v3.24.3
IFRS 7 Disclosure (Tables)
 12 Months Ended
Oct. 31, 2024
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 
     
Ratings
  
PD Bands
             
 
Business and Bank
  
Sovereign
  
BRR
  
S&P
  
Moody’s
   
Description
1   0.0000% – 0.0500%   0.0000% – 0.0150%   1+   AAA   Aaa    Investment Grade
2   0.0000% – 0.0500%   0.0151% – 0.0250%   1H   AA+   Aa1
3   0.0000% – 0.0500%   0.0251% – 0.0350%   1M   AA   Aa2
4   0.0000% – 0.0500%   0.0351% – 0.0450%   1L   AA-   Aa3
5   0.0000% – 0.0550%   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% – 0.1030%   2M   BBB   Baa2
10   0.1031% – 0.1775%   2L   BBB-   Baa3
11   0.1776% – 0.3470%  
2-H
   BB+   Ba1   
Non-investment
Grade
12   0.3471% – 0.6460%  
2-M
   BB   Ba2
13   0.6461% – 1.0620%  
2-L
   BB-   Ba3
14   1.0621% – 1.5520%   3+H   B+   B1
15   1.5521% – 2.2165%   3+M   B   B2
16   2.2166% – 4.5070%   3+L   B-   B3
17   4.5071% – 7.1660%   3H   CCC+   Caa1
18   7.1661% – 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 2024 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
0.050% – 3.965%    Low risk
3.966% – 7.428%    Medium risk
7.429% – 99.99%    High risk
100%    Impaired/Default
 
  *   This table represents an integral part of our 2024 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, 2024
    
 
October 31, 2023
  
         
For the year ended
           For the year ended  
(Millions of Canadian dollars)  
As at
    
Average
    
High
    
Low
     As at     Average     High     Low  
Equity
  
$
  23
 
  
$
  14
 
  
$
  26
 
  
$
  6
 
   $   10     $   11     $   26     $   6  
Foreign exchange
  
 
6
 
  
 
5
 
  
 
10
 
  
 
2
 
     4       3       25       2  
Commodities
  
 
11
 
  
 
6
 
  
 
11
 
  
 
4
 
     5       5       8       4  
Interest rate
(1)
  
 
23
 
  
 
30
 
  
 
44
 
  
 
19
 
     38       32       49       20  
Credit specific
(2)
  
 
8
 
  
 
8
 
  
 
9
 
  
 
7
 
     7       5       8       4  
Diversification
(3)
  
 
(37
) 
  
 
(34
) 
  
 
n.m.
    
 
n.m.
       (35 )      (31 )      n.m.     n.m.
Trading VaR
  
$
34
 
  
$
29
 
  
$
41
 
  
$
20
 
   $ 29     $ 25     $ 36     $ 16  
Total VaR
  
$
34
 
  
$
70
 
  
$
138
 
  
$
26
 
   $ 121     $ 51     $ 127     $ 27  
 
*   This table represents an integral part of our 2024 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)   Trading VaR is less than the sum of the individual risk factor VaR results due to risk factor diversification.
n.m.   not meaningful
Summary of Market Risk Structural Interest Rate Sensitivities Measures
The following table shows the potential
before-tax
impact of an immediate and sustained 100 bps increase or decrease in interest rates on projected EVE and
12-month
NII, assuming no subsequent hedging. 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
2024
        
October 31
2023
  
   
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
  
$
(1,775
) 
  
$
 (301
) 
  
$
 (2,076
) 
    
$
  264
 
  
$
  136
 
  
$
  400
 
     $  (1,552 )    $   651  
100 bps decrease in rates
  
 
  1,705
 
  
 
(42
) 
  
 
1,663
 
      
 
(315
) 
  
 
(187
) 
  
 
(502
) 
         1,353       (751 ) 
 
*   This table represents an integral part of our 2024 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
2024
           
October 31
2023
  
Unsecured long-term funding
  
$
150,682
 
     $ 139,882  
Secured long-term funding
  
 
83,353
 
       74,720  
Subordinated debentures
  
 
13,714
 
  
 
 
 
     12,038  
 
  
$
 247,749
 
  
 
 
 
   $  226,640  
 
  *   This table represents an integral part of our 2024 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, 2024
 
(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)
  
$
585,524
 
  
$
560,583
 
  
$
79,909
 
  
$
127,421
 
  
$
58,193
 
  
$
1,411,630
 
Other
            
Acceptances
  
 
–
 
  
 
24
 
  
 
–
 
  
 
11
 
  
 
–
 
  
 
35
 
Obligations related to securities sold short
  
 
–
 
  
 
35,326
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
35,326
 
Obligations related to assets sold under repurchase agreements and securities loaned
  
 
22,336
 
  
 
282,478
 
  
 
466
 
  
 
–
 
  
 
–
 
  
 
305,280
 
Other liabilities
  
 
563
 
  
 
51,192
 
  
 
382
 
  
 
731
 
  
 
15,011
 
  
 
67,879
 
Lease liabilities
  
 
–
 
  
 
709
 
  
 
631
 
  
 
1,566
 
  
 
1,767
 
  
 
4,673
 
Subordinated debentures
  
 
–
 
  
 
–
 
  
 
2,026
 
  
 
–
 
  
 
11,530
 
  
 
13,556
 
 
  
 
608,423
 
  
 
930,312
 
  
 
83,414
 
  
 
129,729
 
  
 
86,501
 
  
 
1,838,379
 
Off-balance
sheet items
            
Financial guarantees
(2)
  
$
25,553
 
  
$
1,485
 
  
$
10
 
  
$
174
 
  
$
–
 
  
$
27,222
 
Other commitments
(3)
  
 
–
 
  
 
77
 
  
 
70
 
  
 
179
 
  
 
260
 
  
 
586
 
Commitments to extend credit
(2)
  
 
3,081
 
  
 
121,652
 
  
 
54,443
 
  
 
190,073
 
  
 
9,718
 
  
 
378,967
 
 
  
 
28,634
 
  
 
123,214
 
  
 
54,523
 
  
 
190,426
 
  
 
9,978
 
  
 
406,775
 
Total financial liabilities and
off-balance
sheet items
  
$
 637,057
 
  
$
 1,053,526
 
  
$
 137,937
 
  
$
 320,155
 
  
$
 96,479
 
  
$
 2,245,154
 
         
   
As at October 31, 2023
  
(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)
   $ 510,868     $ 482,738     $ 74,465     $ 124,906     $ 42,920     $ 1,235,897  
Other
            
Acceptances
     –       21,740       –       5       –       21,745  
Obligations related to securities sold short
     –       33,741       –       –       –       33,741  
Obligations related to assets sold under repurchase agreements and securities loaned
     23,381       311,154       279       –       –       334,814  
Other liabilities
     608       54,844       284       657       12,463       68,856  
Lease liabilities
     –       653       621       1,519       1,971       4,764  
Subordinated debentures
     –       –       –       1,939       9,457       11,396  
 
     534,857       904,870       75,649       129,026       66,811       1,711,213  
Off-balance
sheet items
            
Financial guarantees
(2)
   $ 23,308     $ 2     $ 4     $ –     $ –     $ 23,314  
Other commitments
(3)
     –       61       55       128       178       422  
Commitments to extend credit
(2)
     5,617       114,495       48,848       178,048       9,185       356,193  
 
     28,925       114,558       48,907       178,176       9,363       379,929  
Total financial liabilities and
off-balance
sheet items
   $ 563,782     $ 1,019,428     $ 124,556     $ 307,202     $ 76,174     $  2,091,142  
 
*   This table represents an integral part of our 2024 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 and internal liquidity reporting 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.