v3.22.2.2
Loans and allowance for credit losses
 12 Months Ended
Oct. 31, 2022
Text Block [Abstract]  
Loans and allowance for credit losses
Note 5    Loans and allowance for credit losses
Loans by geography and portfolio net of allowance
 
  
 
As at October 31, 2022
 
             
(Millions of Canadian dollars)
 
Canada
 
 
United
States
 
 
Other
International
 
 
Total
 
 
Allowance for
loan losses
 
(1)
 
 
Total net
of allowance
 
Retail
(2)
 
      
 
      
 
      
 
      
 
      
 
      
Residential mortgages
  
$
  383,797
 
  
$
31,956
 
  
$
3,043
 
  
$
418,796
 
  
$
(432
 )  
$
418,364
 
Personal
  
 
79,422
 
  
 
14,888
 
  
 
3,399
 
  
 
97,709
 
  
 
(856
 )  
 
96,853
 
Credit cards
(3)
  
 
19,778
 
  
 
558
 
  
 
241
 
  
 
20,577
 
  
 
(849
 )  
 
19,728
 
Small business
(4)
  
 
12,669
 
  
 
–
 
  
 
–
 
  
 
12,669
 
  
 
(181
 )  
 
12,488
 
Wholesale
(2), (5)
  
 
108,916
 
  
 
114,795
 
  
 
50,256
 
  
 
273,967
 
  
 
(1,435
 )  
 
272,532
 
Total loans
  
$
604,582
 
  
$
  162,197
 
  
$
56,939
 
  
$
823,718
 
  
$
(3,753
 )  
$
819,965
 
Undrawn loan commitments – Retail
  
 
258,115
 
  
 
4,630
 
  
 
2,212
 
  
 
264,957
 
  
 
(243
 )        
Undrawn loan commitments – Wholesale
  
 
118,928
 
  
 
225,113
 
  
 
81,194
 
  
 
425,235
 
  
 
(135
 )  
 
 
 
                                                 
     As at October 31, 2021  
             
(Millions of Canadian dollars)
   Canada     United
States		     Other
International		     Total     Allowance for
loan losses 
(1)
     Total net
of allowance		  
Retail
(2)
                                                
Residential mortgages
   $ 354,169     $ 23,423     $ 2,740     $ 380,332     $ (416 )    $ 379,916  
Personal
     78,232       11,794       3,415       93,441       (973 )      92,468  
Credit cards
(3)
     17,235       384       203       17,822       (852 )      16,970  
Small business
(4)
     12,003       –       –       12,003       (168 )      11,835  
Wholesale
(2), (5)
     88,083       86,028       43,955       218,066       (1,680 )      216,386  
Total loans
   $ 549,722     $ 121,629     $ 50,313     $ 721,664     $ (4,089 )    $ 717,575  
Undrawn loan commitments – Retail
     240,242       3,713       1,989       245,944       (136 )         
Undrawn loan commitments – Wholesale
     107,070       189,177       75,331       371,578       (105 )   
 
 
 
 
(1)   Excludes allowance for loans measured at FVOCI of $5 million (October 31, 2021 – $14 million).
(2)   Geographic information is based on residence of the borrower.
(3)   The credit cards business is managed as a single portfolio and includes both consumer and business cards.
(4)   Includes small business exposure managed on a pooled basis.
(5)   Includes small business exposure managed on an individual client basis.
Loans maturity and rate sensitivity
 
  
 
As at October 31, 2022
 
 
 
Maturity term
 
(1)
 
 
 
 
 
Rate sensitivity
 
 
 
 
                 
(Millions of Canadian dollars)
 
Under
1 year 
(2)
 
 
1 to 5
years
 
 
Over 5
years
 
 
Total
 
 
Floating
 
 
Fixed
Rate
 
 
Non-rate-
sensitive
 
 
Total
 
Retail
  
$
277,302
 
  
$
226,793
 
  
$
45,656
 
  
$
549,751
 
  
$
199,414
 
  
$
342,087
 
  
$
8,250
 
  
$
549,751
 
Wholesale
  
 
226,813
 
  
 
35,802
 
  
 
11,352
 
  
 
273,967
    
 
46,660
 
  
 
225,123
 
  
 
2,184
 
  
 
273,967
 
Total loans
  
$
504,115
 
  
$
262,595
 
  
$
57,008
 
  
$
823,718
 
  
$
246,074
 
  
$
567,210
 
  
$
10,434
 
  
$
823,718
 
Allowance for loan losses
  
 
 
 
  
 
 
 
  
 
      
 
(3,753
 )  
 
 
 
  
 
 
 
  
 
 
    
 
(3,753
 )
Total loans net of allowance for loan losses
  
 
 
 
  
 
 
 
  
 
 
 
  
$
819,965
 
  
 
 
 
  
 
 
 
  
 
 
 
  
$
819,965
 
       
    
As at October 31, 2021
  
   
Maturity term
(1)
          
Rate sensitivity
        
                 
(Millions of Canadian dollars)
  
Under
1 year 
(2)
    
1 to 5
years
    
Over 5
years
    
Total
    
Floating
    
Fixed
Rate
    
Non-rate-

sensitive
    
Total
  
Retail
   $   249,363     $   222,408     $   31,827     $ 503,598     $   166,910     $   329,185     $ 7,503     $ 503,598  
Wholesale
     174,345       33,882       9,839       218,066       36,143       179,588       2,335       218,066  
Total loans
   $ 423,708     $ 256,290     $ 41,666     $ 721,664     $ 203,053     $ 508,773     $ 9,838     $ 721,664  
Allowance for loan losses
  
 
 
 
  
 
 
 
  
 
 
 
     (4,089 )   
 
 
 
  
 
 
 
  
 
 
 
     (4,089 ) 
Total loans net of allowance for loan losses
  
 
 
 
  
 
 
 
  
 
 
 
   $   717,575    
 
 
 
  
 
 
 
  
 
 
 
   $   717,575  
 
(1)   Generally, based on the earlier of contractual repricing or maturity date.
(2)   Includes variable rate loans that can be repriced at the clients’ discretion without penalty.
 
Allowance for credit losses
 
     For the year ended  
   
October 31, 2022
           October 31, 2021  
                       
(Millions of Canadian dollars)  
Balance at
beginning
of period
    
Provision
for credit
losses
    
Net
write-offs 
(1)		    
Exchange
rate and
other
    
Balance
at end
of period
            Balance at
beginning
of period		     Provision
for credit
losses		     Net
write-offs (1)
     Exchange
rate and
other		     Balance
at end
of period		  
Retail
                                                                                        
Residential mortgages
  
$
416
 
  
$
27
 
  
$
(24
) 
  
$
13
 
  
$
432
 
           $ 518     $ (43 )    $ (27 )    $ (32 )    $ 416  
Personal
  
 
1,079
 
  
 
211
 
  
 
(248
) 
  
 
1
 
  
 
1,043
 
             1,309       23       (247 )      (6 )      1,079  
Credit cards
  
 
875
 
  
 
348
 
  
 
(332
) 
  
 
2
 
  
 
893
 
             1,246       (72 )      (297 )      (2 )      875  
Small business
  
 
177
 
  
 
31
 
  
 
(23
) 
  
 
9
 
  
 
194
 
             140       12       (23 )      48       177  
Wholesale
  
 
1,797
 
  
 
(90
) 
  
 
(136
) 
  
 
3
 
  
 
1,574
 
             2,795       (560 )      (200 )      (238 )      1,797  
Customers’ liability under acceptances
  
 
75
 
  
 
(30
) 
  
 
–
 
  
 
–
 
  
 
45
 
  
 
 
 
     107       (32 )      –       –       75  
 
  
$
4,419
 
  
$
497
 
  
$
(763
) 
  
$
28
 
  
$
4,181
 
  
 
 
 
   $ 6,115     $ (672 )    $ (794 )    $ (230 )    $ 4,419  
Presented as:
                                                                                        
Allowance for loan losses
  
$
4,089
 
                          
$
3,753
 
           $ 5,639                             $ 4,089  
Other liabilities – Provisions
  
 
241
 
                          
 
378
 
             363                               241  
Customers’ liability under acceptances
  
 
75
 
                          
 
45
 
             107                               75  
Other components of equity
  
 
14
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
5
 
  
 
 
 
     6    
 
 
 
  
 
 
 
  
 
 
 
     14  
 
(1)   Loans written-off are generally subject to continued collection efforts for a period of time following write-off. The contractual amount outstanding on loans written-off during the year ended October 31, 2022 that are no longer subject to enforcement activity was $53 million (October 31, 2021 – $93 million).
The following table reconciles the opening and closing allowance for each major product of loans and commitments as determined by our modelled, scenario-weighted allowance and the application of expert credit judgment as applicable. 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 remeasurements of the allowance.
•  
Originations, which reflect the allowance related to assets newly recognized during the period, including those assets that were derecognized following a modification of terms.
•  
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 and additional draws on existing facilities; changes in the measurement following a transfer between stages; and unwinding of the time value discount due to the passage of time in Stage 1 and Stage 2.
 
Allowance for credit losses – Retail and wholesale loans
 
  
 
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
 
Residential mortgages
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Balance at beginning of period
  
$
186
 
  
$
92
 
          
$
138
 
  
$
416
 
           $ 206     $ 160             $ 152     $ 518  
Provision for credit losses
                                                                                        
Model changes
  
 
(21
) 
  
 
10
 
          
 
–
 
  
 
(11
) 
             (6 )      (5 )              –       (11 ) 
Transfers to stage 1
  
 
113
 
  
 
(98
) 
          
 
(15
) 
  
 
–
 
             205       (182 )              (23 )      –  
Transfers to stage 2
  
 
(14
) 
  
 
23
 
          
 
(9
) 
  
 
–
 
             (14 )      18               (4 )      –  
Transfers to stage 3
  
 
(2
) 
  
 
(25
) 
          
 
27
 
  
 
–
 
             (2 )      (44 )              46       –  
Originations
  
 
159
 
  
 
–
 
          
 
–
 
  
 
159
 
             113       –               –       113  
Maturities
  
 
(23
) 
  
 
(9
) 
          
 
–
 
  
 
(32
) 
             (30 )      (24 )              –       (54 ) 
Changes in risk, parameters and exposures
  
 
(167
) 
  
 
68
 
          
 
10
 
  
 
(89
) 
             (284 )      178               15       (91 ) 
Write-offs
  
 
–
 
  
 
–
 
          
 
(38
) 
  
 
(38
) 
             –       –               (37 )      (37 ) 
Recoveries
  
 
–
 
  
 
–
 
          
 
14
 
  
 
14
 
             –       –               10       10  
Exchange rate and other
  
 
4
 
  
 
4
 
  
 
 
 
  
 
5
 
  
 
13
 
  
 
 
 
     (2 )      (9 )   
 
 
 
     (21 )      (32 ) 
Balance at end of period
  
$
235
 
  
$
65
 
  
 
 
 
  
$
132
 
  
$
432
 
  
 
 
 
   $ 186     $ 92    
 
 
 
   $ 138     $ 416  
 
 
 
 
 
 
 
 
 
 
 
 
Personal
                                                                                        
Balance at beginning of period
  
$
422
 
  
$
569
 
          
$
88
 
  
$
1,079
 
           $ 480     $ 733             $ 96     $ 1,309  
Provision for credit losses
                                                                                        
Model changes
  
 
(3
) 
  
 
–
 
          
 
–
 
  
 
(3
) 
             (1 )      –               –       (1 ) 
Transfers to stage 1
  
 
609
 
  
 
(607
) 
          
 
(2
) 
  
 
–
 
             710       (706 )              (4 )      –  
Transfers to stage 2
  
 
(120
) 
  
 
121
 
          
 
(1
) 
  
 
–
 
             (97 )      97               –       –  
Transfers to stage 3
  
 
(2
) 
  
 
(47
) 
          
 
49
 
  
 
–
 
             (3 )      (58 )              61       –  
Originations
  
 
106
 
  
 
–
 
          
 
–
 
  
 
106
 
             128       –               –       128  
Maturities
  
 
(70
) 
  
 
(99
) 
          
 
–
 
  
 
(169
) 
             (96 )      (130 )              –       (226 ) 
Changes in risk, parameters and exposures
  
 
(660
) 
  
 
724
 
          
 
213
 
  
 
277
 
             (697 )      633               186       122  
Write-offs
  
 
–
 
  
 
–
 
          
 
(374
) 
  
 
(374
) 
             –       –               (387 )      (387 ) 
Recoveries
  
 
–
 
  
 
–
 
          
 
126
 
  
 
126
 
             –       –               140       140  
Exchange rate and other
  
 
3
 
  
 
–
 
  
 
 
 
  
 
(2
) 
  
 
1
 
  
 
 
 
     (2 )      –    
 
 
 
     (4 )      (6 ) 
Balance at end of period
  
$
285
 
  
$
661
 
  
 
 
 
  
$
97
 
  
$
1,043
 
  
 
 
 
   $ 422     $ 569    
 
 
 
   $ 88     $ 1,079  
 
 
 
 
 
 
 
 
 
 
 
 
Credit cards
                                                                                        
Balance at beginning of period
  
$
233
 
  
$
642
 
          
$
–
 
  
$
875
 
           $ 364     $ 882             $ –     $ 1,246  
Provision for credit losses
                                                                                        
Model changes
  
 
(2
) 
  
 
–
 
          
 
–
 
  
 
(2
) 
             –       –               –       –  
Transfers to stage 1
  
 
495
 
  
 
(495
) 
          
 
–
 
  
 
–
 
             723       (723 )              –       –  
Transfers to stage 2
  
 
(95
) 
  
 
95
 
          
 
–
 
  
 
–
 
             (105 )      105               –       –  
Transfers to stage 3
  
 
(2
) 
  
 
(325
) 
          
 
327
 
  
 
–
 
             (4 )      (309 )              313       –  
Originations
  
 
10
 
  
 
–
 
          
 
–
 
  
 
10
 
             6       –               –       6  
Maturities
  
 
(5
) 
  
 
(29
) 
          
 
–
 
  
 
(34
) 
             (7 )      (31 )              –       (38 ) 
Changes in risk, parameters and exposures
  
 
(458
) 
  
 
826
 
          
 
6
 
  
 
374
 
             (742 )      719               (17 )      (40 ) 
Write-offs
  
 
–
 
  
 
–
 
          
 
(503
) 
  
 
(503
) 
             –       –               (460 )      (460 ) 
Recoveries
  
 
–
 
  
 
–
 
          
 
171
 
  
 
171
 
             –       –               163       163  
Exchange rate and other
  
 
1
 
  
 
2
 
  
 
 
 
  
 
(1
) 
  
 
2
 
  
 
 
 
     (2 )      (1 )   
 
 
 
     1       (2 ) 
Balance at end of period
  
$
177
 
  
$
716
 
  
 
 
 
  
$
–
 
  
$
893
 
  
 
 
 
   $ 233     $ 642    
 
 
 
   $ –     $ 875  
 
 
 
 
 
 
 
 
 
 
 
 
Small business
                                                                                        
Balance at beginning of period
  
$
88
 
  
$
55
 
          
$
34
 
  
$
177
 
           $ 78     $ 29             $ 33     $ 140  
Provision for credit losses
                                                                                        
Model changes
  
 
–
 
  
 
–
 
          
 
–
 
  
 
–
 
             3       1               –       4  
Transfers to stage 1
  
 
27
 
  
 
(27
) 
          
 
–
 
  
 
–
 
             57       (57 )              –       –  
Transfers to stage 2
  
 
(17
) 
  
 
17
 
          
 
–
 
  
 
–
 
             (11 )      11               –       –  
Transfers to stage 3
  
 
(1
) 
  
 
(4
) 
          
 
5
 
  
 
–
 
             (1 )      (2 )              3       –  
Originations
  
 
32
 
  
 
–
 
          
 
–
 
  
 
32
 
             36       –               –       36  
Maturities
  
 
(22
) 
  
 
(24
) 
          
 
–
 
  
 
(46
) 
             (21 )      (22 )              –       (43 ) 
Changes in risk, parameters and exposures
  
 
(43
) 
  
 
50
 
          
 
38
 
  
 
45
 
             (77 )      64               28       15  
Write-offs
  
 
–
 
  
 
–
 
          
 
(32
) 
  
 
(32
) 
             –       –               (32 )      (32 ) 
Recoveries
  
 
–
 
  
 
–
 
          
 
9
 
  
 
9
 
             –       –               9       9  
Exchange rate and other
  
 
9
 
  
 
6
 
  
 
 
 
  
 
(6
) 
  
 
9
 
  
 
 
 
     24       31    
 
 
 
     (7 )      48  
Balance at end of period
  
$
73
 
  
$
73
 
  
 
 
 
  
$
48
 
  
$
194
 
  
 
 
 
   $ 88     $ 55    
 
 
 
   $ 34     $ 177  
 
 
 
 
 
 
 
 
 
 
 
 
Wholesale
                                                                                        
Balance at beginning of period
  
$
566
 
  
$
794
 
          
$
437
 
  
$
1,797
 
           $ 995     $ 1,132             $ 668     $ 2,795  
Provision for credit losses
                                                                                        
Model changes
  
 
(14
) 
  
 
(3
) 
          
 
–
 
  
 
(17
) 
             1       24               –       25  
Transfers to stage 1
  
 
415
 
  
 
(411
) 
          
 
(4
) 
  
 
–
 
             581       (576 )              (5 )      –  
Transfers to stage 2
  
 
(78
) 
  
 
80
 
          
 
(2
) 
  
 
–
 
             (132 )      161               (29 )      –  
Transfers to stage 3
  
 
(3
) 
  
 
(62
) 
          
 
65
 
  
 
–
 
             (4 )      (60 )              64       –  
Originations
  
 
641
 
  
 
–
 
          
 
–
 
  
 
641
 
             601       –               –       601  
Maturities
  
 
(439
) 
  
 
(345
) 
          
 
–
 
  
 
(784
) 
             (488 )      (500 )              –       (988 ) 
Changes in risk, parameters and exposures
  
 
(504
) 
  
 
503
 
          
 
71
 
  
 
70
 
             (931 )      689               44       (198 ) 
Write-offs
  
 
–
 
  
 
–
 
          
 
(202
) 
  
 
(202
) 
             –       –               (253 )      (253 ) 
Recoveries
  
 
–
 
  
 
–
 
          
 
66
 
  
 
66
 
             –       –               53       53  
Exchange rate and other
  
 
13
 
  
 
29
 
  
 
 
 
  
 
(39
) 
  
 
3
 
  
 
 
 
     (57 )      (76 )   
 
 
 
     (105 )      (238 ) 
Balance at end of period
  
$
597
 
  
$
585
 
  
 
 
 
  
$
392
 
  
$
1,574
 
  
 
 
 
   $ 566     $ 794    
 
 
 
   $ 437     $ 1,797  
 
Key inputs and assumptions
The measurement of expected credit losses is a complex calculation that involves a large number of interrelated inputs and assumptions and the allowance is not sensitive to any one single factor alone. The key drivers of changes in expected credit losses include the following:
  •  
Changes in the credit quality of the borrower or instrument, primarily reflected in changes in internal risk ratings;
  •  
Changes in forward-looking macroeconomic conditions, specifically the macroeconomic variables to which our models are calibrated, which are those most closely correlated with credit losses in the relevant portfolio;
  •  
Changes in scenario design and the weights assigned to each scenario; and
  •  
Transfers between stages, which can be triggered by changes to any of the above inputs.
To reflect relevant risk factors not captured in our modelled results, we applied expert credit judgment in determining significant increases in credit risk since origination as well as in the measurement of our weighted allowance for credit losses due to uncertainty related to the pace and level of deterioration in economic forecasts.
Internal risk ratings
Internal risk ratings are assigned according to the risk management framework outlined under the headings Wholesale credit risk and Retail credit risk of the Credit risk section of Management’s Discussion and Analysis. Changes in internal risk ratings are primarily reflected in the PD parameters, which are estimated based on our historical loss experience at the relevant risk segment or risk rating level, adjusted for forward-looking information.
Scenario design and weightings
Our estimation of expected credit losses in Stage 1 and Stage 2 considers five distinct future macroeconomic scenarios. Scenarios are designed to capture a wide range of possible outcomes and are weighted according to our expectation of the relative likelihood of the range of outcomes that each scenario represents at the reporting date. We weight each scenario to take into account historical frequency, current trends, and forward-looking conditions which will change over time. The base case scenario is based on forecasts of the expected rate, value or yield for each relevant macroeconomic variable. The upside and downside scenarios are set by adjusting our base projections to construct reasonably possible scenarios and weightings that are more optimistic and pessimistic, respectively, than the base case. Two additional downside scenarios capture the non-linear nature of potential credit losses across our portfolios.
The impact of each of our five scenarios varies across our portfolios given the portfolios have different sensitivities to movements in each macroeconomic variable. We reassessed our scenario weights to increase weight to the downside scenarios relative to October 31, 2021 in order to reflect the uncertainty and downside risk of deeper recessions than contemplated in our base scenario.
The impact of weighting these multiple scenarios increased our ACL on performing loans, relative to our base scenario, by $738 million at October 31, 2022 (October 31, 2021 – $726 million).
Forward looking macroeconomic variables
The PD, LGD and EAD inputs used to estimate
S
tage 1 and
S
tage 2 credit loss allowances are modelled based on the macroeconomic variables (or changes in macroeconomic variables) that are most closely correlated with credit losses in the relevant portfolio. Each macroeconomic scenario used in our expected credit loss calculation includes a projection of all relevant macroeconomic variables used in our models for a five year horizon, reverting to long-run averages generally within the 2 to 5 year period. Depending on their usage in the models, macroeconomic variables are projected at a country, province/state or more granular level. These include one or more of the variables described below, which differ by portfolio and region.
Our allowance for credit losses reflects our economic outlook as at October
 
31, 2022. Subsequent changes to this forecast and related estimates will be reflected in our allowance for credit losses in future periods.
Our base scenario reflects rising unemployment rates, high inflation, production capacity limits, supply chain pressures, and increased expectations for central banks to continue increasing interest rates which results in moderate recessions expected in Canada and the U.S. in calendar 2023. Our base scenario also reflects declining housing prices in Canada.
Downside scenarios, including two additional and more severe downside scenarios designed for the energy and real estate sectors, reflect the possibility of a more severe macroeconomic shock beginning in calendar Q1 2023 relative
to
our base scenario. Conditions are expected to deteriorate from calendar Q4 2022 levels for up to 18 months, followed by a recovery for the remainder of the period. These scenarios assume monetary policy responses that return the economy to a long-run, sustainable growth rate within the forecast period. The possibility of a deeper recession and a more prolonged recovery as compared to our base scenario, including further monetary policy responses to elevated inflation rates which may increase credit risk, is reflected in our general downside scenario.
The upside scenario reflects slightly stronger economic growth than the base scenario, without prompting a further offsetting monetary policy response as compared to our base scenario, followed by a return to a long-run sustainable growth rate within the forecast period.
 
The following provides additional detail about our calendar quarter forecasts for certain key macroeconomic variables used in the models to estimate ACL:
 
•  
Unemployment
– In our base forecast, calendar Q4 2022 unemployment rates are expected to rise to 5.6% in Canada and 3.9% in the U.S., peaking by Q4 2023 at 6.8% in Canada and 5.1% in the U.S., and reverting to the long run equilibrium towards the latter end of the forecast horizon.
 
 
  
 
 
•  
Gross Domestic Product (GDP)
– In our base forecast, we expect Canadian and U.S GDP growth to slow and for both regions to experience moderate recessions during the first half of calendar 2023. GDP in calendar Q4 2023 is expected to be 0.2% below Q4 2022 levels in Canada, and 0.4% below such levels in the U.S.
 
 

   

 
 
•  
Oil price (West Texas Intermediate in US$)
– In our base forecast, we expect oil prices to average $88 per barrel over the next 12 months from calendar Q4 2022 and $72 per barrel in the following 2 to 5 years. The range of average prices in our alternative downside and upside scenarios is $29 to $114 per barrel for the next 12 months and $42 to $77 per barrel for the following 2 to 5 years. As at October 31, 2021, our base forecast included an average price of $71 per barrel for the next 12 months and $56 per barrel for the following 2 to 5 years.
 
•  
Canadian housing price
index
– In our base forecast, we expect housing prices to decrease by (1.0)% over the next 12 months
 
from calendar Q4 2022
, with a compound annual growth rate of 5.2% for the following 2 to 5 years. The range of annual housing price growth (contraction) in our alternative real estate downside and upside scenarios is (30.0)% to 10.9% over the next 12 months and 4.2% to 9.5% for the following 2 to 5 years. As at October 31, 2021 our base forecast included housing price growth of 0.1% from calendar Q4 2021 for the next 12 months and 4.1% for the following 2 to 5 years. 
The primary variables driving credit losses in our retail portfolios are Canadian unemployment rates, Canadian housing price index and Canadian GDP. The Canadian overnight interest rate also impacts our retail portfolios. Our wholesale portfolios are affected by all of the variables discussed above; however, the specific variables differ by sector. Other variables also impact our wholesale portfolios including, but not limited to, Canadian and U.S. 10 year BBB corporate bond credit spreads, Canadian and U.S. 10 year government bond yields, U.S. 10 year BBB corporate bond yield, Canadian consumer confidence index, Canadian and U.S. commercial real estate price indices, U.S. housing price index, and natural gas prices (Henry Hub).
Increases in the following macroeconomic variables will generally correlate with higher expected credit losses: Canadian and U.S. unemployment rates, Canadian overnight interest rates, Canadian and U.S. 10 year BBB corporate bond credit spreads, Canadian and U.S. 10 year government bond yields, and U.S. 10 year BBB corporate bond yield.
Increases in the following macroeconomic variables will generally correlate with lower expected credit losses: Canadian and U.S. housing price indices, Canadian and U.S. GDP, Canadian consumer confidence index, Canadian and U.S. commercial real estate price indices, and oil and natural gas prices.
 
Transfers between stages
Transfers between
S
tage 1 and
S
tage 2 are based on the assessment of significant increases in credit risk relative to initial recognition, as described in Note 2. The impact of moving from 12 months expected credit losses to lifetime expected credit losses, or vice versa, varies by product and is dependent on the expected remaining life at the date of the transfer. Stage transfers may result in significant fluctuations in expected credit losses.
The following table illustrates the impact of staging on our ACL by comparing our allowance if all performing loans were in
S
tage 1 to the actual ACL recorded on these assets.

 
  
 
As at   
 
       
 
 
October 31, 2022
 
 
 
 
  
October 31, 2021
 
               
  
 
ACL – All performing
loans in Stage 1
 
  
Impact of
staging
 
  
Stage 1 and 2
ACL
 
 
  
 
  
ACL – All performing
loans in Stage 1
 
  
Impact of
staging
 
  
Stage 1 and 2
ACL
 
       
Performing loans
(1)
  
 
$    2,373
 
   
 
$    1,094
 
   
 
$    3,467
 
  
 
 
 
      $    2,521        $    1,125        $    3,646  
 
(1)
 
Represents loans and commitments in Stage 1 and Stage 2.
Credit risk exposure by internal risk rating
The following table presents the gross carrying amount of loans measured at amortized cost, and the full contractual amount of undrawn loan commitments subject to the impairment requirements of IFRS 9. 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 for Wholesale and Retail facilities in the Credit risk section of Management’s Discussion and Analysis.
 
  
 
    As at
 
 
 
October 31, 2022
 
 
 
 
 
October 31, 2021
 
                   
(Millions of Canadian dollars)
 
Stage 1
 
 
Stage 2
 
 
Stage 3 
(1)
 
 
Total
 
 
  
 
 
Stage 1
 
 
Stage 2
 
 
Stage 3 (1)
 
 
Total
 
Retail
 
 
               
 
 
 
             
 
 
 
           
 
 
 
               
 
 
      
 
      
 
      
 
      
 
      
Loans outstanding – Residential mortgages
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Low risk
  
$
340,716
 
  
$
2,573
 
  
$
–
 
  
$
343,289
 
           $ 310,334     $ 1,507     $ –     $ 311,841  
Medium risk
  
 
15,035
 
  
 
1,932
 
  
 
–
 
  
 
16,967
 
             15,152       2,051       –       17,203  
High risk
  
 
1,188
 
  
 
3,125
 
  
 
–
 
  
 
4,313
 
             3,343       634       –       3,977  
Not rated
(2)
  
 
51,915
 
  
 
1,304
 
  
 
–
 
  
 
53,219
 
             45,512       913       –       46,425  
Impaired
  
 
–
 
  
 
–
 
  
 
560
 
  
 
560
 
  
 
 
 
     –       –       645       645  
 
  
 
408,854
 
  
 
8,934
 
  
 
560
 
  
 
418,348
 
  
 
 
 
     374,341       5,105       645       380,091  
Items not subject to impairment
(3)
  
 
 
 
  
 
 
 
  
 
 
 
  
 
448
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
     241  
Total
  
 
 
 
  
 
 
 
  
 
 
 
  
$
418,796
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
$

 380,332  
Loans outstanding – Personal
                                                                        
Low risk
  
$
73,339
 
  
$
2,575
 
  
$
–
 
  
$
75,914
 
           $ 72,267     $ 698     $ –     $ 72,965  
Medium risk
  
 
5,482
 
  
 
3,780
 
  
 
–
 
  
 
9,262
 
             4,974       4,551       –       9,525  
High risk
  
 
836
 
  
 
1,660
 
  
 
–
 
  
 
2,496
 
             687       1,045       –       1,732  
Not rated
(2)
  
 
9,733
 
  
 
104
 
  
 
–
 
  
 
9,837
 
             8,934       88       –       9,022  
Impaired
  
 
–
 
  
 
–
 
  
 
200
 
  
 
200
 
  
 
 
 
     –       –       197       197  
Total
  
$
89,390
 
  
$
8,119
 
  
$
 
200
 
  
$
97,709
 
  
 
 
 
  
$
 		 86,862    
$

 6,382    
$
 		 197    
$

 93,441  
Loans outstanding – Credit cards
                                                                        
Low risk
  
$
15,088
 
  
$
83
 
  
$
–
 
  
$
15,171
 
           $ 12,864     $ 24     $ –     $ 12,888  
Medium risk
  
 
1,418
 
  
 
1,911
 
  
 
–
 
  
 
3,329
 
             1,646       1,645       –       3,291  
High risk
  
 
39
 
  
 
1,255
 
  
 
–
 
  
 
1,294
 
             136       937       –       1,073  
Not rated
(2)
  
 
751
 
  
 
32
 
  
 
–
 
  
 
783
 
  
 
 
 
     527       43       –       570  
Total
  
$
 
17,296
 
  
$
3,281
 
  
$
–
 
  
$
20,577
 
  
 
 
 
  
$

 15,173    
$

 2,649    
$

 –    
$

 17,822  
Loans outstanding – Small business
                                                                        
Low risk
  
$
8,571
 
  
$
838
 
  
$
–
 
  
$
9,409
 
           $ 8,609     $ 274     $ –     $ 8,883  
Medium risk
  
 
1,512
 
  
 
1,130
 
  
 
–
 
  
 
2,642
 
             1,583       979       –       2,562  
High risk
  
 
102
 
  
 
375
 
  
 
–
 
  
 
477
 
             227       218       –       445  
Not rated
(2)
  
 
3
 
  
 
–
 
  
 
–
 
  
 
3
 
             4       –       –       4  
Impaired
  
 
–
 
  
 
–
 
  
 
138
 
  
 
138
 
  
 
 
 
     –       –       109       109  
Total
  
$
10,188
 
  
$
2,343
 
  
$
138
 
  
$
 
12,669
 
  
 
 
 
  
$

 10,423    
$
 		 1,471    
$

 109    
$
 		 12,003  
Undrawn loan commitments – Retail
                                                                        
Low risk
  
$
247,620
 
  
$
1,041
 
  
$
–
 
  
$
248,661
 
           $ 229,516     $ 574     $ –     $ 230,090  
Medium risk
  
 
9,021
 
  
 
246
 
  
 
–
 
  
 
9,267
 
             9,475       133       –       9,608  
High risk
  
 
876
 
  
 
367
 
  
 
–
 
  
 
1,243
 
             1,205       97       –       1,302  
Not rated
(2)
  
 
5,668
 
  
 
118
 
  
 
–
 
  
 
5,786
 
  
 
 
 
     4,854       90       –       4,944  
Total
  
$
263,185
 
  
$
1,772
 
  
$
–
 
  
$
264,957
 
  
 
 
 
  
$

 245,050    
$

 894    
$

 –    
$

 245,944  
Wholesale – Loans outstanding
                                                                       
Investment grade
  
$
88,513
 
  
$
202
 
  
$
–
 
  
$
88,715
 
           $ 62,975     $ 226     $ –     $ 63,201  
Non-investment grade
  
 
145,908
 
  
 
15,758
 
  
 
–
 
  
 
161,666
 
             117,396       15,146       –       132,542  
Not rated
(2)
  
 
11,789
 
  
 
360
 
  
 
–
 
  
 
12,149
 
             9,339       430       –       9,769  
Impaired
  
 
–
 
  
 
–
 
  
 
1,301
 
  
 
1,301
 
  
 
 
 
     –       –       1,357       1,357  
 
  
246,210
 
  
16,320
 
  
1,301
 
  
263,831
 
  
 
 
 
  
189,710    
15,802    
1,357    
206,869  
Items not subject to impairment
(3)
  
 
 
 
  
 
 
 
  
 
 
 
  
 
10,136
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
     11,197  
Total
  
 
 
 
  
 
 
 
  
 
 
 
  
$
273,967
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
$

 218,066  
Undrawn loan commitments – Wholesale
                                                                        
Investment grade
  
$
284,481
 
  
$
179
 
  
$
–
 
  
$
284,660
 
           $   246,539     $ 1,122     $ –     $ 247,661  
Non-investment grade
  
 
126,225
 
  
 
10,657
 
  
 
–
 
  
 
136,882
 
             108,063         12,377       –       120,440  
Not rated
(2)
  
 
3,692
 
  
 
1
 
  
 
–
 
  
 
3,693
 
  
 
 
 
     3,476       1       –       3,477  
Total
  
$
414,398
 
  
$
10,837
 
  
$
–
 
  
$
425,235
 
  
 
 
 
  
$
 		 358,078    
$
 13,500    
$

 –    
$

   371,578  

(1)   As at October 31, 2022,
 
88% of credit-impaired loans were either fully or partially collateralized (October 31, 2021 – 86%). For details on the types of collateral held against credit-impaired assets and our policies on collateral, refer to the Credit risk mitigation section of Management’s Discussion and Analysis.
(2)   In certain cases where an internal risk rating is not assigned, we use other approved credit risk assessments or rating methodologies, policies and tools to manage our credit risk.
(3)   Items not subject to impairment are loans held at FVTPL.
 
Loans past due but not impaired
(1), (2)

 
  
 
  As at  
 
 
 
October 31, 2022
 
 
 
 
October 31, 2021
 
(Millions of Canadian dollars)
 
30 to 89 days
 
 
90 days
and greater
 
 
Total
 
 
 
 
30 to 89 days
 
 
90 days
and greater
 
 
Total
 
Retail
  
$
1,328
 
  
$
168
 
  
$
1,496
 
 
  
 
$
1,105
    
$
137
    
$
1,242
  
Wholesale
  
 
1,279
 
  
 
2
 
  
 
1,281
 
 
 
 
 
1,230
    
 
–
    
 
1,230
  
 
  
$
2,607
 
  
$
170
 
  
$
2,777
 
 
 
 
$
2,335
    
$
137
    
$
  2,472
  
 
(1)   Excludes loans less than 30 days past due as they are not generally representative of the borrowers’ ability to meet their payment obligations.
(2)   Amounts presented may include loans past due as a result of administrative processes, such as mortgage loans on which payments are restrained pending payout due to sale or refinancing. Past due loans arising from administrative processes are not representative of the borrowers’ ability to meet their payment obligations.