Carrying value of securities and term to maturity |
Carrying value of securities
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(1) |
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(Millions of Canadian dollars) |
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With no specific maturity |
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Debt issued or guaranteed by: |
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U.S. federal, state, municipal and agencies |
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Mortgage-backed securities |
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Corporate debt and other debt |
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Fair value through other comprehensive income (2) |
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Debt issued or guaranteed by: |
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U.S. federal, state, municipal and agencies |
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Mortgage-backed securities |
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Corporate debt and other debt |
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Debt issued or guaranteed by: |
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–
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–
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–
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–
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U.S. federal, state, municipal and agencies |
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–
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–
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–
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–
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–
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–
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–
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–
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–
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–
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–
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–
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Corporate debt and other debt |
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–
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–
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Amortized cost, net of allowance |
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–
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Fair value |
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–
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Total carrying value of securities |
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As at October 31, 2021 |
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(Millions of Canadian dollars) |
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Within 3 months |
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3 months to 1 year |
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1 year to 5 years |
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5 years to 10 years |
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Over 10 years |
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With no specific maturity |
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Total |
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Debt issued or guaranteed by: |
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$ |
1,244 |
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$ |
4,252 |
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$ |
6,187 |
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$ |
3,339 |
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$ |
7,403 |
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$ |
– |
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$ |
22,425 |
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U.S. federal, state, municipal and agencies |
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2,381 |
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1,616 |
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6,203 |
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4,092 |
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8,686 |
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– |
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22,978 |
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2,049 |
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2,073 |
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1,231 |
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294 |
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2,812 |
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– |
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8,459 |
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Mortgage-backed securities |
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– |
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– |
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– |
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– |
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4 |
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– |
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4 |
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|
288 |
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27 |
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|
275 |
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|
116 |
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|
187 |
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– |
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|
893 |
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Corporate debt and other debt |
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|
316 |
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|
135 |
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– |
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– |
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– |
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– |
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451 |
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2,317 |
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|
2,526 |
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|
5,433 |
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3,716 |
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8,667 |
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– |
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22,659 |
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61,371 |
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61,371 |
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8,595 |
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|
10,629 |
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|
19,329 |
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|
11,557 |
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27,759 |
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61,371 |
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|
139,240 |
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Fair value through other comprehensive income (2) |
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Debt issued or guaranteed by: |
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161 |
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|
1,180 |
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|
1,382 |
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|
592 |
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|
526 |
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– |
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|
3,841 |
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|
161 |
|
|
|
1,178 |
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|
|
1,375 |
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|
544 |
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|
445 |
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– |
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|
3,703 |
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0.4% |
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|
0.7% |
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|
1.8% |
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|
0.9% |
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|
2.4% |
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|
– |
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1.3% |
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3 |
|
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|
283 |
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|
1,326 |
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|
158 |
|
|
|
1,558 |
|
|
|
– |
|
|
|
3,328 |
|
|
|
|
3 |
|
|
|
283 |
|
|
|
1,322 |
|
|
|
158 |
|
|
|
1,366 |
|
|
|
– |
|
|
|
3,132 |
|
|
|
|
4.2% |
|
|
|
2.6% |
|
|
|
2.4% |
|
|
|
1.7% |
|
|
|
2.9% |
|
|
|
– |
|
|
|
2.6% |
|
U.S. federal, state, municipal and agencies |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,131 |
|
|
|
5,010 |
|
|
|
7,960 |
|
|
|
2,380 |
|
|
|
18,197 |
|
|
|
– |
|
|
|
34,678 |
|
|
|
|
1,132 |
|
|
|
5,013 |
|
|
|
7,960 |
|
|
|
2,446 |
|
|
|
18,276 |
|
|
|
– |
|
|
|
34,827 |
|
|
|
|
– |
|
|
|
0.9% |
|
|
|
0.4% |
|
|
|
2.6% |
|
|
|
1.3% |
|
|
|
– |
|
|
|
1.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
176 |
|
|
|
1,274 |
|
|
|
4,498 |
|
|
|
1 |
|
|
|
– |
|
|
|
– |
|
|
|
5,949 |
|
|
|
|
176 |
|
|
|
1,274 |
|
|
|
4,505 |
|
|
|
1 |
|
|
|
– |
|
|
|
– |
|
|
|
5,956 |
|
|
|
|
1.7% |
|
|
|
1.0% |
|
|
|
1.3% |
|
|
|
3.9% |
|
|
|
– |
|
|
|
– |
|
|
|
1.2% |
|
Mortgage-backed securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
– |
|
|
|
56 |
|
|
|
55 |
|
|
|
2,646 |
|
|
|
– |
|
|
|
2,757 |
|
|
|
|
– |
|
|
|
– |
|
|
|
56 |
|
|
|
55 |
|
|
|
2,636 |
|
|
|
– |
|
|
|
2,747 |
|
|
|
|
– |
|
|
|
– |
|
|
|
1.2% |
|
|
|
1.3% |
|
|
|
1.2% |
|
|
|
– |
|
|
|
1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
4,719 |
|
|
|
2,935 |
|
|
|
– |
|
|
|
7,654 |
|
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
4,719 |
|
|
|
2,941 |
|
|
|
– |
|
|
|
7,660 |
|
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
1.2% |
|
|
|
1.3% |
|
|
|
– |
|
|
|
1.3% |
|
Corporate debt and other debt |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,965 |
|
|
|
2,597 |
|
|
|
9,676 |
|
|
|
1,451 |
|
|
|
42 |
|
|
|
– |
|
|
|
19,731 |
|
|
|
|
5,965 |
|
|
|
2,599 |
|
|
|
9,699 |
|
|
|
1,463 |
|
|
|
51 |
|
|
|
– |
|
|
|
19,777 |
|
|
|
|
0.9% |
|
|
|
1.2% |
|
|
|
1.5% |
|
|
|
0.8% |
|
|
|
3.6% |
|
|
|
– |
|
|
|
1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
242 |
|
|
|
242 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
533 |
|
|
|
533 |
|
|
|
|
7,436 |
|
|
|
10,344 |
|
|
|
24,898 |
|
|
|
9,356 |
|
|
|
25,904 |
|
|
|
242 |
|
|
|
78,180 |
|
|
|
|
7,437 |
|
|
|
10,347 |
|
|
|
24,917 |
|
|
|
9,386 |
|
|
|
25,715 |
|
|
|
533 |
|
|
|
78,335 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt issued or guaranteed by: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
453 |
|
|
|
2,979 |
|
|
|
17,589 |
|
|
|
3,601 |
|
|
|
194 |
|
|
|
– |
|
|
|
24,816 |
|
|
|
|
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 |
|
|
|
|
– |
|
|
|
1.0% |
|
|
|
1.0% |
|
|
|
2.1% |
|
|
|
1.3% |
|
|
|
– |
|
|
|
1.3% |
|
|
|
|
1,914 |
|
|
|
1,212 |
|
|
|
2,790 |
|
|
|
58 |
|
|
|
– |
|
|
|
– |
|
|
|
5,974 |
|
|
|
|
– |
|
|
|
1.3% |
|
|
|
0.8% |
|
|
|
1.1% |
|
|
|
–
|
|
|
|
–
|
|
|
|
– |
|
|
|
|
– |
|
|
|
– |
|
|
|
320 |
|
|
|
336 |
|
|
|
7 |
|
|
|
– |
|
|
|
663 |
|
|
|
|
–
|
|
|
|
–
|
|
|
|
0.5% |
|
|
|
1.7% |
|
|
|
1.4% |
|
|
|
–
|
|
|
|
1.1% |
|
Corporate debt and other debt |
|
|
1,133 |
|
|
|
2,072 |
|
|
|
4,424 |
|
|
|
633 |
|
|
|
23 |
|
|
|
– |
|
|
|
8,285 |
|
|
|
|
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 |
|
|
|
|
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 fair value through other comprehensive income |
Unrealized gains and losses on securities at FVOCI (1), (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As at |
|
|
|
|
|
|
|
|
|
October 31, 2021 |
|
|
|
|
|
|
|
|
|
|
|
(Millions of Canadian dollars) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cost/ Amortized cost |
|
|
Gross unrealized gains |
|
|
Gross unrealized losses |
|
|
Fair value |
|
Debt issued or guaranteed by: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
3,841 |
|
|
$ |
1 |
|
|
$ |
(139 |
) |
|
$ |
3,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,328 |
|
|
|
3 |
|
|
|
(199 |
) |
|
|
3,132 |
|
U.S. federal, state, municipal and agencies (3) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,678 |
|
|
|
353 |
|
|
|
(204 |
) |
|
|
34,827 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,949 |
|
|
|
8 |
|
|
|
(1 |
) |
|
|
5,956 |
|
Mortgage-backed securities (3) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,757 |
|
|
|
2 |
|
|
|
(12 |
) |
|
|
2,747 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,074 |
|
|
|
1 |
|
|
|
(1 |
) |
|
|
7,074 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
580 |
|
|
|
6 |
|
|
|
– |
|
|
|
586 |
|
Corporate debt and other debt |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,731 |
|
|
|
57 |
|
|
|
(11 |
) |
|
|
19,777 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
242 |
|
|
|
292 |
|
|
|
(1 |
) |
|
|
533 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
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). |
|