v3.22.4
IFRS 7 Disclosure (Tables)
 3 Months Ended
Jan. 31, 2023
Text block [abstract]  
Summary of Exposure to Credit Risk
Exposure to credit risk
$ millions, as at   
2023
Jan. 31
      2022
Oct. 31		  
Business and government portfolios – advanced internal ratings-based approach (AIRB)
                  
Drawn 
(1)
   
$
308,791
 
    $ 314,712  
Undrawn commitments
   
 
73,246
 
      74,327  
Repo-style transactions
   
 
244,503
 
      256,063  
Other
off-balance
sheet
   
 
86,038
 
      91,350  
OTC derivatives
   
 
17,502
 
      21,856  
Gross exposure at default (EAD) on business and government portfolios
   
 
730,080
 
      758,308  
Less: Collateral held for repo-style transactions
   
 
226,778
 
      237,484  
Net EAD on business and government portfolios
   
 
503,302
 
      520,824  
Retail portfolios – AIRB approach
                  
Drawn
   
 
315,840
 
      317,071  
Undrawn commitments
   
 
101,808
 
      99,817  
Other
off-balance
sheet
   
 
373
 
      420  
Gross EAD on retail portfolios
   
 
418,021
 
      417,308  
Standardized
portfolios
(1)(2)
   
 
108,885
 
      101,249  
Securitization exposures – AIRB approach
   
 
17,259
 
      15,333  
Gross EAD
   
$
    1,274,245
 
    $     1,292,198  
Net EAD
   
$
1,047,467
 
    $ 1,054,714  
(1)
The first quarter of 2023, includes a change in methodology that resulted in certain exposures previously subject to AIRB, now being included under the standardized securitization approach.
(
2
)
Includes $84.5
 billion relating to business and government portfolios (October 31, 2022: $
87.3 billion), $10.3 billion (October 31, 2022: $10.7 billion) relating to retail portfolios, and $14.1 billion (October 31, 2022: $3.3 billion) relating to securitization exposures. Our business and government
portfolios
under the standardized approach consist of $57.5
 
billion (October 31, 2022: $57.0 billion) to corporates, $26.0 billion (October 31, 2022: $28.7 billion) to sovereigns, and $1.0 billion (October 31, 2022: $1.6 billion) to banks.
Summary of Rating Profile of OTC Derivative Mark to Market (MTM) Receivables
The following table shows the rating profile of OTC derivative
mark-to-market
(MTM) receivables:
 
$ billions, as at   
2023
Jan. 31
     
2022
Oct. 31
  
       Exposure
 (1)
  
Investment grade
   
$
5.90
 
   
 
83.4
 % 
    $ 11.18        79.1  % 
Non-investment
grade
   
 
1.15
 
   
 
16.3
 
      2.87        20.3  
Watch list
   
 
0.02
 
   
 
0.3
 
      0.09        0.6  
Default
   
 
–
 
   
 
–
 
      –        –  
Unrated
   
 
–
 
   
 
–
 
      –        –  
 
   
$
    7.07
 
   
 
100.0
 % 
    $     14.14        100.0  % 
(1)
MTM of OTC derivative contracts is after the impact of master netting agreements, but before any collateral.
Summary of Market Risks by Type of Risks
The following table shows VaR, stressed VaR and incremental risk charge (IRC) for our trading activities based on risk type under an internal models approach.
 
$ millions, as at or for the three months ended
                       
2023
Jan. 31
           
2022
Oct. 31
           
2022
Jan. 31
  
    
High
    
Low
    
As at
    
Average
     As at     Average     As at     Average  
Interest rate risk
  
$
9.6
 
  
$
4.9
 
  
$
7.1
 
  
$
7.1
 
   $ 6.0     $ 5.9     $ 13.1     $ 9.6  
Credit spread risk
  
 
1.8
 
  
 
1.0
 
  
 
1.6
 
  
 
1.4
 
     1.1       1.2       5.4       8.1  
Equity risk
  
 
8.5
 
  
 
3.7
 
  
 
5.4
 
  
 
5.7
 
     4.1       4.9       3.9       4.8  
Foreign exchange risk
  
 
3.4
 
  
 
0.6
 
  
 
0.8
 
  
 
1.1
 
     1.2       1.4       2.2       2.1  
Commodity risk
  
 
4.0
 
  
 
1.2
 
  
 
3.4
 
  
 
2.5
 
     1.4       1.3       4.5       3.1  
Debt specific risk
  
 
2.4
 
  
 
1.3
 
  
 
2.1
 
  
 
1.7
 
     1.9       1.8       2.7       2.5  
Diversification effect
(1)
  
 
n/m
 
  
 
n/m
 
  
 
(12.2
) 
  
 
(10.7
) 
     (8.1 )      (9.1 )      (23.1 )      (21.2 ) 
Total VaR
(one-day
measure)		  
$
12.0
 
  
$
6.6
 
  
$
8.2
 
  
$
8.8
 
   $ 7.6     $ 7.4     $ 8.7     $ 9.0  
Stressed total VaR
(one-day
measure)
  
$
57.7
 
  
$
22.2
 
  
$
47.6
 
  
$
43.4
 
   $ 31.2     $ 32.7     $ 30.6     $ 33.2  
IRC
(one-year
measure)
  
$
    150.0
 
  
$
    109.8
 
  
$
    130.3
 
  
$
    133.0
 
   $     114.0     $     107.4     $     142.8     $     142.7  
(1)
Total VaR is less than the sum of the VaR of the different market risk types due to risk offsets resulting from a portfolio diversification effect.
n/m
Not meaningful. It is not meaningful to compute a diversification effect because the high and low may occur on different days for different risk types.
Summary of Structural Interest Rate Sensitivity - Measures
$ millions
(pre-tax),
as at
          
2023
Jan. 31
                     2022
Oct. 31		                     2022
Jan. 31		          
 
   
 
CAD
 
(1)
 
  
 
USD
 
   
 
Total
 
      CAD  
(1)
 		     USD        Total        CAD  
(1)
 		     USD        Total  
100 basis point increase in interest rates
                                                                              
Increase (decrease) in net interest income
   
$
      255
 
  
$
        37
 
   
$
      292
 
    $      278     $         (7 )     $         271      $      380     $        74      $      454  
Increase (decrease) in EVE
   
 
(523
)
 
  
 
(335
)
 
   
 
(858
)
 
      (679 )      (336 )       (1,015 )       (651 )      (216 )       (867 ) 
25 basis point decrease in interest rates
                                                                              
Increase (decrease) in net interest income
   
 
(66
)
 
  
 
(7
) 
   
 
(73
)
 
      (71 )      2        (69 )       (124 )      (33 )       (157 ) 
Increase (decrease) in EVE
   
 
117
 
  
 
86
 
   
 
203
 
      151       86        237        142       57        199  
100 basis point decrease in interest rates
                                                                              
Increase (decrease) in net interest income
   
 
(297
)
 
  
 
(25
)
 
   
 
(322
)
 
      (301 )      4        (297 )       n/a       n/a        n/a  
Increase (decrease) in EVE
   
 
465
 
  
 
351
 
   
 
816
 
      604       350        954        n/a       n/a        n/a  
(1)
Includes CAD and other currency exposures.
n/a
Not applicable.
Summary of Encumbered and Unencumbered Assets from On- and Off-Balance Sheet Sources
Encumbered and unencumbered liquid assets from
on-
and
off-balance
sheet sources are summarized as follows:
 
$ millions, as at
     
 Bank owned
liquid assets		  
 		     
 Securities received
as collateral		  
 		     
 Total liquid
assets		  
 		     
 Encumbered
liquid assets		  
 		    
 Unencumbered
liquid assets		  
 
(1)
 
2023
   
Cash and deposits with banks
   
$
51,469
 
   
$
–
 
   
$
51,469
 
   
$
282
 
  
$
51,187
 
Jan. 31
   
Securities issued or guaranteed by sovereigns, central banks, and multilateral development banks
   
 
140,803
 
   
 
81,626
 
   
 
222,429
 
   
 
114,922
 
  
 
107,507
 
    
Other debt securities
   
 
6,628
 
   
 
7,865
 
   
 
14,493
 
   
 
2,818
 
  
 
11,675
 
    
Equities
   
 
34,294
 
   
 
24,612
 
   
 
58,906
 
   
 
31,246
 
  
 
27,660
 
    
Canadian government guaranteed National Housing Act mortgage-backed securities
   
 
32,081
 
   
 
2,787
 
   
 
34,868
 
   
 
16,668
 
  
 
18,200
 
    
Other liquid assets
 
(2)
   
 
16,381
 
   
 
3,611
 
   
 
19,992
 
   
 
12,980
 
  
 
7,012
 
         
$
281,656
 
   
$
120,501
 
   
$
402,157
 
   
$
178,916
 
  
$
223,241
 
2022
    Cash and deposits with banks    $ 63,861      $ –      $ 63,861      $ 286     $ 63,575  
Oct. 31
   
Securities issued or guaranteed by sovereigns, central banks, and multilateral development banks
      133,923        85,602        219,525        122,283       97,242  
     Other debt securities      6,764        8,957        15,721        2,262       13,459  
     Equities      30,825        29,521        60,346        30,408       29,938  
    
Canadian government guaranteed National Housing Act mortgage-backed securities
      33,148        3,321        36,469        16,711       19,758  
     Other liquid assets 
(2)
      19,159        2,326        21,485        16,040       5,445  
          $     287,680      $     129,727      $     417,407      $     187,990     $     229,417  
(1)
Unencumbered liquid assets are defined as
on-balance
sheet assets, assets borrowed or purchased under resale agreements, and other
off-balance
sheet collateral received less encumbered liquid assets.
(2)
Includes cash pledged as collateral for derivatives transactions, select asset-backed securities and precious metals.
Summary of Contractual Maturity Profile of On-Balance Sheet Assets, Liabilities and Equity at their Carrying Values
The following table provides the contractual maturity profile of our
on-balance
sheet assets, liabilities and equity at their carrying values. Contractual analysis is not representative of our liquidity risk exposure, however this information serves to inform our management of liquidity risk, and provide input when modelling a behavioural balance sheet.
$ millions, as at January 31, 2023   Less than
1 month		    
1–3
months
    
3–6
months
    
6–9
months
     9–12
months		    
1–2
years
    
2–5
years
     Over
5 years		    
No
specified
maturity
     Total  
Assets
                                                                                
Cash and
non-interest-bearing
deposits
with banks
 (1)
  
$
22,876
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
22,876
 
Interest-bearing deposits with banks
  
 
28,593
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
28,593
 
Securities
  
 
5,199
 
  
 
7,038
 
  
 
5,495
 
  
 
4,999
 
  
 
2,998
 
  
 
16,327
 
  
 
65,413
 
  
 
43,363
 
  
 
36,518
 
  
 
187,350
 
Cash collateral on securities borrowed
  
 
12,446
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
12,446
 
Securities purchased under resale agreements
  
 
36,939
 
  
 
10,458
 
  
 
12,802
 
  
 
1,816
 
  
 
1,569
 
  
 
1,258
 
  
 
340
 
  
 
–
 
  
 
–
 
  
 
65,182
 
Loans
                                                                                
Residential mortgages
  
 
2,063
 
  
 
4,091
 
  
 
9,616
 
  
 
7,526
 
  
 
13,971
 
  
 
51,891
 
  
 
173,939
 
  
 
7,812
 
  
 
–
 
  
 
270,909
 
Personal
  
 
1,197
 
  
 
641
 
  
 
730
 
  
 
721
 
  
 
858
 
  
 
721
 
  
 
3,823
 
  
 
5,527
 
  
 
30,659
 
  
 
44,877
 
Credit card
  
 
340
 
  
 
679
 
  
 
1,019
 
  
 
1,019
 
  
 
1,019
 
  
 
4,075
 
  
 
8,020
 
  
 
–
 
  
 
–
 
  
 
16,171
 
Business and government
  
 
10,506
 
  
 
7,976
 
  
 
12,226
 
  
 
11,357
 
  
 
10,689
 
  
 
34,339
 
  
 
73,064
 
  
 
19,125
 
  
 
11,230
 
  
 
190,512
 
Allowance for credit losses
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
(3,159
)
  
 
(3,159
)
Derivative instruments
  
 
2,581
 
  
 
3,708
 
  
 
2,510
 
  
 
2,132
 
  
 
3,317
 
  
 
4,077
 
  
 
6,217
 
  
 
5,883
 
  
 
–
 
  
 
30,425
 
Customers’ liability under acceptances
  
 
10,700
 
  
 
1,229
 
  
 
64
 
  
 
3
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
11,996
 
Other assets
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
43,813
 
  
 
43,813
 
 
  
$
133,440
 
  
$
35,820
 
  
$
44,462
 
  
$
29,573
 
  
$
34,421
 
  
$
112,688
 
  
$
330,816
 
  
$
81,710
 
  
$
119,061
 
  
$
921,991
 
October 31, 2022
   $ 162,138     $ 38,036     $ 33,508     $ 30,461     $ 37,755     $ 106,155     $ 339,631     $ 77,111     $ 118,802     $ 943,597  
Liabilities
                                                                                
Deposits
 (2)
  
$
28,212
 
  
$
31,204
 
  
$
62,747
 
  
$
47,822
 
  
$
45,675
 
  
$
31,717
 
  
$
71,424
 
  
$
16,634
 
  
$
359,289
 
  
$
694,724
 
Obligations related to securities sold short
  
 
17,639
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
17,639
 
Cash collateral on securities lent
  
 
4,096
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
4,096
 
Obligations related to securities sold under
repurchase agreements
  
 
68,377
 
  
 
2,169
 
  
 
272
 
  
 
110
 
  
 
–
 
  
 
–
 
  
 
500
 
  
 
–
 
  
 
–
 
  
 
71,428
 
Derivative instruments
  
 
1,835
 
  
 
4,508
 
  
 
2,939
 
  
 
2,692
 
  
 
2,858
 
  
 
5,118
 
  
 
8,566
 
  
 
10,858
 
  
 
–
 
  
 
39,374
 
Acceptances
  
 
10,704
 
  
 
1,229
 
  
 
64
 
  
 
3
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
12,000
 
Other liabilities
  
 
26
 
  
 
44
 
  
 
60
 
  
 
76
 
  
 
73
 
  
 
301
 
  
 
582
 
  
 
947
 
  
 
23,396
 
  
 
25,505
 
Subordinated indebtedness
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
35
 
  
 
–
 
  
 
7,282
 
  
 
–
 
  
 
7,317
 
Equity
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
49,908
 
  
 
49,908
 
 
  
$
130,889
 
  
$
39,154
 
  
$
66,082
 
  
$
50,703
 
  
$
48,606
 
  
$
37,171
 
  
$
81,072
 
  
$
35,721
 
  
$
432,593
 
  
$
921,991
 
October 31, 2022
   $ 123,388     $      44,632     $      48,750     $      62,962     $      57,224     $      39,220     $      84,857     $      36,779     $      445,785     $      943,597  
(1)
Cash includes interest-bearing demand deposits with Bank of Canada.
(2)
Comprises $236.1 billion (October 31, 2022: $232.1 billion) of personal deposits; $434.1 billion (October 31, 2022: $443.0 billion) of business and government deposits and secured borrowings; and $24.5 billion (October 31, 2022: $22.5 billion) of bank deposits.
Summary of Off-Balance Sheet Credit Related Commitments
The following table provides the contractual maturity of notional amounts of credit-related commitments. Since a significant portion of commitments are expected to expire without being drawn upon, the total of the contractual amounts is not representative of future liquidity requirements.
 
$ millions, as at January 31, 2023    
 Less than
1 month
  
 
    
 1–3
months		  
 		    
 3–6
months		  
 		    
 6–9
months		  
 		    
 9–12
months		  
 		    
 1–2
years
 		    
 2–5
years
 		    
 Over
5 years		  
 		    

 No
specified
maturity		  
 
 (1)
 		     Total  
Unutilized credit commitments
  
$
1,549
 
  
$
10,392
 
  
$
5,277
 
  
$
4,650
 
  
$
6,139
 
  
$
22,844
 
  
$
70,631
 
  
$
2,987
 
  
$
216,297
 
  
$
340,766
 
Securities lending
 (2)
  
 
43,216
 
  
 
4,195
 
  
 
4,597
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
52,008
 
Standby and performance letters of credit
  
 
3,635
 
  
 
1,946
 
  
 
3,553
 
  
 
2,982
 
  
 
5,344
 
  
 
975
 
  
 
842
 
  
 
128
 
  
 
–
 
  
 
19,405
 
Backstop liquidity facilities
  
 
–
 
  
 
25
 
  
 
1,831
 
  
 
99
 
  
 
10,948
 
  
 
232
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
13,135
 
Documentary and commercial letters of credit
  
 
24
 
  
 
36
 
  
 
25
 
  
 
1
 
  
 
2
 
  
 
4
 
  
 
24
 
  
 
–
 
  
 
–
 
  
 
116
 
Other
  
 
1,140
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
1,140
 
   
$
49,564
 
  
$
16,594
 
  
$
15,283
 
  
$
7,732
 
  
$
    22,433
 
  
$
24,055
 
  
$
71,497
 
  
$
3,115
 
  
$
216,297
 
  
$
426,570
 
October 31, 2022
   $     50,694     $     28,841     $     13,542     $     10,256     $     8,415     $     22,105     $     68,049     $     2,735     $     216,873     $     421,510  
(1)
Includes $172.2 billion (October 31, 2022: $167.3 billion) of personal, home equity and credit card lines, which are unconditionally cancellable at our discretion.
(2)
Excludes securities lending of $4.1 billion (October 31, 2022: $4.9 billion) for cash because it is reported on the interim consolidated balance sheet.
Summary of Contractual Maturities of Other Contractual Obligations Affecting Our Funding Needs
The following table provides the contractual maturities of other
off-balance
sheet contractual obligations affecting our funding needs:
 
$ millions, as at January 31, 2023   Less than
1 month		      1–3
months		      3–6
months		      6–9
months		      9–12
months		     
1–2
years
     
2–5
years
      Over
5 years		      Total  
Purchase obligations
 (1)
  
$
86
 
   
$
136
 
   
$
216
 
   
$
176
 
   
$
169
 
   
$
485
 
   
$
698
 
   
$
185
 
   
$
2,151
 
Future lease commitments
 (2)
  
 
–
 
   
 
–
 
   
 
–
 
   
 
–
 
   
 
–
 
   
 
–
 
   
 
80
 
   
 
489
 
   
 
569
 
Investment commitments
  
 
–
 
   
 
9
 
   
 
1
 
   
 
1
 
   
 
1
 
   
 
–
 
   
 
17
 
   
 
500
 
   
 
529
 
Underwriting commitments
  
 
82
 
   
 
180
 
   
 
–
 
   
 
–
 
   
 
–
 
   
 
–
 
   
 
–
 
   
 
–
 
   
 
262
 
Pension contributions
 (3)
  
 
–
 
   
 
–
 
   
 
57
 
   
 
57
 
   
 
–
 
   
 
–
 
   
 
–
 
   
 
–
 
   
 
114
 
   
$
168
 
   
$
325
 
   
$
274
 
   
$
234
 
   
$
170
 
   
$
485
 
   
$
795
 
   
$
1,174
 
   
$
3,625
 
October 31, 2022
 (2)
   $     1,066      $     193      $     341      $     250      $     220      $     597      $     847      $     1,074      $     4,588  
(1)
Obligations that are legally binding agreements whereby we agree to purchase products or services with specific minimum or baseline quantities defined at fixed, minimum or variable prices over a specified period of time are defined as purchase obligations. Purchase obligations are included through to the termination date specified in the respective agreements, even if the contract is renewable. Many of the purchase agreements for goods and services include clauses that would allow us to cancel the agreement prior to expiration of the contract within a specific notice period. However, the amount above includes our obligations without regard to such termination clauses (unless actual notice of our intention to terminate the agreement has been communicated to the counterparty). The table excludes purchases of debt and equity instruments that settle within standard market time frames.
(2)
Excludes operating lease obligations that are accounted for under IFRS 16, which are typically recognized on the consolidated balance sheet, and operating and tax expenses relating to lease commitments. The table includes lease obligations that are not accounted for under IFRS 16, including those related to future starting lease commitments for which we have not yet recognized a lease liability and
right-of-use
asset.
(3)
Includes estimated minimum funding contributions for our funded defined benefit pension plans in Canada, the U.S., the U.K., and the Caribbean. Estimated minimum funding contributions are included only for the remaining annual period ending October 31, 2023 as the minimum contributions are affected by various factors, such as market performance and regulatory requirements, and therefore are subject to significant variability.
Summary of Loans Contractually Past Due But Not Impaired
The following table provides an aging analysis of loans that are not impaired, where repayment of principal or payment of interest is contractually in arrears. Loans less than 30 days past due are excluded as such loans are not generally indicative of the borrowers’ ability to meet their payment obligations.
 
$ millions, as at                   
2023
Jan. 31
      2022
Oct. 31		  
     
31 to
90 days
     
Over
90 days
     
Total
      Total  
Residential mortgages
   
$
    849
 
   
$
    –
 
   
$
    849
 
    $   874  
Personal
   
 
232
 
   
 
–
 
   
 
232
 
      247  
Credit card 
(1)
   
 
201
 
   
 
119
 
   
 
320
 
      331  
Business and government
   
 
174
 
   
 
–
 
   
 
174
 
      256  
    
$
    1,456
 
   
$
    119
 
   
$
    1,575
 
    $     1,708  
(1)
For the acquired Canadian Costco credit card portfolio, the credit cards were transferred in the aging category that applied at the time of acquisition and have continued to age to the extent a payment has not been made.