233	$	77,147	$	82	$	–	$	77,229
Non-investment grade		680		–		–		680		423		–		–		423
Impaired		–		–		150		150		–		–		150		150
		91,857		56		150		92,063		77,570		82		150		77,802
Items not subject to impairment (2)								828								533
							$	92,891							$	78,335
Securities at amortized cost
Investment grade	$	76,035	$	–	$	–	$	76,035	$	66,033	$	–	$	–	$	66,033
Non-investment grade		898		216		–		1,114		928		211		–		1,139
Impaired		–		–		–		–		–		–		–		–
		76,933		216		–		77,149		66,961		211		–		67,172
Allowance for credit losses		8		14		–		22		5		18		–		23
Amortized cost	$	76,925	$	202	$	–	$	77,127	$	66,956	$	193	$	–	$	67,149

(1)

Reflects $150 million of purchased credit impaired securities (October 31, 2021 – $150 million).

(2)

Investment securities at FVOCI not subject to impairment represent equity securities designated as FVOCI.