v3.22.2.2
IFRS 7 Disclosure (Tables)
 12 Months Ended
Oct. 31, 2022
Text Block [Abstract]  
Wholesale Rankings of 22 Grade Internal Risk Ratings with Ratings Used by S&P and Moody's The following table aligns the relative rankings of our
22-grade
internal risk ratings with the external ratings used by S&P and Moody’s.
Internal ratings map*
 
Table 41  
 
  
 
  
 
  
 
 
PD Bands
 
 
 
  
 
 
  
  
 
    
 
  
 
  
Ratings
 
Business and Bank
 
Sovereign
 
BRR
 
S&P
 
Moody’s
  
Description
1
 
0.0000% – 0.0300%
 
0.0000% – 0.0150%
 
 1+
 
 AAA
 
 Aaa
  
Investment Grade
2
 
0.0000% – 0.0300%
 
0.0151% – 0.0250%
 
 1H
 
 AA+
 
 Aa1
3
 
0.0000% – 0.0350%
 
0.0251% – 0.0350%
 
 1M
 
 AA
 
 Aa2
4
 
0.0351% – 0.0450%
 
 1L
 
 AA-
 
 Aa3
5
 
0.0451% – 0.0550%
 
 2+H
 
 A+
 
 A1
6
 
0.0551% – 0.0650%
 
 2+M
 
 A
 
 A2
7
 
0.0651% – 0.0750%
 
 2+L
 
 A-
 
 A3
8
 
0.0751% – 0.0850%
 
 2H
 
 BBB+
 
 Baa1
9
 
0.0851% – 0.1000%
 
 2M
 
 BBB
 
 Baa2
10
 
0.1001% – 0.1770%
 
 2L
 
 BBB-
 
 Baa3
11
 
0.1771% – 0.3705%
 
 2-H
 
 BB+
 
 Ba1
  
Non-investment
 
Grade
12
 
0.3706% – 0.7065%
 
 2-M
 
 BB
 
 Ba2
13
 
0.7066% – 1.1600%
 
 2-L
 
 BB-
 
 Ba3
14
 
1.1601% – 1.6810%
 
 3+H
 
 B+
 
 B1
15
 
1.6811% – 2.3490%
 
 3+M
 
 B
 
 B2
16
 
2.3491% – 4.4040%
 
 3+L
 
 B-
 
 B3
17
 
4.4041% – 7.0010%
 
 3H
 
 CCC+
 
 Caa1
18
 
7.0011% – 13.1760%
 
 3M
 
 CCC
 
 Caa2
19
 
13.1761% – 24.9670%
 
 3L
 
 CCC-
 
 Caa3
20
 
24.9671% – 99.9990%
 
 4
 
 CC
 
 Ca
21
 
100%
 
 5
 
 D
 
 C
  
Impaired
22
 
100%
 
 6
 
 D
 
 C
 
 
*
 
This table represents an integral part of our 2022 Annual Consolidated Financial Statements.
Summary of Retail PD Bands to Various Risk Levels The following table maps PD bands to various summarized risk levels for retail exposures:
Internal ratings map*
   
Table 42  
   
PD bands
   
Description
0.030% – 3.844%    Low risk
3.845% – 6.786%    Medium risk
6.787% – 99.99%    High risk
100%    Impaired/Default
 
  *   This table represents an integral part of our 2022 Annual Consolidated Financial Statements.
Summary of Market Risk VaR and Market Risk SVaR
Market risk measures – FVTPL positions
 
 
Market risk measures*
 
  
 
Table 50  
 
   
 
October 31, 2022
    
 
October 31, 2021
  
         
For the year ended
           For the year ended  
                 
(Millions of Canadian dollars)  
As at
    
Average
    
High
    
Low
     As at     Average     High     Low  
Equity
  
$
      45
 
  
$
      34
 
  
$
      51
 
  
$
      21
 
   $       24     $       20     $       38     $       12  
Foreign exchange
  
 
3
 
  
 
4
 
  
 
7
 
  
 
1
 
     4       4       6       2  
Commodities
  
 
6
 
  
 
5
 
  
 
6
 
  
 
3
 
     3       3       4       2  
Interest rate
(1)
  
 
47
 
  
 
34
 
  
 
62
 
  
 
17
 
     61       44       64       21  
Credit specific
(2)
  
 
5
 
  
 
7
 
  
 
10
 
  
 
4
 
     9       8       11       6  
Diversification
(3)
  
 
(47
) 
  
 
(31
) 
  
 
n.m.
 
  
 
n.m.
 
     (51 )      (35 )      n.m.       n.m.  
Market risk VaR
(4)
  
$
59
 
  
$
53
 
  
$
87
 
  
$
34
 
   $ 50     $ 44     $ 72     $ 23  
Market risk Stressed VaR
(4)
  
$
192
 
  
$
103
 
  
$
226
 
  
$
47
 
   $ 59     $ 53     $ 101     $ 29  
 
*   This table represents an integral part of our 2022 Annual Consolidated Financial Statements.
(1)   General credit spread risk and funding spread risk associated with uncollateralized derivatives are included under interest rate VaR.
(2)   Credit specific risk captures issuer-specific credit spread volatility.
(3)   Market risk VaR is less than the sum of the individual risk factor VaR results due to risk factor diversification.
(4)   The average market risk VaR and average SVaR for the year ended October 31, 2022 includes $11 million and $36 million, respectively (October 31, 2021 – $13 million and $15 million), related to loan underwriting commitments.
n.m.   not meaningful
Summary of Market Risk Structural Interest Rate Sensitivities Measures
Market risk controls – Interest Rate Risk in the Banking Book (IRRBB) positions
1
IRRBB arises primarily from traditional customer-originated banking products such as deposits and loans, and includes related hedges and interest rate risk from securities held for liquidity management purposes. Factors contributing to IRRBB include mismatches between asset and liability repricing dates, relative changes in asset and liability rates in response to market rate scenarios, and other product features affecting the expected timing of cash flows, such as options to
pre-pay
loans or redeem term deposits prior to contractual maturity. IRRBB sensitivities are regularly measured and reported, and subject to limits and controls with independent oversight from GRM.
The Board approves the risk appetite for IRRBB, and the Asset-Liability Committee (ALCO) and GRM provide ongoing governance through IRRBB risk policies, limits, operating standards and other controls. IRRBB reports are reviewed regularly by GRM, ALCO, the GRC, the Risk Committee of the Board and the Board.
 
IRRBB measurement
To monitor and control IRRBB, we assess two primary metrics, Net Interest Income (NII) risk and Economic Value of Equity (EVE) risk, under a range of market shocks, scenarios, and time horizons. Market scenarios include currency-specific parallel and
non-parallel
yield curve changes, interest rate volatility shocks, and interest rate scenarios prescribed by regulators.
In measuring NII risk, detailed banking book balance sheets and income statements are dynamically simulated to estimate the impact of market stress scenarios on projected NII. Assets, liabilities and
off-balance
sheet positions are simulated over various time horizons. The simulations incorporate maturities, renewals, and new originations along with prepayment and redemption behaviour. Product pricing and volumes are forecasted based on past experience to determine response expectations for a given market shock scenario. EVE risk captures the market value sensitivity to changes in rates. In measuring EVE risk, deterministic (single-scenario) and stochastic (multiple-scenario) valuation techniques are applied to spot position data. NII and EVE risks are measured for a range of market risk stress scenarios which include extreme but plausible changes in market rates and volatilities. IRRBB measures assume continuation of existing hedge strategies.
Management of NII and EVE risk is complementary and supports our efforts to generate a sustainable high-quality NII stream. NII and EVE risks for specific units are measured daily, weekly or monthly depending on materiality, complexity and hedge strategy.
A number of assumptions affecting cash flows, product
re-pricing
and the administration of rates underlie the models used to measure NII and EVE risk. The key assumptions pertain to the projected funding date of mortgage rate commitments, fixed-rate loan prepayment behaviour, term deposit redemption behaviour, and the term and rate profile of
non-maturity
deposits. All assumptions are derived empirically based on historical client behaviour and product pricing with consideration of possible forward-looking changes. All models and assumptions used to measure IRRBB are subject to independent oversight by GRM.
 
Market risk measures – IRRBB Sensitivities
The following table shows the potential
before-tax
impact of an immediate and sustained 100 bps increase or decrease in interest rates on projected
12-month
NII and EVE, assuming no subsequent hedging. Rate floors are applied within the declining rate scenarios to prevent EVE valuation and NII simulation market rate levels from falling below a minimum average level of negative 25 bps across major currencies. Interest rate risk measures are based on current on and
off-balance
sheet positions which can change over time in response to business activity and management actions.
 
Market risk – IRRBB measures*
 
 
 
Table 51  
 
 
 
October 31
2022
 
 
 
 
October 31
2021
 
 
 
EVE risk
 
 
 
 
NII risk
(1)
 
 
 
 
 
 
 
 
 
(Millions of Canadian dollars)  
Canadian
dollar impact
    
U.S. dollar
impact
    
Total
         
Canadian
dollar impact
    
U.S. dollar
impact
    
Total
          EVE risk     NII risk (1)  
Before-tax
impact of:
                                                                        
100 bps increase in rates
 
$
(1,332
) 
 
$
    (568
) 
 
$
    
(1,900
) 
 
  
 
$
     
547
 
 
$
     
234
 
 
$
     
781
 
 
  
 
$
(2,009
) 
 
$
     
929
 
100 bps decrease in rates
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1,269
 
 
 
440
 
 
 
1,709
 
 
 
 
 
(598
) 
 
 
(241
) 
 
 
(839
) 
 
 
 
 
        1,537
 
 
 
(921
) 
 
 
*
 
This table represents an integral part of our 2022 Annual Consolidated Financial Statements.
(1)
 
Represents the
 
12-month
 
NII exposure to an instantaneous and sustained shift in interest rates.
Summary of Long-Term Funding Sources
 
 
Long-term funding sources*
(1)
 
 
 
Table 55  
 
 
 
       As at       
 
(Millions of Canadian dollars)
 
October 31
2022
 
 
  
 
 
October 31
2021
 
Unsecured long-term funding
  
$
119,241
 
           $ 89,447  
Secured long-term funding
  
 
68,953
 
             56,688  
Subordinated debentures
  
 
10,639
 
  
 
 
 
     9,620  
 
  
$
  198,833
 

  
 
 
 
   $   155,755  
 
  *   This table represents an integral part of our 2022 Annual Consolidated Financial Statements.
  (1)   Based on original term to maturity greater than 1 year.
Summary of Contractual Maturities of Financial Liabilities and Off-Balance Sheet Items - Undiscounted Basis
 
Contractual maturities of financial liabilities and
off-balance
sheet items – undiscounted basis*
 
  
 
Table 63  
 
   
As at October 31, 2022
  
(Millions of Canadian dollars)  
On
demand
    
Within
1 year
    
1 year
to 2 years
    
2 years
to 5 years
    
5 years
and greater
    
Total
  
Financial liabilities
                                                
Deposits
(1)
  
$
562,288
 
  
$
463,711
 
  
$
50,169
 
  
$
106,568
 
  
$
37,260
 
  
$
1,219,996
 
Other
                                                
Acceptances
  
 
–
 
  
 
17,872
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
17,872
 
Obligations related to securities sold short
  
 
–
 
  
 
35,395
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
35,395
 
Obligations related to assets sold under repurchase agreements and securities loaned
  
 
16,367
 
  
 
256,756
 
  
 
948
 
  
 
–
 
  
 
–
 
  
 
274,071
 
Other liabilities
  
 
508
 
  
 
61,420
 
  
 
220
 
  
 
709
 
  
 
9,191
 
  
 
72,048
 
Lease liabilities
  
 
–
 
  
 
654
 
  
 
630
 
  
 
1,609
 
  
 
2,217
 
  
 
5,110
 
Subordinated debentures
  
 
–
 
  
 
110
 
  
 
–
 
  
 
1,884
 
  
 
8,042
 
  
 
10,036
 
 
  
 
579,163
 
  
 
835,918
 
  
 
51,967
 
  
 
110,770
 
  
 
56,710
 
  
 
1,634,528
 
Off-balance
sheet items
                                                
Financial guarantees
(2)
  
$
20,289
 
  
$
2
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
20,291
 
Other commitments
(3)
  
 
–
 
  
 
73
 
  
 
60
 
  
 
136
 
  
 
187
 
  
 
456
 
Commitments to extend credit
(2)
  
 
284,606
 
  
 
48,573
 
  
 
1
 
  
 
36
 
  
 
–
 
  
 
333,216
 
 
  
 
304,895
 
  
 
48,648
 
  
 
61
 
  
 
172
 
  
 
187
 
  
 
353,963
 
Total financial liabilities and
off-balance
sheet items
  
$
884,058
 
  
$
884,566
 
  
$
52,028
 
  
$
110,942
 
  
$
56,897
 
  
$
1,988,491
 
         
   
As at October 31, 2021
  
(Millions of Canadian dollars)   On
demand		     Within
1 year		     1 year
to 2 years		     2 years
to 5 years		     5 years
and greater		     Total  
Financial liabilities
                                                
Deposits
(1)
   $ 576,161     $ 367,389     $ 44,951     $ 78,071     $ 33,063     $ 1,099,635  
Other
                                                
Acceptances
     1       19,867       5       –       –       19,873  
Obligations related to securities sold short
     –       37,462       –       –       –       37,462  
Obligations related to assets sold under repurchase agreements and securities loaned
     19,234       242,314       669       –       –       262,217  
Other liabilities
     620       35,984       384       544       7,873       45,405  
Lease liabilities
     –       631       582       1,522       2,342       5,077  
Subordinated debentures
     –       188       110       1,916       7,392       9,606  
 
     596,016       703,835       46,701       82,053       50,670       1,479,275  
Off-balance
sheet items
                                                
Financial guarantees
(2)
   $ 16,867     $ –     $ –     $ –     $ –     $ 16,867  
Other commitments
(3)
     –       81       82       209       344       716  
Commitments to extend credit
(2)
     248,594       41,238       77       2       –       289,911  
 
     265,461       41,319       159       211       344       307,494  
Total financial liabilities and
off-balance
sheet items
   $ 861,477     $ 745,154     $ 46,860     $ 82,264     $ 51,014     $ 1,786,769  
 
*   This table represents an integral part of our 2022 Annual Consolidated Financial Statements.
(1)   A major portion of relationship-based deposits are repayable on demand or at short notice on a contractual basis while, in practice, these customer balances form a core base for our operations and liquidity needs, as explained in the preceding Deposit and funding profile.
(2)   We believe that it is highly unlikely that all or substantially all of these guarantees and commitments will be drawn or settled within one year, and contracts may expire without being drawn or settled. The management of the liquidity risk associated with potential extensions of funds is outlined in the preceding Risk measurement section.
(3)   Includes commitments related to short-term and
low-dollar
value leases, leases not yet commenced, and lease payments related to
non-recoverable
tax.