{ "documentInfo": { "documentType": "https://xbrl.org/2021/xbrl-json", "features": { "xbrl:canonicalValues": true }, "namespaces": { "ifrs-full": "https://xbrl.ifrs.org/taxonomy/2022-03-24/ifrs-full", "iso4217": "http://www.xbrl.org/2003/iso4217", "ry": "http://www.rbcroyalbank.com/20231031", "scheme": "http://standards.iso.org/iso/17442", "xbrl": "https://xbrl.org/2021", "xbrli": "http://www.xbrl.org/2003/instance" }, "taxonomy": [ "http://www.rbcroyalbank.com/xbrl/2023/ES7IP3U3RHIGC71XBU11-2023-10-31.xsd" ] }, "facts": { "f8436": { "value": "The shaded text along with the tables specifically marked with an asterisk (*) in the following sections of the MD&A represent
our disclosures on credit, market and liquidity and funding risks in accordance with IFRS 7
, Financial Instruments: Disclosures
,
\n
and include discussion on how we measure our risks and the objectives, policies and methodologies for managing these risks.
\n
Therefore, these shaded text and marked tables represent an integral part of our 2023 Annual Consolidated Financial
\nStatements. Credit risk is the risk of loss associated with an obligor\u2019s potential inability or unwillingness to fulfill its contractual obligations
on a timely basis and may arise directly from the risk of default of a primary obligor (e.g., issuer, debtor, counterparty,
\n
borrower or policyholder), indirectly from a secondary obligor (e.g., guarantor or reinsurer), and/or through off-balance sheet
\n
exposures, contingent credit risk, associated credit risk and/or transactional risk. Credit risk includes counterparty credit risk
\n
arising from both trading and non-trading activities. Exposure to credit risk may occur any time funds are extended,
committed or invested through an actual or implied contractual agreement.We balance our risk and return by setting the following objectives for the management of credit risk:
\u2022
Ensuring credit quality is not compromised for growth;
\n
\u2022
Managing credit risks in transactions, relationships and portfolios;
\n
\u2022
Avoiding excessive concentrations in correlated credit risks;
\n
\u2022
Using our credit risk rating and scoring systems or other approved credit risk assessment or rating methodologies,
\n
policies and tools;
\n
\u2022
Pricing appropriately for the credit risk taken;
\n
\u2022
Detecting and preventing inappropriate credit risk through effective systems and controls;
\n
\u2022
Applying consistent credit risk exposure measurements;
\n
\u2022
Ongoing credit risk monitoring and administration;
\n
\u2022
Transferring credit risk to third parties where appropriate through approved credit risk mitigation techniques (e.g., sale,
\n
hedging, insurance, securitization); and
\n
\u2022
Avoiding activities that are inconsistent with our values, Code of Conduct or policies.
\n
The Enterprise Credit Risk Management Framework (ECRMF) provides an overview of our approach to the management of
\n
Credit Risk including principles, methodologies, systems, roles and responsibilities, reports and controls. Additional
\n
supporting policies exist that are designed to provide further clarification of roles and responsibilities, acceptable practices,
\n
limits and key controls within the enterprise.
\n
Credit risk measurement
\n
We quantify credit risk at both the individual obligor and portfolio levels to manage expected credit losses and minimize
\n
unexpected losses to limit earnings volatility and ensure we are adequately capitalized.
\n
We employ a variety of risk measurement methodologies to measure and quantify credit risk for our wholesale and retail
\n
credit portfolios. The wholesale portfolio is comprised of businesses, sovereigns, public sector entities, banks and other
\n
financial institutions, as well as certain HNW individuals. The retail portfolio is comprised of residential mortgages, personal
\n
loans, credit cards and small business loans. Our credit risk rating systems are designed to assess and quantify the risk
\n
inherent in credit activities in an accurate and consistent manner. The resulting ratings and scores are then used for both
\n
client- and transaction-level risk decision-making and as key inputs for our risk measurement and capital calculations.
\n
Measurement of economic and regulatory capital
\n
Economic capital, which is our internal quantification of risks, is used for limit setting. It is also used for internal capital
\n
adequacy and allocation of capital to the Insurance segment. Our methodology for allocating capital to our business
\n
segments, other than Insurance, is based on regulatory requirements. For further details, refer to the Capital management
\n
section.
\n
In measuring credit risk to determine regulatory capital, two principal approaches are available: the Internal Ratings
\n
Based (IRB) Approach and the Standardized Approach as per OSFI\u2019s CAR guideline. The IRB Approach allows both a full
\n
modelled based approach referred to as the Advanced Internal Ratings Based (A-IRB) Approach and a more supervisory-
\n
based approach know as the Foundation Internal Ratings Based Approach (F-IRB).
\n
The Standardized Approach applies primarily to Wealth Management, including our City National wholesale portfolio, as
\n
well as our Caribbean banking operations, and is based on risk weights prescribed by OSFI that are used to calculate RWA for
\n
credit risk exposure.
\n
The A-IRB Approach, which applies to most of our retail and wholesale credit risk exposures (excluding F-IRB exposures
\n
discussed below), utilizes three key parameters which form the basis of our credit risk measures for both regulatory and
\n
economic capital:
\n
\u2022
Probability of default (PD): An estimated percentage that represents the likelihood of default within a given time period of
\n
an obligor for a specific rating grade or for a particular pool of exposure.
\n
\u2022
Exposure at default (EAD): An amount expected to be owed by an obligor at the time of default.
\n
\u2022
Loss given default (LGD): An estimated percentage of EAD that is not expected to be recovered during the collections and
\n
recovery process following a default.
\n
These parameters are determined based primarily on historical experience from internal credit risk rating systems in
\naccordance with supervisory standards. EAD is estimated based on the current exposure to the obligor and the possible future changes in that exposure driven by
factors such as the current utilization of approved limit. As with LGD, rates are estimated to reflect an economic downturn,
\n
with added conservatism to reflect data and statistical uncertainties identified in the modelling process.
\n
Each credit facility is assigned an LGD rate that is largely driven by factors that impact the extent of losses anticipated in
\n
the event the obligor defaults. These factors mainly include seniority of debt, collateral and the industry sector in which the
\n
obligor operates. Estimated LGD rates draw primarily on internal loss experiences. Where we have limited internal loss data,
\n
we also refer to appropriate external data to supplement the estimation process. LGD rates are estimated to reflect
\n
conditions that might be expected to prevail in a period of an economic downturn, with additional conservatism added to
\n
reflect data limitations and statistical uncertainties identified in the estimation process.
\n
Estimates of PD, LGD and EAD are reviewed on an annual basis and updates are then validated by an independent
\n
validation team within the bank. In addition, quarterly monitoring and back-testing is performed by the estimation team.
\n
These ratings and risk measurements are used to determine our expected losses as well as economic and regulatory capital,
\n
setting of risk limits, portfolio management and product pricing.
\n
The F-IRB Approach is a prescribed regulatory approach that must be used to determine RWA related to our exposures to
\n
all banks and large corporates defined as having total consolidated revenues in excess of $750 million annually. The F-IRB
\n
Approach uses the same PD parameter as the A-IRB Approach but requires the use of supervisory-prescribed EAD and LGD
\n
parameters.
\n
Financial and regulatory measurement distinctions
\n
Expected loss models are used for both regulatory capital and accounting purposes. Under both models, expected losses are
\n
calculated as the product of PD, LGD and EAD. However, there are certain key differences under current Basel and IFRS
\n
reporting frameworks which could lead to significantly different expected loss estimates, including:
\n
\u2022
Basel PDs are based on long-run averages over an entire economic cycle. IFRS PDs are based on current conditions,
\n
adjusted for estimates of future conditions that will impact PD under probability-weighted macroeconomic scenarios.
\n
\u2022
Basel PDs consider the probability of default over the next 12 months. IFRS PDs consider the probability of default over
\n
the next 12 months only for instruments in stage 1. Expected credit losses for instruments in stage 2 are calculated using
\n
lifetime PDs.
\n
\u2022
Basel LGDs are based on severe but plausible downturn economic conditions. IFRS LGDs are based on current conditions,
\n
adjusted for estimates of future conditions that will impact LGD under probability-weighted macroeconomic scenarios.
\n
For further details, refer to the Critical accounting policies and estimates section.
\n
Gross credit risk exposure
\n
Gross credit risk is categorized as i) lending-related and other credit risk or ii) trading-related credit risk, and is calculated
\n
based on the Basel III framework. Under this method, EAD for all lending-related and other credit transactions and trading-
\n
related repo-style transactions is calculated before taking into account any collateral and is inclusive of an estimate of
\n
potential future changes to that credit exposure. EAD for derivatives is calculated inclusive of collateral in accordance with
\n
regulatory guidelines.
\n
Lending-related and other credit risk includes:
\n
\u2022
Loans and acceptances outstanding, undrawn commitments, and other exposures, including contingent liabilities such as
\n
letters of credit and guarantees, debt securities carried at FVOCI or amortized cost and deposits with financial
\n
institutions. Undrawn commitments represent an estimate of the contractual amount that may be drawn upon at the time
\n
of default of an obligor.
\n
Trading-related credit risk includes:
\n
\u2022
Repo-style transactions, which include repurchase and reverse repurchase agreements and securities lending and
\n
borrowing transactions. For repo-style transactions, gross exposure represents the amount at which securities were
\n
initially financed, before taking collateral into account.
\n
\u2022
Derivative amounts which represent the credit equivalent amount, as defined by OSFI as the replacement cost plus an
\n
add-on amount for potential future credit exposure, scaled by a regulatory factor. For further details on replacement cost
\n
and credit equivalent amounts, refer to Note 9 of our 2023 Annual Consolidated Financial Statements.
\n
Credit risk assessment
\n
Wholesale credit risk
\n
The wholesale credit risk rating system is designed to measure the credit risk inherent in our wholesale credit activities.
\n
Each obligor is assigned a borrower risk rating (BRR), reflecting an assessment of the credit quality of the obligor. Each
\n
BRR has a PD calibrated against it. The BRR differentiates the riskiness of an obligor and represents our evaluation of the
\n
obligor\u2019s ability and willingness to meet its contractual obligations on time over a three year time horizon. The assignment of
\n
BRRs is based on the evaluation of the obligor\u2019s business risk and financial risk through fundamental credit analysis, as well
\n
as data-driven modelling. The determination of the PD associated with each BRR relies primarily on internal default history
\n
since 2006. PD estimates are designed to be a long-run average of our experience across the economic cycle in accordance
\n
with regulatory guidelines.
\n
Our rating system is designed to stratify obligors into 22 grades. The following table aligns the relative rankings of our
\n
22-grade internal risk ratings with the external ratings used by S&P and Moody\u2019s.
\n
Internal ratings map*
Table 42
PD Bands
Ratings
Business and Bank
Sovereign
BRR
S&P
Moody\u2019s
Description
1
0.0000% \u2013 0.0500%
0.0000% \u2013 0.0150%
1+
AAA
Aaa
2
0.0000% \u2013 0.0500%
0.0151% \u2013 0.0250%
1H
AA+
Aa1
3
0.0000% \u2013 0.0500%
0.0251% \u2013 0.0350%
1M
AA
Aa2
4
0.0000% \u2013 0.0500%
0.0351% \u2013 0.0450%
1L
AA-
Aa3
5
0.0000% \u2013 0.0550%
0.0451% \u2013 0.0550%
2+H
A+
A1
Investment Grade
6
0.0551% \u2013 0.0650%
2+M
A
A2
7
0.0651% \u2013 0.0750%
2+L
A-
A3
8
0.0751% \u2013 0.0850%
2H
BBB+
Baa1
9
0.0851% \u2013 0.1030%
2M
BBB
Baa2
10
0.1031% \u2013 0.1775%
2L
BBB-
Baa3
11
0.1776% \u2013 0.3470%
2-H
BB+
Ba1
12
0.3471% \u2013 0.6460%
2-M
BB
Ba2
13
0.6461% \u2013 1.0620%
2-L
BB-
Ba3
14
1.0621% \u2013 1.5520%
3+H
B+
B1
15
1.5521% \u2013 2.2165%
3+M
B
B2
Non-investment
16
2.2166% \u2013 4.5070%
3+L
B-
B3
Grade
17
4.5071% \u2013 7.1660%
3H
CCC+
Caa1
18
7.1661% \u2013 13.1760%
3M
CCC
Caa2
19
13.1761% \u2013 24.9670%
3L
CCC-
Caa3
20
24.9671% \u2013 99.9990%
4
CC
Ca
21
100%
5
D
C
22
100%
6
D
C
Impaired
Retail credit risk
Credit scoring is the primary risk rating system for assessing obligor and transaction risk for retail exposures. Scoring models
\n
use internal and external data to assess and score borrowers, predict future performance and manage limits for existing loans
\n
and collection activities. Credit scores are one of the factors employed in the acquisition of new clients and management of
\n
existing clients. The credit score of the borrower is used to assess credit risk for each independent acquisition or account
\n
management action, leading to an automated decision or guidance for an adjudicator. Credit scoring improves credit decision
\nquality, adjudication timeframes and consistency in the credit decision process and facilitates risk-based pricing.To arrive at a retail risk rating, borrower scores are categorized and associated with PDs for further grouping into risk
rating categories. The following table maps PD bands to various summarized risk levels for retail exposures:
\n
Internal ratings map*
Table 43
PD bands
Description
0.050% \u2013 3.965%
Low risk
3.966% \u2013 7.428%
Medium risk
7.429% \u2013 99.99%
High risk
100%
Impaired/Default
We seek to reduce our exposure to credit risk through a variety of means, including the structuring of transactions and the
use of collateral.
\n
Structuring of transactions
\n
Specific credit policies and procedures set out the requirements for structuring transactions. Risk mitigants include the use
\n
of guarantees, collateral, seniority, LTV requirements and covenants. Product-specific guidelines set out appropriate
\n
product structuring as well as client and guarantor criteria.
\n
Collateral
\n
When we advance credit, we often require obligors to pledge collateral as security. The extent of risk mitigation provided by
\n
collateral depends on the amount, type and quality of the collateral taken. Specific requirements relating to collateral
\n
valuation and management are set out in our credit risk management policies.
\n
The types of collateral we use to secure credit or trading facilities within the bank are varied. For example, our securities
\n
financing and collateralized OTC derivatives activities are primarily secured by cash and highly-rated liquid government and
\n
agency securities. Wholesale lending to business clients is often secured by pledges of the assets of the business, such as
\n
accounts receivable, inventory, operating assets and commercial real estate. In Canadian Banking and Wealth Management,
\n
collateral typically consists of a pledge over a real estate property, or a portfolio of debt securities and equities trading on a
\n
recognized exchange.
\n
\u2022
We employ a risk-based approach to property valuation. Property valuation methods include automated valuation
\n
models (AVM) and appraisals. An AVM is a tool that estimates the value of a property by reference to market data
\n
including sales of comparable properties and price trends specific to the Metropolitan Statistical Area in which the
\n
property being valued is located. Using a risk-based approach, we also employ appraisals which can include drive-by or
\nfull on-site appraisals.There were no significant changes regarding our risk management policies on collateral or to the quality of the collateral
held during the period.
\n
Credit risk approval
\n
The Board, GE, GRC and other senior management committees work together to ensure the ECRMF and supporting policies,
\n
processes and procedures exist to manage credit risk and approve related credit risk limits. Reports are provided to the
\n
Board, the GRC, and senior executives to keep them informed of our risk profile, including significant credit risk issues, shifts
\n
in exposures and trending information, to ensure appropriate and timely actions can be taken where necessary. Our
\n
enterprise-wide credit risk policies set out the minimum requirements for the management of credit risk in a variety of
\n
borrower, transactional and portfolio management contexts.
\n
Transaction approval
\n
Credit transactions are governed by our RBC Enterprise Policy on Risk Limits and Risk Approval Authorities that captures the
\n
authorities and risk limits delegated to management as well as the credit rules policy, which outlines the minimum standards
\n
for managing credit risk at the individual client relationship and/or transaction level. The credit rules policy is further
\n
supported by business and/or product-specific policies and guidelines as appropriate. Where a transaction will exceed
\n
senior management\u2019s authorities, the approval of the Risk Committee of the Board is required.
\n
Product approval
\n
Proposals for credit products and services are comprehensively reviewed and approved under a risk assessment process
\n
and are subject to product and suitability risk approval authorities which increase as the level of risk increases. New and
\n
amended products must be reviewed relative to all risk drivers, including credit risk. All existing products must be reviewed
\n
on a regular basis following a risk-based assessment approach.
\n
Credit risk limits
\n
\u2022
The allocation of risk appetite and Board delegated authorities are supported by the establishment of risk limits which
\n
take both regulatory constraints and internal risk management judgment into account. Risk limits are established at the
\n
following levels: single name limits, regional, country and industrial sector limits (notional and economic capital),
\n
regulatory large exposure limits, product and portfolio limits, and underwriting and distribution risk limits. These limits
\n
apply across all businesses, portfolios, transactions and products.
\n
\u2022
We actively manage credit exposures and limits to ensure alignment with our risk appetite, to maintain our target
\n
business mix and to ensure that there is no undue concentration risk.
\n
\u2022
Concentration risk is defined as the risk arising from large exposures that are highly correlated such that their
\n
ability to meet contractual obligations could be similarly affected by changes in economic, political, or other risk
\n
drivers.
\n
\u2022
Credit concentration limits are reviewed on a regular basis after considering business, economic, financial, and
\nregulatory environments.Market risk is defined to be the impact of market prices upon our financial condition. This includes potential gains or losses
due to changes in market determined variables such as interest rates, credit spreads, equity prices, commodity prices, foreign
exchange rates and implied volatilities. Market risk controls \u2013 FVTPL positions, including trading portfolios
1
\n
As an element of the ERAF, the Board approves our overall market risk constraints. GRM creates and manages the control
\n
structure for FVTPL positions which are designed to ensure that business is conducted on a basis consistent with Board
\n
requirements. The Market and Counterparty Credit Risk function within GRM is responsible for creating and managing the
\n
controls and governance procedures that are designed to ensure that risk taken is consistent with risk appetite constraints set
\n
by the Board. These controls include limits on probabilistic measures of potential loss such as Value-at-Risk and stress tests as
\n
defined below:
\n
Value-at-Risk (VaR)
is a statistical measure of potential loss for a financial portfolio computed at a given level of
\n
confidence and over a defined holding period. We measure VaR at the 99th percentile confidence level for price movements
\n
over a one-day holding period using historic simulation of the last two years of equally weighted historic market data.
\n
These calculations are updated daily with current risk positions, with the exception of certain less material positions that
\n
are not actively traded and are updated on at least a monthly basis.
Trading VaR captures potential loss for our trading
\n
portfolio that excludes the impacts of non-trading FVTPL positions such as loan underwriting commitments. Total VaR
\n
captures potential loss for all positions classified as FVTPL.
\n
VaR is a statistical estimate based on historical market data and should be interpreted with knowledge of its limitations,
\n
which include the following:
\n
\u2022
VaR will not be predictive of future losses if the realized market movements differ significantly from the historical
\n
periods used to compute it.
\n
\u2022
VaR projects potential losses over a one-day holding period and does not project potential losses for risk positions
\n
held over longer time periods.
\n
\u2022
VaR is measured using positions at close of business and does not include the impact of trading and hedging activity
\n
over the course of a day.
\n
We validate our VaR measures through a variety of means \u2013 including subjecting the models to vetting and validation by a
\n
group independent of the model developers and by back-testing the VaR against daily marked-to-market revenue to identify
\n
and examine events in which actual outcomes in trading revenue exceed the VaR projections.
\n
Stress tests
\u2013 Our market risk stress testing program is used to identify and control risk due to large changes in market
\n
prices and rates. We conduct stress testing daily on positions that are marked-to-market. The stress tests simulate both
\n
historical and hypothetical events which are severe and long-term in duration. Historical scenarios are taken from actual
\n
market events and range in duration up to 90 days. Examples include the COVID-19 Pandemic of 2020, Global Financial Crisis
\n
of 2008 and the Taper Tantrum of 2013. Hypothetical scenarios are designed to be forward-looking at potential future market
\n
stresses, and are designed to be severe but plausible. We are constantly evaluating and refining these scenarios as market
\n
conditions change. Stress results are calculated assuming an instantaneous revaluation of our positions with no
\nmanagement action. Market risk measures*
Table 51
October 31, 2023
October 31, 2022 (1)
For the year ended
For the year ended
(Millions of Canadian dollars)
As at
Average
High
Low
As at
Average
High
Low
Equity
$
10
$
11
$
26
$
6
$
20
$
18
$
30
$
10
Foreign exchange
4
3
25
2
3
4
7
1
Commodities
5
5
8
4
6
5
6
3
Interest rate
(2)
38
32
49
20
31
29
65
13
Credit specific
(3)
7
5
8
4
5
7
9
4
Diversification
(4)
(35)
(31)
n.m.
n.m.
(34)
(33)
n.m.
n.m.
Trading VaR
$
29
$
25
$
36
$
16
$
31
$
30
$
50
$
19
Total VaR
(5)
$
121
$
51
$ 127
$
27
$
59
$
53
$
87
$
34
Market risk controls \u2013 Interest Rate Risk in the Banking Book (IRRBB) positions
2
\n
IRRBB arises primarily from traditional customer-originated banking products such as deposits and loans, and includes
\n
related hedges and interest rate risk from securities held for liquidity management purposes. Factors contributing to IRRBB
\n
include mismatches between asset and liability repricing dates, relative changes in asset and liability rates in response to
\n
market rate scenarios, and other product features affecting the expected timing of cash flows, such as options to pre-pay
\n
loans or redeem term deposits prior to contractual maturity. IRRBB sensitivities are regularly measured and reported, and
\n
subject to limits and controls with independent oversight from GRM.
\n
The Board approves the risk appetite for IRRBB, and the Asset Liability Committee (ALCO) and GRM provide ongoing
\n
governance through IRRBB risk policies, limits, operating standards and other controls. IRRBB reports are reviewed regularly
\n
by GRM, ALCO, the GRC, the Risk Committee of the Board and the Board.
\n
IRRBB measurement
\n
To monitor and control IRRBB, we assess two primary metrics, Net Interest Income (NII) risk and Economic Value of Equity
\n
(EVE) risk, under a range of market shocks, scenarios, and time horizons. Market scenarios include currency-specific parallel
\n
and non-parallel yield curve changes, interest rate volatility shocks, and interest rate scenarios prescribed by regulators.
\n
In measuring NII risk, detailed banking book balance sheets and income statements are dynamically simulated to
\n
estimate the impact of market stress scenarios on projected NII. Assets, liabilities and off-balance sheet positions are
\n
simulated over various time horizons. The simulations incorporate maturities, renewals, and new originations along with
\n
prepayment and redemption behaviour. Product pricing and volumes are forecasted based on past experience to determine
\n
response expectations under a given market shock scenario. EVE risk captures the market value sensitivity to changes in
\n
rates. In measuring EVE risk, deterministic (single-scenario) and stochastic (multiple-scenario) valuation techniques are
\n
applied to spot position data. NII and EVE risks are measured for a range of market risk stress scenarios which include
\n
extreme but plausible changes in market rates and volatilities. IRRBB measures assume continuation of existing hedge
\n
strategies.
\n
Management of NII and EVE risk is complementary and supports our efforts to generate a sustainable high-quality NII
\n
stream. NII and EVE risks for specific units are measured daily, weekly or monthly depending on materiality, complexity and
\n
hedge strategy.
\n
A number of assumptions affecting cash flows, product re-pricing and the administration of rates underlie the models
\n
used to measure NII and EVE risk. The key assumptions pertain to the projected funding date of mortgage rate commitments,
\n
fixed-rate loan prepayment behaviour, term deposit redemption behaviour, and the term and rate profile of non-maturity
\n
deposits. All assumptions are derived empirically based on historical client behaviour and product pricing with consideration
\n
of possible forward-looking changes. All models and assumptions used to measure IRRBB are subject to independent
\n
oversight by GRM.
\n
Market risk measures \u2013 IRRBB Sensitivities
\n
The following table shows the potential before-tax impact of an immediate and sustained 100 bps increase or decrease in
\n
interest rates on projected EVE and 12-month NII, assuming no subsequent hedging. Interest rate risk measures are based on
\n
current on and off-balance sheet positions which can change over time in response to business activity and management
\nactions.Market risk \u2013 IRRBB measures*
Table 52
October 31
October 31
2023
2022
EVE risk
NII risk
(1)
Canadian
U.S. dollar
Canadian
U.S. dollar
(Millions of Canadian dollars)
dollar impact
impact
Total
dollar impact
impact
Total
EVE risk
NII risk (1)
Before-tax impact of:
100 bps increase in rates
$
(1,445)
$
(107)
$
(1,552)
$
381
$
270
$
651
$
(1,900)
$
781
100 bps decrease in rates
1,430
(77)
1,353
(409)
(342)
(751)
1,709
(839)
Non-trading foreign exchange rate risk
Foreign exchange rate risk is the potential adverse impact on earnings and economic value due to changes in foreign currency
\n
rates. Our revenue, expenses and income denominated in currencies other than the Canadian dollar are subject to
\n
fluctuations as a result of changes in the value of the average Canadian dollar relative to the average value of those
\n
currencies. Our most significant exposure is to the U.S. dollar, due to our operations in the U.S. and other activities conducted
\n
in U.S. dollars. Our other significant exposure is to the British pound due to our activities conducted internationally in this
\n
currency. A strengthening or weakening of the Canadian dollar compared to the U.S. dollar and British pound could reduce or
\n
increase, as applicable, the translated value of our foreign currency denominated revenue, expenses and earnings and could
\n
have a significant effect on the results of our operations. We are also exposed to foreign exchange rate risk arising from our
\n
investments in foreign operations. For unhedged equity investments, when the Canadian dollar appreciates against other
\n
currencies, the unrealized translation losses on net foreign investments decreases our shareholders\u2019 equity through the other
\n
components of equity and decreases the translated value of the RWA of the foreign currency-denominated asset. The reverse
\n
is true when the Canadian dollar depreciates against other currencies. Consequently, we consider these impacts in selecting
\nan appropriate level of our investments in foreign operations to be hedged.Liquidity and funding risk (liquidity risk) is the risk that we may be unable to generate sufficient cash or its equivalents in a
timely and cost-effective manner to meet our commitments. Liquidity risk arises from mismatches in the timing and value of
\n
on-balance sheet and off-balance sheet cash flows.
\n
Governance of liquidity risk
\n
Our liquidity risk management activities are conducted in accordance with internal frameworks and policies, including the
\n
Enterprise Risk Management Framework (ERMF), the Enterprise Risk Appetite Framework (ERAF), the Enterprise Liquidity Risk
\n
Management Framework (LRMF), the Enterprise Liquidity Risk Policy, and the Enterprise Pledging Policy. Collectively, our
\n
frameworks and policies establish liquidity and funding management requirements appropriate for the execution of our
\n
strategy and ensuring liquidity risk remains within our risk appetite.
\n
Liquidity risk objectives, policies and risk appetite are reviewed regularly, and updated to reflect changes in industry
\n
practice and relevant regulatory guidance. Enterprise policies are supported by subsidiary, operational, desk and product-
\n
level policies and standards that specify risk control elements, such as parameters, methodologies, limits and authorities
\n
governing the measurement and management of liquidity. Management practices, parameters, models and methodologies are
\n
also subject to regular review, and are updated to reflect market conditions and business mix. Stress testing is employed to
\n
assess the robustness of the control framework and inform liquidity contingency plans.
\n
Responsibilities for liquidity risk oversight and management
\n
The Board, the Risk Committee of the Board, the Group Risk committee (GRC), the Asset Liability Committee (ALCO), and the
\n
Policy Review Committee (PRC) are accountable for the identification, assessment, control, monitoring and oversight of
\n
liquidity risk. The GRC, PRC and/or the ALCO review liquidity reporting and policies prior to review by the Board or its
\n
committees.
\n
\u2022
The Board, the Risk Committee of the Board, the GRC and the ALCO regularly review information on our consolidated
\n
liquidity position;
\n
\u2022
The PRC approves the Liquidity Risk Policy, which establishes minimum risk control elements in accordance with the
\n
Board-approved risk appetite and the LRMF, and the Pledging Policy, which outlines the requirements and authorities for
\n
the management of our pledging activities;
\n
\u2022
The ALCO annually approves the Enterprise Liquidity Contingency Plan (ELCP) and provides strategic direction and
\n
oversight to Corporate Treasury, other functions, and business segments on the management of liquidity and funding.
\n
In addition to our committee oversight framework, liquidity risk management activities are subject to the three lines of
\n
defence governance model. Corporate Treasury, the first line of defence for the management of liquidity risk, is subject to
\n
independent second line challenge and oversight by GRM. RBC Internal Audit is the third line of defence. The three lines of
\n
defence are independent of the business whose activities generate liquidity risks.
\n
Liquidity risk mitigation strategies and techniques
\n
Our liquidity management policies and practices are designed to ensure the soundness of our liquidity position. Our liquidity
\n
profile is structured to ensure that we have sufficient liquidity to satisfy current and prospective commitments in both normal
\n
and stressed conditions. For this purpose, we employ the following liquidity risk mitigation strategies and techniques:
\n
\u2022
Maintaining a sufficient buffer of cash, central bank reserves, and unencumbered marketable securities, supported by a
\n
demonstrated capacity to monetize these securities during stress;
\n
\u2022
Access to a broad range of funding sources, including a stable base of core client deposits and a diversified wholesale
\n
funding mix;
\n
\u2022
Access to central bank funding facilities in Canada and the U.S., and select other jurisdictions in which we operate;
\n
\u2022
Timely and granular risk measurement and reporting to control and monitor liquidity sources and uses, and inform liquidity
\n
risk management decisions;
\n
\u2022
A comprehensive program for liquidity stress testing and crisis management;
\n
\u2022
Governance of pledging activity through limits and designated liquid asset buffers to address potential increased pledging
\n
activity;
\n
\u2022
Achieving an appropriate balance between the level of exposure allowed under our risk appetite and the cost of risk
\n
mitigation;
\n
\u2022
Transparent liquidity transfer pricing and cost allocation mechanisms to align risk management with business strategies;
\n
and
\n
\u2022
A three-lines-of-defence governance model providing effective oversight and challenge of liquidity risk strategies, metrics,
\n
assumptions, and controls.
\n
Our dedicated liquid asset portfolios are managed and controlled in accordance with internal policies and are subject to
\n
minimum asset quality and other relevant requirements (e.g., term to maturity, diversification, and eligibility for central bank
\n
advances). These securities, along with other unencumbered liquid assets held for trading or other activities, contribute to our
\n
liquidity reserve, as reflected in the liquidity disclosures below.
\n
Risk tolerance
\n
Our liquidity risk appetite is reviewed at a minimum annually by ALCO, GRC, and the Risk Committee of the Board before it is
\n
recommended for approval to the Board. Risk appetite, a key element of our enterprise risk management framework, is
\n
defined as the amount and type of risk that RBC is able and willing to take in pursuit of its business objectives.
\n
Risk measurement and internal liquidity reporting
\n
We maintain robust liquidity risk measurement capabilities to support timely and frequent reporting of information for the
\n
management of our liquidity position and oversight of risk. This reporting, which includes internal and regulatory metrics, is
\n
used to monitor adherence with our risk appetite and limits, and position relative to regulatory minimums. Regulatory metrics
\n
used to manage and control liquidity risk include OSFI\u2019s Liquidity Coverage Ratio (LCR), Net Stable Funding Ratio (NSFR) and
\n
Net Cumulative Cash Flow (NCCF). The specificity with which we measure and manage liquidity allows us to make ongoing
\n
informed assessments of the demands and mobility of liquidity, considering currency requirements, access to foreign
\n
exchange markets and commitments, and expectations under local regulations.
\n
Internal assessments of liquidity risk include application of scenario-specific assumptions against our assets and
\n
liabilities, and various off-balance sheet commitments and obligations to project cash flows over varying time horizons and
\n
degrees of stress. For example, certain government bonds could be quickly and easily converted to cash without significant
\n
loss of value. In contrast, lower-rated securities may not be deemed appropriate sources of liquidity in times of stress, or may
\n
incur higher potential monetization costs. While relationship-based deposits contractually can be withdrawn immediately, in
\n
practice, these balances can be relatively stable sources of funding depending on several factors, such as the nature of the
\n
client and their intended use. Assumptions and methodologies informing our assessment of liquidity risk are periodically
\n
reviewed and validated to ensure alignment with our operating environment, expected economic and market conditions,
\n
rating agency preferences, regulatory requirements and generally accepted industry practices.
\n
To manage liquidity risk within our liquidity risk appetite, we set limits on various metrics over a range of time horizons,
\n
jurisdictions and currencies. We also consider various levels of stress conditions in our development of appropriate
\n
contingency, recovery and resolution plans. Our liquidity risk measurement and control activities cover multiple areas:
\n
Structural (longer-term) liquidity risk
\n
We use both internal and regulatory metrics to manage and control the structural alignment between long-term illiquid assets,
\n
the availability of core relationship deposits and longer-term funding. Conversely, we aim to align the use of shorter-term
\n
wholesale funding with assets of equivalent liquidity-generating potential.
\n
Tactical (shorter-term) liquidity risk
\n
To address potential immediate cash flow risks during periods of stress, we use short-term net cash flow limits to control risk
\n
at the material unit, subsidiary and currency levels. Net cash flow positions are determined by applying internally-derived risk
\n
assumptions and parameters to known and anticipated cash flows for all material unencumbered assets, liabilities and
\n
off-balance sheet activities. Additional product-level controls and limits are employed to manage concentration risk and
\n
perceived market capacity limitations for more sensitive liquidity sources and uses. We also control tactical liquidity by
\n
adhering to relevant regulatory standards, such as LCR.
\n
Stress testing
\n
Our comprehensive stress testing program informs internal assessments of the sufficiency of liquid assets, and whether they
\n
are adequately pre-positioned and accessible to meet stressed liquidity needs. Our stress tests, which include elements of
\n
scenario and sensitivity analyses, measure our prospective exposure to systemic and RBC-specific events over periods of
\n
time. Different degrees of severity are considered for each type of crisis with some scenarios reflecting multiple downgrades
\n
to our credit ratings.
\n
Contingency liquidity risk management and funding plans
\n
Contingency liquidity risk planning assesses the impact of sudden stress on our liquidity risk position and identifies a range of
\n
potential mitigating actions and plans. Corporate Treasury maintains the Enterprise Liquidity Contingency Plan (ELCP) and
\n
regional liquidity contingency plans (LCPs) that identify potential sources of stress and guide our responses to liquidity crises.
\n
Potential sources of stress are calibrated based on relevant historical experience and resulting contingent funding needs,
\n
including those from draws on committed credit and liquidity lines, demands for increased collateral and deposit run-offs. The
\n
ELCP also identifies alternative liquidity sources and considerations for their use.
\n
Additionally, under the leadership of Corporate Treasury, enterprise and regional Liquidity Crisis Teams (LCTs) each meet
\n
regularly to assess our liquidity status, review, and approve the LCPs and during times of stress, provide linkages to the front
\n
line and other functions to support effective and coordinated crisis management and oversight. Enterprise and local LCTs
\n
include members from key business segments, GRM, Finance, Operations, and Communications. The liquidity status
\n
assessment and monitoring process informs management, the Board and regulatory agencies of our assessment of internal
\nand external events and their potential implications on liquidity risk.Funding strategy
Maintaining a diversified funding base is a key strategy for managing our liquidity risk profile.
\n
Core funding, comprising capital, longer-term wholesale liabilities and a diversified pool of personal as well as the stable
\n
portion of our commercial and institutional deposits, is the foundation of our structural liquidity position.
\n
Wholesale funding activities are well-diversified by geography, investor segment, instrument, currency, structure, and
\n
maturity. We maintain an ongoing presence in different funding markets, which allows us to continuously monitor market
\n
developments and trends, identify opportunities and risks, and take appropriate and timely actions.
\n
We continuously evaluate opportunities to expand into new markets and untapped investor segments since
\n
diversification expands our wholesale funding flexibility, minimizes funding concentration and dependency, and generally
\n
reduces financing costs.
\n
We regularly assess our funding concentration and have implemented limits on certain funding sources to support
\ndiversification of our funding base.We use residential mortgage and credit card securitization programs as a source of funding and for liquidity and asset/liability
management purposes. Our total secured long-term funding includes outstanding MBS sold, covered bonds that are
\ncollateralized with residential mortgages and securities backed by credit card receivables. Long-term funding sources*
(1)
Table 56
\n\n \n
As at
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Unsecured long-term funding
$
139,882
$
119,241
Secured long-term funding
74,720
68,953
Subordinated debentures
12,038
10,639
$
226,640
$
198,833
We also raise long-term funding using Canadian Senior Notes, Kangaroo Bonds (issued in the Australian domestic market by foreign firms) and Yankee Certificates of Deposit (issued in the U.S. domestic market by foreign firms).Contractual maturities of financial liabilities and off-balance sheet items \u2013 undiscounted basis
The following tables provide remaining contractual maturity analysis of our financial liabilities and off-balance sheet items.
\n
Disclosed amounts are the contractual undiscounted cash flows of all financial liabilities (e.g., par value or amount payable
\n
upon maturity). The amounts do not reconcile directly with those in our consolidated balance sheets as the table incorporates
\n
only cash flows relating to payments on maturity and do not recognize premiums, discounts or mark-to-market adjustments
\n
recognized in the instruments\u2019 carrying values as at the balance sheet date. Financial liabilities are based upon the earliest
\n
period in which they are required to be paid. For off-balance sheet items, the undiscounted cash flows potentially payable under
\n
financial guarantees and commitments to extend credit are classified based on the earliest date they can be called.
\n
Contractual maturities of financial liabilities and off-balance sheet items \u2013 undiscounted basis*
Table 64
\n\n \n
As at October 31, 2023
On
Within
1 year
2 years
5 years
(Millions of Canadian dollars)
demand
1 year
to 2 years
to 5 years
and greater
Total
Financial liabilities
Deposits
(1)
$ 510,868
$
482,738
$
74,465
$ 124,906
$
42,920
$ 1,235,897
Other
Acceptances
\u2013
21,740
\u2013
5
\u2013
21,745
Obligations related to securities sold short
\u2013
33,741
\u2013
\u2013
\u2013
33,741
Obligations related to assets sold under
repurchase agreements and securities loaned
23,381
311,154
279
\u2013
\u2013
334,814
Other liabilities
608
54,844
284
657
12,463
68,856
Lease liabilities
\u2013
653
621
1,519
1,971
4,764
Subordinated debentures
\u2013
\u2013
\u2013
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
$
\u2013
$
\u2013
$
23,314
Other commitments
(3)
\u2013
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
\n\n \n
As at October 31, 2022
On
Within 1
1 year
2 years
5 years
(Millions of Canadian dollars)
demand
year
to 2 years
to 5 years
and greater
Total
Financial liabilities
Deposits
(1)
$
562,288
$
463,711
$
50,169
$
106,568
$
37,260
$
1,219,996
Other
Acceptances
\u2013
17,872
\u2013
\u2013
\u2013
17,872
Obligations related to securities sold short
\u2013
35,395
\u2013
\u2013
\u2013
35,395
Obligations related to assets sold under
repurchase agreements and securities loaned
16,367
256,756
948
\u2013
\u2013
274,071
Other liabilities
508
61,420
220
709
9,191
72,048
Lease liabilities
\u2013
654
630
1,609
2,217
5,110
Subordinated debentures
\u2013
110
\u2013
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
$
\u2013
$
\u2013
$
\u2013
$
20,291
Other commitments
(3)
\u2013
73
60
136
187
456
Commitments to extend credit
(2)
284,606
48,573
1
36
\u2013
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
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialRiskManagementExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f8447": { "value": "Credit risk
Credit risk is the risk of loss associated with an obligor\u2019s potential inability or unwillingness to fulfill its contractual obligations
\n
on a timely basis and may arise directly from the risk of default of a primary obligor (e.g., issuer, debtor, counterparty,
\n
borrower or policyholder), indirectly from a secondary obligor (e.g., guarantor or reinsurer), and/or through off-balance sheet
\n
exposures, contingent credit risk, associated credit risk and/or transactional risk. Credit risk includes counterparty credit risk
\n
arising from both trading and non-trading activities. Exposure to credit risk may occur any time funds are extended,
\ncommitted or invested through an actual or implied contractual agreement.We balance our risk and return by setting the following objectives for the management of credit risk:
\u2022
Ensuring credit quality is not compromised for growth;
\n
\u2022
Managing credit risks in transactions, relationships and portfolios;
\n
\u2022
Avoiding excessive concentrations in correlated credit risks;
\n
\u2022
Using our credit risk rating and scoring systems or other approved credit risk assessment or rating methodologies,
\n
policies and tools;
\n
\u2022
Pricing appropriately for the credit risk taken;
\n
\u2022
Detecting and preventing inappropriate credit risk through effective systems and controls;
\n
\u2022
Applying consistent credit risk exposure measurements;
\n
\u2022
Ongoing credit risk monitoring and administration;
\n
\u2022
Transferring credit risk to third parties where appropriate through approved credit risk mitigation techniques (e.g., sale,
\n
hedging, insurance, securitization); and
\n
\u2022
Avoiding activities that are inconsistent with our values, Code of Conduct or policies.
\n
The Enterprise Credit Risk Management Framework (ECRMF) provides an overview of our approach to the management of
\n
Credit Risk including principles, methodologies, systems, roles and responsibilities, reports and controls. Additional
\n
supporting policies exist that are designed to provide further clarification of roles and responsibilities, acceptable practices,
\n
limits and key controls within the enterprise.
\n
Credit risk measurement
\n
We quantify credit risk at both the individual obligor and portfolio levels to manage expected credit losses and minimize
\n
unexpected losses to limit earnings volatility and ensure we are adequately capitalized.
\n
We employ a variety of risk measurement methodologies to measure and quantify credit risk for our wholesale and retail
\n
credit portfolios. The wholesale portfolio is comprised of businesses, sovereigns, public sector entities, banks and other
\n
financial institutions, as well as certain HNW individuals. The retail portfolio is comprised of residential mortgages, personal
\n
loans, credit cards and small business loans. Our credit risk rating systems are designed to assess and quantify the risk
\n
inherent in credit activities in an accurate and consistent manner. The resulting ratings and scores are then used for both
\n
client- and transaction-level risk decision-making and as key inputs for our risk measurement and capital calculations.
\n
Measurement of economic and regulatory capital
\n
Economic capital, which is our internal quantification of risks, is used for limit setting. It is also used for internal capital
\n
adequacy and allocation of capital to the Insurance segment. Our methodology for allocating capital to our business
\n
segments, other than Insurance, is based on regulatory requirements. For further details, refer to the Capital management
\n
section.
\n
In measuring credit risk to determine regulatory capital, two principal approaches are available: the Internal Ratings
\n
Based (IRB) Approach and the Standardized Approach as per OSFI\u2019s CAR guideline. The IRB Approach allows both a full
\n
modelled based approach referred to as the Advanced Internal Ratings Based (A-IRB) Approach and a more supervisory-
\n
based approach know as the Foundation Internal Ratings Based Approach (F-IRB).
\n
The Standardized Approach applies primarily to Wealth Management, including our City National wholesale portfolio, as
\n
well as our Caribbean banking operations, and is based on risk weights prescribed by OSFI that are used to calculate RWA for
\n
credit risk exposure.
\n
The A-IRB Approach, which applies to most of our retail and wholesale credit risk exposures (excluding F-IRB exposures
\n
discussed below), utilizes three key parameters which form the basis of our credit risk measures for both regulatory and
\n
economic capital:
\n
\u2022
Probability of default (PD): An estimated percentage that represents the likelihood of default within a given time period of
\n
an obligor for a specific rating grade or for a particular pool of exposure.
\n
\u2022
Exposure at default (EAD): An amount expected to be owed by an obligor at the time of default.
\n
\u2022
Loss given default (LGD): An estimated percentage of EAD that is not expected to be recovered during the collections and
\n
recovery process following a default.
\n
These parameters are determined based primarily on historical experience from internal credit risk rating systems in
\naccordance with supervisory standards.EAD is estimated based on the current exposure to the obligor and the possible future changes in that exposure driven by
factors such as the current utilization of approved limit. As with LGD, rates are estimated to reflect an economic downturn,
\n
with added conservatism to reflect data and statistical uncertainties identified in the modelling process.
\n
Each credit facility is assigned an LGD rate that is largely driven by factors that impact the extent of losses anticipated in
\n
the event the obligor defaults. These factors mainly include seniority of debt, collateral and the industry sector in which the
\n
obligor operates. Estimated LGD rates draw primarily on internal loss experiences. Where we have limited internal loss data,
\n
we also refer to appropriate external data to supplement the estimation process. LGD rates are estimated to reflect
\n
conditions that might be expected to prevail in a period of an economic downturn, with additional conservatism added to
\n
reflect data limitations and statistical uncertainties identified in the estimation process.
\n
Estimates of PD, LGD and EAD are reviewed on an annual basis and updates are then validated by an independent
\n
validation team within the bank. In addition, quarterly monitoring and back-testing is performed by the estimation team.
\n
These ratings and risk measurements are used to determine our expected losses as well as economic and regulatory capital,
\n
setting of risk limits, portfolio management and product pricing.
\n
The F-IRB Approach is a prescribed regulatory approach that must be used to determine RWA related to our exposures to
\n
all banks and large corporates defined as having total consolidated revenues in excess of $750 million annually. The F-IRB
\n
Approach uses the same PD parameter as the A-IRB Approach but requires the use of supervisory-prescribed EAD and LGD
\n
parameters.
\n
Financial and regulatory measurement distinctions
\n
Expected loss models are used for both regulatory capital and accounting purposes. Under both models, expected losses are
\n
calculated as the product of PD, LGD and EAD. However, there are certain key differences under current Basel and IFRS
\n
reporting frameworks which could lead to significantly different expected loss estimates, including:
\n
\u2022
Basel PDs are based on long-run averages over an entire economic cycle. IFRS PDs are based on current conditions,
\n
adjusted for estimates of future conditions that will impact PD under probability-weighted macroeconomic scenarios.
\n
\u2022
Basel PDs consider the probability of default over the next 12 months. IFRS PDs consider the probability of default over
\n
the next 12 months only for instruments in stage 1. Expected credit losses for instruments in stage 2 are calculated using
\n
lifetime PDs.
\n
\u2022
Basel LGDs are based on severe but plausible downturn economic conditions. IFRS LGDs are based on current conditions,
\n
adjusted for estimates of future conditions that will impact LGD under probability-weighted macroeconomic scenarios.
\n
For further details, refer to the Critical accounting policies and estimates section.
\n
Gross credit risk exposure
\n
Gross credit risk is categorized as i) lending-related and other credit risk or ii) trading-related credit risk, and is calculated
\n
based on the Basel III framework. Under this method, EAD for all lending-related and other credit transactions and trading-
\n
related repo-style transactions is calculated before taking into account any collateral and is inclusive of an estimate of
\n
potential future changes to that credit exposure. EAD for derivatives is calculated inclusive of collateral in accordance with
\n
regulatory guidelines.
\n
Lending-related and other credit risk includes:
\n
\u2022
Loans and acceptances outstanding, undrawn commitments, and other exposures, including contingent liabilities such as
\n
letters of credit and guarantees, debt securities carried at FVOCI or amortized cost and deposits with financial
\n
institutions. Undrawn commitments represent an estimate of the contractual amount that may be drawn upon at the time
\n
of default of an obligor.
\n
Trading-related credit risk includes:
\n
\u2022
Repo-style transactions, which include repurchase and reverse repurchase agreements and securities lending and
\n
borrowing transactions. For repo-style transactions, gross exposure represents the amount at which securities were
\n
initially financed, before taking collateral into account.
\n
\u2022
Derivative amounts which represent the credit equivalent amount, as defined by OSFI as the replacement cost plus an
\n
add-on amount for potential future credit exposure, scaled by a regulatory factor. For further details on replacement cost
\n
and credit equivalent amounts, refer to Note 9 of our 2023 Annual Consolidated Financial Statements.
\n
Credit risk assessment
\n
Wholesale credit risk
\n
The wholesale credit risk rating system is designed to measure the credit risk inherent in our wholesale credit activities.
\n
Each obligor is assigned a borrower risk rating (BRR), reflecting an assessment of the credit quality of the obligor. Each
\n
BRR has a PD calibrated against it. The BRR differentiates the riskiness of an obligor and represents our evaluation of the
\n
obligor\u2019s ability and willingness to meet its contractual obligations on time over a three year time horizon. The assignment of
\n
BRRs is based on the evaluation of the obligor\u2019s business risk and financial risk through fundamental credit analysis, as well
\n
as data-driven modelling. The determination of the PD associated with each BRR relies primarily on internal default history
\n
since 2006. PD estimates are designed to be a long-run average of our experience across the economic cycle in accordance
\n
with regulatory guidelines.
\n
Our rating system is designed to stratify obligors into 22 grades. The following table aligns the relative rankings of our
\n
22-grade internal risk ratings with the external ratings used by S&P and Moody\u2019s.
\n
Internal ratings map*
Table 42
PD Bands
Ratings
Business and Bank
Sovereign
BRR
S&P
Moody\u2019s
Description
1
0.0000% \u2013 0.0500%
0.0000% \u2013 0.0150%
1+
AAA
Aaa
2
0.0000% \u2013 0.0500%
0.0151% \u2013 0.0250%
1H
AA+
Aa1
3
0.0000% \u2013 0.0500%
0.0251% \u2013 0.0350%
1M
AA
Aa2
4
0.0000% \u2013 0.0500%
0.0351% \u2013 0.0450%
1L
AA-
Aa3
5
0.0000% \u2013 0.0550%
0.0451% \u2013 0.0550%
2+H
A+
A1
Investment Grade
6
0.0551% \u2013 0.0650%
2+M
A
A2
7
0.0651% \u2013 0.0750%
2+L
A-
A3
8
0.0751% \u2013 0.0850%
2H
BBB+
Baa1
9
0.0851% \u2013 0.1030%
2M
BBB
Baa2
10
0.1031% \u2013 0.1775%
2L
BBB-
Baa3
11
0.1776% \u2013 0.3470%
2-H
BB+
Ba1
12
0.3471% \u2013 0.6460%
2-M
BB
Ba2
13
0.6461% \u2013 1.0620%
2-L
BB-
Ba3
14
1.0621% \u2013 1.5520%
3+H
B+
B1
15
1.5521% \u2013 2.2165%
3+M
B
B2
Non-investment
16
2.2166% \u2013 4.5070%
3+L
B-
B3
Grade
17
4.5071% \u2013 7.1660%
3H
CCC+
Caa1
18
7.1661% \u2013 13.1760%
3M
CCC
Caa2
19
13.1761% \u2013 24.9670%
3L
CCC-
Caa3
20
24.9671% \u2013 99.9990%
4
CC
Ca
21
100%
5
D
C
22
100%
6
D
C
Impaired
Retail credit risk
Credit scoring is the primary risk rating system for assessing obligor and transaction risk for retail exposures. Scoring models
\n
use internal and external data to assess and score borrowers, predict future performance and manage limits for existing loans
\n
and collection activities. Credit scores are one of the factors employed in the acquisition of new clients and management of
\n
existing clients. The credit score of the borrower is used to assess credit risk for each independent acquisition or account
\n
management action, leading to an automated decision or guidance for an adjudicator. Credit scoring improves credit decision
\nquality, adjudication timeframes and consistency in the credit decision process and facilitates risk-based pricing.To arrive at a retail risk rating, borrower scores are categorized and associated with PDs for further grouping into risk
rating categories. The following table maps PD bands to various summarized risk levels for retail exposures:
\n
Internal ratings map*
Table 43
PD bands
Description
0.050% \u2013 3.965%
Low risk
3.966% \u2013 7.428%
Medium risk
7.429% \u2013 99.99%
High risk
100%
Impaired/Default
We seek to reduce our exposure to credit risk through a variety of means, including the structuring of transactions and the
use of collateral.
\n
Structuring of transactions
\n
Specific credit policies and procedures set out the requirements for structuring transactions. Risk mitigants include the use
\n
of guarantees, collateral, seniority, LTV requirements and covenants. Product-specific guidelines set out appropriate
\n
product structuring as well as client and guarantor criteria.
\n
Collateral
\n
When we advance credit, we often require obligors to pledge collateral as security. The extent of risk mitigation provided by
\n
collateral depends on the amount, type and quality of the collateral taken. Specific requirements relating to collateral
\n
valuation and management are set out in our credit risk management policies.
\n
The types of collateral we use to secure credit or trading facilities within the bank are varied. For example, our securities
\n
financing and collateralized OTC derivatives activities are primarily secured by cash and highly-rated liquid government and
\n
agency securities. Wholesale lending to business clients is often secured by pledges of the assets of the business, such as
\n
accounts receivable, inventory, operating assets and commercial real estate. In Canadian Banking and Wealth Management,
\n
collateral typically consists of a pledge over a real estate property, or a portfolio of debt securities and equities trading on a
\n
recognized exchange.
\n
\u2022
We employ a risk-based approach to property valuation. Property valuation methods include automated valuation
\n
models (AVM) and appraisals. An AVM is a tool that estimates the value of a property by reference to market data
\n
including sales of comparable properties and price trends specific to the Metropolitan Statistical Area in which the
\n
property being valued is located. Using a risk-based approach, we also employ appraisals which can include drive-by or
\nfull on-site appraisals.There were no significant changes regarding our risk management policies on collateral or to the quality of the collateral
held during the period.
\n
Credit risk approval
\n
The Board, GE, GRC and other senior management committees work together to ensure the ECRMF and supporting policies,
\n
processes and procedures exist to manage credit risk and approve related credit risk limits. Reports are provided to the
\n
Board, the GRC, and senior executives to keep them informed of our risk profile, including significant credit risk issues, shifts
\n
in exposures and trending information, to ensure appropriate and timely actions can be taken where necessary. Our
\n
enterprise-wide credit risk policies set out the minimum requirements for the management of credit risk in a variety of
\n
borrower, transactional and portfolio management contexts.
\n
Transaction approval
\n
Credit transactions are governed by our RBC Enterprise Policy on Risk Limits and Risk Approval Authorities that captures the
\n
authorities and risk limits delegated to management as well as the credit rules policy, which outlines the minimum standards
\n
for managing credit risk at the individual client relationship and/or transaction level. The credit rules policy is further
\n
supported by business and/or product-specific policies and guidelines as appropriate. Where a transaction will exceed
\n
senior management\u2019s authorities, the approval of the Risk Committee of the Board is required.
\n
Product approval
\n
Proposals for credit products and services are comprehensively reviewed and approved under a risk assessment process
\n
and are subject to product and suitability risk approval authorities which increase as the level of risk increases. New and
\n
amended products must be reviewed relative to all risk drivers, including credit risk. All existing products must be reviewed
\n
on a regular basis following a risk-based assessment approach.
\n
Credit risk limits
\n
\u2022
The allocation of risk appetite and Board delegated authorities are supported by the establishment of risk limits which
\n
take both regulatory constraints and internal risk management judgment into account. Risk limits are established at the
\n
following levels: single name limits, regional, country and industrial sector limits (notional and economic capital),
\n
regulatory large exposure limits, product and portfolio limits, and underwriting and distribution risk limits. These limits
\n
apply across all businesses, portfolios, transactions and products.
\n
\u2022
We actively manage credit exposures and limits to ensure alignment with our risk appetite, to maintain our target
\n
business mix and to ensure that there is no undue concentration risk.
\n
\u2022
Concentration risk is defined as the risk arising from large exposures that are highly correlated such that their
\n
ability to meet contractual obligations could be similarly affected by changes in economic, political, or other risk
\n
drivers.
\n
\u2022
Credit concentration limits are reviewed on a regular basis after considering business, economic, financial, and
\nregulatory environments.", "dimensions": { "concept": "ifrs-full:DisclosureOfCreditRiskExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f10460": { "value": "Market risk
Market risk is defined to be the impact of market prices upon our financial condition. This includes potential gains or losses
\n
due to changes in market determined variables such as interest rates, credit spreads, equity prices, commodity prices, foreign
\nexchange rates and implied volatilities.Market risk controls \u2013 FVTPL positions, including trading portfolios
1
\n
As an element of the ERAF, the Board approves our overall market risk constraints. GRM creates and manages the control
\n
structure for FVTPL positions which are designed to ensure that business is conducted on a basis consistent with Board
\n
requirements. The Market and Counterparty Credit Risk function within GRM is responsible for creating and managing the
\n
controls and governance procedures that are designed to ensure that risk taken is consistent with risk appetite constraints set
\n
by the Board. These controls include limits on probabilistic measures of potential loss such as Value-at-Risk and stress tests as
\n
defined below:
\n
Value-at-Risk (VaR)
is a statistical measure of potential loss for a financial portfolio computed at a given level of
\n
confidence and over a defined holding period. We measure VaR at the 99th percentile confidence level for price movements
\n
over a one-day holding period using historic simulation of the last two years of equally weighted historic market data.
\n
These calculations are updated daily with current risk positions, with the exception of certain less material positions that
\n
are not actively traded and are updated on at least a monthly basis.
Trading VaR captures potential loss for our trading
\n
portfolio that excludes the impacts of non-trading FVTPL positions such as loan underwriting commitments. Total VaR
\n
captures potential loss for all positions classified as FVTPL.
\n
VaR is a statistical estimate based on historical market data and should be interpreted with knowledge of its limitations,
\n
which include the following:
\n
\u2022
VaR will not be predictive of future losses if the realized market movements differ significantly from the historical
\n
periods used to compute it.
\n
\u2022
VaR projects potential losses over a one-day holding period and does not project potential losses for risk positions
\n
held over longer time periods.
\n
\u2022
VaR is measured using positions at close of business and does not include the impact of trading and hedging activity
\n
over the course of a day.
\n
We validate our VaR measures through a variety of means \u2013 including subjecting the models to vetting and validation by a
\n
group independent of the model developers and by back-testing the VaR against daily marked-to-market revenue to identify
\n
and examine events in which actual outcomes in trading revenue exceed the VaR projections.
\n
Stress tests
\u2013 Our market risk stress testing program is used to identify and control risk due to large changes in market
\n
prices and rates. We conduct stress testing daily on positions that are marked-to-market. The stress tests simulate both
\n
historical and hypothetical events which are severe and long-term in duration. Historical scenarios are taken from actual
\n
market events and range in duration up to 90 days. Examples include the COVID-19 Pandemic of 2020, Global Financial Crisis
\n
of 2008 and the Taper Tantrum of 2013. Hypothetical scenarios are designed to be forward-looking at potential future market
\n
stresses, and are designed to be severe but plausible. We are constantly evaluating and refining these scenarios as market
\n
conditions change. Stress results are calculated assuming an instantaneous revaluation of our positions with no
\nmanagement action. Market risk measures*
Table 51
October 31, 2023
October 31, 2022 (1)
For the year ended
For the year ended
(Millions of Canadian dollars)
As at
Average
High
Low
As at
Average
High
Low
Equity
$
10
$
11
$
26
$
6
$
20
$
18
$
30
$
10
Foreign exchange
4
3
25
2
3
4
7
1
Commodities
5
5
8
4
6
5
6
3
Interest rate
(2)
38
32
49
20
31
29
65
13
Credit specific
(3)
7
5
8
4
5
7
9
4
Diversification
(4)
(35)
(31)
n.m.
n.m.
(34)
(33)
n.m.
n.m.
Trading VaR
$
29
$
25
$
36
$
16
$
31
$
30
$
50
$
19
Total VaR
(5)
$
121
$
51
$ 127
$
27
$
59
$
53
$
87
$
34
Market risk controls \u2013 Interest Rate Risk in the Banking Book (IRRBB) positions
2
\n
IRRBB arises primarily from traditional customer-originated banking products such as deposits and loans, and includes
\n
related hedges and interest rate risk from securities held for liquidity management purposes. Factors contributing to IRRBB
\n
include mismatches between asset and liability repricing dates, relative changes in asset and liability rates in response to
\n
market rate scenarios, and other product features affecting the expected timing of cash flows, such as options to pre-pay
\n
loans or redeem term deposits prior to contractual maturity. IRRBB sensitivities are regularly measured and reported, and
\n
subject to limits and controls with independent oversight from GRM.
\n
The Board approves the risk appetite for IRRBB, and the Asset Liability Committee (ALCO) and GRM provide ongoing
\n
governance through IRRBB risk policies, limits, operating standards and other controls. IRRBB reports are reviewed regularly
\n
by GRM, ALCO, the GRC, the Risk Committee of the Board and the Board.
\n
IRRBB measurement
\n
To monitor and control IRRBB, we assess two primary metrics, Net Interest Income (NII) risk and Economic Value of Equity
\n
(EVE) risk, under a range of market shocks, scenarios, and time horizons. Market scenarios include currency-specific parallel
\n
and non-parallel yield curve changes, interest rate volatility shocks, and interest rate scenarios prescribed by regulators.
\n
In measuring NII risk, detailed banking book balance sheets and income statements are dynamically simulated to
\n
estimate the impact of market stress scenarios on projected NII. Assets, liabilities and off-balance sheet positions are
\n
simulated over various time horizons. The simulations incorporate maturities, renewals, and new originations along with
\n
prepayment and redemption behaviour. Product pricing and volumes are forecasted based on past experience to determine
\n
response expectations under a given market shock scenario. EVE risk captures the market value sensitivity to changes in
\n
rates. In measuring EVE risk, deterministic (single-scenario) and stochastic (multiple-scenario) valuation techniques are
\n
applied to spot position data. NII and EVE risks are measured for a range of market risk stress scenarios which include
\n
extreme but plausible changes in market rates and volatilities. IRRBB measures assume continuation of existing hedge
\n
strategies.
\n
Management of NII and EVE risk is complementary and supports our efforts to generate a sustainable high-quality NII
\n
stream. NII and EVE risks for specific units are measured daily, weekly or monthly depending on materiality, complexity and
\n
hedge strategy.
\n
A number of assumptions affecting cash flows, product re-pricing and the administration of rates underlie the models
\n
used to measure NII and EVE risk. The key assumptions pertain to the projected funding date of mortgage rate commitments,
\n
fixed-rate loan prepayment behaviour, term deposit redemption behaviour, and the term and rate profile of non-maturity
\n
deposits. All assumptions are derived empirically based on historical client behaviour and product pricing with consideration
\n
of possible forward-looking changes. All models and assumptions used to measure IRRBB are subject to independent
\n
oversight by GRM.
\n
Market risk measures \u2013 IRRBB Sensitivities
\n
The following table shows the potential before-tax impact of an immediate and sustained 100 bps increase or decrease in
\n
interest rates on projected EVE and 12-month NII, assuming no subsequent hedging. Interest rate risk measures are based on
\n
current on and off-balance sheet positions which can change over time in response to business activity and management
\nactions.Market risk \u2013 IRRBB measures*
Table 52
October 31
October 31
2023
2022
EVE risk
NII risk
(1)
Canadian
U.S. dollar
Canadian
U.S. dollar
(Millions of Canadian dollars)
dollar impact
impact
Total
dollar impact
impact
Total
EVE risk
NII risk (1)
Before-tax impact of:
100 bps increase in rates
$
(1,445)
$
(107)
$
(1,552)
$
381
$
270
$
651
$
(1,900)
$
781
100 bps decrease in rates
1,430
(77)
1,353
(409)
(342)
(751)
1,709
(839)
Non-trading foreign exchange rate risk
Foreign exchange rate risk is the potential adverse impact on earnings and economic value due to changes in foreign currency
\n
rates. Our revenue, expenses and income denominated in currencies other than the Canadian dollar are subject to
\n
fluctuations as a result of changes in the value of the average Canadian dollar relative to the average value of those
\n
currencies. Our most significant exposure is to the U.S. dollar, due to our operations in the U.S. and other activities conducted
\n
in U.S. dollars. Our other significant exposure is to the British pound due to our activities conducted internationally in this
\n
currency. A strengthening or weakening of the Canadian dollar compared to the U.S. dollar and British pound could reduce or
\n
increase, as applicable, the translated value of our foreign currency denominated revenue, expenses and earnings and could
\n
have a significant effect on the results of our operations. We are also exposed to foreign exchange rate risk arising from our
\n
investments in foreign operations. For unhedged equity investments, when the Canadian dollar appreciates against other
\n
currencies, the unrealized translation losses on net foreign investments decreases our shareholders\u2019 equity through the other
\n
components of equity and decreases the translated value of the RWA of the foreign currency-denominated asset. The reverse
\n
is true when the Canadian dollar depreciates against other currencies. Consequently, we consider these impacts in selecting
\nan appropriate level of our investments in foreign operations to be hedged.", "dimensions": { "concept": "ifrs-full:DisclosureOfMarketRiskExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f11434": { "value": "Liquidity and funding risk
Liquidity and funding risk (liquidity risk) is the risk that we may be unable to generate sufficient cash or its equivalents in a
\n
timely and cost-effective manner to meet our commitments. Liquidity risk arises from mismatches in the timing and value of
\n
on-balance sheet and off-balance sheet cash flows.
\n
Governance of liquidity risk
\n
Our liquidity risk management activities are conducted in accordance with internal frameworks and policies, including the
\n
Enterprise Risk Management Framework (ERMF), the Enterprise Risk Appetite Framework (ERAF), the Enterprise Liquidity Risk
\n
Management Framework (LRMF), the Enterprise Liquidity Risk Policy, and the Enterprise Pledging Policy. Collectively, our
\n
frameworks and policies establish liquidity and funding management requirements appropriate for the execution of our
\n
strategy and ensuring liquidity risk remains within our risk appetite.
\n
Liquidity risk objectives, policies and risk appetite are reviewed regularly, and updated to reflect changes in industry
\n
practice and relevant regulatory guidance. Enterprise policies are supported by subsidiary, operational, desk and product-
\n
level policies and standards that specify risk control elements, such as parameters, methodologies, limits and authorities
\n
governing the measurement and management of liquidity. Management practices, parameters, models and methodologies are
\n
also subject to regular review, and are updated to reflect market conditions and business mix. Stress testing is employed to
\n
assess the robustness of the control framework and inform liquidity contingency plans.
\n
Responsibilities for liquidity risk oversight and management
\n
The Board, the Risk Committee of the Board, the Group Risk committee (GRC), the Asset Liability Committee (ALCO), and the
\n
Policy Review Committee (PRC) are accountable for the identification, assessment, control, monitoring and oversight of
\n
liquidity risk. The GRC, PRC and/or the ALCO review liquidity reporting and policies prior to review by the Board or its
\n
committees.
\n
\u2022
The Board, the Risk Committee of the Board, the GRC and the ALCO regularly review information on our consolidated
\n
liquidity position;
\n
\u2022
The PRC approves the Liquidity Risk Policy, which establishes minimum risk control elements in accordance with the
\n
Board-approved risk appetite and the LRMF, and the Pledging Policy, which outlines the requirements and authorities for
\n
the management of our pledging activities;
\n
\u2022
The ALCO annually approves the Enterprise Liquidity Contingency Plan (ELCP) and provides strategic direction and
\n
oversight to Corporate Treasury, other functions, and business segments on the management of liquidity and funding.
\n
In addition to our committee oversight framework, liquidity risk management activities are subject to the three lines of
\n
defence governance model. Corporate Treasury, the first line of defence for the management of liquidity risk, is subject to
\n
independent second line challenge and oversight by GRM. RBC Internal Audit is the third line of defence. The three lines of
\n
defence are independent of the business whose activities generate liquidity risks.
\n
Liquidity risk mitigation strategies and techniques
\n
Our liquidity management policies and practices are designed to ensure the soundness of our liquidity position. Our liquidity
\n
profile is structured to ensure that we have sufficient liquidity to satisfy current and prospective commitments in both normal
\n
and stressed conditions. For this purpose, we employ the following liquidity risk mitigation strategies and techniques:
\n
\u2022
Maintaining a sufficient buffer of cash, central bank reserves, and unencumbered marketable securities, supported by a
\n
demonstrated capacity to monetize these securities during stress;
\n
\u2022
Access to a broad range of funding sources, including a stable base of core client deposits and a diversified wholesale
\n
funding mix;
\n
\u2022
Access to central bank funding facilities in Canada and the U.S., and select other jurisdictions in which we operate;
\n
\u2022
Timely and granular risk measurement and reporting to control and monitor liquidity sources and uses, and inform liquidity
\n
risk management decisions;
\n
\u2022
A comprehensive program for liquidity stress testing and crisis management;
\n
\u2022
Governance of pledging activity through limits and designated liquid asset buffers to address potential increased pledging
\n
activity;
\n
\u2022
Achieving an appropriate balance between the level of exposure allowed under our risk appetite and the cost of risk
\n
mitigation;
\n
\u2022
Transparent liquidity transfer pricing and cost allocation mechanisms to align risk management with business strategies;
\n
and
\n
\u2022
A three-lines-of-defence governance model providing effective oversight and challenge of liquidity risk strategies, metrics,
\n
assumptions, and controls.
\n
Our dedicated liquid asset portfolios are managed and controlled in accordance with internal policies and are subject to
\n
minimum asset quality and other relevant requirements (e.g., term to maturity, diversification, and eligibility for central bank
\n
advances). These securities, along with other unencumbered liquid assets held for trading or other activities, contribute to our
\n
liquidity reserve, as reflected in the liquidity disclosures below.
\n
Risk tolerance
\n
Our liquidity risk appetite is reviewed at a minimum annually by ALCO, GRC, and the Risk Committee of the Board before it is
\n
recommended for approval to the Board. Risk appetite, a key element of our enterprise risk management framework, is
\n
defined as the amount and type of risk that RBC is able and willing to take in pursuit of its business objectives.
\n
Risk measurement and internal liquidity reporting
\n
We maintain robust liquidity risk measurement capabilities to support timely and frequent reporting of information for the
\n
management of our liquidity position and oversight of risk. This reporting, which includes internal and regulatory metrics, is
\n
used to monitor adherence with our risk appetite and limits, and position relative to regulatory minimums. Regulatory metrics
\n
used to manage and control liquidity risk include OSFI\u2019s Liquidity Coverage Ratio (LCR), Net Stable Funding Ratio (NSFR) and
\n
Net Cumulative Cash Flow (NCCF). The specificity with which we measure and manage liquidity allows us to make ongoing
\n
informed assessments of the demands and mobility of liquidity, considering currency requirements, access to foreign
\n
exchange markets and commitments, and expectations under local regulations.
\n
Internal assessments of liquidity risk include application of scenario-specific assumptions against our assets and
\n
liabilities, and various off-balance sheet commitments and obligations to project cash flows over varying time horizons and
\n
degrees of stress. For example, certain government bonds could be quickly and easily converted to cash without significant
\n
loss of value. In contrast, lower-rated securities may not be deemed appropriate sources of liquidity in times of stress, or may
\n
incur higher potential monetization costs. While relationship-based deposits contractually can be withdrawn immediately, in
\n
practice, these balances can be relatively stable sources of funding depending on several factors, such as the nature of the
\n
client and their intended use. Assumptions and methodologies informing our assessment of liquidity risk are periodically
\n
reviewed and validated to ensure alignment with our operating environment, expected economic and market conditions,
\n
rating agency preferences, regulatory requirements and generally accepted industry practices.
\n
To manage liquidity risk within our liquidity risk appetite, we set limits on various metrics over a range of time horizons,
\n
jurisdictions and currencies. We also consider various levels of stress conditions in our development of appropriate
\n
contingency, recovery and resolution plans. Our liquidity risk measurement and control activities cover multiple areas:
\n
Structural (longer-term) liquidity risk
\n
We use both internal and regulatory metrics to manage and control the structural alignment between long-term illiquid assets,
\n
the availability of core relationship deposits and longer-term funding. Conversely, we aim to align the use of shorter-term
\n
wholesale funding with assets of equivalent liquidity-generating potential.
\n
Tactical (shorter-term) liquidity risk
\n
To address potential immediate cash flow risks during periods of stress, we use short-term net cash flow limits to control risk
\n
at the material unit, subsidiary and currency levels. Net cash flow positions are determined by applying internally-derived risk
\n
assumptions and parameters to known and anticipated cash flows for all material unencumbered assets, liabilities and
\n
off-balance sheet activities. Additional product-level controls and limits are employed to manage concentration risk and
\n
perceived market capacity limitations for more sensitive liquidity sources and uses. We also control tactical liquidity by
\n
adhering to relevant regulatory standards, such as LCR.
\n
Stress testing
\n
Our comprehensive stress testing program informs internal assessments of the sufficiency of liquid assets, and whether they
\n
are adequately pre-positioned and accessible to meet stressed liquidity needs. Our stress tests, which include elements of
\n
scenario and sensitivity analyses, measure our prospective exposure to systemic and RBC-specific events over periods of
\n
time. Different degrees of severity are considered for each type of crisis with some scenarios reflecting multiple downgrades
\n
to our credit ratings.
\n
Contingency liquidity risk management and funding plans
\n
Contingency liquidity risk planning assesses the impact of sudden stress on our liquidity risk position and identifies a range of
\n
potential mitigating actions and plans. Corporate Treasury maintains the Enterprise Liquidity Contingency Plan (ELCP) and
\n
regional liquidity contingency plans (LCPs) that identify potential sources of stress and guide our responses to liquidity crises.
\n
Potential sources of stress are calibrated based on relevant historical experience and resulting contingent funding needs,
\n
including those from draws on committed credit and liquidity lines, demands for increased collateral and deposit run-offs. The
\n
ELCP also identifies alternative liquidity sources and considerations for their use.
\n
Additionally, under the leadership of Corporate Treasury, enterprise and regional Liquidity Crisis Teams (LCTs) each meet
\n
regularly to assess our liquidity status, review, and approve the LCPs and during times of stress, provide linkages to the front
\n
line and other functions to support effective and coordinated crisis management and oversight. Enterprise and local LCTs
\n
include members from key business segments, GRM, Finance, Operations, and Communications. The liquidity status
\n
assessment and monitoring process informs management, the Board and regulatory agencies of our assessment of internal
\nand external events and their potential implications on liquidity risk.Funding strategy
Maintaining a diversified funding base is a key strategy for managing our liquidity risk profile.
\n
Core funding, comprising capital, longer-term wholesale liabilities and a diversified pool of personal as well as the stable
\n
portion of our commercial and institutional deposits, is the foundation of our structural liquidity position.
\n
Wholesale funding activities are well-diversified by geography, investor segment, instrument, currency, structure, and
\n
maturity. We maintain an ongoing presence in different funding markets, which allows us to continuously monitor market
\n
developments and trends, identify opportunities and risks, and take appropriate and timely actions.
\n
We continuously evaluate opportunities to expand into new markets and untapped investor segments since
\n
diversification expands our wholesale funding flexibility, minimizes funding concentration and dependency, and generally
\n
reduces financing costs.
\n
We regularly assess our funding concentration and have implemented limits on certain funding sources to support
\ndiversification of our funding base.We use residential mortgage and credit card securitization programs as a source of funding and for liquidity and asset/liability
management purposes. Our total secured long-term funding includes outstanding MBS sold, covered bonds that are
\ncollateralized with residential mortgages and securities backed by credit card receivables.Long-term funding sources*
(1)
Table 56
\n\n \n
As at
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Unsecured long-term funding
$
139,882
$
119,241
Secured long-term funding
74,720
68,953
Subordinated debentures
12,038
10,639
$
226,640
$
198,833
Contractual maturities of financial liabilities and off-balance sheet items \u2013 undiscounted basis
The following tables provide remaining contractual maturity analysis of our financial liabilities and off-balance sheet items.
\n
Disclosed amounts are the contractual undiscounted cash flows of all financial liabilities (e.g., par value or amount payable
\n
upon maturity). The amounts do not reconcile directly with those in our consolidated balance sheets as the table incorporates
\n
only cash flows relating to payments on maturity and do not recognize premiums, discounts or mark-to-market adjustments
\n
recognized in the instruments\u2019 carrying values as at the balance sheet date. Financial liabilities are based upon the earliest
\n
period in which they are required to be paid. For off-balance sheet items, the undiscounted cash flows potentially payable under
\n
financial guarantees and commitments to extend credit are classified based on the earliest date they can be called.
\n
Contractual maturities of financial liabilities and off-balance sheet items \u2013 undiscounted basis*
Table 64
\n\n \n
As at October 31, 2023
On
Within
1 year
2 years
5 years
(Millions of Canadian dollars)
demand
1 year
to 2 years
to 5 years
and greater
Total
Financial liabilities
Deposits
(1)
$ 510,868
$
482,738
$
74,465
$ 124,906
$
42,920
$ 1,235,897
Other
Acceptances
\u2013
21,740
\u2013
5
\u2013
21,745
Obligations related to securities sold short
\u2013
33,741
\u2013
\u2013
\u2013
33,741
Obligations related to assets sold under
repurchase agreements and securities loaned
23,381
311,154
279
\u2013
\u2013
334,814
Other liabilities
608
54,844
284
657
12,463
68,856
Lease liabilities
\u2013
653
621
1,519
1,971
4,764
Subordinated debentures
\u2013
\u2013
\u2013
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
$
\u2013
$
\u2013
$
23,314
Other commitments
(3)
\u2013
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
\n\n \n
As at October 31, 2022
On
Within 1
1 year
2 years
5 years
(Millions of Canadian dollars)
demand
year
to 2 years
to 5 years
and greater
Total
Financial liabilities
Deposits
(1)
$
562,288
$
463,711
$
50,169
$
106,568
$
37,260
$
1,219,996
Other
Acceptances
\u2013
17,872
\u2013
\u2013
\u2013
17,872
Obligations related to securities sold short
\u2013
35,395
\u2013
\u2013
\u2013
35,395
Obligations related to assets sold under
repurchase agreements and securities loaned
16,367
256,756
948
\u2013
\u2013
274,071
Other liabilities
508
61,420
220
709
9,191
72,048
Lease liabilities
\u2013
654
630
1,609
2,217
5,110
Subordinated debentures
\u2013
110
\u2013
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
$
\u2013
$
\u2013
$
\u2013
$
20,291
Other commitments
(3)
\u2013
73
60
136
187
456
Commitments to extend credit
(2)
284,606
48,573
1
36
\u2013
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
", "dimensions": { "concept": "ifrs-full:DisclosureOfLiquidityRiskExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f19968": { "value": "In preparing the consolidated financial statements, management is responsible for assessing the Bank\u2019s ability to continue as a
going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting
\n
unless management either intends to liquidate the Bank or to cease operations, or has no realistic alternative but to do so.
\n
Those charged with governance are responsible for overseeing the Bank\u2019s financial reporting process.
\n
Auditor\u2019s responsibilities for the audit of the consolidated financial statements
\n
Our objectives are to obtain reasonable assurance about whether the consolidated financial statements as a whole are free from
\n
material misstatement, whether due to fraud or error, and to issue an auditor\u2019s report that includes our opinion. Reasonable
\n
assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with Canadian generally
\n
accepted auditing standards will always detect a material misstatement when it exists. Misstatements can arise from fraud or
\n
error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the
\n
economic decisions of users taken on the basis of these consolidated financial statements.
\n
As part of an audit in accordance with Canadian generally accepted auditing standards, we exercise professional judgment and
\n
maintain professional skepticism throughout the audit. We also:
\n
\u2022
Identify and assess the risks of material misstatement of the consolidated financial statements, whether due to fraud or
\n
error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and
\n
appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is
\n
higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations,
\n
or the override of internal control.
\n
\u2022
Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in
\n
the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Bank\u2019s internal control.
\n
\u2022
Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related
\n
disclosures made by management.
\n
\u2022
Conclude on the appropriateness of management\u2019s use of the going concern basis of accounting and, based on the audit
\n
evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on
\n
the Bank\u2019s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw
\n
attention in our auditor\u2019s report to the related disclosures in the consolidated financial statements or, if such disclosures are
\n
inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor\u2019s
\n
report. However, future events or conditions may cause the Bank to cease to continue as a going concern.
\n
\u2022
Evaluate the overall presentation, structure and content of the consolidated financial statements, including the disclosures,
\n
and whether the consolidated financial statements represent the underlying transactions and events in a manner that
\n
achieves fair presentation.
\n
\u2022
Obtain sufficient appropriate audit evidence regarding the financial information of the entities or business activities within
\n
the Bank to express an opinion on the consolidated financial statements. We are responsible for the direction, supervision
\nand performance of the group audit. We remain solely responsible for our audit opinion. ", "dimensions": { "concept": "ifrs-full:DisclosureOfGoingConcernExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f20199": { "value": "61989000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndCashEquivalents", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20202": { "value": "72397000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndCashEquivalents", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20205": { "value": "71086000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:ShorttermDepositsNotClassifiedAsCashEquivalents", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20207": { "value": "108011000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:ShorttermDepositsNotClassifiedAsCashEquivalents", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20212": { "value": "190151000000", "decimals": -6, "dimensions": { "concept": "ry:TradingSecuritiesAtFairValueThroughProfitOrLoss", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20214": { "value": "148205000000", "decimals": -6, "dimensions": { "concept": "ry:TradingSecuritiesAtFairValueThroughProfitOrLoss", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20217": { "value": "219579000000", "decimals": -6, "dimensions": { "concept": "ry:InvestmentSecuritiesNetOfApplicableAllowance", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20219": { "value": "170018000000", "decimals": -6, "dimensions": { "concept": "ry:InvestmentSecuritiesNetOfApplicableAllowance", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20221": { "value": "409730000000", "decimals": -6, "dimensions": { "concept": "ry:FinancialAssetsSecurities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20223": { "value": "318223000000", "decimals": -6, "dimensions": { "concept": "ry:FinancialAssetsSecurities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20226": { "value": "340191000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:ReverseRepurchaseAgreementsAndCashCollateralOnSecuritiesBorrowed", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20228": { "value": "317845000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:ReverseRepurchaseAgreementsAndCashCollateralOnSecuritiesBorrowed", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20233": { "value": "569951000000", "decimals": -6, "dimensions": { "concept": "ry:RetailLoans", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20235": { "value": "549751000000", "decimals": -6, "dimensions": { "concept": "ry:RetailLoans", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20238": { "value": "287826000000", "decimals": -6, "dimensions": { "concept": "ry:WholesaleLoans", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20240": { "value": "273967000000", "decimals": -6, "dimensions": { "concept": "ry:WholesaleLoans", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20242": { "value": "857777000000", "decimals": -6, "dimensions": { "concept": "ry:LoansBeforeAllowanceForLoanLosses", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20244": { "value": "823718000000", "decimals": -6, "dimensions": { "concept": "ry:LoansBeforeAllowanceForLoanLosses", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20248": { "value": "5004000000", "decimals": -6, "dimensions": { "concept": "ry:AllowanceAccountForCreditLossesOfLoans", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20250": { "value": "3753000000", "decimals": -6, "dimensions": { "concept": "ry:AllowanceAccountForCreditLossesOfLoans", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20252": { "value": "852773000000", "decimals": -6, "dimensions": { "concept": "ry:LoansNet", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20254": { "value": "819965000000", "decimals": -6, "dimensions": { "concept": "ry:LoansNet", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20258": { "value": "2760000000", "decimals": -6, "dimensions": { "concept": "ry:SegregatedFundNetAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20260": { "value": "2638000000", "decimals": -6, "dimensions": { "concept": "ry:SegregatedFundNetAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20264": { "value": "21695000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:BankAcceptanceAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20266": { "value": "17827000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:BankAcceptanceAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20270": { "value": "142450000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:DerivativeFinancialAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20272": { "value": "154439000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:DerivativeFinancialAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20276": { "value": "6749000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:PropertyPlantAndEquipment", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20278": { "value": "7214000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:PropertyPlantAndEquipment", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20282": { "value": "12594000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:Goodwill", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20284": { "value": "12277000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:Goodwill", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20288": { "value": "5907000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:IntangibleAssetsOtherThanGoodwill", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20290": { "value": "6083000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:IntangibleAssetsOtherThanGoodwill", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20294": { "value": "77068000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:OtherAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20296": { "value": "80300000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:OtherAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20298": { "value": "266463000000", "decimals": -6, "dimensions": { "concept": "ry:OtherMiscellaneousAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20300": { "value": "278140000000", "decimals": -6, "dimensions": { "concept": "ry:OtherMiscellaneousAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20303": { "value": "2004992000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:Assets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20305": { "value": "1917219000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:Assets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20312": { "value": "441946000000", "decimals": -6, "dimensions": { "concept": "ry:DepositsFromCustomersOtherThanBusinessGovernmentAndBank", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20315": { "value": "404932000000", "decimals": -6, "dimensions": { "concept": "ry:DepositsFromCustomersOtherThanBusinessGovernmentAndBank", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20318": { "value": "745075000000", "decimals": -6, "dimensions": { "concept": "ry:DepositsFromBusinessAndGovernment", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20320": { "value": "759870000000", "decimals": -6, "dimensions": { "concept": "ry:DepositsFromBusinessAndGovernment", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20323": { "value": "44666000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:DepositsFromBanks", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20325": { "value": "44012000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:DepositsFromBanks", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20327": { "value": "1231687000000", "decimals": -6, "dimensions": { "concept": "ry:Deposits", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20329": { "value": "1208814000000", "decimals": -6, "dimensions": { "concept": "ry:Deposits", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20333": { "value": "2760000000", "decimals": -6, "dimensions": { "concept": "ry:SegregatedFundNetLiabilities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20335": { "value": "2638000000", "decimals": -6, "dimensions": { "concept": "ry:SegregatedFundNetLiabilities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20339": { "value": "21745000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:BankAcceptanceLiabilities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20341": { "value": "17872000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:BankAcceptanceLiabilities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20344": { "value": "33651000000", "decimals": -6, "dimensions": { "concept": "ry:ObligationsRelatedToSecuritiesSoldShort", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f20346": { "value": "35511000000", "decimals": -6, "dimensions": { "concept": "ry:ObligationsRelatedToSecuritiesSoldShort", "entity": "scheme:ES7IP3U3RHIGC71XBU11", 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General information
\n
Royal Bank of Canada and its subsidiaries (the Bank) provide diversified financial services including Personal & Commercial
\n
Banking, Wealth Management, Insurance and Capital Markets products and services on a global basis. Refer to Note 27 for
\n
further details on our business segments.
\n
The parent bank, Royal Bank of Canada, is a Schedule I Bank under the
Bank Act
(Canada) incorporated and domiciled in
\n
Canada. Our corporate headquarters are located at Royal Bank Plaza, 200 Bay Street, Toronto, Ontario, Canada and our head
\n
office is located at 1 Place Ville-Marie, Montreal, Quebec, Canada. Our common shares are listed on the Toronto Stock Exchange
\n
and New York Stock Exchange with the ticker symbol RY.
\n
These Consolidated Financial Statements are prepared in compliance with International Financial Reporting Standards
\n
(IFRS) as issued by the International Accounting Standards Board (IASB). Unless otherwise stated, monetary amounts are stated
\n
in Canadian dollars. Tabular information is stated in millions of dollars, except as noted. These Consolidated Financial
\n
Statements also comply with Subsection 308 of the
Bank Act
(Canada), which states that, except as otherwise specified by the
\n
Office of the Superintendent of Financial Institutions Canada (OSFI), our Consolidated Financial Statements are to be prepared in
\n
accordance with IFRS. The accounting policies outlined in Note 2 have been consistently applied to all periods presented.
\nOn November 29, 2023, the Board of Directors authorized the Consolidated Financial Statements for issue.", "dimensions": { "concept": "ifrs-full:DisclosureOfGeneralInformationAboutFinancialStatementsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f21936": { "value": "Royal Bank of Canada and its subsidiaries (the Bank) provide diversified financial services including Personal & Commercial
Banking, Wealth Management, Insurance and Capital Markets products and services on a global basis. Refer to Note 27 for
\nfurther details on our business segments.", "dimensions": { "concept": "ifrs-full:DescriptionOfNatureOfEntitysOperationsAndPrincipalActivities", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f21937": { "value": "Royal Bank of Canada", "dimensions": { "concept": "ifrs-full:NameOfReportingEntityOrOtherMeansOfIdentification", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f21943": { "value": "Royal Bank of Canada", "dimensions": { "concept": "ifrs-full:NameOfParentEntity", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f21944": { "value": "Royal Bank of Canada", "dimensions": { "concept": "ifrs-full:NameOfUltimateParentOfGroup", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f21945": { "value": "Schedule I Bank under the
Bank Act
(Canada)", "dimensions": { "concept": "ifrs-full:LegalFormOfEntity", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f21951": { "value": "Canada", "dimensions": { "concept": "ifrs-full:CountryOfIncorporation", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f21952": { "value": "Canada", "dimensions": { "concept": "ifrs-full:DomicileOfEntity", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f21954": { "value": "1 Place Ville-Marie, Montreal, Quebec, Canada.", "dimensions": { "concept": "ifrs-full:AddressOfRegisteredOfficeOfEntity", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f21957": { "value": "These Consolidated Financial Statements are prepared in compliance with International Financial Reporting Standards (IFRS) as issued by the International Accounting Standards Board (IASB).", "dimensions": { "concept": "ifrs-full:StatementOfIFRSCompliance", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f21968": { "value": "On November 29, 2023, the Board of Directors authorized the Consolidated Financial Statements for issue.", "dimensions": { "concept": "ifrs-full:DisclosureOfAuthorisationOfFinancialStatementsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f21970": { "value": "Note 2
Summary of significant accounting policies, estimates and judgments
\n
The significant accounting policies used in the preparation of these Consolidated Financial Statements, including the accounting
\n
requirements prescribed by OSFI, are summarized below. These accounting policies conform, in all material respects, to IFRS.
\n
The same accounting policies have been applied to all periods presented.
\n
General
\n
Use of estimates and assumptions
\n
In preparing our Consolidated Financial Statements, management is required to make subjective estimates and assumptions that
\n
affect the reported amount of assets, liabilities, net income and related disclosures. Estimates made by management are based
\n
on historical experience and other assumptions that are believed to be reasonable. Key sources of estimation uncertainty
\n
include: determination of fair value of financial instruments, allowance for credit losses, insurance claims and policy benefit
\n
liabilities, pensions and other post-employment benefits, income taxes, goodwill and other intangible assets, and provisions.
\n
Accordingly, actual results may differ from these and other estimates thereby impacting our future Consolidated Financial
\n
Statements. Refer to the relevant accounting policies in this Note for details on our use of estimates and assumptions.
\n
Significant judgments
\n
In preparation of these Consolidated Financial Statements, management is required to make significant judgments that affect
\n
the carrying amounts of certain assets and liabilities, and the reported amounts of revenues and expenses recorded during the
\n
period. Significant judgments have been made in the following areas and discussed as noted in the Consolidated Financial
\n
Statements:
\n
Consolidation of structured entities
Note 2
\n
Note 8
\n
Application of the effective interest method
Note 2
\n
Fair value of financial instruments
Note 2
\n
Note 3
\n
Derecognition of financial assets
Note 2
\n
Note 7
\n
Allowance for credit losses
Note 2
\n
Note 4
\n
Note 5
\n
Income taxes
Note 2
\n
Note 22
\n
Employee benefits
Note 2
\n
Note 17
\n
Provisions
Note 2
\n
Note 24
\n
Note 25
\n
Goodwill and other intangibles
Note 2
\n
Note 11
\n
Basis of consolidation
\n
Our Consolidated Financial Statements include the assets and liabilities and results of operations of the parent company, Royal
\n
Bank of Canada, and its subsidiaries including certain structured entities, after elimination of intercompany transactions,
\n
balances, revenues and expenses.
\n
Consolidation
\n
Subsidiaries are those entities, including structured entities, over which we have control. We control an entity when we are
\n
exposed, or have rights, to variable returns from our involvement with the entity and have the ability to affect those returns
\n
through our power over the investee. We have power over an entity when we have existing rights that give us the current ability
\n
to direct the activities that most significantly affect the entity\u2019s returns (relevant activities). Power may be determined on the
\n
basis of voting rights or, in the case of structured entities, other contractual arrangements.
\n
We are not deemed to control an entity when we exercise power over an entity as the agent of a third party or parties. In
\n
determining whether we are acting as an agent, we consider the overall relationship between us, the investee and other parties
\n
to the arrangement with respect to the following factors: (i) the scope of our decision-making power; (ii) the rights held by other
\n
parties; (iii) the remuneration to which we are entitled; and (iv) our exposure to variability of returns.
\n
The determination of control is based on the current facts and circumstances and is continuously assessed. In some
circumstances, different factors and conditions may indicate that various parties control an entity depending on whether those
factors and conditions are assessed in isolation or in totality. Significant judgment is applied in determining whether we control
an entity, specifically, assessing whether we have substantive decision-making rights over the relevant activities and whether we
are exercising our power as a principal or an agent.
We consolidate all subsidiaries from the date we obtain control and cease consolidation when an entity is no longer
controlled by us. Our consolidation conclusions affect the classification and amount of assets, liabilities, revenues and expenses
reported in our Consolidated Financial Statements.
Non-controlling interests in subsidiaries that we consolidate are shown on our Consolidated Balance Sheets as a separate
component of equity which is distinct from equity attributable to our shareholders. The net income attributable to
non-controlling interests is separately disclosed in our Consolidated Statements of Income.
Investments in joint ventures and associates
Our investments in associated corporations and limited partnerships over which we have significant influence are accounted for
using the equity method. The equity method is also applied to our interests in joint ventures over which we have joint control.
Under the equity method of accounting, investments are initially recorded at cost, and the carrying amount is increased or
decreased to recognize our share of the investee\u2019s net profit or loss, including our proportionate share of the investee\u2019s Other
comprehensive income (OCI), subsequent to the date of acquisition.
Non-current assets held for sale and discontinued operations
Non-current assets (and disposal groups) are classified as held for sale if their carrying amounts will be recovered principally
through a sale transaction rather than through continuing use. This condition is satisfied when the asset is available for
immediate sale in its present condition, management is committed to the sale, and it is highly probable to occur within one year.
Non-current assets (and disposal groups) classified as held for sale are measured at the lower of their previous carrying amount
and fair value less costs to sell and if significant, are presented separately from other assets on our Consolidated Balance
Sheets.
A disposal group is classified as a discontinued operation if it meets the following conditions: (i) it is a component that can
be distinguished operationally and financially from the rest of our operations and (ii) it represents either a separate major line of
business or is part of a single coordinated plan to dispose of a separate major line of business or geographical area of
operations. Disposal groups classified as discontinued operations are presented separately from our continuing operations in
our Consolidated Statements of Income.
Financial Instruments
Classification of financial assets
Financial assets are measured at initial recognition at fair value, and are classified and subsequently measured at fair value
through profit or loss (FVTPL), fair value through other comprehensive income (FVOCI) or amortized cost based on our business
model for managing the financial instruments and the contractual cash flow characteristics of the instrument.
Debt instruments are measured at amortized cost if both of the following conditions are met and the asset is not designated
as FVTPL: (a) the asset is held within a business model that is Held-to-Collect (HTC) as described below, and (b) the contractual
terms of the instrument give rise to cash flows that are solely payments of principal and interest on the principal amount
outstanding (SPPI).
Debt instruments are measured at FVOCI if both of the following conditions are met and the asset is not designated as
FVTPL: (a) the asset is held within a business model that is Held-to-Collect-and-Sell (HTC&S) as described below, and (b) the
contractual terms of the instrument give rise, on specified dates, to cash flows that are SPPI.
All other debt instruments are measured at FVTPL.
Equity instruments are measured at FVTPL, unless the asset is not held for trading purposes and we make an irrevocable
election to designate the asset as FVOCI. This election is made on an instrument-by-instrument basis.
Business model assessment
We determine our business models at the level that best reflects how we manage portfolios of financial assets to achieve our
business objectives. Judgment is used in determining our business models, which is supported by relevant, objective evidence
including:
\u2022
How the economic activities of our businesses generate benefits, for example through trading revenue, enhancing yields
or hedging funding or other costs and how such economic activities are evaluated and reported to key management
personnel;
\u2022
The significant risks affecting the performance of our businesses, for example, market risk, credit risk, or other risks as
described in the Risk Management section of the MD&A, and the activities undertaken to manage those risks;
\u2022
Historical and future expectations of sales of the loans or securities portfolios managed as part of a business model;
and
\u2022
The compensation structures for managers of our businesses, to the extent that these are directly linked to the
economic performance of the business model.
Our business models fall into three categories, which are indicative of the key strategies used to generate returns:
\u2022
HTC: The objective of this business model is to hold loans and securities to collect contractual principal and interest
cash flows. Sales are incidental to this objective and are expected to be insignificant or infrequent.
\u2022
HTC&S: Both collecting contractual cash flows and sales are integral to achieving the objective of the business model.
\u2022
Other fair value business models: These business models are neither HTC nor HTC&S, and primarily represent business
models where assets are held-for-trading or managed on a fair value basis.
SPPI assessment
Instruments held within a HTC or HTC&S business model are assessed to evaluate if their contractual cash flows are comprised
of solely payments of principal and interest. SPPI payments are those which would typically be expected from basic lending
arrangements. Principal amounts include par repayments from lending and financing arrangements, and interest primarily
relates to basic lending returns, including compensation for credit risk and the time value of money associated with the principal
amount outstanding over a period of time. Interest can also include other basic lending risks and costs (for example, liquidity
risk, servicing or administrative costs) associated with holding the financial asset for a period of time, and a profit margin.
Where the contractual terms introduce exposure to risk or variability of cash flows that are inconsistent with a basic lending
arrangement, the related financial asset is classified and measured at FVTPL.
Securities
Trading securities include all securities that are classified as FVTPL by nature and securities designated as FVTPL. Obligations to
deliver trading securities sold but not yet purchased are recorded as liabilities and carried at fair value. Realized and unrealized
gains and losses on these securities are generally recorded in Non-interest income \u2013 Trading revenue or Non-interest income \u2013
Other. Dividends and interest income accruing on Trading securities are recorded in Interest and dividend income. Interest and
dividends accrued on securities sold short are recorded in Interest expense.
Investment securities include all securities classified as FVOCI and amortized cost. All investment securities are initially
recorded at fair value and subsequently measured according to the respective classification.
Investment securities carried at amortized cost are measured using the effective interest method, and are presented net of
any allowance for credit losses, calculated in accordance with our policy for Allowance for credit losses, as described below.
Interest income, including the amortization of premiums and discounts on securities measured at amortized cost are recorded in
Interest and dividend income. Impairment gains or losses recognized on amortized cost securities are recorded in Provision for
credit losses (PCL). When a debt instrument measured at amortized cost is sold, the difference between the sale proceeds and
the amortized cost of the security at the time of the sale is recorded as Net gains on investment securities in Non-interest
income.
Debt securities carried at FVOCI are measured at fair value with unrealized gains and losses arising from changes in fair
value included in Other components of equity. Impairment gains and losses are included in PCL and correspondingly reduce the
accumulated changes in fair value included in Other components of equity. When a debt instrument measured at FVOCI is sold,
the cumulative gain or loss is reclassified from Other components of equity to Net gains on investment securities in Non-interest
income.
Equity securities carried at FVOCI are measured at fair value. Unrealized gains and losses arising from changes in fair value
are recorded in Other components of equity and not subsequently reclassified to profit or loss when realized. Dividends from
FVOCI equity securities are recognized in Interest and dividend income.
We account for all of our securities using settlement date accounting and changes in fair value between the trade date and
settlement date are reflected in income for securities measured at FVTPL, and changes in the fair value of securities measured at
FVOCI between the trade and settlement dates are recorded in OCI except for changes in foreign exchange rates on debt
securities, which are recorded in Non-interest income.
Fair value option
A financial instrument with a reliably measurable fair value can be designated as FVTPL (the fair value option) on its initial
recognition even if the financial instrument was not acquired or incurred principally for the purpose of selling or repurchasing.
The fair value option can be used for financial assets if it eliminates or significantly reduces a measurement or recognition
inconsistency that would otherwise arise from measuring assets or liabilities, or recognizing related gains and losses on a
different basis (an accounting mismatch). The fair value option can be elected for financial liabilities if: (i) the election eliminates
an accounting mismatch; (ii) the financial liability is part of a portfolio that is managed on a fair value basis, in accordance with a
documented risk management or investment strategy; or (iii) there is an embedded derivative in the financial or non-financial
host contract and the derivative is not closely related to the host contract. These instruments cannot be reclassified out of the
FVTPL category while they are held or issued.
Financial assets designated as FVTPL are recorded at fair value and any unrealized gain or loss arising due to changes in fair value is
included in Non-interest income \u2013 Trading revenue or Non-interest income \u2013 Other, depending on our business purpose for holding the
financial asset.
Financial liabilities designated as FVTPL are recorded at fair value and fair value changes attributable to changes in our own
credit risk are recorded in OCI. Own credit risk amounts recognized in OCI will not be reclassified subsequently to net income.
The remaining fair value changes not attributable to changes in our own credit risk are recorded in Non-interest income \u2013 Trading
revenue or Non-interest income \u2013 Other, depending on our business purpose for holding the financial liability. Upon initial
recognition, if we determine that presenting the effects of own credit risk changes in OCI would create or enlarge an accounting
mismatch in net income, the full fair value change in our debt designated as FVTPL is recognized in net income. To make that
determination, we assess whether we expect that the effects of changes in the liability\u2019s credit risk will be offset in profit or loss
by a change in the fair value of another financial instrument measured at FVTPL. Such an expectation is based on an economic
relationship between the characteristics of the liability and the characteristics of the other financial instrument. The
determination is made at initial recognition and is not reassessed. To determine the fair value adjustments on our debt
instruments designated as FVTPL, we calculate the present value of the instruments based on the contractual cash flows over the
term of the arrangement by using our effective funding rate at the beginning and end of the period.
Determination of fair value
The fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an
orderly transaction between market participants at the measurement date. We determine fair value by incorporating factors that
market participants would consider in setting a price, including commonly accepted valuation approaches.
The Board of Directors provides oversight on valuation of financial instruments, primarily through the Audit Committee and
Risk Committee. The Audit Committee reviews the presentation and disclosure of financial instruments that are measured at fair
value, while the Risk Committee assesses the adequacy of governance structures and control processes for the valuation of
these instruments.
We have established policies, procedures and controls for valuation methodologies and techniques to ensure that fair value
is reasonably estimated. Major valuation processes and controls include, but are not limited to, profit and loss decomposition,
independent price verification (IPV) and model validation standards. These control processes are managed by either Finance or
Group Risk Management and are independent of the relevant businesses and their trading functions. Profit and loss
decomposition is a process to explain the fair value changes of certain positions and is performed daily for trading portfolios. All
fair value instruments are subject to IPV, a process whereby trading function valuations are verified against external market
prices and other relevant market data. Market data sources include traded prices, brokers and price vendors. We give priority to
those third-party pricing services and prices having the highest and most consistent accuracy. The level of accuracy is
determined over time by comparing third-party price values to traders\u2019 or system values, other pricing service values and, when
available, actual trade data. Quoted prices for identical instruments from pricing services or brokers are generally not adjusted
unless there are issues such as stale prices. If multiple quotes for identical instruments are received, fair value is based on an
average of the prices received or the quote from the most reliable vendor, after the outlier prices that fall outside of the pricing
range are removed. Other valuation techniques are used when a price or quote is not available. Some valuation processes use
models to determine fair value. We have a systematic and consistent approach to control the use of models. Valuation models
are approved for use within our model risk management framework. The framework addresses, among other things, model
development standards, validation processes and procedures and approval authorities. Model validation ensures that a model is
suitable for its intended use and sets parameters for its use. All models are revalidated regularly by qualified personnel who are
independent of the model design and development. Annually, our model risk profile is reported to the Board of Directors.
IFRS 13
Fair Value Measurement
permits an exception, through an accounting policy choice, to measure the fair value of a
portfolio of financial instruments on a net open risk position basis when certain criteria are met. We have elected to use this
policy choice to determine the fair value of certain portfolios of financial instruments, primarily derivatives, based on a net
exposure to market or credit risk.
We record valuation adjustments to appropriately reflect counterparty credit quality of our derivative portfolio, differences
between the actual counterparty collateral discount curve and standard overnight index swap (OIS) discounting for
collateralized derivatives, funding valuation adjustments (FVA) for uncollateralized and under-collateralized over-the-counter
(OTC) derivatives, unrealized gains or losses at inception of the transaction, bid-offer spreads, unobservable parameters and
model limitations. These adjustments may be subjective as they require significant judgment in the input selection, such as
implied probability of default (PD) and recovery rate, and are intended to arrive at a fair value that is determined based on
assumptions that market participants would use in pricing the financial instrument. The ultimate realized price for a transaction
may differ from its fair recorded value previously estimated using management judgment.
Valuation adjustments are recorded for the credit risk of our derivative portfolios in order to arrive at their fair values. Credit
valuation adjustments (CVA) take into account our counterparties\u2019 creditworthiness, the current and potential future
mark-to-market of transactions and the effects of credit mitigants such as master netting and collateral agreements. CVA
amounts are derived from estimates of exposure at default (EAD), PD, recovery rates on a counterparty basis and market and
credit factor correlations. EAD is the value of expected derivative related assets and liabilities at the time of default, estimated
through modelling using underlying risk factors. PD is implied from the market prices for credit protection and the credit ratings
of the counterparty. When market data is unavailable, it is estimated by incorporating assumptions and adjustments that market
participants would use for determining fair value using these inputs. Correlation is the statistical measure of how credit and
market factors may move in relation to one another. Correlation is estimated using historical data. CVA is calculated daily and
changes are recorded in Non-interest income \u2013 Trading revenue.
FVA is also calculated to incorporate the cost and benefit of funding in the valuation of uncollateralized and under-
collateralized OTC derivatives. Future expected cash flows of these derivatives are discounted to reflect the cost and benefit of
funding the derivatives by using a funding curve, implied volatilities and correlations as inputs.
Where required, a valuation adjustment is made to reflect the unrealized gain or loss at inception of a financial instrument
contract where the fair value of that financial instrument is not obtained from a quoted market price or cannot be evidenced by
other observable market transactions based on a valuation technique incorporating observable market data.
A bid-offer valuation adjustment is required when a financial instrument is valued at the mid-market price, instead of the bid
or offer price for asset or liability positions, respectively. The valuation adjustment takes into account the spread from the
mid-market price to either the bid or offer price.
Some valuation models require parameter calibration from such factors as market observable option prices. The calibration
of parameters may be sensitive to factors such as the choice of instruments or optimization methodology. A valuation
adjustment is also estimated to mitigate the uncertainties of parameter calibration and model limitations.
In determining fair value, a hierarchy is used which prioritizes the inputs to valuation techniques. The fair value hierarchy
gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest
priority to unobservable inputs (Level 3). Determination of fair value based on this hierarchy requires the use of observable
market data whenever available. Level 1 inputs are unadjusted quoted prices in active markets for identical assets or liabilities
that we have the ability to access at the measurement date. Level 2 inputs include quoted prices for similar assets or liabilities in
active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and model inputs that are
either observable, or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
Level 3 inputs include one or more inputs that are unobservable and significant to the fair value of the asset or liability.
Unobservable inputs are used to measure fair value to the extent that observable inputs are not available at the measurement
date. The availability of inputs for valuation may affect the selection of valuation techniques. The classification of a financial
instrument in the fair value hierarchy for disclosure purposes is based upon the lowest level of input that is significant to the
measurement of fair value.
Where observable prices or inputs are not available, management judgment is required to determine fair values by
assessing other relevant sources of information such as historical data, proxy information from similar transactions, and through
extrapolation and interpolation techniques. For more complex or illiquid instruments, significant judgment is required in the
determination of the model used, the selection of model inputs, and in some cases, the application of valuation adjustments to
the model value or quoted price for inactively traded financial instruments. The selection of model inputs may be subjective and
the inputs may be unobservable. Unobservable inputs are inherently uncertain as there is little or no market data available from
which to determine the level at which the transaction would occur under normal business circumstances. Appropriate parameter
uncertainty and market risk valuation adjustments for such inputs and other model risk valuation adjustments are assessed in all
such instances.
Loans
Loans are debt instruments recognized initially at fair value and are subsequently measured in accordance with the
Classification of financial assets policy provided above. The majority of our loans are carried at amortized cost using the
effective interest method, which represents the gross carrying amount less allowance for credit losses.
Interest on loans is recognized in Interest income using the effective interest method. The estimated future cash flows used
in this calculation include those determined by the contractual term of the asset and all fees that are considered to be integral to
the effective interest rate. Also included in this amount are transaction costs and all other premiums or discounts. Fees that
relate to activities such as originating, restructuring or renegotiating loans are deferred and recognized as Interest income over
the expected term of such loans using the effective interest method. Where there is a reasonable expectation that a loan will be
originated, commitment and standby fees are also recognized as interest income over the expected term of the resulting loans
using the effective interest method. Otherwise, such fees are recorded as other liabilities and amortized into Non-interest income
over the commitment or standby period. Future prepayment fees on mortgage loans are not included as part of the effective
interest rate at origination. If prepayment fees are received on a renewal of a mortgage loan before maturity, the fee is included
as part of the effective interest rate, and if not renewed, the prepayment fee is recognized in interest income at the prepayment
date.
For loans carried at amortized cost or FVOCI, impairment losses are recognized at each balance sheet date in accordance
with the three-stage impairment model outlined below.
Allowance for credit losses
An allowance for credit losses (ACL) is established for all financial assets, except for financial assets classified or designated as
FVTPL and equity securities designated as FVOCI, which are not subject to impairment assessment. Assets subject to impairment
assessment include loans, debt securities, interest-bearing deposits with banks, customers\u2019 liability under acceptances, accounts
and accrued interest receivable, and finance and operating lease receivables. ACL on loans measured at amortized cost is
presented in Allowance for loan losses. ACL on debt securities measured at FVOCI is presented in Other components of equity.
Other financial assets carried at amortized cost are presented net of ACL on our Consolidated Balance Sheets.
Off-balance sheet items subject to impairment assessment include financial guarantees and undrawn loan commitments.
ACL on off-balance sheet items is separately calculated and included in Other Liabilities \u2013 Provisions.
We measure the ACL on each balance sheet date according to a three-stage expected credit loss impairment model:
\u2022
Performing financial assets
\u2022
Stage 1 \u2013 From initial recognition of a financial asset to the date on which the asset has experienced a significant
increase in credit risk relative to its initial recognition, a loss allowance is recognized equal to the credit losses
expected to result from defaults occurring over the 12 months following the reporting date.
\u2022
Stage 2 \u2013 Following a significant increase in credit risk relative to the initial recognition of the financial asset, a loss
allowance is recognized equal to the credit losses expected over the remaining lifetime of the asset.
\u2022
Impaired financial assets
\u2022
Stage 3 \u2013 When a financial asset is considered to be credit-impaired, a loss allowance is recognized equal to credit
losses expected over the remaining lifetime of the asset. Interest income is calculated based on the carrying
amount of the asset, net of the loss allowance, rather than on its gross carrying amount.
The ACL is a discounted probability-weighted estimate of the cash shortfalls expected to result from defaults over the relevant
time horizon. For loan commitments, credit loss estimates consider the portion of the commitment that is expected to be drawn
over the relevant time period. For financial guarantees, credit loss estimates are based on the expected payments required under
the guarantee contract. For finance lease receivables, credit loss estimates are based on cash flows consistent with the cash
flows used in measuring the lease receivable.
Increases or decreases in the required ACL attributable to model changes and new originations, sales or maturities, and
changes in risk, parameters and exposures due to changes in loss expectations or stage transfers are recorded in PCL. Write-offs
and recoveries of amounts previously written off are recorded against ACL.
The ACL represents an unbiased estimate of expected credit losses on our financial assets as at the balance sheet date.
Judgment is required in making assumptions and estimations when calculating the ACL, including movements between the three
stages and the application of forward-looking information. The underlying assumptions and estimates may result in changes to
the provisions from period to period that significantly affect our results of operations.
Measurement of expected credit losses
Expected credit losses are based on a range of possible outcomes and consider all available reasonable and supportable
information, including internal and external ratings, historical credit loss experience and expectations about future cash flows.
The measurement of expected credit losses is based primarily on the product of the instrument\u2019s PD, loss given default (LGD),
and EAD discounted to the reporting date. The main difference between Stage 1 and Stage 2 expected credit losses for performing
financial assets is the respective calculation horizon. Stage 1 estimates project PD, LGD and EAD over a maximum period of
12 months while Stage 2 estimates project PD, LGD and EAD over the remaining lifetime of the instrument.
An expected credit loss estimate is produced for each individual exposure. Relevant parameters are modelled on a collective
basis using portfolio segmentation that allows for appropriate incorporation of forward-looking information. To reflect other
characteristics that are not already considered through modelling, expert credit judgment is exercised in determining the final
expected credit losses.
For a small percentage of our portfolios which lack detailed historical information and/or loss experience, we apply
simplified measurement approaches that may differ from what is described above. These approaches have been designed to
maximize the available information that is reliable and supportable for each portfolio and may be collective in nature.
Expected credit losses are discounted to the reporting period date using the effective interest rate.
Expected life
For instruments in Stage 2 or Stage 3, loss allowances reflect expected credit losses over the expected remaining lifetime of the
instrument. For most instruments, the expected life is limited to the remaining contractual life.
An exemption is provided for certain instruments with the following characteristics: (a) the instrument includes both a loan
and undrawn commitment component; (b) we have the contractual ability to demand repayment and cancel the undrawn
commitment; and (c) our exposure to credit losses is not limited to the contractual notice period. For products in scope of this
exemption, the expected life may exceed the remaining contractual life and is the period over which our exposure to credit losses
is not mitigated by our normal credit risk management actions. This period varies by product and risk category and is estimated
based on our historical experience with similar exposures and consideration of credit risk management actions taken as part of
our regular credit review cycle. Products in scope of this exemption include credit cards, overdraft balances and certain revolving
lines of credit. Judgment is required in determining the instruments in scope for this exemption and estimating the appropriate
remaining life based on our historical experience and credit risk mitigation practices.
Assessment of significant increase in credit risk
The assessment of significant increase in credit risk requires significant judgment. Movements between Stage 1 and Stage 2 are
based on whether an instrument\u2019s credit risk as at the reporting date has increased significantly relative to the date it was
initially recognized. For the purposes of this assessment, credit risk is based on an instrument\u2019s lifetime PD, not the losses we
expect to incur. The assessment is generally performed at the instrument level.
Our assessment of significant increases in credit risk is performed at least quarterly based on three factors. If any of the
following factors indicates that a significant increase in credit risk has occurred, the instrument is moved from Stage 1 to Stage 2:
(1)
We have established thresholds for significant increases in credit risk based on both a percentage and absolute change
in lifetime PD relative to initial recognition. For our wholesale portfolio, a decrease in the borrower\u2019s risk rating is also
required to determine that credit risk has increased significantly.
(2)
Additional qualitative reviews may be performed, as necessary, to assess the staging results, which may lead to
adjustments to better reflect the positions whose credit risk has increased significantly. These reviews are completed at
both the individual borrower levels and the portfolio level and may result in an instrument, a portfolio or a portion of a
portfolio moving from Stage 1 to Stage 2.
(3)
Instruments which are 30 days past due are generally considered to have experienced a significant increase in credit
risk, even if our other metrics do not indicate that a significant increase in credit risk has occurred.
The thresholds for movement between Stage 1 and Stage 2 are symmetrical. After a financial asset has transferred to Stage 2, if
its credit risk is no longer considered to have significantly increased relative to its initial recognition, the financial asset will
move back to Stage 1.
For certain instruments with low credit risk as at the reporting date, it is presumed that credit risk has not increased
significantly relative to initial recognition. Credit risk is considered to be low if the instrument has a low risk of default, and the
borrower has the ability to fulfill their contractual obligations both in the near term and in the longer term, including periods of
adverse changes in the economic or business environment. Certain interest-bearing deposits with banks, assets purchased under
reverse repurchase agreements, insurance policy loans, and liquidity facilities extended to our multi-seller conduits have been
identified as having low credit risk.
Use of forward-looking information
The measurement of expected credit losses for each stage and the assessment of significant increase in credit risk considers
information about past events and current conditions as well as reasonable and supportable projections of future events and
economic conditions. The estimation and application of forward-looking information requires significant judgment.
The PD, LGD and EAD inputs used to estimate Stage 1 and Stage 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 period, subsequently reverting to long-run averages.
Macroeconomic variables used in our expected credit loss models include, but are not limited to, unemployment rates, gross
domestic product growth rates, equity return indices, commodity prices, and Canadian housing prices. Depending on their usage
in the models, macroeconomic variables may be projected at a country, province/state or more granular level.
Our estimation of expected credit losses in Stage 1 and Stage 2 is a discounted probability-weighted estimate that considers
a minimum of three future macroeconomic scenarios. Our base case scenario is based on macroeconomic forecasts published
by our internal economics group. The published forecasts are developed from models based on historical macroeconomic data,
derived from public sources and financial markets. Upside and downside scenarios vary relative to our base case scenario based
on reasonably possible alternative macroeconomic conditions. Additional and more severe downside scenarios are designed to
capture a broader range of potential credit losses in certain sectors. Scenario design, including the identification of additional
downside scenarios, occurs at least on an annual basis and more frequently if conditions warrant.
Scenarios are designed to capture a wide range of possible outcomes and weighted according to our best estimate of the
relative likelihood of the range of outcomes that each scenario represents. Scenario weights take into account historical
frequency, current trends, and forward-looking conditions and are updated on a quarterly basis. All scenarios considered are
applied to all portfolios subject to expected credit losses with the same probabilities.
Our assessment of significant increases in credit risk is based on changes in probability-weighted forward-looking lifetime
PDs as at the reporting date, using the same macroeconomic scenarios as the calculation of expected credit losses.
Definition of default
The definition of default used in the measurement of expected credit losses is consistent with the definition of default used for
our internal credit risk management purposes. Our definition of default may differ across products and consider both
quantitative and qualitative factors, such as the terms of financial covenants and days past due. For retail and wholesale
borrowers, except as detailed below, default occurs when the borrower is more than 90 days past due on any material obligation
to us, and/or we consider the borrower unlikely to make their payments in full without recourse action on our part, such as taking
formal possession of any collateral held. For certain credit card balances, default occurs when payments are 180 days past due.
For these balances, the use of a period in excess of 90 days past due is reasonable and supported by observable data on write-off
and recovery rates experienced on historical credit card portfolios. The definition of default used is applied consistently from
period to period and to all financial instruments unless it can be demonstrated that circumstances have changed such that
another definition of default is more appropriate.
Credit-impaired financial assets (Stage 3)
Financial assets are assessed for credit-impairment at each balance sheet date and more frequently when circumstances
warrant further assessment. Evidence of credit-impairment may include indications that the borrower is experiencing significant
financial difficulty, probability of bankruptcy or other financial reorganization, as well as a measurable decrease in the estimated
future cash flows evidenced by the adverse changes in the payments status of the borrower or economic conditions that
correlate with defaults. An asset that is in Stage 3 will move back to Stage 2 when, as at the reporting date, it is no longer
considered to be credit-impaired. The asset will transfer back to Stage 1 when its credit risk at the reporting date is no longer
considered to have increased significantly from initial recognition, which could occur during the same reporting period as the
transfer from Stage 3 to Stage 2.
When a financial asset has been identified as credit-impaired, expected credit losses are measured as the difference
between the asset\u2019s gross carrying amount and the present value of estimated future cash flows discounted at the instrument\u2019s
original effective interest rate. For impaired financial assets with drawn and undrawn components, expected credit losses also
reflect any credit losses related to the portion of the loan commitment that is expected to be drawn down over the remaining life
of the instrument.
When a financial asset is credit-impaired, interest ceases to be recognized on the regular accrual basis, which accrues
income based on the gross carrying amount of the asset. Rather, interest income is calculated by applying the original effective
interest rate to the amortized cost of the asset, which is the gross carrying amount less the related ACL.
ACL for credit-impaired loans in Stage 3 are established at the borrower level, where losses related to impaired loans are
identified on individually significant loans, or collectively assessed and determined through the use of portfolio-based rates,
without reference to particular loans.
Individually assessed loans (Stage 3)
When individually significant loans are identified as impaired, we reduce the carrying value of the loans to their estimated
realizable value by recording an individually assessed ACL to cover identified credit losses. The individually assessed ACL
reflects the expected amount of principal and interest calculated under the terms of the original loan agreement that will not be
recovered, and the impact of time delays in collecting principal and/or interest (time value of money). The estimated realizable
value for each individually significant loan is the present value of expected future cash flows discounted using the original
effective interest rate for each loan. When the amounts and timing of future cash flows cannot be estimated with reasonable
reliability, the estimated realizable amount may be determined using observable market prices for comparable loans, the fair
value of collateral underlying the loans, and other reasonable and supported methods based on management judgment.
Individually-assessed allowances are established in consideration of a range of possible outcomes, which may include
macroeconomic or non-macroeconomic scenarios, to the extent relevant to the circumstances of the specific borrower being
assessed. Assumptions used in estimating expected future cash flows reflect current and expected future economic conditions
and are generally consistent with those used in Stage 1 and Stage 2 measurement.
Significant judgment is required in assessing evidence of credit-impairment and estimation of the amount and timing of
future cash flows when determining expected credit losses. Changes in the amount expected to be recovered would have a direct
impact on PCL and may result in a change in the ACL.
Collectively assessed loans (Stage 3)
Loans that are collectively assessed are grouped on the basis of similar risk characteristics, taking into account loan type,
industry, geographic location, collateral type, past due status and other relevant factors.
The collectively-assessed ACL reflects: (i) the expected amount of principal and interest calculated under the terms of the
original loan agreement that will not be recovered, and (ii) the impact of time delays in collecting principal and/or interest (time
value of money).
The expected principal and interest collection is estimated on a portfolio basis and references historical loss experience of
comparable portfolios with similar credit risk characteristics, adjusted for the current environment and expected future
conditions. A portfolio specific coverage ratio is applied against the impaired loan balance in determining the collectively-
assessed ACL. The time value of money component is calculated by using the discount factors applied to groups of loans sharing
common characteristics. The discount factors represent the expected recovery pattern of the comparable group of loans, and
reflect the historical experience of these groups adjusted for current and expected future economic conditions and/or industry
factors. Significant judgment is required in assessing evidence of impairment and estimation of the amount and timing of future
cash flows when determining expected credit losses. Changes in the amount expected to be recovered would have a direct
impact on PCL and may result in a change in the ACL.
Write-off of loans
Loans and the related ACL are written off, either partially or in full, when there is no realistic prospect of recovery. Where loans
are secured, they are generally written off after receipt of any proceeds from the realization of collateral. In circumstances where
the net realizable value of any collateral has been determined and there is no reasonable expectation of further recovery, write
off may be earlier. For credit cards, the balances and related ACL are generally written off when payment is 180 days past due.
Personal loans are generally written off at 150 days past due.
Modifications
The original terms of a financial asset may be renegotiated or otherwise modified, resulting in changes to the contractual terms
of the financial asset that affect the contractual cash flows. The treatment of such modifications is primarily based on the
process undertaken to execute the renegotiation and the nature and extent of the expected changes. In the normal course of
business, modifications which are performed for credit reasons, primarily related to troubled debt restructurings, are generally
treated as modifications of the original financial asset. Modifications which are performed for other than credit reasons are
generally considered to be an expiry of the original cash flows; accordingly, such renegotiations are treated as a derecognition of
the original financial asset and recognition of a new financial asset.
If a modification of terms does not result in derecognition of the financial asset, the carrying amount of the financial asset is
recalculated as the present value of the renegotiated or modified contractual cash flows, discounted at the original effective
interest rate and a gain or loss is recognized. The financial asset continues to be subject to the same assessments for significant
increase in credit risk relative to initial recognition and credit-impairment, as described above. A modified financial asset will
transfer out of Stage 3 if the conditions that led to it being identified as credit-impaired are no longer present and relate
objectively to an event occurring after the original credit-impairment was recognized. A modified financial asset will transfer out
of Stage 2 when it no longer satisfies the relative thresholds set to identify significant increases in credit risk, which are based on
changes in its lifetime PD, days past due and other qualitative considerations. The financial asset continues to be monitored for
significant increases in credit risk and credit-impairment.
If a modification of terms results in derecognition of the original financial asset and recognition of the new financial asset,
the new financial asset will generally be recorded in Stage 1, unless it is determined to be credit-impaired at the time of the
renegotiation. For the purposes of assessing for significant increases in credit risk, the date of initial recognition for the new
financial asset is the date of the modification.
Derivatives
When derivatives are embedded in other financial instruments or host contracts, such combinations are known as hybrid
instruments. Some of the cash flows of a hybrid instrument vary in a way similar to a stand-alone derivative. If the host contract
is a financial asset within the scope of IFRS 9
Financial Instruments
(IFRS 9), the classification and measurement criteria are
applied to the entire hybrid instrument as described in the Classification of financial assets section of Note 2. If the host contract
is a financial liability or an asset that is not within the scope of IFRS 9, embedded derivatives are separately recognized if the
economic characteristics and risks of the embedded derivative are not clearly and closely related to the host contract, unless an
election has been made to elect the fair value option, as described above. The host contract is accounted for in accordance with
the relevant standards.
Derivatives are primarily used in trading activities. Derivatives are also used to manage our exposure to interest, currency,
credit and other market risks. The most frequently used derivative products are interest rate and foreign exchange swaps,
options, futures and forward rate agreements, equity swaps and credit derivatives. All derivative instruments are recorded on our
Consolidated Balance Sheets at fair value.
When derivatives are used in trading activities, the realized and unrealized gains and losses on these derivatives are
recognized in Trading revenue in Non-interest income. Derivatives with positive fair values are reported as Derivative assets and
derivatives with negative fair values are reported as Derivative liabilities. In accordance with our policy for offsetting financial
assets and financial liabilities, the net fair value of certain derivative assets and liabilities are reported as an asset or liability, as
appropriate. Valuation adjustments are included in the fair value of Derivative assets and Derivative liabilities. Premiums paid
and premiums received are shown in Derivative assets and Derivative liabilities, respectively.
When derivatives are used to manage our own exposures, we determine for each derivative whether hedge accounting can
be applied, as discussed in the Hedge accounting section below.
Derecognition of financial assets
Financial assets are derecognized from our Consolidated Balance Sheets when our contractual rights to the cash flows from the
assets have expired, when we retain the rights to receive the cash flows of the assets but assume an obligation to pay those cash
flows to a third party subject to certain pass-through requirements or when we transfer our contractual rights to receive the cash
flows and substantially all of the risks and rewards of the assets have been transferred. When we retain substantially all of the
risks and rewards of the transferred assets, the transferred assets are not derecognized from our Consolidated Balance Sheets
and are accounted for as secured financing transactions. When we neither retain nor transfer substantially all risks and rewards
of ownership of the assets, we derecognize the assets if control over the assets is relinquished. If we retain control over the
transferred assets, we continue to recognize the transferred assets to the extent of our continuing involvement.
Management judgment is applied in determining whether the contractual rights to the cash flows from the transferred assets
have expired or whether we retain the rights to receive cash flows on the assets but assume an obligation to pay for those cash
flows. We derecognize transferred financial assets if we transfer substantially all the risks and rewards of the ownership in the
assets. When assessing whether we have transferred substantially all of the risk and rewards of the transferred assets,
management considers the Bank\u2019s exposure before and after the transfer with the variability in the amount and timing of the net
cash flows of the transferred assets. In transfers in which we retain the servicing rights, management has applied judgment in
assessing the benefits of servicing against market expectations. When the benefits of servicing are greater than fair value, a
servicing asset is recognized in Other assets in our Consolidated Balance Sheets. When the benefits of servicing are less than fair
value, a servicing liability is recognized in Other liabilities in our Consolidated Balance Sheets.
Derecognition of financial liabilities
We derecognize a financial liability from our Consolidated Balance Sheets when our obligation specified in the contract expires,
or is discharged or cancelled. We recognize the difference between the carrying amount of a financial liability transferred and the
consideration paid in our Consolidated Statements of Income.
Interest
Interest is recognized in Interest income and Interest expense in the Consolidated Statements of Income for all interest-bearing
financial instruments. The effective interest rate is the rate that discounts estimated future cash flows over the expected life of
the financial asset or liability to the net carrying amount upon initial recognition. Significant judgment is applied in determining
the effective interest rate due to uncertainty in the timing and amounts of future cash flows.
Dividend income
Dividend income is recognized when the right to receive payment is established. This is the ex-dividend date for listed equity
securities, and usually the date when shareholders have approved the dividend for unlisted equity securities.
Transaction costs
Transaction costs are expensed as incurred for financial instruments classified or designated as FVTPL. For other financial
instruments, transaction costs are capitalized on initial recognition. For financial assets and financial liabilities measured at
amortized cost and debt financial assets measured at FVOCI, capitalized transaction costs are amortized through net income
over the estimated life of the instrument using the effective interest method.
Offsetting financial assets and financial liabilities
Financial assets and financial liabilities are offset on the Consolidated Balance Sheets when there exists both a legally
enforceable right to offset the recognized amounts and an intention to settle on a net basis, or realize the asset and settle the
liability simultaneously.
Assets purchased under reverse repurchase agreements and sold under repurchase agreements
We purchase securities under agreements to resell (reverse repurchase agreements) and take possession of these securities. We
monitor the market value of the securities purchased and additional collateral is obtained when appropriate. We have the right
to liquidate the collateral held in the event of counterparty default. Reverse repurchase agreements are treated as collateralized
lending transactions. We also sell securities under agreements to repurchase (repurchase agreements), which are treated as
collateralized borrowing transactions. The securities received under reverse repurchase agreements and securities delivered
under repurchase agreements are not recognized on, or derecognized from, our Consolidated Balance Sheets, respectively,
unless the risks and rewards of ownership are obtained or relinquished.
Reverse repurchase agreements and repurchase agreements are carried on our Consolidated Balance Sheets at the
amounts at which the securities were initially acquired or sold, except when they are classified or designated as FVTPL and are
recorded at fair value. Interest earned on reverse repurchase agreements is included in Interest income, and interest incurred on
repurchase agreements is included in Interest expense in our Consolidated Statements of Income. Changes in fair value for
reverse repurchase agreements and repurchase agreements classified or designated as FVTPL are included in Trading revenue or
Other in Non-interest income.
Hedge accounting
We have elected to continue to apply the hedge accounting principles under IAS 39 instead of those under IFRS 9.
We use derivatives and non-derivatives in our hedging strategies to manage our exposure to interest rate, currency, credit
and other market risks. Where hedge accounting can be applied, a hedge relationship is designated and documented at inception
to detail the particular risk management objective and strategy for undertaking the hedge transaction. The documentation
identifies the specific asset, liability or anticipated cash flows being hedged, the risk that is being hedged, the type of hedging
instrument used and how effectiveness will be assessed. We assess, both at the inception of the hedge and on an ongoing basis,
whether the hedging instruments are \u2018highly effective\u2019 in offsetting changes in the fair value or cash flows of the hedged items. A
hedge is regarded as highly effective only if the following criteria are met: (i) at inception of the hedge and throughout its life, the
hedge is expected to be highly effective in achieving offsetting changes in fair value or cash flows attributable to the hedged risk,
and (ii) actual results of the hedge are within a pre-determined range. We perform effectiveness testing to demonstrate that the
relationship has been and is expected to be effective over the remaining term of the hedge. In the case of hedging a forecast
transaction, the transaction must have a high probability of occurring and must present an exposure to variations in cash flows
that could ultimately affect the reported net profit or loss. Hedge accounting is discontinued when it is determined that the
hedging instrument is no longer effective as a hedge, the hedging instrument or hedged item is terminated or sold, or the forecast
transaction is no longer deemed highly probable. Refer to Note 9 for the fair value of derivatives and non-derivative instruments
categorized by their hedging relationships, as well as derivatives that are not designated in hedging relationships.
Until the hedging relationships impacted by the Interest rate benchmark reform (the Reform) fully transition to alternative
benchmark rates (ABRs), our prospective effectiveness testing is based on existing hedged cash flows or hedged risks and any
ineffectiveness arising from retrospective testing does not result in a discontinuation of the hedge. Additionally, effectiveness
testing is applied separately to hedged items referencing ABRs and hedged items referencing interbank offered rates (IBORs),
which include USD London Interbank Offered Rate (USD LIBOR) and Canadian Dollar Offered Rate (CDOR), in accordance with
the Phase 2 amendments to IFRS 9
Financial Instruments
, IAS 39
Financial Instruments: Recognition and Measurement
, IFRS 7
Financial Instruments: Disclosures
, IFRS 4
Insurance contracts
, and IFRS 16
Leases
(the Amendments). Subsequently, when these
relationships fully transition to ABRs, and provided qualifying criteria are met, we will amend the related hedge documentation
for the ABR risk, including consequential changes to the description of the hedging instrument(s), the hedged item(s), and the
method for assessing hedge effectiveness, without discontinuing the existing hedging relationships.
Fair value hedges
In a fair value hedging relationship, the carrying value of the hedged item is adjusted for changes in fair value attributable to the
hedged risk and recognized in Non-interest income. Changes in fair value of the hedged item, to the extent that the hedging
relationship is effective, are offset by changes in the fair value of the hedging derivative, which are also recognized in
Non-interest income. When hedge accounting is discontinued, the carrying value of the hedged item is no longer adjusted and the
cumulative fair value adjustments to the carrying value of the hedged items are amortized to Net income over the expected
remaining life of the hedged items.
We predominantly use interest rate swaps to hedge our exposure to changes in a fixed interest rate instrument\u2019s fair value
caused by changes in interest rates. Until the hedging relationships impacted by the Reform fully transition to ABRs, we apply
hedge accounting to IBOR rates which may not be contractually specified when that rate is separately identifiable and reliably
measurable at inception of the hedge relationship.
Cash flow hedges
In a cash flow hedging relationship, the effective portion of the change in the fair value of the hedging derivative, net of taxes, is
recognized in OCI and reclassified to profit or loss as the associated hedged forecast transaction occurs, while the ineffective
portion is recognized in Non-interest income. When hedge accounting is discontinued, the cumulative amounts previously
recognized in OCI are reclassified to Net interest income during the periods when the variability in the cash flows of the hedged
item affects Net interest income. Unrealized gains and losses on derivatives are reclassified immediately to Net income when the
hedged item is sold or terminated early, or when the forecast transaction is no longer expected to occur.
We predominantly use interest rate swaps to hedge the variability in cash flows related to a variable-rate asset or liability.
Until the hedging relationships impacted by the Reform fully transition to ABRs, we treat the highly probable hedged IBORs based
cash flows of groups of similar assets or liabilities with similar risk characteristics as unchanged as a result of the Reform. In
addition, associated cash flow hedge reserves are not recycled into net income solely due to changes related to the transition
from IBORs to ABRs. Subsequently, when some items in the group transition to ABRs before other items, the individual hedged
items are allocated to subgroups based on the benchmark interest rate being hedged. We test hedge effectiveness based on the
defined subgroups, in accordance with the Amendments, if eligibility requirements are met. If a subgroup fails the eligibility
requirements, we would discontinue hedge accounting prospectively for the hedging relationship in its entirety.
Net investment hedges
In hedging our foreign currency exposure to a net investment in a foreign operation, the effective portion of foreign exchange
gains and losses on the hedging instruments, net of applicable taxes, is recognized in OCI and the ineffective portion is
recognized in Non-interest income. The amounts, or a portion thereof, previously recognized in Other components of equity are
recognized in Net income on the disposal, or partial disposal, of the foreign operation.
We use foreign exchange contracts and foreign currency-denominated liabilities to manage our foreign currency exposures
to net investments in foreign operations having a functional currency other than the Canadian dollar.
Guarantees
Financial guarantee contracts are contracts that contingently require us to make specified payments (in cash, other assets, our
own shares or provision of services) to reimburse the holder for a loss it incurs because a specified debtor fails to make payment
when due in accordance with the original or modified terms of a debt instrument. Liabilities are recognized on our Consolidated
Balance Sheets at the inception of a guarantee for the fair value of the obligation undertaken in issuing the guarantee. Financial
guarantees are subsequently remeasured at the higher of (i) the amount of expected credit losses and (ii) the amount initially
recognized less, when appropriate, the cumulative amount of income recognized.
If the financial guarantee contract meets the definition of a derivative, it is measured at fair value at each balance sheet
date and reported under Derivatives on our Consolidated Balance Sheets.
Insurance and segregated funds
Premiums from long-duration contracts, primarily life, health and annuity insurance (life insurance), are recognized when due in
Non-interest income \u2013 Insurance premiums, investment and fee income. Premiums from short-duration contracts, primarily
property and casualty, and fees for administrative services are recognized in Insurance premiums, investment and fee income
over the related contract period. Unearned premiums of the short-duration contracts, representing the unexpired portion of
premiums, are reported in Other liabilities. Investments made by our insurance operations are classified as FVOCI instruments
and amortized cost instruments, except for investments supporting the policy benefit liabilities on life insurance contracts and a
portion of property and casualty contracts. These are designated as FVTPL with changes in fair value reported in Insurance
premiums, investment and fee income.
Insurance claims and policy benefit liabilities represent current claims and estimates for future insurance policy benefits.
Liabilities for life insurance contracts are determined using the Canadian Asset Liability Method (CALM), which incorporates
assumptions for mortality, morbidity, policy lapses and surrenders, investment yields, policy dividends, operating and policy
maintenance expenses and provisions for adverse deviation. These assumptions are reviewed at least annually and updated in
response to actual experience and market conditions. Liabilities for property and casualty insurance represent estimated
provisions for reported and unreported claims. Liabilities for life and property and casualty insurance are included in Insurance
claims and policy benefit liabilities. Changes in Insurance claims and policy benefit liabilities are included in the Insurance
policyholder benefits, claims and acquisition expense in our Consolidated Statements of Income in the period in which the
estimates change.
Premiums ceded for reinsurance and reinsurance recoveries on policyholder benefits and claims incurred are reported in
income and expense as appropriate. Reinsurance recoverables, which relate to paid benefits and unpaid claims, are included in
Other assets.
Acquisition costs for new insurance contracts consist of commissions, premium taxes, certain underwriting costs and other
costs that vary with the acquisition of new contracts. Deferred acquisition costs for life insurance products are implicitly
recognized in Insurance claims and policy benefit liabilities by CALM. For property and casualty insurance, these costs are
classified as Other assets and amortized over the policy term.
Segregated funds are lines of business in which we issue an insurance contract where the benefit amount is directly linked to
the market value of the investments held in the underlying fund. The contractual arrangement is such that the underlying
segregated fund assets are registered in our name but the segregated fund policyholders bear the risks and rewards of the funds\u2019
investment performance. Liabilities for these contracts are calculated based on contractual obligations using actuarial
assumptions and are at least equivalent to the surrender or transfer value calculated by reference to the value of the relevant
underlying funds or indices. Segregated funds\u2019 assets and liabilities are separately presented on our Consolidated Balance
Sheets. As the segregated fund policyholders bear the risks and rewards of the funds\u2019 performance, investment income earned by
the segregated funds and expenses incurred by the segregated funds are offset and are not separately presented in our
Consolidated Statements of Income. Fee income we earn from segregated funds includes management fees, mortality, policy
administration and surrender charges, and these fees are recorded in Non-interest income \u2013 Insurance premiums, investment
and fee income. We provide minimum death benefit and maturity value guarantees on segregated funds. The liability associated
with these minimum guarantees is recorded in Insurance claims and policy benefit liabilities.
Liability adequacy tests are performed for all insurance contract portfolios at each balance sheet date to ensure the
adequacy of insurance contract liabilities. Current best estimates of future contractual cash flows, claims handling and
administration costs, and investment returns from the assets backing the liabilities are taken into account in the tests. When the
test results indicate that there is a deficiency in liabilities, the deficiency is charged immediately to our Consolidated Statements
of Income by writing down the deferred acquisition costs in Other assets and/or increasing Insurance claims and policy benefit
liabilities.
Employee benefits \u2013 Pensions and other post-employment benefits
Our defined benefit pension expense, which is included in Non-interest expense \u2013 Human resources, consists of the cost of
employee pension benefits for the current year\u2019s service, net interest on the net defined benefit liability (asset), past service cost
and gains or losses on settlement. Remeasurements of the net defined benefit obligation, which comprise actuarial gains and
losses and return on plan assets (excluding amounts included in net interest on the net defined benefit liability), are recognized
immediately in OCI in the period in which they occur. Actuarial gains and losses comprise experience adjustments (the effects of
differences between the previous actuarial assumptions and what has actually occurred), as well as the effects of changes in
actuarial assumptions. Amounts recognized in OCI will not be reclassified subsequently to net income. Past service cost is the
change in the present value of the defined benefit obligation resulting from a plan amendment or curtailment and is charged
immediately to income.
For each defined benefit pension plan, we recognize the present value of our defined benefit obligations less the fair value of
the plan assets as a defined benefit liability reported in Other liabilities \u2013 Employee benefit liabilities on our Consolidated
Balance Sheets. For plans where there is a net defined benefit asset, the amount is reported as an asset in Other assets \u2013
Employee benefit assets on our Consolidated Balance sheets.
The calculation of defined benefit expenses and obligations requires significant judgment as the recognition is dependent on
discount rates and various actuarial assumptions such as healthcare cost trend rates, projected salary increases, retirement age
and mortality and termination rates. Due to the long-term nature of these plans, such estimates and assumptions are subject to
inherent risks and uncertainties. For our pension and other post-employment benefit plans, the discount rate is determined by
reference to market yields on high quality corporate bonds. Since the discount rate is based on currently available yields, and
involves management\u2019s assessment of market liquidity, it is only a proxy for future yields. Actuarial assumptions, set in
accordance with current practices in the respective countries of our plans, may differ from actual experience as country specific
statistics are only estimates of future employee behaviour. These assumptions are determined by management and are reviewed
by actuaries at least annually. Changes to any of the above assumptions may affect the amounts of benefits obligations,
expenses and remeasurements that we recognize.
Our contributions to defined contribution pension plans are expensed when employees have rendered services in exchange
for such contributions. Defined contribution pension expense is included in Non-interest expense \u2013 Human resources.
Share-based compensation
We offer share-based compensation plans to certain key employees and to our non-employee directors.
To account for stock options granted to employees, compensation expense is recognized over the applicable vesting period
with a corresponding increase in equity. Fair value is determined by using option valuation models, which take into account the
exercise price of the option, the current share price, the risk free interest rate, the expected volatility of the share price over the
life of the option and other relevant factors. When the options are exercised, the exercise price proceeds together with the
amount initially recorded in equity are credited to common shares. Our other share-based compensation plans include
performance deferred share plans and deferred share unit plans for key employees (the Plans). The obligations for the Plans are
accrued over their vesting periods. The Plans are settled in cash.
For cash-settled awards, our accrued obligations are adjusted to their fair value at each balance sheet date. For share-
settled awards, our expected obligations recognized in equity are based on the fair value of our common shares at the date of
grant. Changes in our obligations, net of related hedges, are recorded as Non-interest expense \u2013 Human resources in our
Consolidated Statements of Income with a corresponding increase in Other liabilities for cash-settled awards and in Retained
earnings for share-settled awards. Compensation expense is recognized in the year the awards are earned by plan participants
based on the vesting schedule of the relevant plans, net of estimated forfeitures.
The compensation cost attributable to options and awards granted to employees who are eligible to retire or will become
eligible to retire during the vesting period, is recognized immediately if the employee is eligible to retire on the grant date or over
the period between the grant date and the date the employee becomes eligible to retire.
Our contributions to the employee savings and share ownership plans are expensed as incurred.
Income taxes
Income tax comprises current tax and deferred tax and is recognized in our Consolidated Statements of Income except to the
extent that it relates to items recognized directly in equity, in which case it is recognized in equity.
Current income tax payable on profits is recognized as an expense based on the applicable tax laws in each jurisdiction in
the period in which profits arise, calculated using tax rates enacted or substantively enacted by the balance sheet date. Deferred
tax is recognized on temporary differences between the carrying amounts of assets and liabilities for accounting and tax
purposes. A deferred income tax asset or liability is determined for each temporary difference, except for earnings related to our
subsidiaries, branches, associates and interests in joint ventures where the temporary differences will not reverse in the
foreseeable future and we have the ability to control the timing of reversal. Deferred tax assets and liabilities are determined
based on the tax rates that are expected to be in effect in the period that the asset is realized or the liability is settled, based on
tax rates and tax laws that have been enacted or substantively enacted at the balance sheet date. Current tax assets and
liabilities are offset when they are levied by the same taxation authority on either the same taxable entity or different taxable
entities within the same tax reporting group (which intends to settle on a net basis), and when there is a legal right to offset.
Deferred tax assets and liabilities are offset when the same conditions are satisfied. Our Consolidated Statements of Income
include items that are non-taxable or non-deductible for income tax purposes and, accordingly, this causes the income tax
provision to be different from what it would be if based on statutory rates.
Deferred income taxes accumulated as a result of temporary differences and tax loss carryforwards are included in Other
assets and Other liabilities. On a quarterly basis, we review our deferred income tax assets to determine whether it is probable
that the benefits associated with these assets will be realized; this review involves evaluating both positive and negative evidence.
We are subject to income tax laws in various jurisdictions where we operate, and the complex tax laws are potentially subject
to different interpretations by us and the relevant taxation authorities. Significant judgment is required in the interpretation of the
relevant tax laws and in assessing the probability of acceptance of our tax positions to determine our tax provision, which includes
our best estimate of uncertain tax positions that are under audit or appeal by the relevant tax authorities. We perform a review on
a quarterly basis to incorporate our best assessment based on information available, but additional liability and income tax
expense could result based on the acceptance of our tax positions by the relevant tax authorities.
The determination of our deferred tax asset or liability also requires significant management judgment as the recognition is
dependent on our projection of future taxable profits and tax rates that are expected to be in effect in the period the asset is
realized or the liability is settled. Any changes in our projection will result in changes in deferred tax assets or liabilities on our
Consolidated Balance Sheets, and also deferred tax expense on our Consolidated Statements of Income.
The IASB issued amendments to IAS 12
Income Taxes (IAS 12)
in May 2023 to address the
Pillar Two Model Rules
for
International Tax Reform
, including a global 15% minimum tax. The amendments introduce, with immediate effect, a temporary
recognition exception in relation to accounting and disclosure for deferred taxes arising from the implementation of the
international tax reform.
Business combinations, goodwill and other intangibles
All business combinations are accounted for using the acquisition method. Non-controlling interests, if any, are recognized at
their proportionate share of the fair value of identifiable assets and liabilities, unless otherwise indicated. Identifiable intangible
assets are recognized separately from goodwill and included in Other intangibles. Goodwill represents the excess of the price
paid for the business acquired over the fair value of the net identifiable assets acquired on the date of acquisition.
Goodwill
Goodwill is allocated to cash-generating units or groups of cash-generating units for the purpose of impairment testing, which is
undertaken at the lowest level at which goodwill is monitored for internal management purposes. Impairment testing is
performed annually as at August 1, or more frequently if there are objective indicators of impairment, by comparing the
recoverable amount of a cash-generating unit (CGU) with its carrying amount. The recoverable amount of a CGU is the higher of
its value in use (VIU) and its fair value less costs of disposal (FVLCD). VIU is the present value of the expected future cash flows
from a CGU. FVLCD is the amount obtainable from the sale of a CGU in an orderly transaction between market participants, less
disposal costs. The fair value of a CGU is estimated using valuation techniques such as a discounted cash flow method, adjusted
to reflect the considerations of a prospective third-party buyer. External evidence such as binding sale agreements or recent
transactions for similar businesses within the same industry is considered to the extent that it is available.
Significant judgment is involved in estimating the model inputs used to determine the recoverable amount of our CGUs, in
particular future cash flows, discount rates and terminal growth rates, due to the uncertainty in the timing and amount of cash
flows and the forward-looking nature of these inputs. Future cash flows are based on financial plans agreed by management which
are estimated based on forecast results, business initiatives, planned capital investments and returns to shareholders. Discount
rates are based on the bank-wide cost of capital, adjusted for CGU-specific risks and currency exposure as reflected by differences
in expected inflation. Bank-wide cost of capital is based on the Capital Asset Pricing Model, the Dividend Growth Model and peer
analysis. CGU-specific risks include country risk, business/operational risk, geographic risk (including political risk, devaluation
risk and government regulation), currency risk and price risk (including product pricing risk and inflation). Terminal growth rates
are based on the long-term steady state growth expectations in the countries within which the CGU operates. If the future cash
flows and other assumptions in future periods deviate significantly from the current amounts used in our impairment testing, the
value of our goodwill could become impaired, with any such impairment loss recognized in Non-interest expense.
The carrying amount of a CGU includes the carrying amount of assets, liabilities and goodwill allocated to the CGU. If the
recoverable amount is less than the carrying value, the impairment loss is allocated first to reduce the carrying amount of any
goodwill allocated to the CGU and then to the other non-financial assets of the CGU proportionately based on the carrying
amount of each asset. Any impairment loss is charged to income in the period in which the impairment is identified. Goodwill is
stated at cost less accumulated impairment losses. Subsequent reversals of goodwill impairment are prohibited.
Upon disposal of a portion of a CGU, the carrying amount of goodwill related to the portion of the CGU sold is included in the
determination of gains or losses on disposal. The carrying amount is determined based on the relative fair value of the disposed
portion to the total CGU.
Other intangibles
Intangible assets represent identifiable non-monetary assets and are acquired either separately or through a business
combination, or generated internally. Intangible assets acquired through a business combination are recognized separately from
goodwill when they are separable or arise from contractual or other legal rights, and their fair value can be measured reliably.
The cost of a separately acquired intangible asset includes its purchase price and directly attributable costs of preparing the
asset for its intended use. In respect of internally generated intangible assets, cost includes all directly attributable costs
necessary to create, produce and prepare the asset to be capable of operating in the manner intended by management. Research
and development costs that are not eligible for capitalization are expensed. After initial recognition, an intangible asset is carried
at its cost less any accumulated amortization and accumulated impairment losses, if any. Intangible assets with a finite-life are
amortized on a straight-line basis over their estimated useful lives as follows: computer software \u2013 3 to 10 years; and customer
list and relationships \u2013 10 to 20 years. We do not have any intangible assets with indefinite lives.
Intangible assets are assessed for indicators of impairment at each reporting period. If there is an indication that an
intangible asset may be impaired, an impairment test is performed by comparing the carrying amount of the intangible asset to
its recoverable amount. Where it is not possible to estimate the recoverable amount of an individual asset, we estimate the
recoverable amount of the CGU to which the asset belongs. If the recoverable amount of the asset (or CGU) is less than its
carrying amount, the carrying amount of the intangible asset is written down to its recoverable amount as an impairment loss.
An impairment loss recognized previously is reversed if there is a change in the estimates used to determine the recoverable
amount of the asset (or CGU) since the last impairment loss was recognized. If an impairment loss is subsequently reversed, the
carrying amount of the asset (or CGU) is revised to the lower of its recoverable amount and the carrying amount that would have
been determined (net of amortization) had there been no prior impairment.
Due to the subjective nature of these estimates, significant judgment is required in determining the useful lives and
recoverable amounts of our intangible assets, and assessing whether certain events or circumstances constitute objective
evidence of impairment. Estimates of the recoverable amounts of our intangible assets rely on certain key inputs, including
future cash flows and discount rates. Future cash flows are based on sales projections and allocated costs which are estimated
based on forecast results and business initiatives. Discount rates are based on the bank-wide cost of capital, adjusted for asset-
specific risks. Changes in these assumptions may impact the amount of impairment loss recognized in Non-interest expense.
Other
Translation of foreign currencies
Monetary assets and liabilities denominated in foreign currencies are translated into Canadian dollars at rates prevailing at the
balance sheet date. Foreign exchange gains and losses resulting from the translation and settlement of these items are
recognized in Non-interest income in the Consolidated Statements of Income.
Non-monetary assets and liabilities that are measured at historical cost are translated into Canadian dollars at historical
rates.
Assets and liabilities of our foreign operations with functional currencies other than Canadian dollars are translated into
Canadian dollars at rates prevailing at the balance sheet date, and income and expenses of these foreign operations are
translated at average rates of exchange for the reporting period.
Unrealized gains or losses arising as a result of the translation of our foreign operations along with the effective portion of
related hedges are reported in Other components of equity on an after-tax basis. Upon disposal or partial disposal of a foreign
operation, an appropriate portion of the accumulated net translation gains or losses is included in Non-interest income.
Premises and equipment
Premises and equipment includes land, buildings, leasehold improvements, computer equipment, furniture, fixtures and other
equipment, and are stated at cost less accumulated depreciation, except for land which is not depreciated, and accumulated
impairment losses. Cost comprises the purchase price, any costs directly attributable to bringing the asset to the location and
condition necessary for its intended use, and the initial estimate of any disposal costs. Depreciation is recorded principally on a
straight\u2013line basis over the estimated useful lives of the assets, which are 25 to 50 years for buildings, 3 to 10 years for computer
equipment, and 5 to 10 years for furniture, fixtures and other equipment. The amortization period for leasehold improvements is
the lesser of the useful life of the leasehold improvements or the lease term plus the first renewal period, if reasonably assured
of renewal. Depreciation methods, useful lives, and residual values are reassessed at each reporting period and adjusted as
appropriate. Gains and losses on disposal are recorded in Non\u2013interest income.
Premises and equipment are assessed for indicators of impairment at each reporting period. If there is an indication that an
asset may be impaired, an impairment test is performed by comparing the asset\u2019s carrying amount to its recoverable amount.
After the recognition of impairment, the depreciation charge is adjusted in future periods to reflect the asset\u2019s revised
carrying amount. If an impairment is later reversed, the carrying amount of the asset is revised to the lower of the asset\u2019s
recoverable amount and the carrying amount that would have been determined (net of depreciation) had there been no prior
impairment loss. The depreciation charge in future periods is adjusted to reflect the revised carrying amount.
Right-of-use assets are also included in premises and equipment.
Leasing
At inception of a contract, we assess whether a contract is or contains a lease. A contract is, or contains, a lease if the contract
conveys the right to obtain substantially all of the economic benefits from, and direct the use of, an identified asset for a period
of time in return for consideration.
When we are the lessee in a lease arrangement, we initially record a right-of-use asset and corresponding lease liability,
except for short-term leases and leases of low-value assets. Short-term leases are leases with a lease term of 12 months or less.
Low-value assets are unspecialized, common, technologically unsophisticated, widely available and widely used
non-infrastructure assets. For short-term leases and leases of low-value assets, we record the lease payments as an operating
expense on a straight-line basis over the lease term.
Where we are reasonably certain to exercise extension and termination options, they are included in the lease term.
The lease liability is initially measured at the present value of the lease payments that are not paid at the commencement
date, discounted at our incremental borrowing rate. The lease liability is subsequently measured at amortized cost using the
effective interest method, recorded in Interest expense.
The right-of-use asset is initially measured based on the initial amount of the lease liability, adjusted for lease payments
made on or before the commencement date, initial direct costs incurred, and an estimate of costs to dismantle, remove, or
restore the asset, less any lease incentives received. Costs related to dismantling and removing leasehold improvements are
capitalized as part of the leasehold improvement asset (rather than the right-of-use asset of the lease) when the leasehold
improvements are separately capitalized.
The right-of-use asset is depreciated to the earlier of the lease term and the useful life, unless ownership will transfer to RBC
or we are reasonably certain to exercise a purchase option, in which case the useful life of the right-of-use asset is used. We
apply IAS 36
Impairment of assets
to determine whether a right-of-use asset is impaired and account for any identified
impairment loss as described in the premises and equipment accounting policies above.
Provisions
Provisions are liabilities of uncertain timing or amount and are recognized when we have a present legal or constructive
obligation as a result of a past event, it is probable that an outflow of resources will be required to settle the obligation, and a
reliable estimate can be made of the amount of the obligation. Provisions are measured as the best estimate of the consideration
required to settle the present obligation at the reporting date. Significant judgment is required in determining whether a present
obligation exists and in estimating the probability, timing and amount of any outflows. We record provisions related to litigation,
asset retirement obligations and other items.
We are required to estimate the results of ongoing legal proceedings, and expenses to be incurred to dispose of capital
assets. The forward-looking nature of these estimates requires us to use a significant amount of judgment in projecting the
timing and amount of future cash flows. We record our provisions on the basis of all available information at the end of the
reporting period and make adjustments on a quarterly basis to reflect current expectations. It may not be possible to predict the
resolution of these matters or the timing of their ultimate resolution. Should actual results differ from our expectations, we may
incur expenses in excess of the provisions recognized. Where appropriate, we apply judgment in limiting the extent of our
provisions-related disclosures as not to prejudice our positions in matters of dispute.
When some or all of the economic benefits required to settle a provision are expected to be recovered from a third party,
such as an insurer, a separate asset is recognized if it is virtually certain that reimbursement will be received.
Commissions and fees
Commissions and fees primarily relate to Investment management and custodial fees, Mutual fund revenue, Securities brokerage
commissions, Services charges, Underwriting and other advisory fees, Card service revenue and Credit fees, and are recognized
based on the applicable service contracts with clients.
Investment management and custodial fees and Mutual fund revenue are generally calculated as a percentage of daily or
period-end net asset values (NAV) based on the terms of the contract with clients and are received monthly, quarterly,
semiannually or annually, depending on the terms of the contract. Investment management and custodial fees are generally
derived from assets under management (AUM) when our clients solicit the investment capabilities of an investment manager or
from assets under administration (AUA) where the investment strategy is directed by the client or a designated third-party
manager. Mutual fund revenue is generally derived from the daily NAV of the mutual funds. Investment management and
custodial fees and Mutual fund revenue are recognized over time when the service is provided to the client, provided that it is
highly probable that a significant reversal in the amount of revenue recognized will not occur.
Commissions earned on Securities brokerage services and Service charges that are related to the provision of specific
transaction-type services are recognized when the service is fulfilled. Where services are provided over time, revenue is
recognized as the services are provided.
Underwriting and other advisory fees primarily relate to underwriting of new issuances of debt or equity and various
advisory services. Underwriting fees are generally expressed as a percentage of the funds raised through issuance and are
recognized when the service has been completed. Advisory fees vary depending on the scope and type of engagement and can be
fixed in nature or contingent on a future event. Advisory fees are recognized over the period in which the service is provided and
are recognized only to the extent that it is highly probable that a significant reversal in the amount of revenue will not occur.
Card service revenue primarily includes interchange revenue and annual card fees. Interchange revenue is calculated as a
fixed percentage of the transaction amount and recognized when the card transaction is settled. Annual card fees are fixed fees
and are recognized over a 12 month period.
Credit fees are primarily earned for arranging syndicated loans and making credit available on undrawn facilities. The timing
of the recognition of credit fees varies based on the nature of the services provided.
When service fees and other costs are incurred in relation to commissions and fees earned, we record these costs on a gross
basis in either Non-interest expense \u2013 Other or Non-interest expense \u2013 Human resources based on our assessment of whether we
have primary responsibility to fulfill the contract with the client and have discretion in establishing the price for the commissions
and fees earned, which may require judgment.
Earnings per share
Earnings per share is computed by dividing Net income available to common shareholders by the weighted average number of
common shares outstanding for the period. Net income available to common shareholders is determined after deducting
dividend entitlements of preferred shareholders and distributions on other equity instruments, any gains (losses) on redemption
of preferred shares and other equity instruments net of related income taxes and the net income attributable to non-controlling
interests.
Diluted earnings per share reflects the potential dilution that could occur if additional common shares are assumed to be
issued under securities or contracts that entitle their holders to obtain common shares in the future, to the extent such
entitlement is not subject to unresolved contingencies. For contracts that may be settled in cash or in common shares at our
option, diluted earnings per share is calculated based on the assumption that such contracts will be settled in shares. Income
and expenses associated with these types of contracts are excluded from the Net income available to common shareholders, and
the additional number of shares that would be issued is included in the diluted earnings per share calculation. For stock options
whose exercise price is less than the average market price of our common shares, using the treasury stock method, they are
assumed to be exercised and the proceeds are used to repurchase common shares at the average market price for the period.
The incremental number of common shares issued under stock options and repurchased from proceeds is included in the
calculation of diluted earnings per share.
Share capital and other equity instruments
We classify a financial instrument that we issue as a financial asset, financial liability or an equity instrument in accordance with
the substance of the contractual arrangement.
Our common shares held by us are classified as treasury shares in equity and accounted for at weighted average cost. Upon
the sale of treasury shares, the difference between the sale proceeds and the cost of the shares is recognized in Retained
earnings. Financial instruments issued by us are classified as equity instruments when there is no contractual obligation to
transfer cash or other financial assets. Incremental costs directly attributable to the issue of equity instruments are included in
equity as a deduction from the proceeds, net of tax. Financial instruments that will be settled by a variable number of our
common shares upon their conversion by the holders as well as the related accrued distributions are classified as liabilities on
our Consolidated Balance Sheets. Dividends and yield distributions on these instruments are classified as Interest expense in our
Consolidated Statements of Income. For compound instruments comprised of both liability and equity components, the liability
component is initially measured at fair value with any residual amount assigned to the equity component.
Future changes in accounting policy and disclosure
IFRS 17
Insurance Contracts
(IFRS 17)
In May 2017, the IASB issued IFRS 17 to establish a comprehensive insurance standard which provides guidance on the
recognition, measurement, presentation and disclosure of insurance contracts issued and reinsurance contracts held and will
replace the existing IFRS 4
Insurance Contracts
(IFRS 4). In June 2020, the IASB issued amendments to IFRS 17, including deferral
of the effective date by two years. This new standard is effective for us on November 1, 2023 and is to be applied retrospectively
with comparatives restated beginning November 1, 2022.
Under IFRS 17, insurance contracts are contracts under which we accept significant insurance risk from a policyholder by
agreeing to compensate the policyholder if a specified uncertain future event adversely affects the policyholder. Embedded
derivatives, investment components and promises to provide non-insurance services, provided specific criteria are met, are
separated from the measurement of insurance and reinsurance contracts. Insurance and reinsurance contracts are aggregated
into portfolios that are subject to similar risks and are managed together, and then divided into groups based on the period of
issuance and expected profitability. Groups are separately recognized and measured using one of three measurement models
depending on the characteristics of the contracts:
\u2022
For insurance contracts with direct participating features, the contracts are measured using the variable fee approach
(VFA).
\u2022
For insurance contracts and reinsurance contracts held with a short duration of one year or less, the premium allocation
approach (PAA) is elected.
\u2022
The general measurement method (GMM) is applied to all remaining contracts.
Under the GMM and VFA, the liabilities for remaining coverage and incurred claims for groups of contracts are measured as
the sum of the fulfilment cash flows and the contractual service margin (CSM), which are recalculated at the end of each
reporting period. The fulfilment cash flows consist of the present value of future cash flows and a risk adjustment for
non-financial risk. For insurance contracts, the CSM represents the unearned profit for providing insurance coverage. For
reinsurance contracts held, the CSM represents the net cost or net gain of purchasing reinsurance. Under the PAA, the liability for
remaining coverage for each group is measured as the premiums received less insurance revenue recognized for services
provided, while the liability for incurred claims is measured as the fulfillment cash flows for incurred claims plus adjustment on
any financing components. Losses from the recognition of onerous groups of insurance contracts, regardless of the
measurement model applied, are recognized in the Consolidated Statements of Income immediately.
The following are key differences between IFRS 17 and IFRS 4:
\u2022
New business profits are deferred and measured as the CSM of the insurance contract liabilities and amortized into income
as insurance contract services are provided, while losses are recognized into income immediately. Under IFRS 4, gains and
losses are recognized in income immediately. On July 18, 2023, OSFI released regulatory guidance to allow the inclusion of
the CSM in calculating CET1 capital and related ratios, therefore, there will be no impact on the capital metrics from such
reduction in retained earnings resulting from the CSM.
\u2022
Discount rates used in calculating the present value of insurance contract liabilities are based on the characteristics of the
insurance contracts unlike IFRS 4 which is based on the assets supporting the liabilities.
\u2022
Presentation and disclosure changes are expected due to the new requirements.
While IFRS 17 impacts the timing of profit recognition of insurance contracts, it will have no impact on total profit recognized over
the lifetime of these contracts.
Impact of IFRS 17 transition excluding the impact of reclassifications of financial assets
Upon the adoption of IFRS 17, we will apply IFRS 17 retrospectively by adjusting our Consolidated Balance Sheets as at
November 1, 2022 and restating comparative information. The full retrospective approach will be applied for all insurance and
reinsurance contracts unless it is impracticable to do so. The full retrospective approach is applied to all contracts measured
using the PAA and all new contracts issued on and after November 1, 2022 measured using the GMM and VFA as if IFRS 17 had
always been applied. Due to data availability and the inability to use hindsight, the fair value approach is applied to contracts
issued before November 1, 2022 that are measured under the GMM and VFA. Under the fair value approach, the CSM of the
liability for remaining coverage is calculated as the difference between the fair value of a group of contracts and the fulfillment
cash flows measured at the date of transition.
Based on current estimates, the adoption of IFRS 17 is expected to result in a reduction in retained earnings of approximately
$2.4 billion, net of taxes, as at November 1, 2022. This is attributable to the establishment of the CSM and other remeasurement
changes to insurance and reinsurance contracts and related tax effects. The estimated CSM of all insurance contracts net of
reinsurance contracts held as at November 1, 2022 was approximately $1.8 billion. These estimates are subject to change as we
finalize the quantitative impacts of the adoption in the first quarter of 2024.
Impact of reclassifications of financial assets
As permitted by IFRS 17, we will change the classification and measurement of certain eligible financial assets held in respect of
an activity that relates to insurance contracts upon the adoption of IFRS 17. We will apply these changes retrospectively by
adjusting our Consolidated Balance Sheets as at November 1, 2023 with no restatement of comparative information. We expect to
reclassify financial assets between fair value classification categories, which is not expected to have a net impact to total equity
nor the carrying amounts of those assets. This is subject to change as we finalize the quantitative impacts of these changes and
the quantitative impacts of adopting IFRS 17 in the first quarter of 2024.
Updates related to interest rate benchmark reform
Progress in and risks arising from the transition to ABRs
To manage our transition to ABRs, we have implemented a comprehensive enterprise-wide program and governance structure
that addresses the key areas of impact including contract remediation, funding and liquidity planning, risk management,
financial reporting and valuation, systems, processes and client education and communication. Transition activities are focused
on two broad streams of work: (i) developing new ABR linked products, and (ii) conversion of existing CDOR based contracts to
ABRs. Our program timelines are ultimately dependent on broader market acceptance of products that reference the new ABRs
and our clients\u2019 readiness and ability to adopt the replacement products. Significant matters that we continue to evaluate
include client product offerings, short and long-term funding strategies, and our hedging programs. We continue to work towards
the recommended target date for the cessation of CDOR based products provided by our regulators and are on track with our
transition activities to move to ABRs.
The following tables show the Bank\u2019s significant exposures to financial instruments referencing benchmark interest rates subject
to the Reform that have yet to transition to ABRs. As at October 31, 2023, this represents our financial instruments referencing
CDOR and maturing after June 28, 2024. In the normal course of business, our derivative notional amounts may fluctuate with
minimal impact to our IBOR conversion plans.
\u00a0
As at
\u00a0
October 31, 2023
October 31, 2022
\u00a0
Non-derivative
Non-derivative
Derivative
Non-derivative
Non-derivative
Derivative
(Millions of Canadian dollars)
financial assets
(1)
financial liabilities
(2)
notional
financial assets
(1)
financial liabilities
(2)
notional
(3)
CDOR
(4)
$
29,496
$
24,735
$ 2,154,345
$
18,493
$
18,572
$ 2,226,700
\n
(1)
Non-derivative assets represent the drawn outstanding balance of Loans and Customers\u2019 liability under acceptances and the fair value of Securities.
(2)
Non-derivative liabilities represent Subordinated debentures, Deposits and Acceptances.
(3)
Amounts have been updated from those previously presented to reflect the cessation of USD LIBOR.
(4)
Includes our exposure to financial instruments referencing interest rates substantially similar to CDOR.
The following table presents the undrawn balances of loan commitments referencing benchmark interest rates subject to the
Reform.
\u00a0
As at
(Millions of Canadian dollars)
October 31, 2023
October 31, 2022
Authorized and committed undrawn commitments
\u00a0 \u00a0
CDOR
(1), (2)
$
40,010
$
26,913
\n
(1)
Includes our exposure to financial instruments referencing interest rates substantially similar to CDOR.
(2)
Undrawn commitments exclude amounts related to drawn outstanding balances, which in certain cases may exclude extension options.
As part of the interest rate benchmark reform, the publication of all remaining USD LIBOR settings ceased on June 30, 2023 and
consistent with our transition plan, our exposure to non-derivative financial assets, non-derivative financial liabilities, derivative
notional and undrawn balances of loan commitments referencing USD LIBOR interest rates is no longer material to our financial
statements (October 31, 2022 \u2013 $57.5 billion, $1.5 billion, $5,772.4 billion and $59.3 billion, respectively). We continue to manage
significant exposures to benchmarks that have no announced plans for cessation or further reform, including the EURO Interbank
Offered Rate (EURIBOR) and Australian Bank Bill Swap Rate (BBSW), which are excluded from the tables above.", "dimensions": { "concept": "ifrs-full:DisclosureOfSummaryOfSignificantAccountingPoliciesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f21974": { "value": "The significant accounting policies used in the preparation of these Consolidated Financial Statements, including the accounting
requirements prescribed by OSFI, are summarized below. These accounting policies conform, in all material respects, to IFRS.
\nThe same accounting policies have been applied to all periods presented.", "dimensions": { "concept": "ifrs-full:DisclosureOfBasisOfPreparationOfFinancialStatementsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f21980": { "value": "General
Use of estimates and assumptions
\n
In preparing our Consolidated Financial Statements, management is required to make subjective estimates and assumptions that
\n
affect the reported amount of assets, liabilities, net income and related disclosures. Estimates made by management are based
\n
on historical experience and other assumptions that are believed to be reasonable. Key sources of estimation uncertainty
\n
include: determination of fair value of financial instruments, allowance for credit losses, insurance claims and policy benefit
\n
liabilities, pensions and other post-employment benefits, income taxes, goodwill and other intangible assets, and provisions.
\n
Accordingly, actual results may differ from these and other estimates thereby impacting our future Consolidated Financial
\n
Statements. Refer to the relevant accounting policies in this Note for details on our use of estimates and assumptions.
\n
Significant judgments
\n
In preparation of these Consolidated Financial Statements, management is required to make significant judgments that affect
\n
the carrying amounts of certain assets and liabilities, and the reported amounts of revenues and expenses recorded during the
\n
period. Significant judgments have been made in the following areas and discussed as noted in the Consolidated Financial
\n
Statements:
\n
Consolidation of structured entities
Note 2
\n
Note 8
\n
Application of the effective interest method
Note 2
\n
Fair value of financial instruments
Note 2
\n
Note 3
\n
Derecognition of financial assets
Note 2
\n
Note 7
\n
Allowance for credit losses
Note 2
\n
Note 4
\n
Note 5
\n
Income taxes
Note 2
\n
Note 22
\n
Employee benefits
Note 2
\n
Note 17
\n
Provisions
Note 2
\n
Note 24
\n
Note 25
\n
Goodwill and other intangibles
Note 2
\nNote 11", "dimensions": { "concept": "ifrs-full:ExplanationOfAssumptionAboutFutureWithSignificantRiskOfResultingInMaterialAdjustments", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f21981": { "value": "General
Use of estimates and assumptions
\n
In preparing our Consolidated Financial Statements, management is required to make subjective estimates and assumptions that
\n
affect the reported amount of assets, liabilities, net income and related disclosures. Estimates made by management are based
\n
on historical experience and other assumptions that are believed to be reasonable. Key sources of estimation uncertainty
\n
include: determination of fair value of financial instruments, allowance for credit losses, insurance claims and policy benefit
\n
liabilities, pensions and other post-employment benefits, income taxes, goodwill and other intangible assets, and provisions.
\n
Accordingly, actual results may differ from these and other estimates thereby impacting our future Consolidated Financial
\n
Statements. Refer to the relevant accounting policies in this Note for details on our use of estimates and assumptions.
\n
Significant judgments
\n
In preparation of these Consolidated Financial Statements, management is required to make significant judgments that affect
\n
the carrying amounts of certain assets and liabilities, and the reported amounts of revenues and expenses recorded during the
\n
period. Significant judgments have been made in the following areas and discussed as noted in the Consolidated Financial
\n
Statements:
\n
Consolidation of structured entities
Note 2
\n
Note 8
\n
Application of the effective interest method
Note 2
\n
Fair value of financial instruments
Note 2
\n
Note 3
\n
Derecognition of financial assets
Note 2
\n
Note 7
\n
Allowance for credit losses
Note 2
\n
Note 4
\n
Note 5
\n
Income taxes
Note 2
\n
Note 22
\n
Employee benefits
Note 2
\n
Note 17
\n
Provisions
Note 2
\n
Note 24
\n
Note 25
\n
Goodwill and other intangibles
Note 2
\nNote 11", "dimensions": { "concept": "ifrs-full:DisclosureOfAccountingJudgementsAndEstimatesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f21985": { "value": "Use of estimates and assumptions
In preparing our Consolidated Financial Statements, management is required to make subjective estimates and assumptions that
\n
affect the reported amount of assets, liabilities, net income and related disclosures. Estimates made by management are based
\n
on historical experience and other assumptions that are believed to be reasonable. Key sources of estimation uncertainty
\n
include: determination of fair value of financial instruments, allowance for credit losses, insurance claims and policy benefit
\n
liabilities, pensions and other post-employment benefits, income taxes, goodwill and other intangible assets, and provisions.
\n
Accordingly, actual results may differ from these and other estimates thereby impacting our future Consolidated Financial
\nStatements. Refer to the relevant accounting policies in this Note for details on our use of estimates and assumptions.", "dimensions": { "concept": "ifrs-full:DisclosureOfAssetsAndLiabilitiesWithSignificantRiskOfMaterialAdjustmentExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22031": { "value": "Basis of consolidation
Our Consolidated Financial Statements include the assets and liabilities and results of operations of the parent company, Royal
\n
Bank of Canada, and its subsidiaries including certain structured entities, after elimination of intercompany transactions,
\n
balances, revenues and expenses.
\n
Consolidation
\n
Subsidiaries are those entities, including structured entities, over which we have control. We control an entity when we are
\n
exposed, or have rights, to variable returns from our involvement with the entity and have the ability to affect those returns
\n
through our power over the investee. We have power over an entity when we have existing rights that give us the current ability
\n
to direct the activities that most significantly affect the entity\u2019s returns (relevant activities). Power may be determined on the
\n
basis of voting rights or, in the case of structured entities, other contractual arrangements.
\n
We are not deemed to control an entity when we exercise power over an entity as the agent of a third party or parties. In
\n
determining whether we are acting as an agent, we consider the overall relationship between us, the investee and other parties
\n
to the arrangement with respect to the following factors: (i) the scope of our decision-making power; (ii) the rights held by other
\n
parties; (iii) the remuneration to which we are entitled; and (iv) our exposure to variability of returns.
\n
The determination of control is based on the current facts and circumstances and is continuously assessed. In some
circumstances, different factors and conditions may indicate that various parties control an entity depending on whether those
factors and conditions are assessed in isolation or in totality. Significant judgment is applied in determining whether we control
an entity, specifically, assessing whether we have substantive decision-making rights over the relevant activities and whether we
are exercising our power as a principal or an agent.
We consolidate all subsidiaries from the date we obtain control and cease consolidation when an entity is no longer
controlled by us. Our consolidation conclusions affect the classification and amount of assets, liabilities, revenues and expenses
reported in our Consolidated Financial Statements.
Non-controlling interests in subsidiaries that we consolidate are shown on our Consolidated Balance Sheets as a separate
component of equity which is distinct from equity attributable to our shareholders. The net income attributable to
non-controlling interests is separately disclosed in our Consolidated Statements of Income.
Investments in joint ventures and associates
Our investments in associated corporations and limited partnerships over which we have significant influence are accounted for
using the equity method. The equity method is also applied to our interests in joint ventures over which we have joint control.
Under the equity method of accounting, investments are initially recorded at cost, and the carrying amount is increased or
decreased to recognize our share of the investee\u2019s net profit or loss, including our proportionate share of the investee\u2019s Other
comprehensive income (OCI), subsequent to the date of acquisition.
Non-current assets held for sale and discontinued operations
Non-current assets (and disposal groups) are classified as held for sale if their carrying amounts will be recovered principally
through a sale transaction rather than through continuing use. This condition is satisfied when the asset is available for
immediate sale in its present condition, management is committed to the sale, and it is highly probable to occur within one year.
Non-current assets (and disposal groups) classified as held for sale are measured at the lower of their previous carrying amount
and fair value less costs to sell and if significant, are presented separately from other assets on our Consolidated Balance
Sheets.
A disposal group is classified as a discontinued operation if it meets the following conditions: (i) it is a component that can
be distinguished operationally and financially from the rest of our operations and (ii) it represents either a separate major line of
business or is part of a single coordinated plan to dispose of a separate major line of business or geographical area of
operations. Disposal groups classified as discontinued operations are presented separately from our continuing operations in
our Consolidated Statements of Income.", "dimensions": { "concept": "ifrs-full:DisclosureOfBasisOfConsolidationExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22038": { "value": "Subsidiaries are those entities, including structured entities, over which we have control. We control an entity when we are
exposed, or have rights, to variable returns from our involvement with the entity and have the ability to affect those returns
\n
through our power over the investee. We have power over an entity when we have existing rights that give us the current ability
\n
to direct the activities that most significantly affect the entity\u2019s returns (relevant activities). Power may be determined on the
\n
basis of voting rights or, in the case of structured entities, other contractual arrangements.
\n
We are not deemed to control an entity when we exercise power over an entity as the agent of a third party or parties. In
\n
determining whether we are acting as an agent, we consider the overall relationship between us, the investee and other parties
\n
to the arrangement with respect to the following factors: (i) the scope of our decision-making power; (ii) the rights held by other
\n
parties; (iii) the remuneration to which we are entitled; and (iv) our exposure to variability of returns.
\n
The determination of control is based on the current facts and circumstances and is continuously assessed. In some
circumstances, different factors and conditions may indicate that various parties control an entity depending on whether those
factors and conditions are assessed in isolation or in totality. Significant judgment is applied in determining whether we control
an entity, specifically, assessing whether we have substantive decision-making rights over the relevant activities and whether we
are exercising our power as a principal or an agent.
We consolidate all subsidiaries from the date we obtain control and cease consolidation when an entity is no longer
controlled by us. Our consolidation conclusions affect the classification and amount of assets, liabilities, revenues and expenses
reported in our Consolidated Financial Statements.
Non-controlling interests in subsidiaries that we consolidate are shown on our Consolidated Balance Sheets as a separate
component of equity which is distinct from equity attributable to our shareholders. The net income attributable to
non-controlling interests is separately disclosed in our Consolidated Statements of Income.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForSubsidiariesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22095": { "value": "Non-controlling interests in subsidiaries that we consolidate are shown on our Consolidated Balance Sheets as a separate
component of equity which is distinct from equity attributable to our shareholders. The net income attributable to
non-controlling interests is separately disclosed in our Consolidated Statements of Income.", "dimensions": { "concept": "ifrs-full:DisclosureOfNoncontrollingInterestsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22102": { "value": "Investments in joint ventures and associates
Our investments in associated corporations and limited partnerships over which we have significant influence are accounted for
using the equity method. The equity method is also applied to our interests in joint ventures over which we have joint control.
Under the equity method of accounting, investments are initially recorded at cost, and the carrying amount is increased or
decreased to recognize our share of the investee\u2019s net profit or loss, including our proportionate share of the investee\u2019s Other
comprehensive income (OCI), subsequent to the date of acquisition.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentInAssociates", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22103": { "value": "Investments in joint ventures and associates
Our investments in associated corporations and limited partnerships over which we have significant influence are accounted for
using the equity method. The equity method is also applied to our interests in joint ventures over which we have joint control.
Under the equity method of accounting, investments are initially recorded at cost, and the carrying amount is increased or
decreased to recognize our share of the investee\u2019s net profit or loss, including our proportionate share of the investee\u2019s Other
comprehensive income (OCI), subsequent to the date of acquisition.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentsInJointVentures", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22104": { "value": "Investments in joint ventures and associates
Our investments in associated corporations and limited partnerships over which we have significant influence are accounted for
using the equity method. The equity method is also applied to our interests in joint ventures over which we have joint control.
Under the equity method of accounting, investments are initially recorded at cost, and the carrying amount is increased or
decreased to recognize our share of the investee\u2019s net profit or loss, including our proportionate share of the investee\u2019s Other
comprehensive income (OCI), subsequent to the date of acquisition.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentInAssociatesAndJointVenturesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22117": { "value": "Non-current assets held for sale and discontinued operations
Non-current assets (and disposal groups) are classified as held for sale if their carrying amounts will be recovered principally
through a sale transaction rather than through continuing use. This condition is satisfied when the asset is available for
immediate sale in its present condition, management is committed to the sale, and it is highly probable to occur within one year.
Non-current assets (and disposal groups) classified as held for sale are measured at the lower of their previous carrying amount
and fair value less costs to sell and if significant, are presented separately from other assets on our Consolidated Balance
Sheets.
A disposal group is classified as a discontinued operation if it meets the following conditions: (i) it is a component that can
be distinguished operationally and financially from the rest of our operations and (ii) it represents either a separate major line of
business or is part of a single coordinated plan to dispose of a separate major line of business or geographical area of
operations. Disposal groups classified as discontinued operations are presented separately from our continuing operations in
our Consolidated Statements of Income.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForNoncurrentAssetsOrDisposalGroupsClassifiedAsHeldForSaleAndDiscontinuedOperationsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22133": { "value": "Financial Instruments
Classification of financial assets
Financial assets are measured at initial recognition at fair value, and are classified and subsequently measured at fair value
through profit or loss (FVTPL), fair value through other comprehensive income (FVOCI) or amortized cost based on our business
model for managing the financial instruments and the contractual cash flow characteristics of the instrument.
Debt instruments are measured at amortized cost if both of the following conditions are met and the asset is not designated
as FVTPL: (a) the asset is held within a business model that is Held-to-Collect (HTC) as described below, and (b) the contractual
terms of the instrument give rise to cash flows that are solely payments of principal and interest on the principal amount
outstanding (SPPI).
Debt instruments are measured at FVOCI if both of the following conditions are met and the asset is not designated as
FVTPL: (a) the asset is held within a business model that is Held-to-Collect-and-Sell (HTC&S) as described below, and (b) the
contractual terms of the instrument give rise, on specified dates, to cash flows that are SPPI.
All other debt instruments are measured at FVTPL.
Equity instruments are measured at FVTPL, unless the asset is not held for trading purposes and we make an irrevocable
election to designate the asset as FVOCI. This election is made on an instrument-by-instrument basis.
Business model assessment
We determine our business models at the level that best reflects how we manage portfolios of financial assets to achieve our
business objectives. Judgment is used in determining our business models, which is supported by relevant, objective evidence
including:
\u2022
How the economic activities of our businesses generate benefits, for example through trading revenue, enhancing yields
or hedging funding or other costs and how such economic activities are evaluated and reported to key management
personnel;
\u2022
The significant risks affecting the performance of our businesses, for example, market risk, credit risk, or other risks as
described in the Risk Management section of the MD&A, and the activities undertaken to manage those risks;
\u2022
Historical and future expectations of sales of the loans or securities portfolios managed as part of a business model;
and
\u2022
The compensation structures for managers of our businesses, to the extent that these are directly linked to the
economic performance of the business model.
Our business models fall into three categories, which are indicative of the key strategies used to generate returns:
\u2022
HTC: The objective of this business model is to hold loans and securities to collect contractual principal and interest
cash flows. Sales are incidental to this objective and are expected to be insignificant or infrequent.
\u2022
HTC&S: Both collecting contractual cash flows and sales are integral to achieving the objective of the business model.
\u2022
Other fair value business models: These business models are neither HTC nor HTC&S, and primarily represent business
models where assets are held-for-trading or managed on a fair value basis.
SPPI assessment
Instruments held within a HTC or HTC&S business model are assessed to evaluate if their contractual cash flows are comprised
of solely payments of principal and interest. SPPI payments are those which would typically be expected from basic lending
arrangements. Principal amounts include par repayments from lending and financing arrangements, and interest primarily
relates to basic lending returns, including compensation for credit risk and the time value of money associated with the principal
amount outstanding over a period of time. Interest can also include other basic lending risks and costs (for example, liquidity
risk, servicing or administrative costs) associated with holding the financial asset for a period of time, and a profit margin.
Where the contractual terms introduce exposure to risk or variability of cash flows that are inconsistent with a basic lending
arrangement, the related financial asset is classified and measured at FVTPL.
Securities
Trading securities include all securities that are classified as FVTPL by nature and securities designated as FVTPL. Obligations to
deliver trading securities sold but not yet purchased are recorded as liabilities and carried at fair value. Realized and unrealized
gains and losses on these securities are generally recorded in Non-interest income \u2013 Trading revenue or Non-interest income \u2013
Other. Dividends and interest income accruing on Trading securities are recorded in Interest and dividend income. Interest and
dividends accrued on securities sold short are recorded in Interest expense.
Investment securities include all securities classified as FVOCI and amortized cost. All investment securities are initially
recorded at fair value and subsequently measured according to the respective classification.
Investment securities carried at amortized cost are measured using the effective interest method, and are presented net of
any allowance for credit losses, calculated in accordance with our policy for Allowance for credit losses, as described below.
Interest income, including the amortization of premiums and discounts on securities measured at amortized cost are recorded in
Interest and dividend income. Impairment gains or losses recognized on amortized cost securities are recorded in Provision for
credit losses (PCL). When a debt instrument measured at amortized cost is sold, the difference between the sale proceeds and
the amortized cost of the security at the time of the sale is recorded as Net gains on investment securities in Non-interest
income.
Debt securities carried at FVOCI are measured at fair value with unrealized gains and losses arising from changes in fair
value included in Other components of equity. Impairment gains and losses are included in PCL and correspondingly reduce the
accumulated changes in fair value included in Other components of equity. When a debt instrument measured at FVOCI is sold,
the cumulative gain or loss is reclassified from Other components of equity to Net gains on investment securities in Non-interest
income.
Equity securities carried at FVOCI are measured at fair value. Unrealized gains and losses arising from changes in fair value
are recorded in Other components of equity and not subsequently reclassified to profit or loss when realized. Dividends from
FVOCI equity securities are recognized in Interest and dividend income.
We account for all of our securities using settlement date accounting and changes in fair value between the trade date and
settlement date are reflected in income for securities measured at FVTPL, and changes in the fair value of securities measured at
FVOCI between the trade and settlement dates are recorded in OCI except for changes in foreign exchange rates on debt
securities, which are recorded in Non-interest income.
Fair value option
A financial instrument with a reliably measurable fair value can be designated as FVTPL (the fair value option) on its initial
recognition even if the financial instrument was not acquired or incurred principally for the purpose of selling or repurchasing.
The fair value option can be used for financial assets if it eliminates or significantly reduces a measurement or recognition
inconsistency that would otherwise arise from measuring assets or liabilities, or recognizing related gains and losses on a
different basis (an accounting mismatch). The fair value option can be elected for financial liabilities if: (i) the election eliminates
an accounting mismatch; (ii) the financial liability is part of a portfolio that is managed on a fair value basis, in accordance with a
documented risk management or investment strategy; or (iii) there is an embedded derivative in the financial or non-financial
host contract and the derivative is not closely related to the host contract. These instruments cannot be reclassified out of the
FVTPL category while they are held or issued.
Financial assets designated as FVTPL are recorded at fair value and any unrealized gain or loss arising due to changes in fair value is
included in Non-interest income \u2013 Trading revenue or Non-interest income \u2013 Other, depending on our business purpose for holding the
financial asset.
Financial liabilities designated as FVTPL are recorded at fair value and fair value changes attributable to changes in our own
credit risk are recorded in OCI. Own credit risk amounts recognized in OCI will not be reclassified subsequently to net income.
The remaining fair value changes not attributable to changes in our own credit risk are recorded in Non-interest income \u2013 Trading
revenue or Non-interest income \u2013 Other, depending on our business purpose for holding the financial liability. Upon initial
recognition, if we determine that presenting the effects of own credit risk changes in OCI would create or enlarge an accounting
mismatch in net income, the full fair value change in our debt designated as FVTPL is recognized in net income. To make that
determination, we assess whether we expect that the effects of changes in the liability\u2019s credit risk will be offset in profit or loss
by a change in the fair value of another financial instrument measured at FVTPL. Such an expectation is based on an economic
relationship between the characteristics of the liability and the characteristics of the other financial instrument. The
determination is made at initial recognition and is not reassessed. To determine the fair value adjustments on our debt
instruments designated as FVTPL, we calculate the present value of the instruments based on the contractual cash flows over the
term of the arrangement by using our effective funding rate at the beginning and end of the period.
Determination of fair value
The fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an
orderly transaction between market participants at the measurement date. We determine fair value by incorporating factors that
market participants would consider in setting a price, including commonly accepted valuation approaches.
The Board of Directors provides oversight on valuation of financial instruments, primarily through the Audit Committee and
Risk Committee. The Audit Committee reviews the presentation and disclosure of financial instruments that are measured at fair
value, while the Risk Committee assesses the adequacy of governance structures and control processes for the valuation of
these instruments.
We have established policies, procedures and controls for valuation methodologies and techniques to ensure that fair value
is reasonably estimated. Major valuation processes and controls include, but are not limited to, profit and loss decomposition,
independent price verification (IPV) and model validation standards. These control processes are managed by either Finance or
Group Risk Management and are independent of the relevant businesses and their trading functions. Profit and loss
decomposition is a process to explain the fair value changes of certain positions and is performed daily for trading portfolios. All
fair value instruments are subject to IPV, a process whereby trading function valuations are verified against external market
prices and other relevant market data. Market data sources include traded prices, brokers and price vendors. We give priority to
those third-party pricing services and prices having the highest and most consistent accuracy. The level of accuracy is
determined over time by comparing third-party price values to traders\u2019 or system values, other pricing service values and, when
available, actual trade data. Quoted prices for identical instruments from pricing services or brokers are generally not adjusted
unless there are issues such as stale prices. If multiple quotes for identical instruments are received, fair value is based on an
average of the prices received or the quote from the most reliable vendor, after the outlier prices that fall outside of the pricing
range are removed. Other valuation techniques are used when a price or quote is not available. Some valuation processes use
models to determine fair value. We have a systematic and consistent approach to control the use of models. Valuation models
are approved for use within our model risk management framework. The framework addresses, among other things, model
development standards, validation processes and procedures and approval authorities. Model validation ensures that a model is
suitable for its intended use and sets parameters for its use. All models are revalidated regularly by qualified personnel who are
independent of the model design and development. Annually, our model risk profile is reported to the Board of Directors.
IFRS 13
Fair Value Measurement
permits an exception, through an accounting policy choice, to measure the fair value of a
portfolio of financial instruments on a net open risk position basis when certain criteria are met. We have elected to use this
policy choice to determine the fair value of certain portfolios of financial instruments, primarily derivatives, based on a net
exposure to market or credit risk.
We record valuation adjustments to appropriately reflect counterparty credit quality of our derivative portfolio, differences
between the actual counterparty collateral discount curve and standard overnight index swap (OIS) discounting for
collateralized derivatives, funding valuation adjustments (FVA) for uncollateralized and under-collateralized over-the-counter
(OTC) derivatives, unrealized gains or losses at inception of the transaction, bid-offer spreads, unobservable parameters and
model limitations. These adjustments may be subjective as they require significant judgment in the input selection, such as
implied probability of default (PD) and recovery rate, and are intended to arrive at a fair value that is determined based on
assumptions that market participants would use in pricing the financial instrument. The ultimate realized price for a transaction
may differ from its fair recorded value previously estimated using management judgment.
Valuation adjustments are recorded for the credit risk of our derivative portfolios in order to arrive at their fair values. Credit
valuation adjustments (CVA) take into account our counterparties\u2019 creditworthiness, the current and potential future
mark-to-market of transactions and the effects of credit mitigants such as master netting and collateral agreements. CVA
amounts are derived from estimates of exposure at default (EAD), PD, recovery rates on a counterparty basis and market and
credit factor correlations. EAD is the value of expected derivative related assets and liabilities at the time of default, estimated
through modelling using underlying risk factors. PD is implied from the market prices for credit protection and the credit ratings
of the counterparty. When market data is unavailable, it is estimated by incorporating assumptions and adjustments that market
participants would use for determining fair value using these inputs. Correlation is the statistical measure of how credit and
market factors may move in relation to one another. Correlation is estimated using historical data. CVA is calculated daily and
changes are recorded in Non-interest income \u2013 Trading revenue.
FVA is also calculated to incorporate the cost and benefit of funding in the valuation of uncollateralized and under-
collateralized OTC derivatives. Future expected cash flows of these derivatives are discounted to reflect the cost and benefit of
funding the derivatives by using a funding curve, implied volatilities and correlations as inputs.
Where required, a valuation adjustment is made to reflect the unrealized gain or loss at inception of a financial instrument
contract where the fair value of that financial instrument is not obtained from a quoted market price or cannot be evidenced by
other observable market transactions based on a valuation technique incorporating observable market data.
A bid-offer valuation adjustment is required when a financial instrument is valued at the mid-market price, instead of the bid
or offer price for asset or liability positions, respectively. The valuation adjustment takes into account the spread from the
mid-market price to either the bid or offer price.
Some valuation models require parameter calibration from such factors as market observable option prices. The calibration
of parameters may be sensitive to factors such as the choice of instruments or optimization methodology. A valuation
adjustment is also estimated to mitigate the uncertainties of parameter calibration and model limitations.
In determining fair value, a hierarchy is used which prioritizes the inputs to valuation techniques. The fair value hierarchy
gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest
priority to unobservable inputs (Level 3). Determination of fair value based on this hierarchy requires the use of observable
market data whenever available. Level 1 inputs are unadjusted quoted prices in active markets for identical assets or liabilities
that we have the ability to access at the measurement date. Level 2 inputs include quoted prices for similar assets or liabilities in
active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and model inputs that are
either observable, or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
Level 3 inputs include one or more inputs that are unobservable and significant to the fair value of the asset or liability.
Unobservable inputs are used to measure fair value to the extent that observable inputs are not available at the measurement
date. The availability of inputs for valuation may affect the selection of valuation techniques. The classification of a financial
instrument in the fair value hierarchy for disclosure purposes is based upon the lowest level of input that is significant to the
measurement of fair value.
Where observable prices or inputs are not available, management judgment is required to determine fair values by
assessing other relevant sources of information such as historical data, proxy information from similar transactions, and through
extrapolation and interpolation techniques. For more complex or illiquid instruments, significant judgment is required in the
determination of the model used, the selection of model inputs, and in some cases, the application of valuation adjustments to
the model value or quoted price for inactively traded financial instruments. The selection of model inputs may be subjective and
the inputs may be unobservable. Unobservable inputs are inherently uncertain as there is little or no market data available from
which to determine the level at which the transaction would occur under normal business circumstances. Appropriate parameter
uncertainty and market risk valuation adjustments for such inputs and other model risk valuation adjustments are assessed in all
such instances.
Loans
Loans are debt instruments recognized initially at fair value and are subsequently measured in accordance with the
Classification of financial assets policy provided above. The majority of our loans are carried at amortized cost using the
effective interest method, which represents the gross carrying amount less allowance for credit losses.
Interest on loans is recognized in Interest income using the effective interest method. The estimated future cash flows used
in this calculation include those determined by the contractual term of the asset and all fees that are considered to be integral to
the effective interest rate. Also included in this amount are transaction costs and all other premiums or discounts. Fees that
relate to activities such as originating, restructuring or renegotiating loans are deferred and recognized as Interest income over
the expected term of such loans using the effective interest method. Where there is a reasonable expectation that a loan will be
originated, commitment and standby fees are also recognized as interest income over the expected term of the resulting loans
using the effective interest method. Otherwise, such fees are recorded as other liabilities and amortized into Non-interest income
over the commitment or standby period. Future prepayment fees on mortgage loans are not included as part of the effective
interest rate at origination. If prepayment fees are received on a renewal of a mortgage loan before maturity, the fee is included
as part of the effective interest rate, and if not renewed, the prepayment fee is recognized in interest income at the prepayment
date.
For loans carried at amortized cost or FVOCI, impairment losses are recognized at each balance sheet date in accordance
with the three-stage impairment model outlined below.
Allowance for credit losses
An allowance for credit losses (ACL) is established for all financial assets, except for financial assets classified or designated as
FVTPL and equity securities designated as FVOCI, which are not subject to impairment assessment. Assets subject to impairment
assessment include loans, debt securities, interest-bearing deposits with banks, customers\u2019 liability under acceptances, accounts
and accrued interest receivable, and finance and operating lease receivables. ACL on loans measured at amortized cost is
presented in Allowance for loan losses. ACL on debt securities measured at FVOCI is presented in Other components of equity.
Other financial assets carried at amortized cost are presented net of ACL on our Consolidated Balance Sheets.
Off-balance sheet items subject to impairment assessment include financial guarantees and undrawn loan commitments.
ACL on off-balance sheet items is separately calculated and included in Other Liabilities \u2013 Provisions.
We measure the ACL on each balance sheet date according to a three-stage expected credit loss impairment model:
\u2022
Performing financial assets
\u2022
Stage 1 \u2013 From initial recognition of a financial asset to the date on which the asset has experienced a significant
increase in credit risk relative to its initial recognition, a loss allowance is recognized equal to the credit losses
expected to result from defaults occurring over the 12 months following the reporting date.
\u2022
Stage 2 \u2013 Following a significant increase in credit risk relative to the initial recognition of the financial asset, a loss
allowance is recognized equal to the credit losses expected over the remaining lifetime of the asset.
\u2022
Impaired financial assets
\u2022
Stage 3 \u2013 When a financial asset is considered to be credit-impaired, a loss allowance is recognized equal to credit
losses expected over the remaining lifetime of the asset. Interest income is calculated based on the carrying
amount of the asset, net of the loss allowance, rather than on its gross carrying amount.
The ACL is a discounted probability-weighted estimate of the cash shortfalls expected to result from defaults over the relevant
time horizon. For loan commitments, credit loss estimates consider the portion of the commitment that is expected to be drawn
over the relevant time period. For financial guarantees, credit loss estimates are based on the expected payments required under
the guarantee contract. For finance lease receivables, credit loss estimates are based on cash flows consistent with the cash
flows used in measuring the lease receivable.
Increases or decreases in the required ACL attributable to model changes and new originations, sales or maturities, and
changes in risk, parameters and exposures due to changes in loss expectations or stage transfers are recorded in PCL. Write-offs
and recoveries of amounts previously written off are recorded against ACL.
The ACL represents an unbiased estimate of expected credit losses on our financial assets as at the balance sheet date.
Judgment is required in making assumptions and estimations when calculating the ACL, including movements between the three
stages and the application of forward-looking information. The underlying assumptions and estimates may result in changes to
the provisions from period to period that significantly affect our results of operations.
Measurement of expected credit losses
Expected credit losses are based on a range of possible outcomes and consider all available reasonable and supportable
information, including internal and external ratings, historical credit loss experience and expectations about future cash flows.
The measurement of expected credit losses is based primarily on the product of the instrument\u2019s PD, loss given default (LGD),
and EAD discounted to the reporting date. The main difference between Stage 1 and Stage 2 expected credit losses for performing
financial assets is the respective calculation horizon. Stage 1 estimates project PD, LGD and EAD over a maximum period of
12 months while Stage 2 estimates project PD, LGD and EAD over the remaining lifetime of the instrument.
An expected credit loss estimate is produced for each individual exposure. Relevant parameters are modelled on a collective
basis using portfolio segmentation that allows for appropriate incorporation of forward-looking information. To reflect other
characteristics that are not already considered through modelling, expert credit judgment is exercised in determining the final
expected credit losses.
For a small percentage of our portfolios which lack detailed historical information and/or loss experience, we apply
simplified measurement approaches that may differ from what is described above. These approaches have been designed to
maximize the available information that is reliable and supportable for each portfolio and may be collective in nature.
Expected credit losses are discounted to the reporting period date using the effective interest rate.
Expected life
For instruments in Stage 2 or Stage 3, loss allowances reflect expected credit losses over the expected remaining lifetime of the
instrument. For most instruments, the expected life is limited to the remaining contractual life.
An exemption is provided for certain instruments with the following characteristics: (a) the instrument includes both a loan
and undrawn commitment component; (b) we have the contractual ability to demand repayment and cancel the undrawn
commitment; and (c) our exposure to credit losses is not limited to the contractual notice period. For products in scope of this
exemption, the expected life may exceed the remaining contractual life and is the period over which our exposure to credit losses
is not mitigated by our normal credit risk management actions. This period varies by product and risk category and is estimated
based on our historical experience with similar exposures and consideration of credit risk management actions taken as part of
our regular credit review cycle. Products in scope of this exemption include credit cards, overdraft balances and certain revolving
lines of credit. Judgment is required in determining the instruments in scope for this exemption and estimating the appropriate
remaining life based on our historical experience and credit risk mitigation practices.
Assessment of significant increase in credit risk
The assessment of significant increase in credit risk requires significant judgment. Movements between Stage 1 and Stage 2 are
based on whether an instrument\u2019s credit risk as at the reporting date has increased significantly relative to the date it was
initially recognized. For the purposes of this assessment, credit risk is based on an instrument\u2019s lifetime PD, not the losses we
expect to incur. The assessment is generally performed at the instrument level.
Our assessment of significant increases in credit risk is performed at least quarterly based on three factors. If any of the
following factors indicates that a significant increase in credit risk has occurred, the instrument is moved from Stage 1 to Stage 2:
(1)
We have established thresholds for significant increases in credit risk based on both a percentage and absolute change
in lifetime PD relative to initial recognition. For our wholesale portfolio, a decrease in the borrower\u2019s risk rating is also
required to determine that credit risk has increased significantly.
(2)
Additional qualitative reviews may be performed, as necessary, to assess the staging results, which may lead to
adjustments to better reflect the positions whose credit risk has increased significantly. These reviews are completed at
both the individual borrower levels and the portfolio level and may result in an instrument, a portfolio or a portion of a
portfolio moving from Stage 1 to Stage 2.
(3)
Instruments which are 30 days past due are generally considered to have experienced a significant increase in credit
risk, even if our other metrics do not indicate that a significant increase in credit risk has occurred.
The thresholds for movement between Stage 1 and Stage 2 are symmetrical. After a financial asset has transferred to Stage 2, if
its credit risk is no longer considered to have significantly increased relative to its initial recognition, the financial asset will
move back to Stage 1.
For certain instruments with low credit risk as at the reporting date, it is presumed that credit risk has not increased
significantly relative to initial recognition. Credit risk is considered to be low if the instrument has a low risk of default, and the
borrower has the ability to fulfill their contractual obligations both in the near term and in the longer term, including periods of
adverse changes in the economic or business environment. Certain interest-bearing deposits with banks, assets purchased under
reverse repurchase agreements, insurance policy loans, and liquidity facilities extended to our multi-seller conduits have been
identified as having low credit risk.
Use of forward-looking information
The measurement of expected credit losses for each stage and the assessment of significant increase in credit risk considers
information about past events and current conditions as well as reasonable and supportable projections of future events and
economic conditions. The estimation and application of forward-looking information requires significant judgment.
The PD, LGD and EAD inputs used to estimate Stage 1 and Stage 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 period, subsequently reverting to long-run averages.
Macroeconomic variables used in our expected credit loss models include, but are not limited to, unemployment rates, gross
domestic product growth rates, equity return indices, commodity prices, and Canadian housing prices. Depending on their usage
in the models, macroeconomic variables may be projected at a country, province/state or more granular level.
Our estimation of expected credit losses in Stage 1 and Stage 2 is a discounted probability-weighted estimate that considers
a minimum of three future macroeconomic scenarios. Our base case scenario is based on macroeconomic forecasts published
by our internal economics group. The published forecasts are developed from models based on historical macroeconomic data,
derived from public sources and financial markets. Upside and downside scenarios vary relative to our base case scenario based
on reasonably possible alternative macroeconomic conditions. Additional and more severe downside scenarios are designed to
capture a broader range of potential credit losses in certain sectors. Scenario design, including the identification of additional
downside scenarios, occurs at least on an annual basis and more frequently if conditions warrant.
Scenarios are designed to capture a wide range of possible outcomes and weighted according to our best estimate of the
relative likelihood of the range of outcomes that each scenario represents. Scenario weights take into account historical
frequency, current trends, and forward-looking conditions and are updated on a quarterly basis. All scenarios considered are
applied to all portfolios subject to expected credit losses with the same probabilities.
Our assessment of significant increases in credit risk is based on changes in probability-weighted forward-looking lifetime
PDs as at the reporting date, using the same macroeconomic scenarios as the calculation of expected credit losses.
Definition of default
The definition of default used in the measurement of expected credit losses is consistent with the definition of default used for
our internal credit risk management purposes. Our definition of default may differ across products and consider both
quantitative and qualitative factors, such as the terms of financial covenants and days past due. For retail and wholesale
borrowers, except as detailed below, default occurs when the borrower is more than 90 days past due on any material obligation
to us, and/or we consider the borrower unlikely to make their payments in full without recourse action on our part, such as taking
formal possession of any collateral held. For certain credit card balances, default occurs when payments are 180 days past due.
For these balances, the use of a period in excess of 90 days past due is reasonable and supported by observable data on write-off
and recovery rates experienced on historical credit card portfolios. The definition of default used is applied consistently from
period to period and to all financial instruments unless it can be demonstrated that circumstances have changed such that
another definition of default is more appropriate.
Credit-impaired financial assets (Stage 3)
Financial assets are assessed for credit-impairment at each balance sheet date and more frequently when circumstances
warrant further assessment. Evidence of credit-impairment may include indications that the borrower is experiencing significant
financial difficulty, probability of bankruptcy or other financial reorganization, as well as a measurable decrease in the estimated
future cash flows evidenced by the adverse changes in the payments status of the borrower or economic conditions that
correlate with defaults. An asset that is in Stage 3 will move back to Stage 2 when, as at the reporting date, it is no longer
considered to be credit-impaired. The asset will transfer back to Stage 1 when its credit risk at the reporting date is no longer
considered to have increased significantly from initial recognition, which could occur during the same reporting period as the
transfer from Stage 3 to Stage 2.
When a financial asset has been identified as credit-impaired, expected credit losses are measured as the difference
between the asset\u2019s gross carrying amount and the present value of estimated future cash flows discounted at the instrument\u2019s
original effective interest rate. For impaired financial assets with drawn and undrawn components, expected credit losses also
reflect any credit losses related to the portion of the loan commitment that is expected to be drawn down over the remaining life
of the instrument.
When a financial asset is credit-impaired, interest ceases to be recognized on the regular accrual basis, which accrues
income based on the gross carrying amount of the asset. Rather, interest income is calculated by applying the original effective
interest rate to the amortized cost of the asset, which is the gross carrying amount less the related ACL.
ACL for credit-impaired loans in Stage 3 are established at the borrower level, where losses related to impaired loans are
identified on individually significant loans, or collectively assessed and determined through the use of portfolio-based rates,
without reference to particular loans.
Individually assessed loans (Stage 3)
When individually significant loans are identified as impaired, we reduce the carrying value of the loans to their estimated
realizable value by recording an individually assessed ACL to cover identified credit losses. The individually assessed ACL
reflects the expected amount of principal and interest calculated under the terms of the original loan agreement that will not be
recovered, and the impact of time delays in collecting principal and/or interest (time value of money). The estimated realizable
value for each individually significant loan is the present value of expected future cash flows discounted using the original
effective interest rate for each loan. When the amounts and timing of future cash flows cannot be estimated with reasonable
reliability, the estimated realizable amount may be determined using observable market prices for comparable loans, the fair
value of collateral underlying the loans, and other reasonable and supported methods based on management judgment.
Individually-assessed allowances are established in consideration of a range of possible outcomes, which may include
macroeconomic or non-macroeconomic scenarios, to the extent relevant to the circumstances of the specific borrower being
assessed. Assumptions used in estimating expected future cash flows reflect current and expected future economic conditions
and are generally consistent with those used in Stage 1 and Stage 2 measurement.
Significant judgment is required in assessing evidence of credit-impairment and estimation of the amount and timing of
future cash flows when determining expected credit losses. Changes in the amount expected to be recovered would have a direct
impact on PCL and may result in a change in the ACL.
Collectively assessed loans (Stage 3)
Loans that are collectively assessed are grouped on the basis of similar risk characteristics, taking into account loan type,
industry, geographic location, collateral type, past due status and other relevant factors.
The collectively-assessed ACL reflects: (i) the expected amount of principal and interest calculated under the terms of the
original loan agreement that will not be recovered, and (ii) the impact of time delays in collecting principal and/or interest (time
value of money).
The expected principal and interest collection is estimated on a portfolio basis and references historical loss experience of
comparable portfolios with similar credit risk characteristics, adjusted for the current environment and expected future
conditions. A portfolio specific coverage ratio is applied against the impaired loan balance in determining the collectively-
assessed ACL. The time value of money component is calculated by using the discount factors applied to groups of loans sharing
common characteristics. The discount factors represent the expected recovery pattern of the comparable group of loans, and
reflect the historical experience of these groups adjusted for current and expected future economic conditions and/or industry
factors. Significant judgment is required in assessing evidence of impairment and estimation of the amount and timing of future
cash flows when determining expected credit losses. Changes in the amount expected to be recovered would have a direct
impact on PCL and may result in a change in the ACL.
Write-off of loans
Loans and the related ACL are written off, either partially or in full, when there is no realistic prospect of recovery. Where loans
are secured, they are generally written off after receipt of any proceeds from the realization of collateral. In circumstances where
the net realizable value of any collateral has been determined and there is no reasonable expectation of further recovery, write
off may be earlier. For credit cards, the balances and related ACL are generally written off when payment is 180 days past due.
Personal loans are generally written off at 150 days past due.
Modifications
The original terms of a financial asset may be renegotiated or otherwise modified, resulting in changes to the contractual terms
of the financial asset that affect the contractual cash flows. The treatment of such modifications is primarily based on the
process undertaken to execute the renegotiation and the nature and extent of the expected changes. In the normal course of
business, modifications which are performed for credit reasons, primarily related to troubled debt restructurings, are generally
treated as modifications of the original financial asset. Modifications which are performed for other than credit reasons are
generally considered to be an expiry of the original cash flows; accordingly, such renegotiations are treated as a derecognition of
the original financial asset and recognition of a new financial asset.
If a modification of terms does not result in derecognition of the financial asset, the carrying amount of the financial asset is
recalculated as the present value of the renegotiated or modified contractual cash flows, discounted at the original effective
interest rate and a gain or loss is recognized. The financial asset continues to be subject to the same assessments for significant
increase in credit risk relative to initial recognition and credit-impairment, as described above. A modified financial asset will
transfer out of Stage 3 if the conditions that led to it being identified as credit-impaired are no longer present and relate
objectively to an event occurring after the original credit-impairment was recognized. A modified financial asset will transfer out
of Stage 2 when it no longer satisfies the relative thresholds set to identify significant increases in credit risk, which are based on
changes in its lifetime PD, days past due and other qualitative considerations. The financial asset continues to be monitored for
significant increases in credit risk and credit-impairment.
If a modification of terms results in derecognition of the original financial asset and recognition of the new financial asset,
the new financial asset will generally be recorded in Stage 1, unless it is determined to be credit-impaired at the time of the
renegotiation. For the purposes of assessing for significant increases in credit risk, the date of initial recognition for the new
financial asset is the date of the modification.
Derivatives
When derivatives are embedded in other financial instruments or host contracts, such combinations are known as hybrid
instruments. Some of the cash flows of a hybrid instrument vary in a way similar to a stand-alone derivative. If the host contract
is a financial asset within the scope of IFRS 9
Financial Instruments
(IFRS 9), the classification and measurement criteria are
applied to the entire hybrid instrument as described in the Classification of financial assets section of Note 2. If the host contract
is a financial liability or an asset that is not within the scope of IFRS 9, embedded derivatives are separately recognized if the
economic characteristics and risks of the embedded derivative are not clearly and closely related to the host contract, unless an
election has been made to elect the fair value option, as described above. The host contract is accounted for in accordance with
the relevant standards.
Derivatives are primarily used in trading activities. Derivatives are also used to manage our exposure to interest, currency,
credit and other market risks. The most frequently used derivative products are interest rate and foreign exchange swaps,
options, futures and forward rate agreements, equity swaps and credit derivatives. All derivative instruments are recorded on our
Consolidated Balance Sheets at fair value.
When derivatives are used in trading activities, the realized and unrealized gains and losses on these derivatives are
recognized in Trading revenue in Non-interest income. Derivatives with positive fair values are reported as Derivative assets and
derivatives with negative fair values are reported as Derivative liabilities. In accordance with our policy for offsetting financial
assets and financial liabilities, the net fair value of certain derivative assets and liabilities are reported as an asset or liability, as
appropriate. Valuation adjustments are included in the fair value of Derivative assets and Derivative liabilities. Premiums paid
and premiums received are shown in Derivative assets and Derivative liabilities, respectively.
When derivatives are used to manage our own exposures, we determine for each derivative whether hedge accounting can
be applied, as discussed in the Hedge accounting section below.
Derecognition of financial assets
Financial assets are derecognized from our Consolidated Balance Sheets when our contractual rights to the cash flows from the
assets have expired, when we retain the rights to receive the cash flows of the assets but assume an obligation to pay those cash
flows to a third party subject to certain pass-through requirements or when we transfer our contractual rights to receive the cash
flows and substantially all of the risks and rewards of the assets have been transferred. When we retain substantially all of the
risks and rewards of the transferred assets, the transferred assets are not derecognized from our Consolidated Balance Sheets
and are accounted for as secured financing transactions. When we neither retain nor transfer substantially all risks and rewards
of ownership of the assets, we derecognize the assets if control over the assets is relinquished. If we retain control over the
transferred assets, we continue to recognize the transferred assets to the extent of our continuing involvement.
Management judgment is applied in determining whether the contractual rights to the cash flows from the transferred assets
have expired or whether we retain the rights to receive cash flows on the assets but assume an obligation to pay for those cash
flows. We derecognize transferred financial assets if we transfer substantially all the risks and rewards of the ownership in the
assets. When assessing whether we have transferred substantially all of the risk and rewards of the transferred assets,
management considers the Bank\u2019s exposure before and after the transfer with the variability in the amount and timing of the net
cash flows of the transferred assets. In transfers in which we retain the servicing rights, management has applied judgment in
assessing the benefits of servicing against market expectations. When the benefits of servicing are greater than fair value, a
servicing asset is recognized in Other assets in our Consolidated Balance Sheets. When the benefits of servicing are less than fair
value, a servicing liability is recognized in Other liabilities in our Consolidated Balance Sheets.
Derecognition of financial liabilities
We derecognize a financial liability from our Consolidated Balance Sheets when our obligation specified in the contract expires,
or is discharged or cancelled. We recognize the difference between the carrying amount of a financial liability transferred and the
consideration paid in our Consolidated Statements of Income.
Interest
Interest is recognized in Interest income and Interest expense in the Consolidated Statements of Income for all interest-bearing
financial instruments. The effective interest rate is the rate that discounts estimated future cash flows over the expected life of
the financial asset or liability to the net carrying amount upon initial recognition. Significant judgment is applied in determining
the effective interest rate due to uncertainty in the timing and amounts of future cash flows.
Dividend income
Dividend income is recognized when the right to receive payment is established. This is the ex-dividend date for listed equity
securities, and usually the date when shareholders have approved the dividend for unlisted equity securities.
Transaction costs
Transaction costs are expensed as incurred for financial instruments classified or designated as FVTPL. For other financial
instruments, transaction costs are capitalized on initial recognition. For financial assets and financial liabilities measured at
amortized cost and debt financial assets measured at FVOCI, capitalized transaction costs are amortized through net income
over the estimated life of the instrument using the effective interest method.
Offsetting financial assets and financial liabilities
Financial assets and financial liabilities are offset on the Consolidated Balance Sheets when there exists both a legally
enforceable right to offset the recognized amounts and an intention to settle on a net basis, or realize the asset and settle the
liability simultaneously.
Assets purchased under reverse repurchase agreements and sold under repurchase agreements
We purchase securities under agreements to resell (reverse repurchase agreements) and take possession of these securities. We
monitor the market value of the securities purchased and additional collateral is obtained when appropriate. We have the right
to liquidate the collateral held in the event of counterparty default. Reverse repurchase agreements are treated as collateralized
lending transactions. We also sell securities under agreements to repurchase (repurchase agreements), which are treated as
collateralized borrowing transactions. The securities received under reverse repurchase agreements and securities delivered
under repurchase agreements are not recognized on, or derecognized from, our Consolidated Balance Sheets, respectively,
unless the risks and rewards of ownership are obtained or relinquished.
Reverse repurchase agreements and repurchase agreements are carried on our Consolidated Balance Sheets at the
amounts at which the securities were initially acquired or sold, except when they are classified or designated as FVTPL and are
recorded at fair value. Interest earned on reverse repurchase agreements is included in Interest income, and interest incurred on
repurchase agreements is included in Interest expense in our Consolidated Statements of Income. Changes in fair value for
reverse repurchase agreements and repurchase agreements classified or designated as FVTPL are included in Trading revenue or
Other in Non-interest income.
Hedge accounting
We have elected to continue to apply the hedge accounting principles under IAS 39 instead of those under IFRS 9.
We use derivatives and non-derivatives in our hedging strategies to manage our exposure to interest rate, currency, credit
and other market risks. Where hedge accounting can be applied, a hedge relationship is designated and documented at inception
to detail the particular risk management objective and strategy for undertaking the hedge transaction. The documentation
identifies the specific asset, liability or anticipated cash flows being hedged, the risk that is being hedged, the type of hedging
instrument used and how effectiveness will be assessed. We assess, both at the inception of the hedge and on an ongoing basis,
whether the hedging instruments are \u2018highly effective\u2019 in offsetting changes in the fair value or cash flows of the hedged items. A
hedge is regarded as highly effective only if the following criteria are met: (i) at inception of the hedge and throughout its life, the
hedge is expected to be highly effective in achieving offsetting changes in fair value or cash flows attributable to the hedged risk,
and (ii) actual results of the hedge are within a pre-determined range. We perform effectiveness testing to demonstrate that the
relationship has been and is expected to be effective over the remaining term of the hedge. In the case of hedging a forecast
transaction, the transaction must have a high probability of occurring and must present an exposure to variations in cash flows
that could ultimately affect the reported net profit or loss. Hedge accounting is discontinued when it is determined that the
hedging instrument is no longer effective as a hedge, the hedging instrument or hedged item is terminated or sold, or the forecast
transaction is no longer deemed highly probable. Refer to Note 9 for the fair value of derivatives and non-derivative instruments
categorized by their hedging relationships, as well as derivatives that are not designated in hedging relationships.
Until the hedging relationships impacted by the Interest rate benchmark reform (the Reform) fully transition to alternative
benchmark rates (ABRs), our prospective effectiveness testing is based on existing hedged cash flows or hedged risks and any
ineffectiveness arising from retrospective testing does not result in a discontinuation of the hedge. Additionally, effectiveness
testing is applied separately to hedged items referencing ABRs and hedged items referencing interbank offered rates (IBORs),
which include USD London Interbank Offered Rate (USD LIBOR) and Canadian Dollar Offered Rate (CDOR), in accordance with
the Phase 2 amendments to IFRS 9
Financial Instruments
, IAS 39
Financial Instruments: Recognition and Measurement
, IFRS 7
Financial Instruments: Disclosures
, IFRS 4
Insurance contracts
, and IFRS 16
Leases
(the Amendments). Subsequently, when these
relationships fully transition to ABRs, and provided qualifying criteria are met, we will amend the related hedge documentation
for the ABR risk, including consequential changes to the description of the hedging instrument(s), the hedged item(s), and the
method for assessing hedge effectiveness, without discontinuing the existing hedging relationships.
Fair value hedges
In a fair value hedging relationship, the carrying value of the hedged item is adjusted for changes in fair value attributable to the
hedged risk and recognized in Non-interest income. Changes in fair value of the hedged item, to the extent that the hedging
relationship is effective, are offset by changes in the fair value of the hedging derivative, which are also recognized in
Non-interest income. When hedge accounting is discontinued, the carrying value of the hedged item is no longer adjusted and the
cumulative fair value adjustments to the carrying value of the hedged items are amortized to Net income over the expected
remaining life of the hedged items.
We predominantly use interest rate swaps to hedge our exposure to changes in a fixed interest rate instrument\u2019s fair value
caused by changes in interest rates. Until the hedging relationships impacted by the Reform fully transition to ABRs, we apply
hedge accounting to IBOR rates which may not be contractually specified when that rate is separately identifiable and reliably
measurable at inception of the hedge relationship.
Cash flow hedges
In a cash flow hedging relationship, the effective portion of the change in the fair value of the hedging derivative, net of taxes, is
recognized in OCI and reclassified to profit or loss as the associated hedged forecast transaction occurs, while the ineffective
portion is recognized in Non-interest income. When hedge accounting is discontinued, the cumulative amounts previously
recognized in OCI are reclassified to Net interest income during the periods when the variability in the cash flows of the hedged
item affects Net interest income. Unrealized gains and losses on derivatives are reclassified immediately to Net income when the
hedged item is sold or terminated early, or when the forecast transaction is no longer expected to occur.
We predominantly use interest rate swaps to hedge the variability in cash flows related to a variable-rate asset or liability.
Until the hedging relationships impacted by the Reform fully transition to ABRs, we treat the highly probable hedged IBORs based
cash flows of groups of similar assets or liabilities with similar risk characteristics as unchanged as a result of the Reform. In
addition, associated cash flow hedge reserves are not recycled into net income solely due to changes related to the transition
from IBORs to ABRs. Subsequently, when some items in the group transition to ABRs before other items, the individual hedged
items are allocated to subgroups based on the benchmark interest rate being hedged. We test hedge effectiveness based on the
defined subgroups, in accordance with the Amendments, if eligibility requirements are met. If a subgroup fails the eligibility
requirements, we would discontinue hedge accounting prospectively for the hedging relationship in its entirety.
Net investment hedges
In hedging our foreign currency exposure to a net investment in a foreign operation, the effective portion of foreign exchange
gains and losses on the hedging instruments, net of applicable taxes, is recognized in OCI and the ineffective portion is
recognized in Non-interest income. The amounts, or a portion thereof, previously recognized in Other components of equity are
recognized in Net income on the disposal, or partial disposal, of the foreign operation.
We use foreign exchange contracts and foreign currency-denominated liabilities to manage our foreign currency exposures
to net investments in foreign operations having a functional currency other than the Canadian dollar.
Guarantees
Financial guarantee contracts are contracts that contingently require us to make specified payments (in cash, other assets, our
own shares or provision of services) to reimburse the holder for a loss it incurs because a specified debtor fails to make payment
when due in accordance with the original or modified terms of a debt instrument. Liabilities are recognized on our Consolidated
Balance Sheets at the inception of a guarantee for the fair value of the obligation undertaken in issuing the guarantee. Financial
guarantees are subsequently remeasured at the higher of (i) the amount of expected credit losses and (ii) the amount initially
recognized less, when appropriate, the cumulative amount of income recognized.
If the financial guarantee contract meets the definition of a derivative, it is measured at fair value at each balance sheet
date and reported under Derivatives on our Consolidated Balance Sheets.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22136": { "value": "Classification of financial assets
Financial assets are measured at initial recognition at fair value, and are classified and subsequently measured at fair value
through profit or loss (FVTPL), fair value through other comprehensive income (FVOCI) or amortized cost based on our business
model for managing the financial instruments and the contractual cash flow characteristics of the instrument.
Debt instruments are measured at amortized cost if both of the following conditions are met and the asset is not designated
as FVTPL: (a) the asset is held within a business model that is Held-to-Collect (HTC) as described below, and (b) the contractual
terms of the instrument give rise to cash flows that are solely payments of principal and interest on the principal amount
outstanding (SPPI).
Debt instruments are measured at FVOCI if both of the following conditions are met and the asset is not designated as
FVTPL: (a) the asset is held within a business model that is Held-to-Collect-and-Sell (HTC&S) as described below, and (b) the
contractual terms of the instrument give rise, on specified dates, to cash flows that are SPPI.
All other debt instruments are measured at FVTPL.
Equity instruments are measured at FVTPL, unless the asset is not held for trading purposes and we make an irrevocable
election to designate the asset as FVOCI. This election is made on an instrument-by-instrument basis.
Business model assessment
We determine our business models at the level that best reflects how we manage portfolios of financial assets to achieve our
business objectives. Judgment is used in determining our business models, which is supported by relevant, objective evidence
including:
\u2022
How the economic activities of our businesses generate benefits, for example through trading revenue, enhancing yields
or hedging funding or other costs and how such economic activities are evaluated and reported to key management
personnel;
\u2022
The significant risks affecting the performance of our businesses, for example, market risk, credit risk, or other risks as
described in the Risk Management section of the MD&A, and the activities undertaken to manage those risks;
\u2022
Historical and future expectations of sales of the loans or securities portfolios managed as part of a business model;
and
\u2022
The compensation structures for managers of our businesses, to the extent that these are directly linked to the
economic performance of the business model.
Our business models fall into three categories, which are indicative of the key strategies used to generate returns:
\u2022
HTC: The objective of this business model is to hold loans and securities to collect contractual principal and interest
cash flows. Sales are incidental to this objective and are expected to be insignificant or infrequent.
\u2022
HTC&S: Both collecting contractual cash flows and sales are integral to achieving the objective of the business model.
\u2022
Other fair value business models: These business models are neither HTC nor HTC&S, and primarily represent business
models where assets are held-for-trading or managed on a fair value basis.
SPPI assessment
Instruments held within a HTC or HTC&S business model are assessed to evaluate if their contractual cash flows are comprised
of solely payments of principal and interest. SPPI payments are those which would typically be expected from basic lending
arrangements. Principal amounts include par repayments from lending and financing arrangements, and interest primarily
relates to basic lending returns, including compensation for credit risk and the time value of money associated with the principal
amount outstanding over a period of time. Interest can also include other basic lending risks and costs (for example, liquidity
risk, servicing or administrative costs) associated with holding the financial asset for a period of time, and a profit margin.
Where the contractual terms introduce exposure to risk or variability of cash flows that are inconsistent with a basic lending
arrangement, the related financial asset is classified and measured at FVTPL.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22207": { "value": "Securities
Trading securities include all securities that are classified as FVTPL by nature and securities designated as FVTPL. Obligations to
deliver trading securities sold but not yet purchased are recorded as liabilities and carried at fair value. Realized and unrealized
gains and losses on these securities are generally recorded in Non-interest income \u2013 Trading revenue or Non-interest income \u2013
Other. Dividends and interest income accruing on Trading securities are recorded in Interest and dividend income. Interest and
dividends accrued on securities sold short are recorded in Interest expense.
Investment securities include all securities classified as FVOCI and amortized cost. All investment securities are initially
recorded at fair value and subsequently measured according to the respective classification.
Investment securities carried at amortized cost are measured using the effective interest method, and are presented net of
any allowance for credit losses, calculated in accordance with our policy for Allowance for credit losses, as described below.
Interest income, including the amortization of premiums and discounts on securities measured at amortized cost are recorded in
Interest and dividend income. Impairment gains or losses recognized on amortized cost securities are recorded in Provision for
credit losses (PCL). When a debt instrument measured at amortized cost is sold, the difference between the sale proceeds and
the amortized cost of the security at the time of the sale is recorded as Net gains on investment securities in Non-interest
income.
Debt securities carried at FVOCI are measured at fair value with unrealized gains and losses arising from changes in fair
value included in Other components of equity. Impairment gains and losses are included in PCL and correspondingly reduce the
accumulated changes in fair value included in Other components of equity. When a debt instrument measured at FVOCI is sold,
the cumulative gain or loss is reclassified from Other components of equity to Net gains on investment securities in Non-interest
income.
Equity securities carried at FVOCI are measured at fair value. Unrealized gains and losses arising from changes in fair value
are recorded in Other components of equity and not subsequently reclassified to profit or loss when realized. Dividends from
FVOCI equity securities are recognized in Interest and dividend income.
We account for all of our securities using settlement date accounting and changes in fair value between the trade date and
settlement date are reflected in income for securities measured at FVTPL, and changes in the fair value of securities measured at
FVOCI between the trade and settlement dates are recorded in OCI except for changes in foreign exchange rates on debt
securities, which are recorded in Non-interest income. ", "dimensions": { "concept": "ry:DescriptionOfAccountingPolicyForSecuritiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22237": { "value": "Fair value option
A financial instrument with a reliably measurable fair value can be designated as FVTPL (the fair value option) on its initial
recognition even if the financial instrument was not acquired or incurred principally for the purpose of selling or repurchasing.
The fair value option can be used for financial assets if it eliminates or significantly reduces a measurement or recognition
inconsistency that would otherwise arise from measuring assets or liabilities, or recognizing related gains and losses on a
different basis (an accounting mismatch). The fair value option can be elected for financial liabilities if: (i) the election eliminates
an accounting mismatch; (ii) the financial liability is part of a portfolio that is managed on a fair value basis, in accordance with a
documented risk management or investment strategy; or (iii) there is an embedded derivative in the financial or non-financial
host contract and the derivative is not closely related to the host contract. These instruments cannot be reclassified out of the
FVTPL category while they are held or issued.
Financial assets designated as FVTPL are recorded at fair value and any unrealized gain or loss arising due to changes in fair value is
included in Non-interest income \u2013 Trading revenue or Non-interest income \u2013 Other, depending on our business purpose for holding the
financial asset.
Financial liabilities designated as FVTPL are recorded at fair value and fair value changes attributable to changes in our own
credit risk are recorded in OCI. Own credit risk amounts recognized in OCI will not be reclassified subsequently to net income.
The remaining fair value changes not attributable to changes in our own credit risk are recorded in Non-interest income \u2013 Trading
revenue or Non-interest income \u2013 Other, depending on our business purpose for holding the financial liability. Upon initial
recognition, if we determine that presenting the effects of own credit risk changes in OCI would create or enlarge an accounting
mismatch in net income, the full fair value change in our debt designated as FVTPL is recognized in net income. To make that
determination, we assess whether we expect that the effects of changes in the liability\u2019s credit risk will be offset in profit or loss
by a change in the fair value of another financial instrument measured at FVTPL. Such an expectation is based on an economic
relationship between the characteristics of the liability and the characteristics of the other financial instrument. The
determination is made at initial recognition and is not reassessed. To determine the fair value adjustments on our debt
instruments designated as FVTPL, we calculate the present value of the instruments based on the contractual cash flows over the
term of the arrangement by using our effective funding rate at the beginning and end of the period.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22238": { "value": "Fair value option
A financial instrument with a reliably measurable fair value can be designated as FVTPL (the fair value option) on its initial
recognition even if the financial instrument was not acquired or incurred principally for the purpose of selling or repurchasing.
The fair value option can be used for financial assets if it eliminates or significantly reduces a measurement or recognition
inconsistency that would otherwise arise from measuring assets or liabilities, or recognizing related gains and losses on a
different basis (an accounting mismatch). The fair value option can be elected for financial liabilities if: (i) the election eliminates
an accounting mismatch; (ii) the financial liability is part of a portfolio that is managed on a fair value basis, in accordance with a
documented risk management or investment strategy; or (iii) there is an embedded derivative in the financial or non-financial
host contract and the derivative is not closely related to the host contract. These instruments cannot be reclassified out of the
FVTPL category while they are held or issued.
Financial assets designated as FVTPL are recorded at fair value and any unrealized gain or loss arising due to changes in fair value is
included in Non-interest income \u2013 Trading revenue or Non-interest income \u2013 Other, depending on our business purpose for holding the
financial asset.
Financial liabilities designated as FVTPL are recorded at fair value and fair value changes attributable to changes in our own
credit risk are recorded in OCI. Own credit risk amounts recognized in OCI will not be reclassified subsequently to net income.
The remaining fair value changes not attributable to changes in our own credit risk are recorded in Non-interest income \u2013 Trading
revenue or Non-interest income \u2013 Other, depending on our business purpose for holding the financial liability. Upon initial
recognition, if we determine that presenting the effects of own credit risk changes in OCI would create or enlarge an accounting
mismatch in net income, the full fair value change in our debt designated as FVTPL is recognized in net income. To make that
determination, we assess whether we expect that the effects of changes in the liability\u2019s credit risk will be offset in profit or loss
by a change in the fair value of another financial instrument measured at FVTPL. Such an expectation is based on an economic
relationship between the characteristics of the liability and the characteristics of the other financial instrument. The
determination is made at initial recognition and is not reassessed. To determine the fair value adjustments on our debt
instruments designated as FVTPL, we calculate the present value of the instruments based on the contractual cash flows over the
term of the arrangement by using our effective funding rate at the beginning and end of the period.
Determination of fair value
The fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an
orderly transaction between market participants at the measurement date. We determine fair value by incorporating factors that
market participants would consider in setting a price, including commonly accepted valuation approaches.
The Board of Directors provides oversight on valuation of financial instruments, primarily through the Audit Committee and
Risk Committee. The Audit Committee reviews the presentation and disclosure of financial instruments that are measured at fair
value, while the Risk Committee assesses the adequacy of governance structures and control processes for the valuation of
these instruments.
We have established policies, procedures and controls for valuation methodologies and techniques to ensure that fair value
is reasonably estimated. Major valuation processes and controls include, but are not limited to, profit and loss decomposition,
independent price verification (IPV) and model validation standards. These control processes are managed by either Finance or
Group Risk Management and are independent of the relevant businesses and their trading functions. Profit and loss
decomposition is a process to explain the fair value changes of certain positions and is performed daily for trading portfolios. All
fair value instruments are subject to IPV, a process whereby trading function valuations are verified against external market
prices and other relevant market data. Market data sources include traded prices, brokers and price vendors. We give priority to
those third-party pricing services and prices having the highest and most consistent accuracy. The level of accuracy is
determined over time by comparing third-party price values to traders\u2019 or system values, other pricing service values and, when
available, actual trade data. Quoted prices for identical instruments from pricing services or brokers are generally not adjusted
unless there are issues such as stale prices. If multiple quotes for identical instruments are received, fair value is based on an
average of the prices received or the quote from the most reliable vendor, after the outlier prices that fall outside of the pricing
range are removed. Other valuation techniques are used when a price or quote is not available. Some valuation processes use
models to determine fair value. We have a systematic and consistent approach to control the use of models. Valuation models
are approved for use within our model risk management framework. The framework addresses, among other things, model
development standards, validation processes and procedures and approval authorities. Model validation ensures that a model is
suitable for its intended use and sets parameters for its use. All models are revalidated regularly by qualified personnel who are
independent of the model design and development. Annually, our model risk profile is reported to the Board of Directors.
IFRS 13
Fair Value Measurement
permits an exception, through an accounting policy choice, to measure the fair value of a
portfolio of financial instruments on a net open risk position basis when certain criteria are met. We have elected to use this
policy choice to determine the fair value of certain portfolios of financial instruments, primarily derivatives, based on a net
exposure to market or credit risk.
We record valuation adjustments to appropriately reflect counterparty credit quality of our derivative portfolio, differences
between the actual counterparty collateral discount curve and standard overnight index swap (OIS) discounting for
collateralized derivatives, funding valuation adjustments (FVA) for uncollateralized and under-collateralized over-the-counter
(OTC) derivatives, unrealized gains or losses at inception of the transaction, bid-offer spreads, unobservable parameters and
model limitations. These adjustments may be subjective as they require significant judgment in the input selection, such as
implied probability of default (PD) and recovery rate, and are intended to arrive at a fair value that is determined based on
assumptions that market participants would use in pricing the financial instrument. The ultimate realized price for a transaction
may differ from its fair recorded value previously estimated using management judgment.
Valuation adjustments are recorded for the credit risk of our derivative portfolios in order to arrive at their fair values. Credit
valuation adjustments (CVA) take into account our counterparties\u2019 creditworthiness, the current and potential future
mark-to-market of transactions and the effects of credit mitigants such as master netting and collateral agreements. CVA
amounts are derived from estimates of exposure at default (EAD), PD, recovery rates on a counterparty basis and market and
credit factor correlations. EAD is the value of expected derivative related assets and liabilities at the time of default, estimated
through modelling using underlying risk factors. PD is implied from the market prices for credit protection and the credit ratings
of the counterparty. When market data is unavailable, it is estimated by incorporating assumptions and adjustments that market
participants would use for determining fair value using these inputs. Correlation is the statistical measure of how credit and
market factors may move in relation to one another. Correlation is estimated using historical data. CVA is calculated daily and
changes are recorded in Non-interest income \u2013 Trading revenue.
FVA is also calculated to incorporate the cost and benefit of funding in the valuation of uncollateralized and under-
collateralized OTC derivatives. Future expected cash flows of these derivatives are discounted to reflect the cost and benefit of
funding the derivatives by using a funding curve, implied volatilities and correlations as inputs.
Where required, a valuation adjustment is made to reflect the unrealized gain or loss at inception of a financial instrument
contract where the fair value of that financial instrument is not obtained from a quoted market price or cannot be evidenced by
other observable market transactions based on a valuation technique incorporating observable market data.
A bid-offer valuation adjustment is required when a financial instrument is valued at the mid-market price, instead of the bid
or offer price for asset or liability positions, respectively. The valuation adjustment takes into account the spread from the
mid-market price to either the bid or offer price.
Some valuation models require parameter calibration from such factors as market observable option prices. The calibration
of parameters may be sensitive to factors such as the choice of instruments or optimization methodology. A valuation
adjustment is also estimated to mitigate the uncertainties of parameter calibration and model limitations.
In determining fair value, a hierarchy is used which prioritizes the inputs to valuation techniques. The fair value hierarchy
gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest
priority to unobservable inputs (Level 3). Determination of fair value based on this hierarchy requires the use of observable
market data whenever available. Level 1 inputs are unadjusted quoted prices in active markets for identical assets or liabilities
that we have the ability to access at the measurement date. Level 2 inputs include quoted prices for similar assets or liabilities in
active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and model inputs that are
either observable, or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
Level 3 inputs include one or more inputs that are unobservable and significant to the fair value of the asset or liability.
Unobservable inputs are used to measure fair value to the extent that observable inputs are not available at the measurement
date. The availability of inputs for valuation may affect the selection of valuation techniques. The classification of a financial
instrument in the fair value hierarchy for disclosure purposes is based upon the lowest level of input that is significant to the
measurement of fair value.
Where observable prices or inputs are not available, management judgment is required to determine fair values by
assessing other relevant sources of information such as historical data, proxy information from similar transactions, and through
extrapolation and interpolation techniques. For more complex or illiquid instruments, significant judgment is required in the
determination of the model used, the selection of model inputs, and in some cases, the application of valuation adjustments to
the model value or quoted price for inactively traded financial instruments. The selection of model inputs may be subjective and
the inputs may be unobservable. Unobservable inputs are inherently uncertain as there is little or no market data available from
which to determine the level at which the transaction would occur under normal business circumstances. Appropriate parameter
uncertainty and market risk valuation adjustments for such inputs and other model risk valuation adjustments are assessed in all
such instances.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialInstrumentsAtFairValueThroughProfitOrLossExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22239": { "value": "Fair value option
A financial instrument with a reliably measurable fair value can be designated as FVTPL (the fair value option) on its initial
recognition even if the financial instrument was not acquired or incurred principally for the purpose of selling or repurchasing.
The fair value option can be used for financial assets if it eliminates or significantly reduces a measurement or recognition
inconsistency that would otherwise arise from measuring assets or liabilities, or recognizing related gains and losses on a
different basis (an accounting mismatch). The fair value option can be elected for financial liabilities if: (i) the election eliminates
an accounting mismatch; (ii) the financial liability is part of a portfolio that is managed on a fair value basis, in accordance with a
documented risk management or investment strategy; or (iii) there is an embedded derivative in the financial or non-financial
host contract and the derivative is not closely related to the host contract. These instruments cannot be reclassified out of the
FVTPL category while they are held or issued.
Financial assets designated as FVTPL are recorded at fair value and any unrealized gain or loss arising due to changes in fair value is
included in Non-interest income \u2013 Trading revenue or Non-interest income \u2013 Other, depending on our business purpose for holding the
financial asset.
Financial liabilities designated as FVTPL are recorded at fair value and fair value changes attributable to changes in our own
credit risk are recorded in OCI. Own credit risk amounts recognized in OCI will not be reclassified subsequently to net income.
The remaining fair value changes not attributable to changes in our own credit risk are recorded in Non-interest income \u2013 Trading
revenue or Non-interest income \u2013 Other, depending on our business purpose for holding the financial liability. Upon initial
recognition, if we determine that presenting the effects of own credit risk changes in OCI would create or enlarge an accounting
mismatch in net income, the full fair value change in our debt designated as FVTPL is recognized in net income. To make that
determination, we assess whether we expect that the effects of changes in the liability\u2019s credit risk will be offset in profit or loss
by a change in the fair value of another financial instrument measured at FVTPL. Such an expectation is based on an economic
relationship between the characteristics of the liability and the characteristics of the other financial instrument. The
determination is made at initial recognition and is not reassessed. To determine the fair value adjustments on our debt
instruments designated as FVTPL, we calculate the present value of the instruments based on the contractual cash flows over the
term of the arrangement by using our effective funding rate at the beginning and end of the period.", "dimensions": { "concept": "ry:DescriptionOfAccountingPolicyForFairValueOptionFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22270": { "value": "Determination of fair value
The fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an
orderly transaction between market participants at the measurement date. We determine fair value by incorporating factors that
market participants would consider in setting a price, including commonly accepted valuation approaches.
The Board of Directors provides oversight on valuation of financial instruments, primarily through the Audit Committee and
Risk Committee. The Audit Committee reviews the presentation and disclosure of financial instruments that are measured at fair
value, while the Risk Committee assesses the adequacy of governance structures and control processes for the valuation of
these instruments.
We have established policies, procedures and controls for valuation methodologies and techniques to ensure that fair value
is reasonably estimated. Major valuation processes and controls include, but are not limited to, profit and loss decomposition,
independent price verification (IPV) and model validation standards. These control processes are managed by either Finance or
Group Risk Management and are independent of the relevant businesses and their trading functions. Profit and loss
decomposition is a process to explain the fair value changes of certain positions and is performed daily for trading portfolios. All
fair value instruments are subject to IPV, a process whereby trading function valuations are verified against external market
prices and other relevant market data. Market data sources include traded prices, brokers and price vendors. We give priority to
those third-party pricing services and prices having the highest and most consistent accuracy. The level of accuracy is
determined over time by comparing third-party price values to traders\u2019 or system values, other pricing service values and, when
available, actual trade data. Quoted prices for identical instruments from pricing services or brokers are generally not adjusted
unless there are issues such as stale prices. If multiple quotes for identical instruments are received, fair value is based on an
average of the prices received or the quote from the most reliable vendor, after the outlier prices that fall outside of the pricing
range are removed. Other valuation techniques are used when a price or quote is not available. Some valuation processes use
models to determine fair value. We have a systematic and consistent approach to control the use of models. Valuation models
are approved for use within our model risk management framework. The framework addresses, among other things, model
development standards, validation processes and procedures and approval authorities. Model validation ensures that a model is
suitable for its intended use and sets parameters for its use. All models are revalidated regularly by qualified personnel who are
independent of the model design and development. Annually, our model risk profile is reported to the Board of Directors.
IFRS 13
Fair Value Measurement
permits an exception, through an accounting policy choice, to measure the fair value of a
portfolio of financial instruments on a net open risk position basis when certain criteria are met. We have elected to use this
policy choice to determine the fair value of certain portfolios of financial instruments, primarily derivatives, based on a net
exposure to market or credit risk.
We record valuation adjustments to appropriately reflect counterparty credit quality of our derivative portfolio, differences
between the actual counterparty collateral discount curve and standard overnight index swap (OIS) discounting for
collateralized derivatives, funding valuation adjustments (FVA) for uncollateralized and under-collateralized over-the-counter
(OTC) derivatives, unrealized gains or losses at inception of the transaction, bid-offer spreads, unobservable parameters and
model limitations. These adjustments may be subjective as they require significant judgment in the input selection, such as
implied probability of default (PD) and recovery rate, and are intended to arrive at a fair value that is determined based on
assumptions that market participants would use in pricing the financial instrument. The ultimate realized price for a transaction
may differ from its fair recorded value previously estimated using management judgment.
Valuation adjustments are recorded for the credit risk of our derivative portfolios in order to arrive at their fair values. Credit
valuation adjustments (CVA) take into account our counterparties\u2019 creditworthiness, the current and potential future
mark-to-market of transactions and the effects of credit mitigants such as master netting and collateral agreements. CVA
amounts are derived from estimates of exposure at default (EAD), PD, recovery rates on a counterparty basis and market and
credit factor correlations. EAD is the value of expected derivative related assets and liabilities at the time of default, estimated
through modelling using underlying risk factors. PD is implied from the market prices for credit protection and the credit ratings
of the counterparty. When market data is unavailable, it is estimated by incorporating assumptions and adjustments that market
participants would use for determining fair value using these inputs. Correlation is the statistical measure of how credit and
market factors may move in relation to one another. Correlation is estimated using historical data. CVA is calculated daily and
changes are recorded in Non-interest income \u2013 Trading revenue.
FVA is also calculated to incorporate the cost and benefit of funding in the valuation of uncollateralized and under-
collateralized OTC derivatives. Future expected cash flows of these derivatives are discounted to reflect the cost and benefit of
funding the derivatives by using a funding curve, implied volatilities and correlations as inputs.
Where required, a valuation adjustment is made to reflect the unrealized gain or loss at inception of a financial instrument
contract where the fair value of that financial instrument is not obtained from a quoted market price or cannot be evidenced by
other observable market transactions based on a valuation technique incorporating observable market data.
A bid-offer valuation adjustment is required when a financial instrument is valued at the mid-market price, instead of the bid
or offer price for asset or liability positions, respectively. The valuation adjustment takes into account the spread from the
mid-market price to either the bid or offer price.
Some valuation models require parameter calibration from such factors as market observable option prices. The calibration
of parameters may be sensitive to factors such as the choice of instruments or optimization methodology. A valuation
adjustment is also estimated to mitigate the uncertainties of parameter calibration and model limitations.
In determining fair value, a hierarchy is used which prioritizes the inputs to valuation techniques. The fair value hierarchy
gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest
priority to unobservable inputs (Level 3). Determination of fair value based on this hierarchy requires the use of observable
market data whenever available. Level 1 inputs are unadjusted quoted prices in active markets for identical assets or liabilities
that we have the ability to access at the measurement date. Level 2 inputs include quoted prices for similar assets or liabilities in
active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and model inputs that are
either observable, or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
Level 3 inputs include one or more inputs that are unobservable and significant to the fair value of the asset or liability.
Unobservable inputs are used to measure fair value to the extent that observable inputs are not available at the measurement
date. The availability of inputs for valuation may affect the selection of valuation techniques. The classification of a financial
instrument in the fair value hierarchy for disclosure purposes is based upon the lowest level of input that is significant to the
measurement of fair value.
Where observable prices or inputs are not available, management judgment is required to determine fair values by
assessing other relevant sources of information such as historical data, proxy information from similar transactions, and through
extrapolation and interpolation techniques. For more complex or illiquid instruments, significant judgment is required in the
determination of the model used, the selection of model inputs, and in some cases, the application of valuation adjustments to
the model value or quoted price for inactively traded financial instruments. The selection of model inputs may be subjective and
the inputs may be unobservable. Unobservable inputs are inherently uncertain as there is little or no market data available from
which to determine the level at which the transaction would occur under normal business circumstances. Appropriate parameter
uncertainty and market risk valuation adjustments for such inputs and other model risk valuation adjustments are assessed in all
such instances.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFairValueMeasurementExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22403": { "value": "Loans
Loans are debt instruments recognized initially at fair value and are subsequently measured in accordance with the
Classification of financial assets policy provided above. The majority of our loans are carried at amortized cost using the
effective interest method, which represents the gross carrying amount less allowance for credit losses.
Interest on loans is recognized in Interest income using the effective interest method. The estimated future cash flows used
in this calculation include those determined by the contractual term of the asset and all fees that are considered to be integral to
the effective interest rate. Also included in this amount are transaction costs and all other premiums or discounts. Fees that
relate to activities such as originating, restructuring or renegotiating loans are deferred and recognized as Interest income over
the expected term of such loans using the effective interest method. Where there is a reasonable expectation that a loan will be
originated, commitment and standby fees are also recognized as interest income over the expected term of the resulting loans
using the effective interest method. Otherwise, such fees are recorded as other liabilities and amortized into Non-interest income
over the commitment or standby period. Future prepayment fees on mortgage loans are not included as part of the effective
interest rate at origination. If prepayment fees are received on a renewal of a mortgage loan before maturity, the fee is included
as part of the effective interest rate, and if not renewed, the prepayment fee is recognized in interest income at the prepayment
date.
For loans carried at amortized cost or FVOCI, impairment losses are recognized at each balance sheet date in accordance
with the three-stage impairment model outlined below.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForLoansAndReceivablesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22423": { "value": "Allowance for credit losses
An allowance for credit losses (ACL) is established for all financial assets, except for financial assets classified or designated as
FVTPL and equity securities designated as FVOCI, which are not subject to impairment assessment. Assets subject to impairment
assessment include loans, debt securities, interest-bearing deposits with banks, customers\u2019 liability under acceptances, accounts
and accrued interest receivable, and finance and operating lease receivables. ACL on loans measured at amortized cost is
presented in Allowance for loan losses. ACL on debt securities measured at FVOCI is presented in Other components of equity.
Other financial assets carried at amortized cost are presented net of ACL on our Consolidated Balance Sheets.
Off-balance sheet items subject to impairment assessment include financial guarantees and undrawn loan commitments.
ACL on off-balance sheet items is separately calculated and included in Other Liabilities \u2013 Provisions.
We measure the ACL on each balance sheet date according to a three-stage expected credit loss impairment model:
\u2022
Performing financial assets
\u2022
Stage 1 \u2013 From initial recognition of a financial asset to the date on which the asset has experienced a significant
increase in credit risk relative to its initial recognition, a loss allowance is recognized equal to the credit losses
expected to result from defaults occurring over the 12 months following the reporting date.
\u2022
Stage 2 \u2013 Following a significant increase in credit risk relative to the initial recognition of the financial asset, a loss
allowance is recognized equal to the credit losses expected over the remaining lifetime of the asset.
\u2022
Impaired financial assets
\u2022
Stage 3 \u2013 When a financial asset is considered to be credit-impaired, a loss allowance is recognized equal to credit
losses expected over the remaining lifetime of the asset. Interest income is calculated based on the carrying
amount of the asset, net of the loss allowance, rather than on its gross carrying amount.
The ACL is a discounted probability-weighted estimate of the cash shortfalls expected to result from defaults over the relevant
time horizon. For loan commitments, credit loss estimates consider the portion of the commitment that is expected to be drawn
over the relevant time period. For financial guarantees, credit loss estimates are based on the expected payments required under
the guarantee contract. For finance lease receivables, credit loss estimates are based on cash flows consistent with the cash
flows used in measuring the lease receivable.
Increases or decreases in the required ACL attributable to model changes and new originations, sales or maturities, and
changes in risk, parameters and exposures due to changes in loss expectations or stage transfers are recorded in PCL. Write-offs
and recoveries of amounts previously written off are recorded against ACL.
The ACL represents an unbiased estimate of expected credit losses on our financial assets as at the balance sheet date.
Judgment is required in making assumptions and estimations when calculating the ACL, including movements between the three
stages and the application of forward-looking information. The underlying assumptions and estimates may result in changes to
the provisions from period to period that significantly affect our results of operations.
Measurement of expected credit losses
Expected credit losses are based on a range of possible outcomes and consider all available reasonable and supportable
information, including internal and external ratings, historical credit loss experience and expectations about future cash flows.
The measurement of expected credit losses is based primarily on the product of the instrument\u2019s PD, loss given default (LGD),
and EAD discounted to the reporting date. The main difference between Stage 1 and Stage 2 expected credit losses for performing
financial assets is the respective calculation horizon. Stage 1 estimates project PD, LGD and EAD over a maximum period of
12 months while Stage 2 estimates project PD, LGD and EAD over the remaining lifetime of the instrument.
An expected credit loss estimate is produced for each individual exposure. Relevant parameters are modelled on a collective
basis using portfolio segmentation that allows for appropriate incorporation of forward-looking information. To reflect other
characteristics that are not already considered through modelling, expert credit judgment is exercised in determining the final
expected credit losses.
For a small percentage of our portfolios which lack detailed historical information and/or loss experience, we apply
simplified measurement approaches that may differ from what is described above. These approaches have been designed to
maximize the available information that is reliable and supportable for each portfolio and may be collective in nature.
Expected credit losses are discounted to the reporting period date using the effective interest rate.
Expected life
For instruments in Stage 2 or Stage 3, loss allowances reflect expected credit losses over the expected remaining lifetime of the
instrument. For most instruments, the expected life is limited to the remaining contractual life.
An exemption is provided for certain instruments with the following characteristics: (a) the instrument includes both a loan
and undrawn commitment component; (b) we have the contractual ability to demand repayment and cancel the undrawn
commitment; and (c) our exposure to credit losses is not limited to the contractual notice period. For products in scope of this
exemption, the expected life may exceed the remaining contractual life and is the period over which our exposure to credit losses
is not mitigated by our normal credit risk management actions. This period varies by product and risk category and is estimated
based on our historical experience with similar exposures and consideration of credit risk management actions taken as part of
our regular credit review cycle. Products in scope of this exemption include credit cards, overdraft balances and certain revolving
lines of credit. Judgment is required in determining the instruments in scope for this exemption and estimating the appropriate
remaining life based on our historical experience and credit risk mitigation practices.
Assessment of significant increase in credit risk
The assessment of significant increase in credit risk requires significant judgment. Movements between Stage 1 and Stage 2 are
based on whether an instrument\u2019s credit risk as at the reporting date has increased significantly relative to the date it was
initially recognized. For the purposes of this assessment, credit risk is based on an instrument\u2019s lifetime PD, not the losses we
expect to incur. The assessment is generally performed at the instrument level.
Our assessment of significant increases in credit risk is performed at least quarterly based on three factors. If any of the
following factors indicates that a significant increase in credit risk has occurred, the instrument is moved from Stage 1 to Stage 2:
(1)
We have established thresholds for significant increases in credit risk based on both a percentage and absolute change
in lifetime PD relative to initial recognition. For our wholesale portfolio, a decrease in the borrower\u2019s risk rating is also
required to determine that credit risk has increased significantly.
(2)
Additional qualitative reviews may be performed, as necessary, to assess the staging results, which may lead to
adjustments to better reflect the positions whose credit risk has increased significantly. These reviews are completed at
both the individual borrower levels and the portfolio level and may result in an instrument, a portfolio or a portion of a
portfolio moving from Stage 1 to Stage 2.
(3)
Instruments which are 30 days past due are generally considered to have experienced a significant increase in credit
risk, even if our other metrics do not indicate that a significant increase in credit risk has occurred.
The thresholds for movement between Stage 1 and Stage 2 are symmetrical. After a financial asset has transferred to Stage 2, if
its credit risk is no longer considered to have significantly increased relative to its initial recognition, the financial asset will
move back to Stage 1.
For certain instruments with low credit risk as at the reporting date, it is presumed that credit risk has not increased
significantly relative to initial recognition. Credit risk is considered to be low if the instrument has a low risk of default, and the
borrower has the ability to fulfill their contractual obligations both in the near term and in the longer term, including periods of
adverse changes in the economic or business environment. Certain interest-bearing deposits with banks, assets purchased under
reverse repurchase agreements, insurance policy loans, and liquidity facilities extended to our multi-seller conduits have been
identified as having low credit risk.
Use of forward-looking information
The measurement of expected credit losses for each stage and the assessment of significant increase in credit risk considers
information about past events and current conditions as well as reasonable and supportable projections of future events and
economic conditions. The estimation and application of forward-looking information requires significant judgment.
The PD, LGD and EAD inputs used to estimate Stage 1 and Stage 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 period, subsequently reverting to long-run averages.
Macroeconomic variables used in our expected credit loss models include, but are not limited to, unemployment rates, gross
domestic product growth rates, equity return indices, commodity prices, and Canadian housing prices. Depending on their usage
in the models, macroeconomic variables may be projected at a country, province/state or more granular level.
Our estimation of expected credit losses in Stage 1 and Stage 2 is a discounted probability-weighted estimate that considers
a minimum of three future macroeconomic scenarios. Our base case scenario is based on macroeconomic forecasts published
by our internal economics group. The published forecasts are developed from models based on historical macroeconomic data,
derived from public sources and financial markets. Upside and downside scenarios vary relative to our base case scenario based
on reasonably possible alternative macroeconomic conditions. Additional and more severe downside scenarios are designed to
capture a broader range of potential credit losses in certain sectors. Scenario design, including the identification of additional
downside scenarios, occurs at least on an annual basis and more frequently if conditions warrant.
Scenarios are designed to capture a wide range of possible outcomes and weighted according to our best estimate of the
relative likelihood of the range of outcomes that each scenario represents. Scenario weights take into account historical
frequency, current trends, and forward-looking conditions and are updated on a quarterly basis. All scenarios considered are
applied to all portfolios subject to expected credit losses with the same probabilities.
Our assessment of significant increases in credit risk is based on changes in probability-weighted forward-looking lifetime
PDs as at the reporting date, using the same macroeconomic scenarios as the calculation of expected credit losses.
Definition of default
The definition of default used in the measurement of expected credit losses is consistent with the definition of default used for
our internal credit risk management purposes. Our definition of default may differ across products and consider both
quantitative and qualitative factors, such as the terms of financial covenants and days past due. For retail and wholesale
borrowers, except as detailed below, default occurs when the borrower is more than 90 days past due on any material obligation
to us, and/or we consider the borrower unlikely to make their payments in full without recourse action on our part, such as taking
formal possession of any collateral held. For certain credit card balances, default occurs when payments are 180 days past due.
For these balances, the use of a period in excess of 90 days past due is reasonable and supported by observable data on write-off
and recovery rates experienced on historical credit card portfolios. The definition of default used is applied consistently from
period to period and to all financial instruments unless it can be demonstrated that circumstances have changed such that
another definition of default is more appropriate.
Credit-impaired financial assets (Stage 3)
Financial assets are assessed for credit-impairment at each balance sheet date and more frequently when circumstances
warrant further assessment. Evidence of credit-impairment may include indications that the borrower is experiencing significant
financial difficulty, probability of bankruptcy or other financial reorganization, as well as a measurable decrease in the estimated
future cash flows evidenced by the adverse changes in the payments status of the borrower or economic conditions that
correlate with defaults. An asset that is in Stage 3 will move back to Stage 2 when, as at the reporting date, it is no longer
considered to be credit-impaired. The asset will transfer back to Stage 1 when its credit risk at the reporting date is no longer
considered to have increased significantly from initial recognition, which could occur during the same reporting period as the
transfer from Stage 3 to Stage 2.
When a financial asset has been identified as credit-impaired, expected credit losses are measured as the difference
between the asset\u2019s gross carrying amount and the present value of estimated future cash flows discounted at the instrument\u2019s
original effective interest rate. For impaired financial assets with drawn and undrawn components, expected credit losses also
reflect any credit losses related to the portion of the loan commitment that is expected to be drawn down over the remaining life
of the instrument.
When a financial asset is credit-impaired, interest ceases to be recognized on the regular accrual basis, which accrues
income based on the gross carrying amount of the asset. Rather, interest income is calculated by applying the original effective
interest rate to the amortized cost of the asset, which is the gross carrying amount less the related ACL.
ACL for credit-impaired loans in Stage 3 are established at the borrower level, where losses related to impaired loans are
identified on individually significant loans, or collectively assessed and determined through the use of portfolio-based rates,
without reference to particular loans.
Individually assessed loans (Stage 3)
When individually significant loans are identified as impaired, we reduce the carrying value of the loans to their estimated
realizable value by recording an individually assessed ACL to cover identified credit losses. The individually assessed ACL
reflects the expected amount of principal and interest calculated under the terms of the original loan agreement that will not be
recovered, and the impact of time delays in collecting principal and/or interest (time value of money). The estimated realizable
value for each individually significant loan is the present value of expected future cash flows discounted using the original
effective interest rate for each loan. When the amounts and timing of future cash flows cannot be estimated with reasonable
reliability, the estimated realizable amount may be determined using observable market prices for comparable loans, the fair
value of collateral underlying the loans, and other reasonable and supported methods based on management judgment.
Individually-assessed allowances are established in consideration of a range of possible outcomes, which may include
macroeconomic or non-macroeconomic scenarios, to the extent relevant to the circumstances of the specific borrower being
assessed. Assumptions used in estimating expected future cash flows reflect current and expected future economic conditions
and are generally consistent with those used in Stage 1 and Stage 2 measurement.
Significant judgment is required in assessing evidence of credit-impairment and estimation of the amount and timing of
future cash flows when determining expected credit losses. Changes in the amount expected to be recovered would have a direct
impact on PCL and may result in a change in the ACL.
Collectively assessed loans (Stage 3)
Loans that are collectively assessed are grouped on the basis of similar risk characteristics, taking into account loan type,
industry, geographic location, collateral type, past due status and other relevant factors.
The collectively-assessed ACL reflects: (i) the expected amount of principal and interest calculated under the terms of the
original loan agreement that will not be recovered, and (ii) the impact of time delays in collecting principal and/or interest (time
value of money).
The expected principal and interest collection is estimated on a portfolio basis and references historical loss experience of
comparable portfolios with similar credit risk characteristics, adjusted for the current environment and expected future
conditions. A portfolio specific coverage ratio is applied against the impaired loan balance in determining the collectively-
assessed ACL. The time value of money component is calculated by using the discount factors applied to groups of loans sharing
common characteristics. The discount factors represent the expected recovery pattern of the comparable group of loans, and
reflect the historical experience of these groups adjusted for current and expected future economic conditions and/or industry
factors. Significant judgment is required in assessing evidence of impairment and estimation of the amount and timing of future
cash flows when determining expected credit losses. Changes in the amount expected to be recovered would have a direct
impact on PCL and may result in a change in the ACL.
Write-off of loans
Loans and the related ACL are written off, either partially or in full, when there is no realistic prospect of recovery. Where loans
are secured, they are generally written off after receipt of any proceeds from the realization of collateral. In circumstances where
the net realizable value of any collateral has been determined and there is no reasonable expectation of further recovery, write
off may be earlier. For credit cards, the balances and related ACL are generally written off when payment is 180 days past due.
Personal loans are generally written off at 150 days past due.
Modifications
The original terms of a financial asset may be renegotiated or otherwise modified, resulting in changes to the contractual terms
of the financial asset that affect the contractual cash flows. The treatment of such modifications is primarily based on the
process undertaken to execute the renegotiation and the nature and extent of the expected changes. In the normal course of
business, modifications which are performed for credit reasons, primarily related to troubled debt restructurings, are generally
treated as modifications of the original financial asset. Modifications which are performed for other than credit reasons are
generally considered to be an expiry of the original cash flows; accordingly, such renegotiations are treated as a derecognition of
the original financial asset and recognition of a new financial asset.
If a modification of terms does not result in derecognition of the financial asset, the carrying amount of the financial asset is
recalculated as the present value of the renegotiated or modified contractual cash flows, discounted at the original effective
interest rate and a gain or loss is recognized. The financial asset continues to be subject to the same assessments for significant
increase in credit risk relative to initial recognition and credit-impairment, as described above. A modified financial asset will
transfer out of Stage 3 if the conditions that led to it being identified as credit-impaired are no longer present and relate
objectively to an event occurring after the original credit-impairment was recognized. A modified financial asset will transfer out
of Stage 2 when it no longer satisfies the relative thresholds set to identify significant increases in credit risk, which are based on
changes in its lifetime PD, days past due and other qualitative considerations. The financial asset continues to be monitored for
significant increases in credit risk and credit-impairment.
If a modification of terms results in derecognition of the original financial asset and recognition of the new financial asset,
the new financial asset will generally be recorded in Stage 1, unless it is determined to be credit-impaired at the time of the
renegotiation. For the purposes of assessing for significant increases in credit risk, the date of initial recognition for the new
financial asset is the date of the modification.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfFinancialAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22698": { "value": "Derivatives
When derivatives are embedded in other financial instruments or host contracts, such combinations are known as hybrid
instruments. Some of the cash flows of a hybrid instrument vary in a way similar to a stand-alone derivative. If the host contract
is a financial asset within the scope of IFRS 9
Financial Instruments
(IFRS 9), the classification and measurement criteria are
applied to the entire hybrid instrument as described in the Classification of financial assets section of Note 2. If the host contract
is a financial liability or an asset that is not within the scope of IFRS 9, embedded derivatives are separately recognized if the
economic characteristics and risks of the embedded derivative are not clearly and closely related to the host contract, unless an
election has been made to elect the fair value option, as described above. The host contract is accounted for in accordance with
the relevant standards.
Derivatives are primarily used in trading activities. Derivatives are also used to manage our exposure to interest, currency,
credit and other market risks. The most frequently used derivative products are interest rate and foreign exchange swaps,
options, futures and forward rate agreements, equity swaps and credit derivatives. All derivative instruments are recorded on our
Consolidated Balance Sheets at fair value.
When derivatives are used in trading activities, the realized and unrealized gains and losses on these derivatives are
recognized in Trading revenue in Non-interest income. Derivatives with positive fair values are reported as Derivative assets and
derivatives with negative fair values are reported as Derivative liabilities. In accordance with our policy for offsetting financial
assets and financial liabilities, the net fair value of certain derivative assets and liabilities are reported as an asset or liability, as
appropriate. Valuation adjustments are included in the fair value of Derivative assets and Derivative liabilities. Premiums paid
and premiums received are shown in Derivative assets and Derivative liabilities, respectively.
When derivatives are used to manage our own exposures, we determine for each derivative whether hedge accounting can
be applied, as discussed in the Hedge accounting section below.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerivativeFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22699": { "value": "Derivatives
When derivatives are embedded in other financial instruments or host contracts, such combinations are known as hybrid
instruments. Some of the cash flows of a hybrid instrument vary in a way similar to a stand-alone derivative. If the host contract
is a financial asset within the scope of IFRS 9
Financial Instruments
(IFRS 9), the classification and measurement criteria are
applied to the entire hybrid instrument as described in the Classification of financial assets section of Note 2. If the host contract
is a financial liability or an asset that is not within the scope of IFRS 9, embedded derivatives are separately recognized if the
economic characteristics and risks of the embedded derivative are not clearly and closely related to the host contract, unless an
election has been made to elect the fair value option, as described above. The host contract is accounted for in accordance with
the relevant standards.
Derivatives are primarily used in trading activities. Derivatives are also used to manage our exposure to interest, currency,
credit and other market risks. The most frequently used derivative products are interest rate and foreign exchange swaps,
options, futures and forward rate agreements, equity swaps and credit derivatives. All derivative instruments are recorded on our
Consolidated Balance Sheets at fair value.
When derivatives are used in trading activities, the realized and unrealized gains and losses on these derivatives are
recognized in Trading revenue in Non-interest income. Derivatives with positive fair values are reported as Derivative assets and
derivatives with negative fair values are reported as Derivative liabilities. In accordance with our policy for offsetting financial
assets and financial liabilities, the net fair value of certain derivative assets and liabilities are reported as an asset or liability, as
appropriate. Valuation adjustments are included in the fair value of Derivative assets and Derivative liabilities. Premiums paid
and premiums received are shown in Derivative assets and Derivative liabilities, respectively.
When derivatives are used to manage our own exposures, we determine for each derivative whether hedge accounting can
be applied, as discussed in the Hedge accounting section below.Hedge accounting
We have elected to continue to apply the hedge accounting principles under IAS 39 instead of those under IFRS 9.
We use derivatives and non-derivatives in our hedging strategies to manage our exposure to interest rate, currency, credit
and other market risks. Where hedge accounting can be applied, a hedge relationship is designated and documented at inception
to detail the particular risk management objective and strategy for undertaking the hedge transaction. The documentation
identifies the specific asset, liability or anticipated cash flows being hedged, the risk that is being hedged, the type of hedging
instrument used and how effectiveness will be assessed. We assess, both at the inception of the hedge and on an ongoing basis,
whether the hedging instruments are \u2018highly effective\u2019 in offsetting changes in the fair value or cash flows of the hedged items. A
hedge is regarded as highly effective only if the following criteria are met: (i) at inception of the hedge and throughout its life, the
hedge is expected to be highly effective in achieving offsetting changes in fair value or cash flows attributable to the hedged risk,
and (ii) actual results of the hedge are within a pre-determined range. We perform effectiveness testing to demonstrate that the
relationship has been and is expected to be effective over the remaining term of the hedge. In the case of hedging a forecast
transaction, the transaction must have a high probability of occurring and must present an exposure to variations in cash flows
that could ultimately affect the reported net profit or loss. Hedge accounting is discontinued when it is determined that the
hedging instrument is no longer effective as a hedge, the hedging instrument or hedged item is terminated or sold, or the forecast
transaction is no longer deemed highly probable. Refer to Note 9 for the fair value of derivatives and non-derivative instruments
categorized by their hedging relationships, as well as derivatives that are not designated in hedging relationships.
Until the hedging relationships impacted by the Interest rate benchmark reform (the Reform) fully transition to alternative
benchmark rates (ABRs), our prospective effectiveness testing is based on existing hedged cash flows or hedged risks and any
ineffectiveness arising from retrospective testing does not result in a discontinuation of the hedge. Additionally, effectiveness
testing is applied separately to hedged items referencing ABRs and hedged items referencing interbank offered rates (IBORs),
which include USD London Interbank Offered Rate (USD LIBOR) and Canadian Dollar Offered Rate (CDOR), in accordance with
the Phase 2 amendments to IFRS 9
Financial Instruments
, IAS 39
Financial Instruments: Recognition and Measurement
, IFRS 7
Financial Instruments: Disclosures
, IFRS 4
Insurance contracts
, and IFRS 16
Leases
(the Amendments). Subsequently, when these
relationships fully transition to ABRs, and provided qualifying criteria are met, we will amend the related hedge documentation
for the ABR risk, including consequential changes to the description of the hedging instrument(s), the hedged item(s), and the
method for assessing hedge effectiveness, without discontinuing the existing hedging relationships.
Fair value hedges
In a fair value hedging relationship, the carrying value of the hedged item is adjusted for changes in fair value attributable to the
hedged risk and recognized in Non-interest income. Changes in fair value of the hedged item, to the extent that the hedging
relationship is effective, are offset by changes in the fair value of the hedging derivative, which are also recognized in
Non-interest income. When hedge accounting is discontinued, the carrying value of the hedged item is no longer adjusted and the
cumulative fair value adjustments to the carrying value of the hedged items are amortized to Net income over the expected
remaining life of the hedged items.
We predominantly use interest rate swaps to hedge our exposure to changes in a fixed interest rate instrument\u2019s fair value
caused by changes in interest rates. Until the hedging relationships impacted by the Reform fully transition to ABRs, we apply
hedge accounting to IBOR rates which may not be contractually specified when that rate is separately identifiable and reliably
measurable at inception of the hedge relationship.
Cash flow hedges
In a cash flow hedging relationship, the effective portion of the change in the fair value of the hedging derivative, net of taxes, is
recognized in OCI and reclassified to profit or loss as the associated hedged forecast transaction occurs, while the ineffective
portion is recognized in Non-interest income. When hedge accounting is discontinued, the cumulative amounts previously
recognized in OCI are reclassified to Net interest income during the periods when the variability in the cash flows of the hedged
item affects Net interest income. Unrealized gains and losses on derivatives are reclassified immediately to Net income when the
hedged item is sold or terminated early, or when the forecast transaction is no longer expected to occur.
We predominantly use interest rate swaps to hedge the variability in cash flows related to a variable-rate asset or liability.
Until the hedging relationships impacted by the Reform fully transition to ABRs, we treat the highly probable hedged IBORs based
cash flows of groups of similar assets or liabilities with similar risk characteristics as unchanged as a result of the Reform. In
addition, associated cash flow hedge reserves are not recycled into net income solely due to changes related to the transition
from IBORs to ABRs. Subsequently, when some items in the group transition to ABRs before other items, the individual hedged
items are allocated to subgroups based on the benchmark interest rate being hedged. We test hedge effectiveness based on the
defined subgroups, in accordance with the Amendments, if eligibility requirements are met. If a subgroup fails the eligibility
requirements, we would discontinue hedge accounting prospectively for the hedging relationship in its entirety.
Net investment hedges
In hedging our foreign currency exposure to a net investment in a foreign operation, the effective portion of foreign exchange
gains and losses on the hedging instruments, net of applicable taxes, is recognized in OCI and the ineffective portion is
recognized in Non-interest income. The amounts, or a portion thereof, previously recognized in Other components of equity are
recognized in Net income on the disposal, or partial disposal, of the foreign operation.
We use foreign exchange contracts and foreign currency-denominated liabilities to manage our foreign currency exposures
to net investments in foreign operations having a functional currency other than the Canadian dollar.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerivativeFinancialInstrumentsAndHedgingExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22727": { "value": "Derecognition of financial assets
Financial assets are derecognized from our Consolidated Balance Sheets when our contractual rights to the cash flows from the
assets have expired, when we retain the rights to receive the cash flows of the assets but assume an obligation to pay those cash
flows to a third party subject to certain pass-through requirements or when we transfer our contractual rights to receive the cash
flows and substantially all of the risks and rewards of the assets have been transferred. When we retain substantially all of the
risks and rewards of the transferred assets, the transferred assets are not derecognized from our Consolidated Balance Sheets
and are accounted for as secured financing transactions. When we neither retain nor transfer substantially all risks and rewards
of ownership of the assets, we derecognize the assets if control over the assets is relinquished. If we retain control over the
transferred assets, we continue to recognize the transferred assets to the extent of our continuing involvement.
Management judgment is applied in determining whether the contractual rights to the cash flows from the transferred assets
have expired or whether we retain the rights to receive cash flows on the assets but assume an obligation to pay for those cash
flows. We derecognize transferred financial assets if we transfer substantially all the risks and rewards of the ownership in the
assets. When assessing whether we have transferred substantially all of the risk and rewards of the transferred assets,
management considers the Bank\u2019s exposure before and after the transfer with the variability in the amount and timing of the net
cash flows of the transferred assets. In transfers in which we retain the servicing rights, management has applied judgment in
assessing the benefits of servicing against market expectations. When the benefits of servicing are greater than fair value, a
servicing asset is recognized in Other assets in our Consolidated Balance Sheets. When the benefits of servicing are less than fair
value, a servicing liability is recognized in Other liabilities in our Consolidated Balance Sheets.
Derecognition of financial liabilities
We derecognize a financial liability from our Consolidated Balance Sheets when our obligation specified in the contract expires,
or is discharged or cancelled. We recognize the difference between the carrying amount of a financial liability transferred and the
consideration paid in our Consolidated Statements of Income.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerecognitionOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22752": { "value": "Interest
Interest is recognized in Interest income and Interest expense in the Consolidated Statements of Income for all interest-bearing
financial instruments. The effective interest rate is the rate that discounts estimated future cash flows over the expected life of
the financial asset or liability to the net carrying amount upon initial recognition. Significant judgment is applied in determining
the effective interest rate due to uncertainty in the timing and amounts of future cash flows.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInterestIncomeAndExpenseExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22776": { "value": "Dividend income
Dividend income is recognized when the right to receive payment is established. This is the ex-dividend date for listed equity
securities, and usually the date when shareholders have approved the dividend for unlisted equity securities.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDividendsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22782": { "value": "Transaction costs
Transaction costs are expensed as incurred for financial instruments classified or designated as FVTPL. For other financial
instruments, transaction costs are capitalized on initial recognition. For financial assets and financial liabilities measured at
amortized cost and debt financial assets measured at FVOCI, capitalized transaction costs are amortized through net income
over the estimated life of the instrument using the effective interest method.", "dimensions": { "concept": "ry:DescriptionOfAccountingPolicyForTransactionCostsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22790": { "value": "Offsetting financial assets and financial liabilities
Financial assets and financial liabilities are offset on the Consolidated Balance Sheets when there exists both a legally
enforceable right to offset the recognized amounts and an intention to settle on a net basis, or realize the asset and settle the
liability simultaneously.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForOffsettingOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22797": { "value": "Assets purchased under reverse repurchase agreements and sold under repurchase agreements
We purchase securities under agreements to resell (reverse repurchase agreements) and take possession of these securities. We
monitor the market value of the securities purchased and additional collateral is obtained when appropriate. We have the right
to liquidate the collateral held in the event of counterparty default. Reverse repurchase agreements are treated as collateralized
lending transactions. We also sell securities under agreements to repurchase (repurchase agreements), which are treated as
collateralized borrowing transactions. The securities received under reverse repurchase agreements and securities delivered
under repurchase agreements are not recognized on, or derecognized from, our Consolidated Balance Sheets, respectively,
unless the risks and rewards of ownership are obtained or relinquished.
Reverse repurchase agreements and repurchase agreements are carried on our Consolidated Balance Sheets at the
amounts at which the securities were initially acquired or sold, except when they are classified or designated as FVTPL and are
recorded at fair value. Interest earned on reverse repurchase agreements is included in Interest income, and interest incurred on
repurchase agreements is included in Interest expense in our Consolidated Statements of Income. Changes in fair value for
reverse repurchase agreements and repurchase agreements classified or designated as FVTPL are included in Trading revenue or
Other in Non-interest income. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForRepurchaseAndReverseRepurchaseAgreementsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22814": { "value": "Hedge accounting
We have elected to continue to apply the hedge accounting principles under IAS 39 instead of those under IFRS 9.
We use derivatives and non-derivatives in our hedging strategies to manage our exposure to interest rate, currency, credit
and other market risks. Where hedge accounting can be applied, a hedge relationship is designated and documented at inception
to detail the particular risk management objective and strategy for undertaking the hedge transaction. The documentation
identifies the specific asset, liability or anticipated cash flows being hedged, the risk that is being hedged, the type of hedging
instrument used and how effectiveness will be assessed. We assess, both at the inception of the hedge and on an ongoing basis,
whether the hedging instruments are \u2018highly effective\u2019 in offsetting changes in the fair value or cash flows of the hedged items. A
hedge is regarded as highly effective only if the following criteria are met: (i) at inception of the hedge and throughout its life, the
hedge is expected to be highly effective in achieving offsetting changes in fair value or cash flows attributable to the hedged risk,
and (ii) actual results of the hedge are within a pre-determined range. We perform effectiveness testing to demonstrate that the
relationship has been and is expected to be effective over the remaining term of the hedge. In the case of hedging a forecast
transaction, the transaction must have a high probability of occurring and must present an exposure to variations in cash flows
that could ultimately affect the reported net profit or loss. Hedge accounting is discontinued when it is determined that the
hedging instrument is no longer effective as a hedge, the hedging instrument or hedged item is terminated or sold, or the forecast
transaction is no longer deemed highly probable. Refer to Note 9 for the fair value of derivatives and non-derivative instruments
categorized by their hedging relationships, as well as derivatives that are not designated in hedging relationships.
Until the hedging relationships impacted by the Interest rate benchmark reform (the Reform) fully transition to alternative
benchmark rates (ABRs), our prospective effectiveness testing is based on existing hedged cash flows or hedged risks and any
ineffectiveness arising from retrospective testing does not result in a discontinuation of the hedge. Additionally, effectiveness
testing is applied separately to hedged items referencing ABRs and hedged items referencing interbank offered rates (IBORs),
which include USD London Interbank Offered Rate (USD LIBOR) and Canadian Dollar Offered Rate (CDOR), in accordance with
the Phase 2 amendments to IFRS 9
Financial Instruments
, IAS 39
Financial Instruments: Recognition and Measurement
, IFRS 7
Financial Instruments: Disclosures
, IFRS 4
Insurance contracts
, and IFRS 16
Leases
(the Amendments). Subsequently, when these
relationships fully transition to ABRs, and provided qualifying criteria are met, we will amend the related hedge documentation
for the ABR risk, including consequential changes to the description of the hedging instrument(s), the hedged item(s), and the
method for assessing hedge effectiveness, without discontinuing the existing hedging relationships.", "dimensions": { "concept": "ifrs-full:DisclosureOfHedgeAccountingExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22816": { "value": "Hedge accounting
We have elected to continue to apply the hedge accounting principles under IAS 39 instead of those under IFRS 9.
We use derivatives and non-derivatives in our hedging strategies to manage our exposure to interest rate, currency, credit
and other market risks. Where hedge accounting can be applied, a hedge relationship is designated and documented at inception
to detail the particular risk management objective and strategy for undertaking the hedge transaction. The documentation
identifies the specific asset, liability or anticipated cash flows being hedged, the risk that is being hedged, the type of hedging
instrument used and how effectiveness will be assessed. We assess, both at the inception of the hedge and on an ongoing basis,
whether the hedging instruments are \u2018highly effective\u2019 in offsetting changes in the fair value or cash flows of the hedged items. A
hedge is regarded as highly effective only if the following criteria are met: (i) at inception of the hedge and throughout its life, the
hedge is expected to be highly effective in achieving offsetting changes in fair value or cash flows attributable to the hedged risk,
and (ii) actual results of the hedge are within a pre-determined range. We perform effectiveness testing to demonstrate that the
relationship has been and is expected to be effective over the remaining term of the hedge. In the case of hedging a forecast
transaction, the transaction must have a high probability of occurring and must present an exposure to variations in cash flows
that could ultimately affect the reported net profit or loss. Hedge accounting is discontinued when it is determined that the
hedging instrument is no longer effective as a hedge, the hedging instrument or hedged item is terminated or sold, or the forecast
transaction is no longer deemed highly probable. Refer to Note 9 for the fair value of derivatives and non-derivative instruments
categorized by their hedging relationships, as well as derivatives that are not designated in hedging relationships.
Until the hedging relationships impacted by the Interest rate benchmark reform (the Reform) fully transition to alternative
benchmark rates (ABRs), our prospective effectiveness testing is based on existing hedged cash flows or hedged risks and any
ineffectiveness arising from retrospective testing does not result in a discontinuation of the hedge. Additionally, effectiveness
testing is applied separately to hedged items referencing ABRs and hedged items referencing interbank offered rates (IBORs),
which include USD London Interbank Offered Rate (USD LIBOR) and Canadian Dollar Offered Rate (CDOR), in accordance with
the Phase 2 amendments to IFRS 9
Financial Instruments
, IAS 39
Financial Instruments: Recognition and Measurement
, IFRS 7
Financial Instruments: Disclosures
, IFRS 4
Insurance contracts
, and IFRS 16
Leases
(the Amendments). Subsequently, when these
relationships fully transition to ABRs, and provided qualifying criteria are met, we will amend the related hedge documentation
for the ABR risk, including consequential changes to the description of the hedging instrument(s), the hedged item(s), and the
method for assessing hedge effectiveness, without discontinuing the existing hedging relationships.
Fair value hedges
In a fair value hedging relationship, the carrying value of the hedged item is adjusted for changes in fair value attributable to the
hedged risk and recognized in Non-interest income. Changes in fair value of the hedged item, to the extent that the hedging
relationship is effective, are offset by changes in the fair value of the hedging derivative, which are also recognized in
Non-interest income. When hedge accounting is discontinued, the carrying value of the hedged item is no longer adjusted and the
cumulative fair value adjustments to the carrying value of the hedged items are amortized to Net income over the expected
remaining life of the hedged items.
We predominantly use interest rate swaps to hedge our exposure to changes in a fixed interest rate instrument\u2019s fair value
caused by changes in interest rates. Until the hedging relationships impacted by the Reform fully transition to ABRs, we apply
hedge accounting to IBOR rates which may not be contractually specified when that rate is separately identifiable and reliably
measurable at inception of the hedge relationship.
Cash flow hedges
In a cash flow hedging relationship, the effective portion of the change in the fair value of the hedging derivative, net of taxes, is
recognized in OCI and reclassified to profit or loss as the associated hedged forecast transaction occurs, while the ineffective
portion is recognized in Non-interest income. When hedge accounting is discontinued, the cumulative amounts previously
recognized in OCI are reclassified to Net interest income during the periods when the variability in the cash flows of the hedged
item affects Net interest income. Unrealized gains and losses on derivatives are reclassified immediately to Net income when the
hedged item is sold or terminated early, or when the forecast transaction is no longer expected to occur.
We predominantly use interest rate swaps to hedge the variability in cash flows related to a variable-rate asset or liability.
Until the hedging relationships impacted by the Reform fully transition to ABRs, we treat the highly probable hedged IBORs based
cash flows of groups of similar assets or liabilities with similar risk characteristics as unchanged as a result of the Reform. In
addition, associated cash flow hedge reserves are not recycled into net income solely due to changes related to the transition
from IBORs to ABRs. Subsequently, when some items in the group transition to ABRs before other items, the individual hedged
items are allocated to subgroups based on the benchmark interest rate being hedged. We test hedge effectiveness based on the
defined subgroups, in accordance with the Amendments, if eligibility requirements are met. If a subgroup fails the eligibility
requirements, we would discontinue hedge accounting prospectively for the hedging relationship in its entirety.
Net investment hedges
In hedging our foreign currency exposure to a net investment in a foreign operation, the effective portion of foreign exchange
gains and losses on the hedging instruments, net of applicable taxes, is recognized in OCI and the ineffective portion is
recognized in Non-interest income. The amounts, or a portion thereof, previously recognized in Other components of equity are
recognized in Net income on the disposal, or partial disposal, of the foreign operation.
We use foreign exchange contracts and foreign currency-denominated liabilities to manage our foreign currency exposures
to net investments in foreign operations having a functional currency other than the Canadian dollar.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForHedgingExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22920": { "value": "Guarantees
Financial guarantee contracts are contracts that contingently require us to make specified payments (in cash, other assets, our
own shares or provision of services) to reimburse the holder for a loss it incurs because a specified debtor fails to make payment
when due in accordance with the original or modified terms of a debt instrument. Liabilities are recognized on our Consolidated
Balance Sheets at the inception of a guarantee for the fair value of the obligation undertaken in issuing the guarantee. Financial
guarantees are subsequently remeasured at the higher of (i) the amount of expected credit losses and (ii) the amount initially
recognized less, when appropriate, the cumulative amount of income recognized.
If the financial guarantee contract meets the definition of a derivative, it is measured at fair value at each balance sheet
date and reported under Derivatives on our Consolidated Balance Sheets.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialGuaranteesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22933": { "value": "Insurance and segregated funds
Premiums from long-duration contracts, primarily life, health and annuity insurance (life insurance), are recognized when due in
Non-interest income \u2013 Insurance premiums, investment and fee income. Premiums from short-duration contracts, primarily
property and casualty, and fees for administrative services are recognized in Insurance premiums, investment and fee income
over the related contract period. Unearned premiums of the short-duration contracts, representing the unexpired portion of
premiums, are reported in Other liabilities. Investments made by our insurance operations are classified as FVOCI instruments
and amortized cost instruments, except for investments supporting the policy benefit liabilities on life insurance contracts and a
portion of property and casualty contracts. These are designated as FVTPL with changes in fair value reported in Insurance
premiums, investment and fee income.
Insurance claims and policy benefit liabilities represent current claims and estimates for future insurance policy benefits.
Liabilities for life insurance contracts are determined using the Canadian Asset Liability Method (CALM), which incorporates
assumptions for mortality, morbidity, policy lapses and surrenders, investment yields, policy dividends, operating and policy
maintenance expenses and provisions for adverse deviation. These assumptions are reviewed at least annually and updated in
response to actual experience and market conditions. Liabilities for property and casualty insurance represent estimated
provisions for reported and unreported claims. Liabilities for life and property and casualty insurance are included in Insurance
claims and policy benefit liabilities. Changes in Insurance claims and policy benefit liabilities are included in the Insurance
policyholder benefits, claims and acquisition expense in our Consolidated Statements of Income in the period in which the
estimates change.
Premiums ceded for reinsurance and reinsurance recoveries on policyholder benefits and claims incurred are reported in
income and expense as appropriate. Reinsurance recoverables, which relate to paid benefits and unpaid claims, are included in
Other assets.
Acquisition costs for new insurance contracts consist of commissions, premium taxes, certain underwriting costs and other
costs that vary with the acquisition of new contracts. Deferred acquisition costs for life insurance products are implicitly
recognized in Insurance claims and policy benefit liabilities by CALM. For property and casualty insurance, these costs are
classified as Other assets and amortized over the policy term.
Segregated funds are lines of business in which we issue an insurance contract where the benefit amount is directly linked to
the market value of the investments held in the underlying fund. The contractual arrangement is such that the underlying
segregated fund assets are registered in our name but the segregated fund policyholders bear the risks and rewards of the funds\u2019
investment performance. Liabilities for these contracts are calculated based on contractual obligations using actuarial
assumptions and are at least equivalent to the surrender or transfer value calculated by reference to the value of the relevant
underlying funds or indices. Segregated funds\u2019 assets and liabilities are separately presented on our Consolidated Balance
Sheets. As the segregated fund policyholders bear the risks and rewards of the funds\u2019 performance, investment income earned by
the segregated funds and expenses incurred by the segregated funds are offset and are not separately presented in our
Consolidated Statements of Income. Fee income we earn from segregated funds includes management fees, mortality, policy
administration and surrender charges, and these fees are recorded in Non-interest income \u2013 Insurance premiums, investment
and fee income. We provide minimum death benefit and maturity value guarantees on segregated funds. The liability associated
with these minimum guarantees is recorded in Insurance claims and policy benefit liabilities.
Liability adequacy tests are performed for all insurance contract portfolios at each balance sheet date to ensure the
adequacy of insurance contract liabilities. Current best estimates of future contractual cash flows, claims handling and
administration costs, and investment returns from the assets backing the liabilities are taken into account in the tests. When the
test results indicate that there is a deficiency in liabilities, the deficiency is charged immediately to our Consolidated Statements
of Income by writing down the deferred acquisition costs in Other assets and/or increasing Insurance claims and policy benefit
liabilities.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDeferredAcquisitionCostsArisingFromInsuranceContractsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f22996": { "value": "Employee benefits \u2013 Pensions and other post-employment benefits
Our defined benefit pension expense, which is included in Non-interest expense \u2013 Human resources, consists of the cost of
employee pension benefits for the current year\u2019s service, net interest on the net defined benefit liability (asset), past service cost
and gains or losses on settlement. Remeasurements of the net defined benefit obligation, which comprise actuarial gains and
losses and return on plan assets (excluding amounts included in net interest on the net defined benefit liability), are recognized
immediately in OCI in the period in which they occur. Actuarial gains and losses comprise experience adjustments (the effects of
differences between the previous actuarial assumptions and what has actually occurred), as well as the effects of changes in
actuarial assumptions. Amounts recognized in OCI will not be reclassified subsequently to net income. Past service cost is the
change in the present value of the defined benefit obligation resulting from a plan amendment or curtailment and is charged
immediately to income.
For each defined benefit pension plan, we recognize the present value of our defined benefit obligations less the fair value of
the plan assets as a defined benefit liability reported in Other liabilities \u2013 Employee benefit liabilities on our Consolidated
Balance Sheets. For plans where there is a net defined benefit asset, the amount is reported as an asset in Other assets \u2013
Employee benefit assets on our Consolidated Balance sheets.
The calculation of defined benefit expenses and obligations requires significant judgment as the recognition is dependent on
discount rates and various actuarial assumptions such as healthcare cost trend rates, projected salary increases, retirement age
and mortality and termination rates. Due to the long-term nature of these plans, such estimates and assumptions are subject to
inherent risks and uncertainties. For our pension and other post-employment benefit plans, the discount rate is determined by
reference to market yields on high quality corporate bonds. Since the discount rate is based on currently available yields, and
involves management\u2019s assessment of market liquidity, it is only a proxy for future yields. Actuarial assumptions, set in
accordance with current practices in the respective countries of our plans, may differ from actual experience as country specific
statistics are only estimates of future employee behaviour. These assumptions are determined by management and are reviewed
by actuaries at least annually. Changes to any of the above assumptions may affect the amounts of benefits obligations,
expenses and remeasurements that we recognize.
Our contributions to defined contribution pension plans are expensed when employees have rendered services in exchange
for such contributions. Defined contribution pension expense is included in Non-interest expense \u2013 Human resources.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForEmployeeBenefitsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23025": { "value": "Share-based compensation
We offer share-based compensation plans to certain key employees and to our non-employee directors.
To account for stock options granted to employees, compensation expense is recognized over the applicable vesting period
with a corresponding increase in equity. Fair value is determined by using option valuation models, which take into account the
exercise price of the option, the current share price, the risk free interest rate, the expected volatility of the share price over the
life of the option and other relevant factors. When the options are exercised, the exercise price proceeds together with the
amount initially recorded in equity are credited to common shares. Our other share-based compensation plans include
performance deferred share plans and deferred share unit plans for key employees (the Plans). The obligations for the Plans are
accrued over their vesting periods. The Plans are settled in cash.
For cash-settled awards, our accrued obligations are adjusted to their fair value at each balance sheet date. For share-
settled awards, our expected obligations recognized in equity are based on the fair value of our common shares at the date of
grant. Changes in our obligations, net of related hedges, are recorded as Non-interest expense \u2013 Human resources in our
Consolidated Statements of Income with a corresponding increase in Other liabilities for cash-settled awards and in Retained
earnings for share-settled awards. Compensation expense is recognized in the year the awards are earned by plan participants
based on the vesting schedule of the relevant plans, net of estimated forfeitures.
The compensation cost attributable to options and awards granted to employees who are eligible to retire or will become
eligible to retire during the vesting period, is recognized immediately if the employee is eligible to retire on the grant date or over
the period between the grant date and the date the employee becomes eligible to retire.
Our contributions to the employee savings and share ownership plans are expensed as incurred. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForSharebasedPaymentTransactionsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23047": { "value": "Income taxes
Income tax comprises current tax and deferred tax and is recognized in our Consolidated Statements of Income except to the
extent that it relates to items recognized directly in equity, in which case it is recognized in equity.
Current income tax payable on profits is recognized as an expense based on the applicable tax laws in each jurisdiction in
the period in which profits arise, calculated using tax rates enacted or substantively enacted by the balance sheet date. Deferred
tax is recognized on temporary differences between the carrying amounts of assets and liabilities for accounting and tax
purposes. A deferred income tax asset or liability is determined for each temporary difference, except for earnings related to our
subsidiaries, branches, associates and interests in joint ventures where the temporary differences will not reverse in the
foreseeable future and we have the ability to control the timing of reversal. Deferred tax assets and liabilities are determined
based on the tax rates that are expected to be in effect in the period that the asset is realized or the liability is settled, based on
tax rates and tax laws that have been enacted or substantively enacted at the balance sheet date. Current tax assets and
liabilities are offset when they are levied by the same taxation authority on either the same taxable entity or different taxable
entities within the same tax reporting group (which intends to settle on a net basis), and when there is a legal right to offset.
Deferred tax assets and liabilities are offset when the same conditions are satisfied. Our Consolidated Statements of Income
include items that are non-taxable or non-deductible for income tax purposes and, accordingly, this causes the income tax
provision to be different from what it would be if based on statutory rates.
Deferred income taxes accumulated as a result of temporary differences and tax loss carryforwards are included in Other
assets and Other liabilities. On a quarterly basis, we review our deferred income tax assets to determine whether it is probable
that the benefits associated with these assets will be realized; this review involves evaluating both positive and negative evidence.
We are subject to income tax laws in various jurisdictions where we operate, and the complex tax laws are potentially subject
to different interpretations by us and the relevant taxation authorities. Significant judgment is required in the interpretation of the
relevant tax laws and in assessing the probability of acceptance of our tax positions to determine our tax provision, which includes
our best estimate of uncertain tax positions that are under audit or appeal by the relevant tax authorities. We perform a review on
a quarterly basis to incorporate our best assessment based on information available, but additional liability and income tax
expense could result based on the acceptance of our tax positions by the relevant tax authorities.
The determination of our deferred tax asset or liability also requires significant management judgment as the recognition is
dependent on our projection of future taxable profits and tax rates that are expected to be in effect in the period the asset is
realized or the liability is settled. Any changes in our projection will result in changes in deferred tax assets or liabilities on our
Consolidated Balance Sheets, and also deferred tax expense on our Consolidated Statements of Income.
The IASB issued amendments to IAS 12
Income Taxes (IAS 12)
in May 2023 to address the
Pillar Two Model Rules
for
International Tax Reform
, including a global 15% minimum tax. The amendments introduce, with immediate effect, a temporary
recognition exception in relation to accounting and disclosure for deferred taxes arising from the implementation of the
international tax reform.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForIncomeTaxExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23087": { "value": "Deferred income taxes accumulated as a result of temporary differences and tax loss carryforwards are included in Other
assets and Other liabilities. On a quarterly basis, we review our deferred income tax assets to determine whether it is probable
that the benefits associated with these assets will be realized; this review involves evaluating both positive and negative evidence.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDeferredIncomeTaxExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23113": { "value": "Business combinations, goodwill and other intangibles
All business combinations are accounted for using the acquisition method. Non-controlling interests, if any, are recognized at
their proportionate share of the fair value of identifiable assets and liabilities, unless otherwise indicated. Identifiable intangible
assets are recognized separately from goodwill and included in Other intangibles. Goodwill represents the excess of the price
paid for the business acquired over the fair value of the net identifiable assets acquired on the date of acquisition.
Goodwill
Goodwill is allocated to cash-generating units or groups of cash-generating units for the purpose of impairment testing, which is
undertaken at the lowest level at which goodwill is monitored for internal management purposes. Impairment testing is
performed annually as at August 1, or more frequently if there are objective indicators of impairment, by comparing the
recoverable amount of a cash-generating unit (CGU) with its carrying amount. The recoverable amount of a CGU is the higher of
its value in use (VIU) and its fair value less costs of disposal (FVLCD). VIU is the present value of the expected future cash flows
from a CGU. FVLCD is the amount obtainable from the sale of a CGU in an orderly transaction between market participants, less
disposal costs. The fair value of a CGU is estimated using valuation techniques such as a discounted cash flow method, adjusted
to reflect the considerations of a prospective third-party buyer. External evidence such as binding sale agreements or recent
transactions for similar businesses within the same industry is considered to the extent that it is available.
Significant judgment is involved in estimating the model inputs used to determine the recoverable amount of our CGUs, in
particular future cash flows, discount rates and terminal growth rates, due to the uncertainty in the timing and amount of cash
flows and the forward-looking nature of these inputs. Future cash flows are based on financial plans agreed by management which
are estimated based on forecast results, business initiatives, planned capital investments and returns to shareholders. Discount
rates are based on the bank-wide cost of capital, adjusted for CGU-specific risks and currency exposure as reflected by differences
in expected inflation. Bank-wide cost of capital is based on the Capital Asset Pricing Model, the Dividend Growth Model and peer
analysis. CGU-specific risks include country risk, business/operational risk, geographic risk (including political risk, devaluation
risk and government regulation), currency risk and price risk (including product pricing risk and inflation). Terminal growth rates
are based on the long-term steady state growth expectations in the countries within which the CGU operates. If the future cash
flows and other assumptions in future periods deviate significantly from the current amounts used in our impairment testing, the
value of our goodwill could become impaired, with any such impairment loss recognized in Non-interest expense.
The carrying amount of a CGU includes the carrying amount of assets, liabilities and goodwill allocated to the CGU. If the
recoverable amount is less than the carrying value, the impairment loss is allocated first to reduce the carrying amount of any
goodwill allocated to the CGU and then to the other non-financial assets of the CGU proportionately based on the carrying
amount of each asset. Any impairment loss is charged to income in the period in which the impairment is identified. Goodwill is
stated at cost less accumulated impairment losses. Subsequent reversals of goodwill impairment are prohibited.
Upon disposal of a portion of a CGU, the carrying amount of goodwill related to the portion of the CGU sold is included in the
determination of gains or losses on disposal. The carrying amount is determined based on the relative fair value of the disposed
portion to the total CGU.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForBusinessCombinationsAndGoodwillExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23114": { "value": "Business combinations, goodwill and other intangibles
All business combinations are accounted for using the acquisition method. Non-controlling interests, if any, are recognized at
their proportionate share of the fair value of identifiable assets and liabilities, unless otherwise indicated. Identifiable intangible
assets are recognized separately from goodwill and included in Other intangibles. Goodwill represents the excess of the price
paid for the business acquired over the fair value of the net identifiable assets acquired on the date of acquisition.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForBusinessCombinationsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23123": { "value": "Goodwill
Goodwill is allocated to cash-generating units or groups of cash-generating units for the purpose of impairment testing, which is
undertaken at the lowest level at which goodwill is monitored for internal management purposes. Impairment testing is
performed annually as at August 1, or more frequently if there are objective indicators of impairment, by comparing the
recoverable amount of a cash-generating unit (CGU) with its carrying amount. The recoverable amount of a CGU is the higher of
its value in use (VIU) and its fair value less costs of disposal (FVLCD). VIU is the present value of the expected future cash flows
from a CGU. FVLCD is the amount obtainable from the sale of a CGU in an orderly transaction between market participants, less
disposal costs. The fair value of a CGU is estimated using valuation techniques such as a discounted cash flow method, adjusted
to reflect the considerations of a prospective third-party buyer. External evidence such as binding sale agreements or recent
transactions for similar businesses within the same industry is considered to the extent that it is available.
Significant judgment is involved in estimating the model inputs used to determine the recoverable amount of our CGUs, in
particular future cash flows, discount rates and terminal growth rates, due to the uncertainty in the timing and amount of cash
flows and the forward-looking nature of these inputs. Future cash flows are based on financial plans agreed by management which
are estimated based on forecast results, business initiatives, planned capital investments and returns to shareholders. Discount
rates are based on the bank-wide cost of capital, adjusted for CGU-specific risks and currency exposure as reflected by differences
in expected inflation. Bank-wide cost of capital is based on the Capital Asset Pricing Model, the Dividend Growth Model and peer
analysis. CGU-specific risks include country risk, business/operational risk, geographic risk (including political risk, devaluation
risk and government regulation), currency risk and price risk (including product pricing risk and inflation). Terminal growth rates
are based on the long-term steady state growth expectations in the countries within which the CGU operates. If the future cash
flows and other assumptions in future periods deviate significantly from the current amounts used in our impairment testing, the
value of our goodwill could become impaired, with any such impairment loss recognized in Non-interest expense.
The carrying amount of a CGU includes the carrying amount of assets, liabilities and goodwill allocated to the CGU. If the
recoverable amount is less than the carrying value, the impairment loss is allocated first to reduce the carrying amount of any
goodwill allocated to the CGU and then to the other non-financial assets of the CGU proportionately based on the carrying
amount of each asset. Any impairment loss is charged to income in the period in which the impairment is identified. Goodwill is
stated at cost less accumulated impairment losses. Subsequent reversals of goodwill impairment are prohibited.
Upon disposal of a portion of a CGU, the carrying amount of goodwill related to the portion of the CGU sold is included in the
determination of gains or losses on disposal. The carrying amount is determined based on the relative fair value of the disposed
portion to the total CGU.
Other intangibles
Intangible assets represent identifiable non-monetary assets and are acquired either separately or through a business
combination, or generated internally. Intangible assets acquired through a business combination are recognized separately from
goodwill when they are separable or arise from contractual or other legal rights, and their fair value can be measured reliably.
The cost of a separately acquired intangible asset includes its purchase price and directly attributable costs of preparing the
asset for its intended use. In respect of internally generated intangible assets, cost includes all directly attributable costs
necessary to create, produce and prepare the asset to be capable of operating in the manner intended by management. Research
and development costs that are not eligible for capitalization are expensed. After initial recognition, an intangible asset is carried
at its cost less any accumulated amortization and accumulated impairment losses, if any. Intangible assets with a finite-life are
amortized on a straight-line basis over their estimated useful lives as follows: computer software \u2013 3 to 10 years; and customer
list and relationships \u2013 10 to 20 years. We do not have any intangible assets with indefinite lives.
Intangible assets are assessed for indicators of impairment at each reporting period. If there is an indication that an
intangible asset may be impaired, an impairment test is performed by comparing the carrying amount of the intangible asset to
its recoverable amount. Where it is not possible to estimate the recoverable amount of an individual asset, we estimate the
recoverable amount of the CGU to which the asset belongs. If the recoverable amount of the asset (or CGU) is less than its
carrying amount, the carrying amount of the intangible asset is written down to its recoverable amount as an impairment loss.
An impairment loss recognized previously is reversed if there is a change in the estimates used to determine the recoverable
amount of the asset (or CGU) since the last impairment loss was recognized. If an impairment loss is subsequently reversed, the
carrying amount of the asset (or CGU) is revised to the lower of its recoverable amount and the carrying amount that would have
been determined (net of amortization) had there been no prior impairment.
Due to the subjective nature of these estimates, significant judgment is required in determining the useful lives and
recoverable amounts of our intangible assets, and assessing whether certain events or circumstances constitute objective
evidence of impairment. Estimates of the recoverable amounts of our intangible assets rely on certain key inputs, including
future cash flows and discount rates. Future cash flows are based on sales projections and allocated costs which are estimated
based on forecast results and business initiatives. Discount rates are based on the bank-wide cost of capital, adjusted for asset-
specific risks. Changes in these assumptions may impact the amount of impairment loss recognized in Non-interest expense.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfNonfinancialAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23124": { "value": "Goodwill
Goodwill is allocated to cash-generating units or groups of cash-generating units for the purpose of impairment testing, which is
undertaken at the lowest level at which goodwill is monitored for internal management purposes. Impairment testing is
performed annually as at August 1, or more frequently if there are objective indicators of impairment, by comparing the
recoverable amount of a cash-generating unit (CGU) with its carrying amount. The recoverable amount of a CGU is the higher of
its value in use (VIU) and its fair value less costs of disposal (FVLCD). VIU is the present value of the expected future cash flows
from a CGU. FVLCD is the amount obtainable from the sale of a CGU in an orderly transaction between market participants, less
disposal costs. The fair value of a CGU is estimated using valuation techniques such as a discounted cash flow method, adjusted
to reflect the considerations of a prospective third-party buyer. External evidence such as binding sale agreements or recent
transactions for similar businesses within the same industry is considered to the extent that it is available.
Significant judgment is involved in estimating the model inputs used to determine the recoverable amount of our CGUs, in
particular future cash flows, discount rates and terminal growth rates, due to the uncertainty in the timing and amount of cash
flows and the forward-looking nature of these inputs. Future cash flows are based on financial plans agreed by management which
are estimated based on forecast results, business initiatives, planned capital investments and returns to shareholders. Discount
rates are based on the bank-wide cost of capital, adjusted for CGU-specific risks and currency exposure as reflected by differences
in expected inflation. Bank-wide cost of capital is based on the Capital Asset Pricing Model, the Dividend Growth Model and peer
analysis. CGU-specific risks include country risk, business/operational risk, geographic risk (including political risk, devaluation
risk and government regulation), currency risk and price risk (including product pricing risk and inflation). Terminal growth rates
are based on the long-term steady state growth expectations in the countries within which the CGU operates. If the future cash
flows and other assumptions in future periods deviate significantly from the current amounts used in our impairment testing, the
value of our goodwill could become impaired, with any such impairment loss recognized in Non-interest expense.
The carrying amount of a CGU includes the carrying amount of assets, liabilities and goodwill allocated to the CGU. If the
recoverable amount is less than the carrying value, the impairment loss is allocated first to reduce the carrying amount of any
goodwill allocated to the CGU and then to the other non-financial assets of the CGU proportionately based on the carrying
amount of each asset. Any impairment loss is charged to income in the period in which the impairment is identified. Goodwill is
stated at cost less accumulated impairment losses. Subsequent reversals of goodwill impairment are prohibited.
Upon disposal of a portion of a CGU, the carrying amount of goodwill related to the portion of the CGU sold is included in the
determination of gains or losses on disposal. The carrying amount is determined based on the relative fair value of the disposed
portion to the total CGU.
Other intangibles
Intangible assets represent identifiable non-monetary assets and are acquired either separately or through a business
combination, or generated internally. Intangible assets acquired through a business combination are recognized separately from
goodwill when they are separable or arise from contractual or other legal rights, and their fair value can be measured reliably.
The cost of a separately acquired intangible asset includes its purchase price and directly attributable costs of preparing the
asset for its intended use. In respect of internally generated intangible assets, cost includes all directly attributable costs
necessary to create, produce and prepare the asset to be capable of operating in the manner intended by management. Research
and development costs that are not eligible for capitalization are expensed. After initial recognition, an intangible asset is carried
at its cost less any accumulated amortization and accumulated impairment losses, if any. Intangible assets with a finite-life are
amortized on a straight-line basis over their estimated useful lives as follows: computer software \u2013 3 to 10 years; and customer
list and relationships \u2013 10 to 20 years. We do not have any intangible assets with indefinite lives.
Intangible assets are assessed for indicators of impairment at each reporting period. If there is an indication that an
intangible asset may be impaired, an impairment test is performed by comparing the carrying amount of the intangible asset to
its recoverable amount. Where it is not possible to estimate the recoverable amount of an individual asset, we estimate the
recoverable amount of the CGU to which the asset belongs. If the recoverable amount of the asset (or CGU) is less than its
carrying amount, the carrying amount of the intangible asset is written down to its recoverable amount as an impairment loss.
An impairment loss recognized previously is reversed if there is a change in the estimates used to determine the recoverable
amount of the asset (or CGU) since the last impairment loss was recognized. If an impairment loss is subsequently reversed, the
carrying amount of the asset (or CGU) is revised to the lower of its recoverable amount and the carrying amount that would have
been determined (net of amortization) had there been no prior impairment.
Due to the subjective nature of these estimates, significant judgment is required in determining the useful lives and
recoverable amounts of our intangible assets, and assessing whether certain events or circumstances constitute objective
evidence of impairment. Estimates of the recoverable amounts of our intangible assets rely on certain key inputs, including
future cash flows and discount rates. Future cash flows are based on sales projections and allocated costs which are estimated
based on forecast results and business initiatives. Discount rates are based on the bank-wide cost of capital, adjusted for asset-
specific risks. Changes in these assumptions may impact the amount of impairment loss recognized in Non-interest expense.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForIntangibleAssetsAndGoodwillExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23125": { "value": "Goodwill
Goodwill is allocated to cash-generating units or groups of cash-generating units for the purpose of impairment testing, which is
undertaken at the lowest level at which goodwill is monitored for internal management purposes. Impairment testing is
performed annually as at August 1, or more frequently if there are objective indicators of impairment, by comparing the
recoverable amount of a cash-generating unit (CGU) with its carrying amount. The recoverable amount of a CGU is the higher of
its value in use (VIU) and its fair value less costs of disposal (FVLCD). VIU is the present value of the expected future cash flows
from a CGU. FVLCD is the amount obtainable from the sale of a CGU in an orderly transaction between market participants, less
disposal costs. The fair value of a CGU is estimated using valuation techniques such as a discounted cash flow method, adjusted
to reflect the considerations of a prospective third-party buyer. External evidence such as binding sale agreements or recent
transactions for similar businesses within the same industry is considered to the extent that it is available.
Significant judgment is involved in estimating the model inputs used to determine the recoverable amount of our CGUs, in
particular future cash flows, discount rates and terminal growth rates, due to the uncertainty in the timing and amount of cash
flows and the forward-looking nature of these inputs. Future cash flows are based on financial plans agreed by management which
are estimated based on forecast results, business initiatives, planned capital investments and returns to shareholders. Discount
rates are based on the bank-wide cost of capital, adjusted for CGU-specific risks and currency exposure as reflected by differences
in expected inflation. Bank-wide cost of capital is based on the Capital Asset Pricing Model, the Dividend Growth Model and peer
analysis. CGU-specific risks include country risk, business/operational risk, geographic risk (including political risk, devaluation
risk and government regulation), currency risk and price risk (including product pricing risk and inflation). Terminal growth rates
are based on the long-term steady state growth expectations in the countries within which the CGU operates. If the future cash
flows and other assumptions in future periods deviate significantly from the current amounts used in our impairment testing, the
value of our goodwill could become impaired, with any such impairment loss recognized in Non-interest expense.
The carrying amount of a CGU includes the carrying amount of assets, liabilities and goodwill allocated to the CGU. If the
recoverable amount is less than the carrying value, the impairment loss is allocated first to reduce the carrying amount of any
goodwill allocated to the CGU and then to the other non-financial assets of the CGU proportionately based on the carrying
amount of each asset. Any impairment loss is charged to income in the period in which the impairment is identified. Goodwill is
stated at cost less accumulated impairment losses. Subsequent reversals of goodwill impairment are prohibited.
Upon disposal of a portion of a CGU, the carrying amount of goodwill related to the portion of the CGU sold is included in the
determination of gains or losses on disposal. The carrying amount is determined based on the relative fair value of the disposed
portion to the total CGU.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForGoodwillExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23162": { "value": "Other intangibles
Intangible assets represent identifiable non-monetary assets and are acquired either separately or through a business
combination, or generated internally. Intangible assets acquired through a business combination are recognized separately from
goodwill when they are separable or arise from contractual or other legal rights, and their fair value can be measured reliably.
The cost of a separately acquired intangible asset includes its purchase price and directly attributable costs of preparing the
asset for its intended use. In respect of internally generated intangible assets, cost includes all directly attributable costs
necessary to create, produce and prepare the asset to be capable of operating in the manner intended by management. Research
and development costs that are not eligible for capitalization are expensed. After initial recognition, an intangible asset is carried
at its cost less any accumulated amortization and accumulated impairment losses, if any. Intangible assets with a finite-life are
amortized on a straight-line basis over their estimated useful lives as follows: computer software \u2013 3 to 10 years; and customer
list and relationships \u2013 10 to 20 years. We do not have any intangible assets with indefinite lives.
Intangible assets are assessed for indicators of impairment at each reporting period. If there is an indication that an
intangible asset may be impaired, an impairment test is performed by comparing the carrying amount of the intangible asset to
its recoverable amount. Where it is not possible to estimate the recoverable amount of an individual asset, we estimate the
recoverable amount of the CGU to which the asset belongs. If the recoverable amount of the asset (or CGU) is less than its
carrying amount, the carrying amount of the intangible asset is written down to its recoverable amount as an impairment loss.
An impairment loss recognized previously is reversed if there is a change in the estimates used to determine the recoverable
amount of the asset (or CGU) since the last impairment loss was recognized. If an impairment loss is subsequently reversed, the
carrying amount of the asset (or CGU) is revised to the lower of its recoverable amount and the carrying amount that would have
been determined (net of amortization) had there been no prior impairment.
Due to the subjective nature of these estimates, significant judgment is required in determining the useful lives and
recoverable amounts of our intangible assets, and assessing whether certain events or circumstances constitute objective
evidence of impairment. Estimates of the recoverable amounts of our intangible assets rely on certain key inputs, including
future cash flows and discount rates. Future cash flows are based on sales projections and allocated costs which are estimated
based on forecast results and business initiatives. Discount rates are based on the bank-wide cost of capital, adjusted for asset-
specific risks. Changes in these assumptions may impact the amount of impairment loss recognized in Non-interest expense.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForIntangibleAssetsOtherThanGoodwillExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23208": { "value": "Other
Translation of foreign currencies
Monetary assets and liabilities denominated in foreign currencies are translated into Canadian dollars at rates prevailing at the
balance sheet date. Foreign exchange gains and losses resulting from the translation and settlement of these items are
recognized in Non-interest income in the Consolidated Statements of Income.
Non-monetary assets and liabilities that are measured at historical cost are translated into Canadian dollars at historical
rates.
Assets and liabilities of our foreign operations with functional currencies other than Canadian dollars are translated into
Canadian dollars at rates prevailing at the balance sheet date, and income and expenses of these foreign operations are
translated at average rates of exchange for the reporting period.
Unrealized gains or losses arising as a result of the translation of our foreign operations along with the effective portion of
related hedges are reported in Other components of equity on an after-tax basis. Upon disposal or partial disposal of a foreign
operation, an appropriate portion of the accumulated net translation gains or losses is included in Non-interest income.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForForeignCurrencyTranslationExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23224": { "value": "Premises and equipment
Premises and equipment includes land, buildings, leasehold improvements, computer equipment, furniture, fixtures and other
equipment, and are stated at cost less accumulated depreciation, except for land which is not depreciated, and accumulated
impairment losses. Cost comprises the purchase price, any costs directly attributable to bringing the asset to the location and
condition necessary for its intended use, and the initial estimate of any disposal costs. Depreciation is recorded principally on a
straight\u2013line basis over the estimated useful lives of the assets, which are 25 to 50 years for buildings, 3 to 10 years for computer
equipment, and 5 to 10 years for furniture, fixtures and other equipment. The amortization period for leasehold improvements is
the lesser of the useful life of the leasehold improvements or the lease term plus the first renewal period, if reasonably assured
of renewal. Depreciation methods, useful lives, and residual values are reassessed at each reporting period and adjusted as
appropriate. Gains and losses on disposal are recorded in Non\u2013interest income.
Premises and equipment are assessed for indicators of impairment at each reporting period. If there is an indication that an
asset may be impaired, an impairment test is performed by comparing the asset\u2019s carrying amount to its recoverable amount.
After the recognition of impairment, the depreciation charge is adjusted in future periods to reflect the asset\u2019s revised
carrying amount. If an impairment is later reversed, the carrying amount of the asset is revised to the lower of the asset\u2019s
recoverable amount and the carrying amount that would have been determined (net of depreciation) had there been no prior
impairment loss. The depreciation charge in future periods is adjusted to reflect the revised carrying amount.
Right-of-use assets are also included in premises and equipment.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForPropertyPlantAndEquipmentExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23230": { "value": "Depreciation is recorded principally on a
straight\u2013line basis over the estimated useful lives of the assets, which are 25 to 50 years for buildings, 3 to 10 years for computer
equipment, and 5 to 10 years for furniture, fixtures and other equipment. The amortization period for leasehold improvements is
the lesser of the useful life of the leasehold improvements or the lease term plus the first renewal period, if reasonably assured
of renewal. Depreciation methods, useful lives, and residual values are reassessed at each reporting period and adjusted as
appropriate. Gains and losses on disposal are recorded in Non\u2013interest income.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDepreciationExpenseExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23247": { "value": "Leasing
At inception of a contract, we assess whether a contract is or contains a lease. A contract is, or contains, a lease if the contract
conveys the right to obtain substantially all of the economic benefits from, and direct the use of, an identified asset for a period
of time in return for consideration.
When we are the lessee in a lease arrangement, we initially record a right-of-use asset and corresponding lease liability,
except for short-term leases and leases of low-value assets. Short-term leases are leases with a lease term of 12 months or less.
Low-value assets are unspecialized, common, technologically unsophisticated, widely available and widely used
non-infrastructure assets. For short-term leases and leases of low-value assets, we record the lease payments as an operating
expense on a straight-line basis over the lease term.
Where we are reasonably certain to exercise extension and termination options, they are included in the lease term.
The lease liability is initially measured at the present value of the lease payments that are not paid at the commencement
date, discounted at our incremental borrowing rate. The lease liability is subsequently measured at amortized cost using the
effective interest method, recorded in Interest expense.
The right-of-use asset is initially measured based on the initial amount of the lease liability, adjusted for lease payments
made on or before the commencement date, initial direct costs incurred, and an estimate of costs to dismantle, remove, or
restore the asset, less any lease incentives received. Costs related to dismantling and removing leasehold improvements are
capitalized as part of the leasehold improvement asset (rather than the right-of-use asset of the lease) when the leasehold
improvements are separately capitalized.
The right-of-use asset is depreciated to the earlier of the lease term and the useful life, unless ownership will transfer to RBC
or we are reasonably certain to exercise a purchase option, in which case the useful life of the right-of-use asset is used. We
apply IAS 36
Impairment of assets
to determine whether a right-of-use asset is impaired and account for any identified
impairment loss as described in the premises and equipment accounting policies above.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForLeasesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23274": { "value": "Provisions
Provisions are liabilities of uncertain timing or amount and are recognized when we have a present legal or constructive
obligation as a result of a past event, it is probable that an outflow of resources will be required to settle the obligation, and a
reliable estimate can be made of the amount of the obligation. Provisions are measured as the best estimate of the consideration
required to settle the present obligation at the reporting date. Significant judgment is required in determining whether a present
obligation exists and in estimating the probability, timing and amount of any outflows. We record provisions related to litigation,
asset retirement obligations and other items.
We are required to estimate the results of ongoing legal proceedings, and expenses to be incurred to dispose of capital
assets. The forward-looking nature of these estimates requires us to use a significant amount of judgment in projecting the
timing and amount of future cash flows. We record our provisions on the basis of all available information at the end of the
reporting period and make adjustments on a quarterly basis to reflect current expectations. It may not be possible to predict the
resolution of these matters or the timing of their ultimate resolution. Should actual results differ from our expectations, we may
incur expenses in excess of the provisions recognized. Where appropriate, we apply judgment in limiting the extent of our
provisions-related disclosures as not to prejudice our positions in matters of dispute.
When some or all of the economic benefits required to settle a provision are expected to be recovered from a third party,
such as an insurer, a separate asset is recognized if it is virtually certain that reimbursement will be received.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForProvisionsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23321": { "value": "Commissions and fees
Commissions and fees primarily relate to Investment management and custodial fees, Mutual fund revenue, Securities brokerage
commissions, Services charges, Underwriting and other advisory fees, Card service revenue and Credit fees, and are recognized
based on the applicable service contracts with clients.
Investment management and custodial fees and Mutual fund revenue are generally calculated as a percentage of daily or
period-end net asset values (NAV) based on the terms of the contract with clients and are received monthly, quarterly,
semiannually or annually, depending on the terms of the contract. Investment management and custodial fees are generally
derived from assets under management (AUM) when our clients solicit the investment capabilities of an investment manager or
from assets under administration (AUA) where the investment strategy is directed by the client or a designated third-party
manager. Mutual fund revenue is generally derived from the daily NAV of the mutual funds. Investment management and
custodial fees and Mutual fund revenue are recognized over time when the service is provided to the client, provided that it is
highly probable that a significant reversal in the amount of revenue recognized will not occur.
Commissions earned on Securities brokerage services and Service charges that are related to the provision of specific
transaction-type services are recognized when the service is fulfilled. Where services are provided over time, revenue is
recognized as the services are provided.
Underwriting and other advisory fees primarily relate to underwriting of new issuances of debt or equity and various
advisory services. Underwriting fees are generally expressed as a percentage of the funds raised through issuance and are
recognized when the service has been completed. Advisory fees vary depending on the scope and type of engagement and can be
fixed in nature or contingent on a future event. Advisory fees are recognized over the period in which the service is provided and
are recognized only to the extent that it is highly probable that a significant reversal in the amount of revenue will not occur.
Card service revenue primarily includes interchange revenue and annual card fees. Interchange revenue is calculated as a
fixed percentage of the transaction amount and recognized when the card transaction is settled. Annual card fees are fixed fees
and are recognized over a 12 month period.
Credit fees are primarily earned for arranging syndicated loans and making credit available on undrawn facilities. The timing
of the recognition of credit fees varies based on the nature of the services provided.
When service fees and other costs are incurred in relation to commissions and fees earned, we record these costs on a gross
basis in either Non-interest expense \u2013 Other or Non-interest expense \u2013 Human resources based on our assessment of whether we
have primary responsibility to fulfill the contract with the client and have discretion in establishing the price for the commissions
and fees earned, which may require judgment.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFeeAndCommissionIncomeAndExpenseExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23353": { "value": "Earnings per share
Earnings per share is computed by dividing Net income available to common shareholders by the weighted average number of
common shares outstanding for the period. Net income available to common shareholders is determined after deducting
dividend entitlements of preferred shareholders and distributions on other equity instruments, any gains (losses) on redemption
of preferred shares and other equity instruments net of related income taxes and the net income attributable to non-controlling
interests.
Diluted earnings per share reflects the potential dilution that could occur if additional common shares are assumed to be
issued under securities or contracts that entitle their holders to obtain common shares in the future, to the extent such
entitlement is not subject to unresolved contingencies. For contracts that may be settled in cash or in common shares at our
option, diluted earnings per share is calculated based on the assumption that such contracts will be settled in shares. Income
and expenses associated with these types of contracts are excluded from the Net income available to common shareholders, and
the additional number of shares that would be issued is included in the diluted earnings per share calculation. For stock options
whose exercise price is less than the average market price of our common shares, using the treasury stock method, they are
assumed to be exercised and the proceeds are used to repurchase common shares at the average market price for the period.
The incremental number of common shares issued under stock options and repurchased from proceeds is included in the
calculation of diluted earnings per share.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForEarningsPerShareExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23372": { "value": "Share capital and other equity instruments
We classify a financial instrument that we issue as a financial asset, financial liability or an equity instrument in accordance with
the substance of the contractual arrangement.
Our common shares held by us are classified as treasury shares in equity and accounted for at weighted average cost. Upon
the sale of treasury shares, the difference between the sale proceeds and the cost of the shares is recognized in Retained
earnings. Financial instruments issued by us are classified as equity instruments when there is no contractual obligation to
transfer cash or other financial assets. Incremental costs directly attributable to the issue of equity instruments are included in
equity as a deduction from the proceeds, net of tax. Financial instruments that will be settled by a variable number of our
common shares upon their conversion by the holders as well as the related accrued distributions are classified as liabilities on
our Consolidated Balance Sheets. Dividends and yield distributions on these instruments are classified as Interest expense in our
Consolidated Statements of Income. For compound instruments comprised of both liability and equity components, the liability
component is initially measured at fair value with any residual amount assigned to the equity component. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForIssuedCapitalExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23401": { "value": "Future changes in accounting policy and disclosure
IFRS 17
Insurance Contracts
(IFRS 17)
In May 2017, the IASB issued IFRS 17 to establish a comprehensive insurance standard which provides guidance on the
recognition, measurement, presentation and disclosure of insurance contracts issued and reinsurance contracts held and will
replace the existing IFRS 4
Insurance Contracts
(IFRS 4). In June 2020, the IASB issued amendments to IFRS 17, including deferral
of the effective date by two years. This new standard is effective for us on November 1, 2023 and is to be applied retrospectively
with comparatives restated beginning November 1, 2022.
Under IFRS 17, insurance contracts are contracts under which we accept significant insurance risk from a policyholder by
agreeing to compensate the policyholder if a specified uncertain future event adversely affects the policyholder. Embedded
derivatives, investment components and promises to provide non-insurance services, provided specific criteria are met, are
separated from the measurement of insurance and reinsurance contracts. Insurance and reinsurance contracts are aggregated
into portfolios that are subject to similar risks and are managed together, and then divided into groups based on the period of
issuance and expected profitability. Groups are separately recognized and measured using one of three measurement models
depending on the characteristics of the contracts:
\u2022
For insurance contracts with direct participating features, the contracts are measured using the variable fee approach
(VFA).
\u2022
For insurance contracts and reinsurance contracts held with a short duration of one year or less, the premium allocation
approach (PAA) is elected.
\u2022
The general measurement method (GMM) is applied to all remaining contracts.
Under the GMM and VFA, the liabilities for remaining coverage and incurred claims for groups of contracts are measured as
the sum of the fulfilment cash flows and the contractual service margin (CSM), which are recalculated at the end of each
reporting period. The fulfilment cash flows consist of the present value of future cash flows and a risk adjustment for
non-financial risk. For insurance contracts, the CSM represents the unearned profit for providing insurance coverage. For
reinsurance contracts held, the CSM represents the net cost or net gain of purchasing reinsurance. Under the PAA, the liability for
remaining coverage for each group is measured as the premiums received less insurance revenue recognized for services
provided, while the liability for incurred claims is measured as the fulfillment cash flows for incurred claims plus adjustment on
any financing components. Losses from the recognition of onerous groups of insurance contracts, regardless of the
measurement model applied, are recognized in the Consolidated Statements of Income immediately.
The following are key differences between IFRS 17 and IFRS 4:
\u2022
New business profits are deferred and measured as the CSM of the insurance contract liabilities and amortized into income
as insurance contract services are provided, while losses are recognized into income immediately. Under IFRS 4, gains and
losses are recognized in income immediately. On July 18, 2023, OSFI released regulatory guidance to allow the inclusion of
the CSM in calculating CET1 capital and related ratios, therefore, there will be no impact on the capital metrics from such
reduction in retained earnings resulting from the CSM.
\u2022
Discount rates used in calculating the present value of insurance contract liabilities are based on the characteristics of the
insurance contracts unlike IFRS 4 which is based on the assets supporting the liabilities.
\u2022
Presentation and disclosure changes are expected due to the new requirements.
While IFRS 17 impacts the timing of profit recognition of insurance contracts, it will have no impact on total profit recognized over
the lifetime of these contracts.
Impact of IFRS 17 transition excluding the impact of reclassifications of financial assets
Upon the adoption of IFRS 17, we will apply IFRS 17 retrospectively by adjusting our Consolidated Balance Sheets as at
November 1, 2022 and restating comparative information. The full retrospective approach will be applied for all insurance and
reinsurance contracts unless it is impracticable to do so. The full retrospective approach is applied to all contracts measured
using the PAA and all new contracts issued on and after November 1, 2022 measured using the GMM and VFA as if IFRS 17 had
always been applied. Due to data availability and the inability to use hindsight, the fair value approach is applied to contracts
issued before November 1, 2022 that are measured under the GMM and VFA. Under the fair value approach, the CSM of the
liability for remaining coverage is calculated as the difference between the fair value of a group of contracts and the fulfillment
cash flows measured at the date of transition.
Based on current estimates, the adoption of IFRS 17 is expected to result in a reduction in retained earnings of approximately
$2.4 billion, net of taxes, as at November 1, 2022. This is attributable to the establishment of the CSM and other remeasurement
changes to insurance and reinsurance contracts and related tax effects. The estimated CSM of all insurance contracts net of
reinsurance contracts held as at November 1, 2022 was approximately $1.8 billion. These estimates are subject to change as we
finalize the quantitative impacts of the adoption in the first quarter of 2024.
Impact of reclassifications of financial assets
As permitted by IFRS 17, we will change the classification and measurement of certain eligible financial assets held in respect of
an activity that relates to insurance contracts upon the adoption of IFRS 17. We will apply these changes retrospectively by
adjusting our Consolidated Balance Sheets as at November 1, 2023 with no restatement of comparative information. We expect to
reclassify financial assets between fair value classification categories, which is not expected to have a net impact to total equity
nor the carrying amounts of those assets. This is subject to change as we finalize the quantitative impacts of these changes and
the quantitative impacts of adopting IFRS 17 in the first quarter of 2024.", "dimensions": { "concept": "ifrs-full:DisclosureOfChangesInAccountingPoliciesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23402": { "value": "Future changes in accounting policy and disclosure
IFRS 17
Insurance Contracts
(IFRS 17)
In May 2017, the IASB issued IFRS 17 to establish a comprehensive insurance standard which provides guidance on the
recognition, measurement, presentation and disclosure of insurance contracts issued and reinsurance contracts held and will
replace the existing IFRS 4
Insurance Contracts
(IFRS 4). In June 2020, the IASB issued amendments to IFRS 17, including deferral
of the effective date by two years. This new standard is effective for us on November 1, 2023 and is to be applied retrospectively
with comparatives restated beginning November 1, 2022.
Under IFRS 17, insurance contracts are contracts under which we accept significant insurance risk from a policyholder by
agreeing to compensate the policyholder if a specified uncertain future event adversely affects the policyholder. Embedded
derivatives, investment components and promises to provide non-insurance services, provided specific criteria are met, are
separated from the measurement of insurance and reinsurance contracts. Insurance and reinsurance contracts are aggregated
into portfolios that are subject to similar risks and are managed together, and then divided into groups based on the period of
issuance and expected profitability. Groups are separately recognized and measured using one of three measurement models
depending on the characteristics of the contracts:
\u2022
For insurance contracts with direct participating features, the contracts are measured using the variable fee approach
(VFA).
\u2022
For insurance contracts and reinsurance contracts held with a short duration of one year or less, the premium allocation
approach (PAA) is elected.
\u2022
The general measurement method (GMM) is applied to all remaining contracts.
Under the GMM and VFA, the liabilities for remaining coverage and incurred claims for groups of contracts are measured as
the sum of the fulfilment cash flows and the contractual service margin (CSM), which are recalculated at the end of each
reporting period. The fulfilment cash flows consist of the present value of future cash flows and a risk adjustment for
non-financial risk. For insurance contracts, the CSM represents the unearned profit for providing insurance coverage. For
reinsurance contracts held, the CSM represents the net cost or net gain of purchasing reinsurance. Under the PAA, the liability for
remaining coverage for each group is measured as the premiums received less insurance revenue recognized for services
provided, while the liability for incurred claims is measured as the fulfillment cash flows for incurred claims plus adjustment on
any financing components. Losses from the recognition of onerous groups of insurance contracts, regardless of the
measurement model applied, are recognized in the Consolidated Statements of Income immediately.
The following are key differences between IFRS 17 and IFRS 4:
\u2022
New business profits are deferred and measured as the CSM of the insurance contract liabilities and amortized into income
as insurance contract services are provided, while losses are recognized into income immediately. Under IFRS 4, gains and
losses are recognized in income immediately. On July 18, 2023, OSFI released regulatory guidance to allow the inclusion of
the CSM in calculating CET1 capital and related ratios, therefore, there will be no impact on the capital metrics from such
reduction in retained earnings resulting from the CSM.
\u2022
Discount rates used in calculating the present value of insurance contract liabilities are based on the characteristics of the
insurance contracts unlike IFRS 4 which is based on the assets supporting the liabilities.
\u2022
Presentation and disclosure changes are expected due to the new requirements.
While IFRS 17 impacts the timing of profit recognition of insurance contracts, it will have no impact on total profit recognized over
the lifetime of these contracts.
Impact of IFRS 17 transition excluding the impact of reclassifications of financial assets
Upon the adoption of IFRS 17, we will apply IFRS 17 retrospectively by adjusting our Consolidated Balance Sheets as at
November 1, 2022 and restating comparative information. The full retrospective approach will be applied for all insurance and
reinsurance contracts unless it is impracticable to do so. The full retrospective approach is applied to all contracts measured
using the PAA and all new contracts issued on and after November 1, 2022 measured using the GMM and VFA as if IFRS 17 had
always been applied. Due to data availability and the inability to use hindsight, the fair value approach is applied to contracts
issued before November 1, 2022 that are measured under the GMM and VFA. Under the fair value approach, the CSM of the
liability for remaining coverage is calculated as the difference between the fair value of a group of contracts and the fulfillment
cash flows measured at the date of transition.
Based on current estimates, the adoption of IFRS 17 is expected to result in a reduction in retained earnings of approximately
$2.4 billion, net of taxes, as at November 1, 2022. This is attributable to the establishment of the CSM and other remeasurement
changes to insurance and reinsurance contracts and related tax effects. The estimated CSM of all insurance contracts net of
reinsurance contracts held as at November 1, 2022 was approximately $1.8 billion. These estimates are subject to change as we
finalize the quantitative impacts of the adoption in the first quarter of 2024.
Impact of reclassifications of financial assets
As permitted by IFRS 17, we will change the classification and measurement of certain eligible financial assets held in respect of
an activity that relates to insurance contracts upon the adoption of IFRS 17. We will apply these changes retrospectively by
adjusting our Consolidated Balance Sheets as at November 1, 2023 with no restatement of comparative information. We expect to
reclassify financial assets between fair value classification categories, which is not expected to have a net impact to total equity
nor the carrying amounts of those assets. This is subject to change as we finalize the quantitative impacts of these changes and
the quantitative impacts of adopting IFRS 17 in the first quarter of 2024. ", "dimensions": { "concept": "ifrs-full:DisclosureOfChangesInAccountingPoliciesAccountingEstimatesAndErrorsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23403": { "value": "Future changes in accounting policy and disclosure
IFRS 17
Insurance Contracts
(IFRS 17)
In May 2017, the IASB issued IFRS 17 to establish a comprehensive insurance standard which provides guidance on the
recognition, measurement, presentation and disclosure of insurance contracts issued and reinsurance contracts held and will
replace the existing IFRS 4
Insurance Contracts
(IFRS 4). In June 2020, the IASB issued amendments to IFRS 17, including deferral
of the effective date by two years. This new standard is effective for us on November 1, 2023 and is to be applied retrospectively
with comparatives restated beginning November 1, 2022.
Under IFRS 17, insurance contracts are contracts under which we accept significant insurance risk from a policyholder by
agreeing to compensate the policyholder if a specified uncertain future event adversely affects the policyholder. Embedded
derivatives, investment components and promises to provide non-insurance services, provided specific criteria are met, are
separated from the measurement of insurance and reinsurance contracts. Insurance and reinsurance contracts are aggregated
into portfolios that are subject to similar risks and are managed together, and then divided into groups based on the period of
issuance and expected profitability. Groups are separately recognized and measured using one of three measurement models
depending on the characteristics of the contracts:
\u2022
For insurance contracts with direct participating features, the contracts are measured using the variable fee approach
(VFA).
\u2022
For insurance contracts and reinsurance contracts held with a short duration of one year or less, the premium allocation
approach (PAA) is elected.
\u2022
The general measurement method (GMM) is applied to all remaining contracts.
Under the GMM and VFA, the liabilities for remaining coverage and incurred claims for groups of contracts are measured as
the sum of the fulfilment cash flows and the contractual service margin (CSM), which are recalculated at the end of each
reporting period. The fulfilment cash flows consist of the present value of future cash flows and a risk adjustment for
non-financial risk. For insurance contracts, the CSM represents the unearned profit for providing insurance coverage. For
reinsurance contracts held, the CSM represents the net cost or net gain of purchasing reinsurance. Under the PAA, the liability for
remaining coverage for each group is measured as the premiums received less insurance revenue recognized for services
provided, while the liability for incurred claims is measured as the fulfillment cash flows for incurred claims plus adjustment on
any financing components. Losses from the recognition of onerous groups of insurance contracts, regardless of the
measurement model applied, are recognized in the Consolidated Statements of Income immediately.
The following are key differences between IFRS 17 and IFRS 4:
\u2022
New business profits are deferred and measured as the CSM of the insurance contract liabilities and amortized into income
as insurance contract services are provided, while losses are recognized into income immediately. Under IFRS 4, gains and
losses are recognized in income immediately. On July 18, 2023, OSFI released regulatory guidance to allow the inclusion of
the CSM in calculating CET1 capital and related ratios, therefore, there will be no impact on the capital metrics from such
reduction in retained earnings resulting from the CSM.
\u2022
Discount rates used in calculating the present value of insurance contract liabilities are based on the characteristics of the
insurance contracts unlike IFRS 4 which is based on the assets supporting the liabilities.
\u2022
Presentation and disclosure changes are expected due to the new requirements.
While IFRS 17 impacts the timing of profit recognition of insurance contracts, it will have no impact on total profit recognized over
the lifetime of these contracts.
Impact of IFRS 17 transition excluding the impact of reclassifications of financial assets
Upon the adoption of IFRS 17, we will apply IFRS 17 retrospectively by adjusting our Consolidated Balance Sheets as at
November 1, 2022 and restating comparative information. The full retrospective approach will be applied for all insurance and
reinsurance contracts unless it is impracticable to do so. The full retrospective approach is applied to all contracts measured
using the PAA and all new contracts issued on and after November 1, 2022 measured using the GMM and VFA as if IFRS 17 had
always been applied. Due to data availability and the inability to use hindsight, the fair value approach is applied to contracts
issued before November 1, 2022 that are measured under the GMM and VFA. Under the fair value approach, the CSM of the
liability for remaining coverage is calculated as the difference between the fair value of a group of contracts and the fulfillment
cash flows measured at the date of transition.
Based on current estimates, the adoption of IFRS 17 is expected to result in a reduction in retained earnings of approximately
$2.4 billion, net of taxes, as at November 1, 2022. This is attributable to the establishment of the CSM and other remeasurement
changes to insurance and reinsurance contracts and related tax effects. The estimated CSM of all insurance contracts net of
reinsurance contracts held as at November 1, 2022 was approximately $1.8 billion. These estimates are subject to change as we
finalize the quantitative impacts of the adoption in the first quarter of 2024.
Impact of reclassifications of financial assets
As permitted by IFRS 17, we will change the classification and measurement of certain eligible financial assets held in respect of
an activity that relates to insurance contracts upon the adoption of IFRS 17. We will apply these changes retrospectively by
adjusting our Consolidated Balance Sheets as at November 1, 2023 with no restatement of comparative information. We expect to
reclassify financial assets between fair value classification categories, which is not expected to have a net impact to total equity
nor the carrying amounts of those assets. This is subject to change as we finalize the quantitative impacts of these changes and
the quantitative impacts of adopting IFRS 17 in the first quarter of 2024.
Updates related to interest rate benchmark reform
Progress in and risks arising from the transition to ABRs
To manage our transition to ABRs, we have implemented a comprehensive enterprise-wide program and governance structure
that addresses the key areas of impact including contract remediation, funding and liquidity planning, risk management,
financial reporting and valuation, systems, processes and client education and communication. Transition activities are focused
on two broad streams of work: (i) developing new ABR linked products, and (ii) conversion of existing CDOR based contracts to
ABRs. Our program timelines are ultimately dependent on broader market acceptance of products that reference the new ABRs
and our clients\u2019 readiness and ability to adopt the replacement products. Significant matters that we continue to evaluate
include client product offerings, short and long-term funding strategies, and our hedging programs. We continue to work towards
the recommended target date for the cessation of CDOR based products provided by our regulators and are on track with our
transition activities to move to ABRs.
The following tables show the Bank\u2019s significant exposures to financial instruments referencing benchmark interest rates subject
to the Reform that have yet to transition to ABRs. As at October 31, 2023, this represents our financial instruments referencing
CDOR and maturing after June 28, 2024. In the normal course of business, our derivative notional amounts may fluctuate with
minimal impact to our IBOR conversion plans.
\u00a0
As at
\u00a0
October 31, 2023
October 31, 2022
\u00a0
Non-derivative
Non-derivative
Derivative
Non-derivative
Non-derivative
Derivative
(Millions of Canadian dollars)
financial assets
(1)
financial liabilities
(2)
notional
financial assets
(1)
financial liabilities
(2)
notional
(3)
CDOR
(4)
$
29,496
$
24,735
$ 2,154,345
$
18,493
$
18,572
$ 2,226,700
\n
(1)
Non-derivative assets represent the drawn outstanding balance of Loans and Customers\u2019 liability under acceptances and the fair value of Securities.
(2)
Non-derivative liabilities represent Subordinated debentures, Deposits and Acceptances.
(3)
Amounts have been updated from those previously presented to reflect the cessation of USD LIBOR.
(4)
Includes our exposure to financial instruments referencing interest rates substantially similar to CDOR.
The following table presents the undrawn balances of loan commitments referencing benchmark interest rates subject to the
Reform.
\u00a0
As at
(Millions of Canadian dollars)
October 31, 2023
October 31, 2022
Authorized and committed undrawn commitments
\u00a0 \u00a0
CDOR
(1), (2)
$
40,010
$
26,913
\n
(1)
Includes our exposure to financial instruments referencing interest rates substantially similar to CDOR.
(2)
Undrawn commitments exclude amounts related to drawn outstanding balances, which in certain cases may exclude extension options.
As part of the interest rate benchmark reform, the publication of all remaining USD LIBOR settings ceased on June 30, 2023 and
consistent with our transition plan, our exposure to non-derivative financial assets, non-derivative financial liabilities, derivative
notional and undrawn balances of loan commitments referencing USD LIBOR interest rates is no longer material to our financial
statements (October 31, 2022 \u2013 $57.5 billion, $1.5 billion, $5,772.4 billion and $59.3 billion, respectively). We continue to manage
significant exposures to benchmarks that have no announced plans for cessation or further reform, including the EURO Interbank
Offered Rate (EURIBOR) and Australian Bank Bill Swap Rate (BBSW), which are excluded from the tables above.", "dimensions": { "concept": "ifrs-full:DescriptionOfExpectedImpactOfInitialApplicationOfNewStandardsOrInterpretations", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23408": { "value": "IFRS 17
Insurance Contracts
(IFRS 17)
In May 2017, the IASB issued IFRS 17 to establish a comprehensive insurance standard which provides guidance on the
recognition, measurement, presentation and disclosure of insurance contracts issued and reinsurance contracts held and will
replace the existing IFRS 4
Insurance Contracts
(IFRS 4). In June 2020, the IASB issued amendments to IFRS 17, including deferral
of the effective date by two years. This new standard is effective for us on November 1, 2023 and is to be applied retrospectively
with comparatives restated beginning November 1, 2022.
Under IFRS 17, insurance contracts are contracts under which we accept significant insurance risk from a policyholder by
agreeing to compensate the policyholder if a specified uncertain future event adversely affects the policyholder. Embedded
derivatives, investment components and promises to provide non-insurance services, provided specific criteria are met, are
separated from the measurement of insurance and reinsurance contracts. Insurance and reinsurance contracts are aggregated
into portfolios that are subject to similar risks and are managed together, and then divided into groups based on the period of
issuance and expected profitability. Groups are separately recognized and measured using one of three measurement models
depending on the characteristics of the contracts:
\u2022
For insurance contracts with direct participating features, the contracts are measured using the variable fee approach
(VFA).
\u2022
For insurance contracts and reinsurance contracts held with a short duration of one year or less, the premium allocation
approach (PAA) is elected.
\u2022
The general measurement method (GMM) is applied to all remaining contracts.
Under the GMM and VFA, the liabilities for remaining coverage and incurred claims for groups of contracts are measured as
the sum of the fulfilment cash flows and the contractual service margin (CSM), which are recalculated at the end of each
reporting period. The fulfilment cash flows consist of the present value of future cash flows and a risk adjustment for
non-financial risk. For insurance contracts, the CSM represents the unearned profit for providing insurance coverage. For
reinsurance contracts held, the CSM represents the net cost or net gain of purchasing reinsurance. Under the PAA, the liability for
remaining coverage for each group is measured as the premiums received less insurance revenue recognized for services
provided, while the liability for incurred claims is measured as the fulfillment cash flows for incurred claims plus adjustment on
any financing components. Losses from the recognition of onerous groups of insurance contracts, regardless of the
measurement model applied, are recognized in the Consolidated Statements of Income immediately.
The following are key differences between IFRS 17 and IFRS 4:
\u2022
New business profits are deferred and measured as the CSM of the insurance contract liabilities and amortized into income
as insurance contract services are provided, while losses are recognized into income immediately. Under IFRS 4, gains and
losses are recognized in income immediately. On July 18, 2023, OSFI released regulatory guidance to allow the inclusion of
the CSM in calculating CET1 capital and related ratios, therefore, there will be no impact on the capital metrics from such
reduction in retained earnings resulting from the CSM.
\u2022
Discount rates used in calculating the present value of insurance contract liabilities are based on the characteristics of the
insurance contracts unlike IFRS 4 which is based on the assets supporting the liabilities.
\u2022
Presentation and disclosure changes are expected due to the new requirements.
While IFRS 17 impacts the timing of profit recognition of insurance contracts, it will have no impact on total profit recognized over
the lifetime of these contracts.
Impact of IFRS 17 transition excluding the impact of reclassifications of financial assets
Upon the adoption of IFRS 17, we will apply IFRS 17 retrospectively by adjusting our Consolidated Balance Sheets as at
November 1, 2022 and restating comparative information. The full retrospective approach will be applied for all insurance and
reinsurance contracts unless it is impracticable to do so. The full retrospective approach is applied to all contracts measured
using the PAA and all new contracts issued on and after November 1, 2022 measured using the GMM and VFA as if IFRS 17 had
always been applied. Due to data availability and the inability to use hindsight, the fair value approach is applied to contracts
issued before November 1, 2022 that are measured under the GMM and VFA. Under the fair value approach, the CSM of the
liability for remaining coverage is calculated as the difference between the fair value of a group of contracts and the fulfillment
cash flows measured at the date of transition.
Based on current estimates, the adoption of IFRS 17 is expected to result in a reduction in retained earnings of approximately
$2.4 billion, net of taxes, as at November 1, 2022. This is attributable to the establishment of the CSM and other remeasurement
changes to insurance and reinsurance contracts and related tax effects. The estimated CSM of all insurance contracts net of
reinsurance contracts held as at November 1, 2022 was approximately $1.8 billion. These estimates are subject to change as we
finalize the quantitative impacts of the adoption in the first quarter of 2024.
Impact of reclassifications of financial assets
As permitted by IFRS 17, we will change the classification and measurement of certain eligible financial assets held in respect of
an activity that relates to insurance contracts upon the adoption of IFRS 17. We will apply these changes retrospectively by
adjusting our Consolidated Balance Sheets as at November 1, 2023 with no restatement of comparative information. We expect to
reclassify financial assets between fair value classification categories, which is not expected to have a net impact to total equity
nor the carrying amounts of those assets. This is subject to change as we finalize the quantitative impacts of these changes and
the quantitative impacts of adopting IFRS 17 in the first quarter of 2024. ", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInsuranceContracts", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23644": { "value": "Note 3
Fair value of financial instruments
Carrying value and fair value of financial instruments
The following tables provide a comparison of the carrying and fair values for each classification of financial instruments.
Embedded derivatives are presented on a combined basis with the host contracts. For measurement purposes, they are carried
at fair value when conditions requiring separation are met.
\u00a0
As at October 31, 2023
\u00a0
Carrying value and fair value
\u00a0 \u00a0
Carrying value
Fair value
\u00a0 \u00a0
\u00a0
Financial
Financial
Financial
\u00a0
Financial
Financial
Financial
\u00a0 \u00a0
\u00a0
instruments
instruments
instruments
\u00a0
instruments
instruments
instruments
Total
\u00a0
\u00a0
classified as
designated as
classified as
\u00a0
designated as
measured at
measured at
carrying
Total
(Millions of Canadian dollars)
FVTPL
FVTPL
FVOCI
\u00a0
FVOCI
amortized cost
amortized cost
amount
fair value
Financial assets
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Interest-bearing deposits with banks
$
\u2013
$
60,856
$
\u2013
\u00a0
$
\u2013
$
10,230
$
10,230
$
71,086
$
71,086
Securities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Trading
180,651
9,500
\u2013
\u00a0
\u2013
\u2013
\u2013
190,151
190,151
Investment, net of applicable allowance
\u2013
\u2013
127,624
\u00a0
842
91,113
83,667
219,579
212,133
\u00a0
180,651
9,500
127,624
\u00a0
842
91,113
83,667
409,730
402,284
Assets purchased under reverse repurchase
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
agreements and securities borrowed
285,869
\u2013
\u2013
\u00a0
\u2013
54,322
54,322
340,191
340,191
Loans, net of applicable allowance
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Retail
114
362
280
\u00a0
\u2013
566,376
542,480
567,132
543,236
Wholesale
5,629
3,619
597
\u00a0
\u2013
275,796
268,843
285,641
278,688
\u00a0
5,743
3,981
877
\u00a0
\u2013
842,172
811,323
852,773
821,924
Other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Derivatives
142,450
\u2013
\u2013
\u00a0
\u2013
\u2013
\u2013
142,450
142,450
Other assets
(1)
4,819
5
\u2013
\u00a0
\u2013
68,537
68,537
73,361
73,361
Financial liabilities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Deposits
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Personal
$
109
$
26,702
\u00a0 \u00a0 \u00a0
$
415,135
$
412,886
$
441,946
$
439,697
Business and government
(2)
174
137,454
\u00a0 \u00a0 \u00a0
607,447
605,260
745,075
742,888
Bank
(3)
\u2013
11,462
\u00a0 \u00a0 \u00a0
33,204
33,160
44,666
44,622
\u00a0
283
175,618
\u00a0 \u00a0 \u00a0
1,055,786
1,051,306
1,231,687
1,227,207
Other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Obligations related to securities sold short
33,651
\u2013
\u00a0 \u00a0 \u00a0
\u2013
\u2013
33,651
33,651
Obligations related to assets sold under
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
repurchase agreements and securities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
loaned
\u2013
298,679
\u00a0 \u00a0 \u00a0
36,559
36,559
335,238
335,238
Derivatives
142,629
\u2013
\u00a0 \u00a0 \u00a0
\u2013
\u2013
142,629
142,629
Other liabilities
(4)
(937)
11
\u00a0 \u00a0 \u00a0
92,500
92,402
91,574
91,476
Subordinated debentures
\u2013
\u2013
\u00a0 \u00a0 \u00a0
11,386
11,213
11,386
11,213
As at October 31, 2022
Carrying value and fair value
Carrying value
Fair value
Financial
Financial
Financial
Financial
Financial
Financial
instruments
instruments
instruments
instruments
instruments
instruments
Total
classified as
designated as
classified as
designated as
measured at
measured at
carrying
Total
(Millions of Canadian dollars)
FVTPL
FVTPL
FVOCI
FVOCI
amortized cost
amortized cost
amount
fair value
Financial assets
Interest-bearing deposits with banks
$
\u2013
$
84,468
$
\u2013
$
\u2013
$
23,543
$
23,543
$
108,011
$
108,011
Securities
Trading
138,507
9,698
\u2013
\u2013
\u2013
\u2013
148,205
148,205
Investment, net of applicable allowance
\u2013
\u2013
92,063
828
77,127
70,073
170,018
162,964
138,507
9,698
92,063
828
77,127
70,073
318,223
311,169
Assets purchased under reverse repurchase
agreements and securities borrowed
264,665
\u2013
\u2013
\u2013
53,180
53,180
317,845
317,845
Loans, net of applicable allowance
Retail
73
375
218
\u2013
546,767
521,428
547,433
522,094
Wholesale
6,914
3,222
563
\u2013
261,833
253,816
272,532
264,515
6,987
3,597
781
\u2013
808,600
775,244
819,965
786,609
Other
Derivatives
154,439
\u2013
\u2013
\u2013
\u2013
\u2013
154,439
154,439
Other assets
(1)
3,377
\u2013
\u2013
\u2013
73,084
73,084
76,461
76,461
Financial liabilities
Deposits
Personal
$
298
$
21,959
$
382,675
$
380,396
$
404,932
$
402,653
Business and government
(2)
447
152,119
607,304
605,102
759,870
757,668
Bank
(3)
\u2013
7,196
36,816
36,758
44,012
43,954
745
181,274
1,026,795
1,022,256
1,208,814
1,204,275
Other
Obligations related to securities sold short
35,511
\u2013
\u2013
\u2013
35,511
35,511
Obligations related to assets sold under
repurchase agreements and securities
loaned
\u2013
248,835
25,112
25,112
273,947
273,947
Derivatives
153,491
\u2013
\u2013
\u2013
153,491
153,491
Other liabilities
(4)
(360)
69
90,348
90,160
90,057
89,869
Subordinated debentures
\u2013
\u2013
10,025
9,668
10,025
9,668
\n
(1)
Includes Customers\u2019 liability under acceptances and financial instruments recognized in Other assets.
\n
(2)
Business and government deposits include deposits from regulated deposit-taking institutions other than banks.
\n
(3)
Bank deposits refer to deposits from regulated banks and central banks.
\n
(4)
Includes Acceptances and financial instruments recognized in Other liabilities.
\n
Financial assets designated as fair value through profit or loss
\n
For our financial assets designated as FVTPL, we measure the change in fair value attributable to changes in credit risk as the
\n
difference between the total change in the fair value of the instrument during the period and the change in fair value calculated
\n
using the appropriate risk-free yield curves. For the year ended October 31, 2023, the change in fair value during the period
\n
attributable to changes in credit risk for positions still held was a gain of $360 million and the cumulative change in fair value
\n
attributable to changes in credit risk for positions still held was a loss of $102 million. For the year ended October 31, 2022, the
\n
change in fair value during the period attributable to changes in credit risk for positions still held was a loss of $662 million and
\n
the cumulative change in fair value attributable to changes in credit risk for positions still held was a loss of $490 million. As at
\n
October 31, 2023, the extent to which credit derivatives or similar instruments mitigate the maximum exposure to credit risk was
\n
$692 million (October 31, 2022 \u2013 $589 million).
\n
Financial liabilities designated as fair value through profit or loss
\n
For our financial liabilities designated as FVTPL, we take into account changes in our own credit spread and the expected
\n
duration of the instrument to measure the change in fair value attributable to changes in credit risk.
As at or for the year ended October 31, 2023
(1)
Difference
between
Changes in fair value attributable
Contractual
carrying value
to changes in credit risk included
maturity
and contractual
in OCI for positions still held
(Millions of Canadian dollars)
amount
Carrying value
maturity amount
During the period
Cumulative
(2)
Term deposits
Personal
$
27,131
$
26,702
$
(429)
$
112
$
(57)
Business and government
(3)
147,844
137,454
(10,390)
683
(1,030)
Bank
(4)
11,485
11,462
(23)
\u2013
\u2013
186,460
175,618
(10,842)
795
(1,087)
Obligations related to assets sold under
repurchase agreements and securities loaned
298,734
298,679
(55)
3
4
Other liabilities
11
11
\u2013
\u2013
\u2013
$
485,205
$
474,308
$ (10,897)
$
798
$ (1,083)
As at or for the year ended October 31, 2022 (1)
Difference
between
Changes in fair value attributable
Contractual
carrying value
to changes in credit risk included
maturity
and contractual
in OCI for positions still held
(Millions of Canadian dollars)
amount
Carrying value
maturity amount
During the period
Cumulative (2)
Term deposits
Personal
$
22,328
$
21,959
$
(369)
$
(238)
$
(166)
Business and government
(3)
160,775
152,119
(8,656)
(2,135)
(1,718)
Bank
(4)
7,208
7,196
(12)
\u2013
\u2013
190,311
181,274
(9,037)
(2,373)
(1,884)
Obligations related to assets sold under
repurchase agreements and securities loaned
248,963
248,835
(128)
1
1
Other liabilities
69
69
\u2013
\u2013
\u2013
$
439,343
$
430,178
$
(9,165)
$ (2,372)
$
(1,883)
(1)
$29 million in changes in fair value attributable to changes in credit risk were recognized in income for the year ended October 31, 2023, and $17 million in cumulative
changes in credit risk were included in income for positions still held life-to-date (October 31, 2022 \u2013 $97 million and $97 million respectively).
(2)
The cumulative change is measured from the initial designation of the liabilities as FVTPL. For the year ended October 31, 2023, $2 million of fair value gains previously
included in OCI relate to financial liabilities derecognized during the year (October 31, 2022 \u2013 $3 million of fair value gains).
(3)
Business and government term deposits include amounts from regulated deposit-taking institutions other than regulated banks.
(4)
Bank term deposits refer to amounts from regulated banks and central banks.
Net gains (losses) from financial instruments classified and designated as fair value through profit or loss
Financial instruments classified as FVTPL, which includes mainly trading securities, derivatives, trading liabilities, and financial
assets and liabilities designated as FVTPL are measured at fair value with realized and unrealized gains and losses recognized in
Non-interest income.
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Net gains (losses)
(1)
Classified as fair value through profit or loss
(2)
$
1,998
$
(7,382)
Designated as fair value through profit or loss
(3)
1,499
8,543
$
3,497
$
1,161
By product line
(1)
Interest rate and credit
(4)
$
3,515
$
1,251
Equities
(510)
(843)
Foreign exchange and commodities
492
753
$
3,497
$
1,161
(1)
Excludes the following amounts related to our insurance operations and included in Insurance premiums, investment and fee income in the Consolidated Statements of
Income: Net losses from financial instruments designated as FVTPL of $371 million (October 31, 2022 \u2013 losses of $2,805 million).
(2)
Excludes derivatives designated in a hedging relationship. Refer to Note 9 for net gains (losses) on these derivatives.
(3)
For the year ended October 31, 2023, $1,524 million of net fair value gains on financial liabilities designated as FVTPL, other than those attributable to changes in our own
credit risk, were included in Non-interest income (October 31, 2022 \u2013 gains of $8,536 million).
(4)
Includes gains (losses) recognized on cross currency interest rate swaps.
Net interest income from financial instruments
Interest and dividend income arising from financial assets and financial liabilities and the associated costs of funding are
reported in Net interest income.
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
31,464
$
10,999
Financial instruments measured at fair value through other comprehensive income
5,127
1,177
Financial instruments measured at amortized cost
50,400
28,595
86,991
40,771
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
28,446
$
8,336
Financial instruments measured at amortized cost
33,416
9,718
61,862
18,054
Net interest income
$
25,129
$
22,717
(1)
Excludes the following amounts related to our insurance operations and included in Insurance premiums, investment and fee income in the Consolidated Statements of
Income: Interest income of $451 million (October 31, 2022 \u2013 $601 million), and Interest expense of $35 million (October 31, 2022 \u2013 $6 million).
(2)
Includes dividend income for the year ended October 31, 2023 of $3,215 million (October 31, 2022 \u2013 $2,954 million), which is presented in Interest and dividend income in
the Consolidated Statements of Income.
Fee income arising from financial instruments
For the year ended October 31, 2023, we earned $6,112 million in fees from banking services (October 31, 2022 \u2013 $6,118 million). For
the year ended October 31, 2023, we also earned $15,319 million in fees from investment management, trust, custodial,
underwriting, brokerage and other similar fiduciary services to retail and institutional clients (October 31, 2022 \u2013 $14,932 million).
These fees are included in Non-interest income.
Fair value of assets and liabilities measured at fair value on a recurring basis and classified using the fair value hierarchy
\n \n
As at
October 31, 2023
October 31, 2022
Fair value
Fair value
measurements using
measurements using
Netting
Netting
(Millions of Canadian dollars)
Level 1
Level 2
Level 3
adjustments
Fair value
Level 1
Level 2
Level 3
adjustments
Fair value
Financial assets
Interest-bearing deposits with banks
$
\u2013
$ 60,856
$
\u2013
$
$
60,856
$
\u2013
$ 84,468
$
\u2013
$
$
84,468
Securities
Trading
Debt issued or guaranteed by:
Canadian government
(1)
Federal
26,675
2,581
\u2013
29,256
15,024
3,779
\u2013
18,803
Provincial and municipal
\u2013
16,389
\u2013
16,389
\u2013
13,257
\u2013
13,257
U.S. federal, state, municipal and agencies
(1), (2)
2,249
50,439
\u2013
52,688
1,254
35,570
4
36,828
Other OECD government
(3)
2,055
2,577
\u2013
4,632
1,325
3,452
\u2013
4,777
Mortgage-backed securities
(1)
\u2013
2
\u2013
2
\u2013
2
\u2013
2
Asset-backed securities
Non-CDO securities
(4)
\u2013
1,245
\u2013
1,245
\u2013
1,308
2
1,310
Corporate debt and other debt
\u2013
22,615
\u2013
22,615
\u2013
21,162
7
21,169
Equities
58,826
2,232
2,266
63,324
46,592
3,593
1,874
52,059
89,805
98,080
2,266
190,151
64,195
82,123
1,887
148,205
Investment
Debt issued or guaranteed by:
Canadian government
(1)
Federal
2,731
3,528
\u2013
6,259
1,226
2,555
\u2013
3,781
Provincial and municipal
\u2013
2,748
\u2013
2,748
\u2013
2,124
\u2013
2,124
U.S. federal, state, municipal and agencies
(1)
275
73,020
\u2013
73,295
440
43,918
\u2013
44,358
Other OECD government
\u2013
6,192
\u2013
6,192
\u2013
5,144
\u2013
5,144
Mortgage-backed securities
(1)
\u2013
2,672
29
2,701
\u2013
2,860
28
2,888
Asset-backed securities
CDO
\u2013
8,265
\u2013
8,265
\u2013
7,524
\u2013
7,524
Non-CDO securities
\u2013
441
\u2013
441
\u2013
524
\u2013
524
Corporate debt and other debt
\u2013
27,574
149
27,723
\u2013
25,569
151
25,720
Equities
38
338
466
842
36
395
397
828
3,044
124,778
644
128,466
1,702
90,613
576
92,891
Assets purchased under reverse repurchase agreements and
securities borrowed
\u2013
285,869
\u2013
285,869
\u2013
264,665
\u2013
264,665
Loans
\u2013
8,742
1,859
10,601
\u2013
9,673
1,692
11,365
Other
Derivatives
Interest rate contracts
\u2013
39,243
290
39,533
\u2013
39,804
263
40,067
Foreign exchange contracts
\u2013
89,644
4
89,648
\u2013
99,424
13
99,437
Credit derivatives
\u2013
224
\u2013
224
\u2013
388
\u2013
388
Other contracts
2,352
13,927
111
16,390
3,939
14,786
62
18,787
Valuation adjustments
\u2013
(1,805)
4
(1,801)
\u2013
(2,100)
45
(2,055)
Total gross derivatives
2,352
141,233
409
143,994
3,939
152,302
383
156,624
Netting adjustments
(1,544)
(1,544)
(2,185)
(2,185)
Total derivatives
142,450
154,439
Other assets
1,392
3,421
11
4,824
1,221
2,141
15
3,377
$96,593
$722,979
$
5,189
$
(1,544)
$ 823,217
$71,057
$685,985
$
4,553
$
(2,185)
$ 759,410
Financial liabilities
Deposits
Personal
$
\u2013
$ 26,428
$
383
$
$
26,811
$
\u2013
$ 22,016
$
241
$
$
22,257
Business and government
\u2013
137,628
\u2013
137,628
\u2013
152,566
\u2013
152,566
Bank
\u2013
11,462
\u2013
11,462
\u2013
7,196
\u2013
7,196
Other
Obligations related to securities sold short
14,391
19,260
\u2013
33,651
16,383
19,128
\u2013
35,511
Obligations related to assets sold under repurchase agreements and
securities loaned
\u2013
298,679
\u2013
298,679
\u2013
248,835
\u2013
248,835
Derivatives
Interest rate contracts
\u2013
41,249
952
42,201
\u2013
39,592
1,122
40,714
Foreign exchange contracts
\u2013
81,750
53
81,803
\u2013
94,310
145
94,455
Credit derivatives
\u2013
176
\u2013
176
\u2013
125
\u2013
125
Other contracts
3,119
17,306
549
20,974
3,847
16,663
847
21,357
Valuation adjustments
\u2013
(982)
1
(981)
\u2013
(967)
(8)
(975)
Total gross derivatives
3,119
139,499
1,555
144,173
3,847
149,723
2,106
155,676
Netting adjustments
(1,544)
(1,544)
(2,185)
(2,185)
Total derivatives
142,629
153,491
Other liabilities
370
(1,296)
\u2013
(926)
341
(632)
\u2013
(291)
$17,880
$631,660
$
1,938
$
(1,544)
$ 649,934
$20,571
$598,832
$
2,347
$
(2,185)
$ 619,565
(1)
As at October 31, 2023, residential and commercial mortgage-backed securities (MBS) included in all fair value levels of trading securities were $14,345 million and $nil
(October 31, 2022 \u2013 $12,273 million and $nil), respectively, and in all fair value levels of Investment securities were $24,365 million and $2,618 million (October 31, 2022
\u2013
$23,362 million and $2,755 million), respectively.
(2)
United States (U.S.).
(3)
Organisation for Economic Co-operation and Development (OECD).
(4)
Collateralized debt obligations (CDO).
Fair values of our significant assets and liabilities measured on a recurring basis are determined and classified in the fair value
hierarchy table using the following valuation techniques and inputs.
Interest-bearing deposits with banks
The majority of our Interest-bearing deposits with banks are designated as FVTPL. These FVTPL deposits are composed of short-
dated deposits placed with banks, and are included in Interest-bearing deposits with banks in the fair value hierarchy table. The
fair values of these instruments are determined using the discounted cash flow method. The inputs to the valuation models
include interest rate swap curves and credit spreads, where applicable. They are classified as Level 2 instruments in the
hierarchy as the inputs are observable.
Government bonds (Canadian, U.S. and other OECD governments)
Government bonds are included in Canadian government debt, U.S. federal, state, municipal and agencies debt, Other OECD
government debt and Obligations related to securities sold short in the fair value hierarchy table. The fair values of government
issued or guaranteed debt securities in active markets are determined by reference to recent transaction prices, broker quotes,
or third-party vendor prices and are classified as Level 1 in the hierarchy. The fair values of securities that are not traded in
active markets are based on either security prices, or valuation techniques using implied yields and risk spreads derived from
prices of actively traded and similar government securities. Securities with observable prices or rate inputs as compared to
transaction prices, dealer quotes or vendor prices are classified as Level 2 in the hierarchy. Securities where inputs are
unobservable are classified as Level 3 in the hierarchy.
Corporate and U.S. municipal bonds
The fair values of corporate and U.S. municipal bonds, which are included in Corporate debt and other debt, U.S. federal, state,
municipal and agencies debt and Obligations related to securities sold short in the fair value hierarchy table, are determined
using either recently executed transaction prices, broker quotes, pricing services, or in certain instances, the discounted cash
flow method using rate inputs such as benchmark yields (CDOR, Secured Overnight Financing Rate (SOFR) and other similar
reference rates) and risk spreads of comparable securities. Securities with observable prices or rate inputs are classified as
Level 2 in the hierarchy. Securities where inputs are unobservable are classified as Level 3 in the hierarchy.
Asset-backed securities and Mortgage-backed securities
Asset-backed securities (ABS) and MBS are included in Asset-backed securities, Mortgage-backed securities, Canadian
government debt, U.S. federal, state, municipal and agencies debt, and Obligations related to securities sold short in the fair
value hierarchy table. Inputs for valuation of ABS and MBS are, when available, traded prices, dealer or lead manager quotes,
broker quotes and vendor prices of the identical securities. When prices of the identical securities are not readily available, we
use industry standard models with inputs such as discount margins, yields, default, prepayment and loss severity rates that are
implied from transaction prices, dealer quotes or vendor prices of comparable instruments. Where security prices and inputs are
observable, ABS and MBS are classified as Level 2 in the hierarchy. Otherwise, they are classified as Level 3 in the hierarchy.
Equities
Equities consist of listed and unlisted common shares, private equities, mutual funds and hedge funds with certain redemption
restrictions and are included in equities and obligations for securities sold short. The fair values of common shares are based on
quoted prices in active markets, where available, and are classified as Level 1 in the hierarchy. Where quoted prices in active
markets are not readily available, fair value is determined based on quoted market prices for similar securities or through
valuation techniques, such as multiples of earnings and the discounted cash flow method with forecasted cash flows and
discount rate as inputs. Private equities are classified as Level 3 in the hierarchy as their inputs are not observable. Hedge funds
are valued using Net Asset Values (NAV). If we can redeem a hedge fund at NAV prior to the next quarter end, the fund is
classified as Level 2 in the hierarchy. Otherwise, it is classified as Level 3 in the hierarchy.
Loans
Loans include base metal loans, corporate loans, banker acceptances and asset-backed financing loans. Fair values are
determined based on market prices, if available, or discounted cash flow method using the following inputs: market interest
rates, base metal commodity prices, market based spreads of assets with similar credit ratings and terms to maturity, LGD,
expected default frequency implied from credit derivative prices, if available, and relevant pricing information such as
contractual rate, origination and maturity dates, redemption price, coupon payment frequency and day count convention. Loans
with market prices or observable inputs are classified as Level 2 in the hierarchy and loans with unobservable inputs that have
significant impacts on the fair values are classified as Level 3 in the hierarchy.
Derivatives
The fair values of exchange-traded derivatives, such as interest rate and equity options and futures, are based on quoted market
prices and are typically classified as Level 1 in the hierarchy. OTC derivatives primarily consist of interest rate contracts, foreign
exchange contracts, commodity derivatives, equity derivatives and credit derivatives. The exchange-traded or OTC interest rate,
foreign exchange and commodity and equity derivatives are included in Interest rate contracts, Foreign exchange contracts and
Other contracts, respectively, in the fair value hierarchy table. The fair values of OTC derivatives are determined using valuation
models when quoted market prices or third-party consensus pricing information are not available. The valuation models, such as
discounted cash flow method or Black-Scholes option model, incorporate observable or unobservable inputs for interest and
foreign exchange rates, equity and commodity prices (including indices), credit spreads, corresponding market volatility levels,
and other market-based pricing factors. Other adjustments to fair value include bid-offer, CVA, FVA, OIS, parameter and model
uncertainties, and unrealized gain or loss at inception of a transaction. A derivative instrument is classified as Level 2 in the
hierarchy if observable market inputs are available or the unobservable inputs are not significant to the fair value. Otherwise, it
is classified as Level 3 in the hierarchy.
Securities borrowed or purchased under resale agreements and securities loaned or sold under repurchase agreements
In the fair value hierarchy table, these instruments are included in Assets purchased under reverse repurchase agreements and
securities borrowed, and Obligations related to assets sold under repurchase agreements and securities loaned. The fair values
of these contracts are determined using valuation techniques such as the discounted cash flow method using interest rate
curves as inputs. They are classified as Level 2 instruments in the hierarchy as the inputs are observable.
Deposits
A majority of our deposits are measured at amortized cost but certain deposits are designated as FVTPL. These FVTPL deposits
include deposits taken from clients, issuances of certificates of deposits and promissory notes, and interest rate and equity
linked notes. The fair values of these instruments are determined using the discounted cash flow method and derivative option
valuation models. The inputs to the valuation models include benchmark yield curves, credit spreads, interest rates, equity and
interest rate volatility, dividends and correlation, where applicable. They are classified as Level 2 or 3 instruments in the
hierarchy, depending on the significance of the unobservable credit spreads, volatility, dividend and correlation rates.
Quantitative information about fair value measurements using significant unobservable inputs (Level 3 Instruments)
The following table presents fair values of our significant Level 3 financial instruments, valuation techniques used to determine
their fair values, ranges and weighted averages of unobservable inputs.
As at October 31, 2023 (Millions of Canadian dollars, except for prices, percentages and ratios)
Fair value
Range of input values
(1), (2)
Weighted
Significant
average /
Reporting line in the fair value
Valuation
unobservable
Inputs
Products
hierarchy table
Assets
Liabilities
techniques
inputs (3)
Low
High
distribution
Corporate debt and related
Price-based
Prices
$
9.88
$ 107.13
$
87.66
derivatives
Corporate debt and other debt
$
\u2013
Discounted cash flows
Credit spread
1.89%
9.96%
5.93%
Loans
1,859
Credit enhancement
11.70%
15.60%
13.00%
Derivative related liabilities
$
2
Government debt and
municipal bonds
Corporate debt and other debt
149
Discounted cash flows
Yields
7.73%
10.38%
8.60%
Private equities, hedge fund
Market comparable
EV/EBITDA multiples
4.16X
14.90X
6.93X
investments and related
Equities
2,732
Price-based
P/E multiples
6.60X
22.60X
8.60X
equity derivatives
Derivative related liabilities
\u2013
Discounted cash flows
EV/Rev multiples
1.00X
5.00X
3.00X
Liquidity discounts (4)
10.00%
40.00%
16.91%
Discount rate
8.50%
13.30%
10.70%
NAV / prices (5)
n.a.
n.a.
n.a.
Interest rate derivatives and
Discounted cash flows
Interest rates
2.39%
5.18%
High
interest-rate-linked
Derivative related assets
293
Option pricing model
CPI swap rates
1.84%
2.35%
Even
structured notes
(6), (7)
Derivative related liabilities
995
IR-IR correlations
19.00%
67.00%
Even
FX-IR correlations
29.00%
56.00%
Even
FX-FX correlations
68.00%
68.00%
Even
Equity derivatives and equity-
linked structured
Discounted cash flows
Dividend yields
0.14%
10.71%
Lower
notes
(6), (7)
Derivative related assets
111
Option pricing model
Equity (EQ)-EQ correlations
32.50%
96.49%
Middle
Deposits
383
EQ-FX correlations
(83.15)%
38.44%
Middle
Derivative related liabilities
485
EQ volatilities
6.70%
110.72%
Lower
Other
(8)
Asset-backed securities
\u2013
Derivative related assets
5
Other assets
11
Mortgage-backed securities
29
U.S. state, municipal and
agencies debt
\u2013
Derivative related liabilities
73
Total
$ 5,189
$
1,938
As at October 31, 2022 (Millions of Canadian dollars, except for prices, percentages and ratios)
Fair value
Range of input values
(1), (2)
Weighted
Significant
average /
Reporting line in the fair value
Valuation
unobservable
Inputs
Products
hierarchy table
Assets
Liabilities
techniques
inputs (3)
Low
High
distribution
Corporate debt and related
Price-based
Prices
$
1.00
$ 111.90
$
85.64
derivatives
Corporate debt and other debt
$
7
Discounted cash flows
Credit spread
1.67%
10.73%
6.20%
Loans
1,692
Credit enhancement
11.70%
15.60%
13.00%
Derivative related liabilities
$
130
Government debt and
municipal bonds
Corporate debt and other debt
151
Discounted cash flows
Yields
7.85%
10.72%
8.92%
Private equities, hedge fund
Market comparable
EV/EBITDA multiples
3.97X
14.31X
8.59X
investments and related
Equities
2,271
Price-based
P/E multiples
8.47X
24.04X
12.46X
equity derivatives
Derivative related liabilities
2
Discounted cash flows
EV/Rev multiples
0.35X
5.77X
3.88X
Liquidity discounts (4)
10.00%
40.00%
17.35%
Discount rate
10.80%
10.80%
10.80%
NAV / prices (5)
n.a.
n.a.
n.a.
Interest rate derivatives and
Discounted cash flows
Interest rates
1.88%
4.49%
High
interest-rate-linked
Derivative related assets
270
Option pricing model
CPI swap rates
1.98%
2.59%
Even
structured notes
(6), (7)
Derivative related liabilities
1,216
IR-IR correlations
19.00%
67.00%
Even
FX-IR correlations
29.00%
56.00%
Even
FX-FX correlations
68.00%
68.00%
Even
Equity derivatives and equity-
linked structured
Discounted cash flows
Dividend yields
(0.63)%
8.28%
Lower
notes
(6), (7)
Derivative related assets
62
Option pricing model
Equity (EQ)-EQ correlations
33.00%
94.90%
Middle
Deposits
241
EQ-FX correlations
(83.15)%
38.44%
Middle
Derivative related liabilities
655
EQ volatilities
7.00%
129.00%
Upper
Other
(8)
Asset-backed securities
2
Derivative related assets
51
Other assets
15
Mortgage-backed securities
28
U.S. state, municipal and agencies
debt
4
Derivative related liabilities
103
Total
$
4,553
$
2,347
(1)
The low and high input values represent the actual highest and lowest level inputs used to value a group of financial instruments in a particular product category. These
input ranges do not reflect the level of input uncertainty, but are affected by the different underlying instruments within the product category. The input ranges will
therefore vary from period to period based on the characteristics of the underlying instruments held at each balance sheet date. Where provided, the weighted average
of the input values is calculated based on the relative fair values of the instruments within the product category. The weighted averages for derivatives are not presented
in the table as they would not provide a comparable metric; instead, distribution of significant unobservable inputs within the range for each product category is
indicated in the table.
(2)
Price-based inputs are significant for certain debt securities and are based on external benchmarks, comparable proxy instruments or pre-quarter-end trade data. For
these instruments, the price input is expressed in dollars for each $100 par value. For example, with an input price of $105, an instrument is valued at a premium over its
par value.
(3)
The significant unobservable inputs include the following: (i) Enterprise Value (EV); (ii) Earnings Before Interest, Taxes, Depreciation and Amortization (EBITDA);
(iii) Price / Earnings (P/E); (iv) Revenue (Rev); (v) Consumer Price Index (CPI); (vi) Interest Rate (IR); (vii) Foreign Exchange (FX); and (viii) Equity (EQ).
(4)
Fair value of securities with liquidity discount inputs totalled $483 million (October 31, 2022 \u2013 $373 million).
(5)
NAV of a hedge fund is total fair value of assets less liabilities divided by the number of fund units. Private equities are valued based on NAV or valuation techniques. The
range for NAV per unit or price per share has not been disclosed for the hedge funds or private equities due to the dispersion of prices given the diverse nature of the
investments.
(6)
The level of aggregation and diversity within each derivative instrument category may result in certain ranges of inputs being wide and inputs being unevenly distributed
across the range. In the table, we indicated whether the majority of the inputs are concentrated toward the upper, middle, or lower end of the range, or evenly distributed
throughout the range.
(7)
The structured notes contain embedded equity or interest rate derivatives with unobservable inputs that are similar to those of the equity or interest rate derivatives.
(8)
Other primarily includes certain insignificant instruments such as auction rate securities, commodity derivatives, foreign exchange derivatives, contingent
considerations, bank-owned life insurance and retractable shares.
n.a.
not applicable
Sensitivity to unobservable inputs and interrelationships between unobservable inputs
Yield, credit spreads/discount margins
A financial instrument\u2019s yield is the interest rate used to discount future cash flows in a valuation model. An increase in the yield,
in isolation, would result in a decrease in a fair value measurement and vice versa. A credit spread/discount margin is the
difference between a debt instrument\u2019s yield and a benchmark instrument\u2019s yield. Benchmark instruments have high credit
quality ratings, similar maturities and are often government bonds. The credit spread/discount margin therefore represents the
discount rate used to determine the present value of future cash flows of an asset to reflect the market return required for
uncertainty in the estimated cash flows. The credit spread/discount margin for an instrument forms part of the yield used in a
discounted cash flow method.
Funding spread
Funding spreads are credit spreads specific to funding or deposit rates. A decrease in funding spreads, on its own, will increase
the fair value of our liabilities, and vice versa.
Default rates
A default rate is the rate at which borrowers fail to make scheduled loan payments. A decrease in the default rate will typically
increase the fair value of the loan, and vice versa. This effect will be significantly more pronounced for a non-government
guaranteed loan than a government guaranteed loan.
Prepayment rates
A prepayment rate is the rate at which a loan will be repaid in advance of its expected amortization schedule. Prepayments
change the future cash flows of a loan. An increase in the prepayment rate in isolation will result in an increase in fair value when
the loan interest rate is lower than the current reinvestment rate, and a decrease in the prepayment rate in isolation will result in
a decrease in fair value when the loan interest rate is lower than the current reinvestment rate. Prepayment rates are generally
negatively correlated with interest rates.
Recovery and loss severity rates
A recovery rate is an estimation of the amount that can be collected in a loan default scenario. The recovery rate is the recovered
amount divided by the loan balance due, expressed as a percentage. The inverse concept of recovery is loss severity. Loss
severity rate is an estimation of the loan amount not collected when a loan defaults. The loss severity rate is the loss amount
divided by the loan balance due, expressed as a percentage. Generally, an increase in the recovery rate or a decrease in the loss
severity rate will increase the loan fair value, and vice versa.
Volatility rates
Volatility measures the potential variability of future prices and is often measured as the standard deviation of price movements.
Volatility is an input to option pricing models used to value derivatives and issued structured notes. Volatility is used in valuing
equity, interest rate, commodity and foreign exchange options. A higher volatility rate means that the underlying price or rate
movements are more likely to occur. Higher volatility rates may increase or decrease an option\u2019s fair value depending on the
option\u2019s terms. The determination of volatility rates is dependent on various factors, including but not limited to, the underlying\u2019s
market price, the strike price and maturity.
Dividend yields
A dividend yield is the underlying equity\u2019s expected dividends expressed as an annual percentage of its price. Dividend yield is
used as an input for forward equity price and option models. Higher dividend yields will decrease the forward price, and vice
versa. A higher dividend yield will increase or decrease an option\u2019s value, depending on the option\u2019s terms.
Correlation rates
Correlation is the linear relationship between the movements in two different variables. Correlation is an input to the valuation of
derivative contracts and issued structured notes when an instrument\u2019s payout is determined by correlated variables. When
variables are positively correlated, an increase in one variable will result in an increase in the other variable. When variables are
negatively correlated, an increase in one variable will result in a decrease in the other variable. The referenced variables can be
within a single asset class or market (equity, interest rate, commodities, credit and foreign exchange) or between variables in
different asset classes (equity to foreign exchange, or interest rate to foreign exchange). Changes in correlation will either
increase or decrease a financial instrument\u2019s fair value depending on the terms of the instrument.
Interest rates
An interest rate is the percentage amount charged on a principal or notional amount. Increasing interest rates will decrease the
discounted cash flow value of a financial instrument, and vice versa.
Consumer Price Index swap rates
A CPI swap rate is expressed as a percentage of an increase in the average price of a basket of consumer goods and services,
such as transportation, food and medical care. An increase in the CPI swap rate will cause inflation swap payments to be larger,
and vice versa.
EV/EBITDA multiples, P/E multiples, EV/Rev multiples, and liquidity discounts
Private equity valuation inputs include EV/EBITDA multiples, P/E multiples and EV/Rev multiples. These are used to calculate
either enterprise value or share value of a company based on a multiple of earnings or revenue estimates. Higher multiples
equate to higher fair values for all multiple types, and vice versa. A liquidity discount may be applied when few or no transactions
exist to support the valuations.
Credit Enhancement
Credit enhancement is an input to the valuation of securitized transactions and is the amount of loan loss protection for a senior
tranche. Credit enhancement is expressed as a percentage of the transaction sizes. An increase in credit enhancement will cause
the credit spread to decrease and the tranche fair value to increase, and vice versa.
Interrelationships between unobservable inputs
Unobservable inputs, including the above discount margin, default rate, prepayment rate, and recovery and loss severity rates,
may not be independent of each other. For example, the discount margin can be affected by a change in default rate, prepayment
rate, or recovery and loss severity rates. Discount margins will generally decrease when default rates decline or when recovery
rates increase.
Changes in fair value measurement for instruments measured on a recurring basis and categorized in Level 3
For the year ended October 31, 2023
Gains
Gains
Gains
Fair value
(losses)
(losses)
Settlement
Transfers
Transfers
Fair value
(losses) included
at beginning
included in
included
Purchases
(sales) and
into
out of
at end of
in earnings for
(Millions of Canadian dollars)
of period
earnings
in OCI
(1)
(issuances)
other
(2)
Level 3
Level 3
period
positions still held
Assets
Securities
Trading
Debt issued or guaranteed by:
U.S. state, municipal and agencies
$
4
$
\u2013
$
\u2013
$
\u2013
$
(4)
$
\u2013
$
\u2013
$
\u2013
$
\u2013
Asset-backed securities
Non-CDO securities
2
\u2013
\u2013
\u2013
(2)
\u2013
\u2013
\u2013
\u2013
Corporate debt and other debt
7
\u2013
\u2013
2
(16)
17
(10)
\u2013
\u2013
Equities
1,874
(196)
21
586
(67)
48
\u2013
2,266
(154)
1,887
(196)
21
588
(89)
65
(10)
2,266
(154)
Investment
Mortgage-backed securities
28
\u2013
\u2013
1
\u2013
\u2013
\u2013
29
n.a.
Corporate debt and other debt
151
\u2013
9
\u2013
(11)
\u2013
\u2013
149
n.a.
Equities
397
\u2013
70
1
(2)
\u2013
\u2013
466
n.a.
576
\u2013
79
2
(13)
\u2013
\u2013
644
n.a.
Loans
1,692
(95)
33
1,443
(868)
30
(376)
1,859
(44)
Other
Net derivative balances
(3)
Interest rate contracts
(859)
(63)
5
(48)
235
42
26
(662)
(43)
Foreign exchange contracts
(132)
10
10
(14)
44
\u2013
33
(49)
8
Other contracts
(785)
83
4
(143)
78
(159)
484
(438)
152
Valuation adjustments
53
\u2013
\u2013
\u2013
(50)
\u2013
\u2013
3
\u2013
Other assets
15
\u2013
1
\u2013
(5)
\u2013
\u2013
11
\u2013
$ 2,447
$ (261)
$ 153
$ 1,828
$ (668)
$
(22)
$
157
$ 3,634
$
(81)
Liabilities
Deposits
$
(241)
$
5
$
\u2013
$
(260)
$
23
$ (134)
$
224
$
(383)
$
24
Other
Other liabilities
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
$
(241)
$
5
$
\u2013
$
(260)
$
23
$ (134)
$
224
$
(383)
$
24
\n \n
For the year ended October 31, 2022
Gains
Gains
Gains
Fair value
(losses)
(losses)
Settlement
Transfers
Transfers
Fair value
(losses) included
at beginning
included in
included
Purchases
(sales) and
into
out of
at end of
in earnings for
(Millions of Canadian dollars)
of period
earnings
in OCI (1)
(issuances)
other (2)
Level 3
Level 3
period
positions still held
Assets
Securities
Trading
Debt issued or guaranteed by:
U.S. state, municipal and agencies
$
25
$
\u2013
$
2
$
\u2013
$
(23)
$
\u2013
$
\u2013
$
4
$
\u2013
Asset-backed securities
Non-CDO securities
2
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
2
\u2013
Corporate debt and other debt
25
(3)
\u2013
\u2013
(6)
9
(18)
7
\u2013
Equities
1,530
14
100
314
(82)
1
(3)
1,874
43
1,582
11
102
314
(111)
10
(21)
1,887
43
Investment
Mortgage-backed securities
20
\u2013
8
\u2013
\u2013
\u2013
\u2013
28
n.a.
Corporate debt and other debt
152
\u2013
2
\u2013
\u2013
\u2013
(3)
151
n.a.
Equities
334
\u2013
51
11
(1)
37
(35)
397
n.a.
506
\u2013
61
11
(1)
37
(38)
576
n.a.
Loans
1,077
(25)
(37)
407
(466)
802
(66)
1,692
(78)
Other
Net derivative balances
(3)
Interest rate contracts
(635)
(187)
(5)
17
64
(13)
(100)
(859)
(16)
Foreign exchange contracts
47
(103)
(2)
(22)
3
5
(60)
(132)
(90)
Other contracts
(393)
165
(34)
(245)
70
(406)
58
(785)
271
Valuation adjustments
20
\u2013
\u2013
25
(11)
19
\u2013
53
\u2013
Other assets
\u2013
\u2013
1
15
(1)
\u2013
\u2013
15
\u2013
$ 2,204
$ (139)
$
86
$
522
$ (453)
$
454
$ (227)
$ 2,447
$ 130
Liabilities
Deposits
$
(151)
$
2
$
(3)
$
(120)
$
26
$ (143)
$
148
$
(241)
$
19
Other
Other liabilities
(7)
(1)
\u2013
\u2013
8
\u2013
\u2013
\u2013
\u2013
$
(158)
$
1
$
(3)
$
(120)
$
34
$ (143)
$
148
$
(241)
$
19
(1)
These amounts include the foreign currency translation gains or losses arising on consolidation of foreign subsidiaries relating to the Level 3 instruments, where
applicable. The unrealized gains on Investment securities recognized in OCI were $65 million for the year ended October 31, 2023 (October 31, 2022 \u2013 gains of $50 million)
excluding the translation gains or losses arising on consolidation.
(2)
Other includes amortization of premiums or discounts recognized in net income.
(3)
Net derivatives as at October 31, 2023 included derivative assets of $409 million (October 31, 2022 \u2013 $383 million) and derivative liabilities of $1,555 million (October 31, 2022 \u2013
$2,106 million).
n.a.
not applicable
Transfers between fair value hierarchy levels for instruments carried at fair value on a recurring basis
Transfers between Level 1 and Level 2, and transfers into and out of Level 3 are assumed to occur at the end of the period. For an
asset or a liability that transfers into Level 3 during the period, the entire change in fair value for the period is excluded from the
Gains (losses) included in earnings for positions still held column of the above reconciliation, whereas for transfers out of Level 3
during the period, the entire change in fair value for the period is included in the same column of the above reconciliation.
Transfers between Level 1 and 2 are dependent on whether fair value is obtained on the basis of quoted market prices in active
markets (Level 1).
During the year ended October 31, 2023, significant transfers out of Level 1 to Level 2 included Trading U.S. federal, state,
municipal and agencies debt of $763 million, Investment U.S. federal, state, municipal and agencies debt of $435 million and
Obligations related to securities sold short of $151 million. During the year ended October 31, 2022, there were no significant
transfers out of Level 1 to Level 2.
During the year ended October 31, 2023 and October 31, 2022, there were no significant transfers out of Level 2 to Level 1.
Transfers between Level 2 and Level 3 are primarily due to either a change in the market observability for an input, or a change in
an unobservable input\u2019s significance to a financial instrument\u2019s fair value.
During the year ended October 31, 2023, significant transfers out of Level 2 to Level 3 included Other contracts and Deposits
due to changes in the significance of unobservable inputs and changes in the market observability of inputs. During the year
ended October 31, 2022, significant transfers out of Level 2 to Level 3 included Loans and Other contracts due to changes in the
market observability of inputs and changes in the significance of unobservable inputs.
During the year ended October 31, 2023, significant transfers out of Level 3 to Level 2 included Other contracts, Loans and
Deposits due to changes in the market observability of inputs and changes in the significance of unobservable inputs. During the
year ended October 31, 2022, there were no significant transfers out of Level 3 to Level 2.
Positive and negative fair value movements of Level 3 financial instruments from using reasonably possible alternative
assumptions
A financial instrument is classified as Level 3 in the fair value hierarchy if one or more of its unobservable inputs may
significantly affect the measurement of its fair value. In preparing the financial statements, appropriate levels for these
unobservable input parameters are chosen so that they are consistent with prevailing market evidence or management
judgment. Due to the unobservable nature of the prices or rates, there may be uncertainty about the valuation of these Level 3
financial instruments.
The following table summarizes the impacts to fair values of Level 3 financial instruments using reasonably possible
alternative assumptions. This sensitivity disclosure is intended to illustrate the potential impact of the relative uncertainty in the
fair value of Level 3 financial instruments. In reporting the sensitivities below, we offset balances in instances where: (i) the move
in valuation factors cause an offsetting positive and negative fair value movement, (ii) both offsetting instruments are in Level 3,
and (iii) exposures are managed and reported on a net basis. With respect to overall sensitivity, it is unlikely in practice that all
reasonably possible alternative assumptions would simultaneously be realized.
\n \n
As at
October 31, 2023
October 31, 2022
Positive fair value
Negative fair value
Positive fair value
Negative fair value
movement from
movement from
movement from
movement from
using reasonably
using reasonably
using reasonably
using reasonably
Level 3
possible
possible
Level 3
possible
possible
(Millions of Canadian dollars)
fair value
alternatives
alternatives
fair value
alternatives
alternatives
Securities
Trading
Debt issued or guaranteed by:
U.S. state, municipal and
agencies
$
\u2013
$
\u2013
$
\u2013
$
4
$
\u2013
$
\u2013
Asset-backed securities
\u2013
\u2013
\u2013
2
\u2013
\u2013
Corporate debt and other debt
\u2013
\u2013
\u2013
7
\u2013
\u2013
Equities
2,266
50
(43)
1,874
27
(23)
Investment
Mortgage-backed securities
29
4
(4)
28
4
(4)
Corporate debt and other debt
149
11
(10)
151
12
(10)
Equities
466
48
(47)
397
38
(39)
Loans
1,859
33
(37)
1,692
60
(62)
Derivatives
409
10
(7)
383
5
(3)
Other assets
11
\u2013
\u2013
15
\u2013
\u2013
$
5,189
$
156
$
(148)
$
4,553
$
146
$
(141)
Deposits
$
(383)
$
26
$
(26)
$
(241)
$
9
$
(9)
Derivatives
(1,555)
59
(66)
(2,106)
55
(57)
Other
Other liabilities
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
$ (1,938)
$
85
$
(92)
$ (2,347)
$
64
$
(66)
Sensitivity results
As at October 31, 2023, the effects of applying other reasonably possible alternative assumptions to the Level 3 asset positions
would be an increase of $156 million and a reduction of $148 million in fair value, of which $63 million and $61 million would be
recorded in Other components of equity, respectively. The effects of applying these assumptions to the Level 3 liability positions
would result in a decrease of $85 million and an increase of $92 million in fair value.
Level 3 valuation inputs and approaches to developing reasonably possible alternative assumptions
The following is a summary of the unobservable inputs used in the valuation of the Level 3 instruments and our approaches to
developing reasonably possible alternative assumptions used to determine sensitivity.
\n \n
Financial assets or
Sensitivity methodology
liabilities
Asset-backed securities,
Sensitivities are determined based on adjusting, plus or minus one standard deviation, the
corporate debt, government
bid-offer spreads or input prices if a sufficient number of prices are received, adjusting input
debt, municipal bonds and
parameters such as credit spreads or using high and low vendor prices as reasonably possible
loans
alternative assumptions.
Private equities, hedge fund
Sensitivity of direct private equity investments is determined by (i) adjusting the discount rate
investments and related
by 2% when the discounted cash flow method is used to determine fair value, (ii) adjusting the
equity derivatives
price multiples based on the range of multiples of comparable companies when price-multiples-
based models are used, or (iii) using an alternative valuation approach. The private equity fund,
hedge fund and related equity derivative NAVs are provided by the fund managers, and as a
result, there are no other reasonably possible alternative assumptions for these investments.
Interest rate derivatives
Sensitivities of interest rate and cross currency swaps are derived using plus or minus one
standard deviation of the inputs, and an amount representing model and parameter uncertainty,
where applicable.
Equity derivatives
Sensitivity of the Level 3 position is determined by shifting the unobservable model inputs by
plus or minus one standard deviation of the pricing service market data including volatility,
dividends or correlations, as applicable.
Bank funding and deposits
Sensitivities of deposits are calculated by shifting the funding curve by plus or minus certain
basis points.
Structured notes
Sensitivities for interest-rate-linked and equity-linked structured notes are derived by adjusting
inputs by plus or minus one standard deviation, and for other deposits, by estimating a
reasonable move in the funding curve by plus or minus certain basis points.
Fair value for financial instruments that are carried at amortized cost and classified using the fair value hierarchy
As at October 31, 2023
Fair value
Fair value may not approximate carrying value
approximates
Fair value measurements using
Total
(Millions of Canadian dollars)
carrying value
(1)
Level 1
Level 2
Level 3
Total
fair value
Interest-bearing deposits with banks
$
10,230
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
10,230
Amortized cost securities
(2)
\u2013
34
83,633
\u2013
83,667
83,667
Assets purchased under reverse
repurchase agreements and
securities borrowed
39,528
\u2013
14,794
\u2013
14,794
54,322
Loans
Retail
70,606
\u2013
466,962
4,912
471,874
542,480
Wholesale
8,231
\u2013
254,342
6,270
260,612
268,843
78,837
\u2013
721,304
11,182
732,486
811,323
Other assets
67,400
\u2013
914
223
1,137
68,537
195,995
34
820,645
11,405
832,084
1,028,079
Deposits
Personal
252,779
\u2013
159,669
438
160,107
412,886
Business and government
385,727
\u2013
218,761
772
219,533
605,260
Bank
16,902
\u2013
16,251
7
16,258
33,160
655,408
\u2013
394,681
1,217
395,898
1,051,306
Obligations related to assets sold
under repurchase agreements and
securities loaned
36,559
\u2013
\u2013
\u2013
\u2013
36,559
Other liabilities
76,982
\u2013
1,856
13,564
15,420
92,402
Subordinated debentures
\u2013
\u2013
11,213
\u2013
11,213
11,213
$ 768,949
$
\u2013
$ 407,750
$ 14,781
$ 422,531
$ 1,191,480
\n \n
As at October 31, 2022
Fair value
Fair value may not approximate carrying value
approximates
Fair value measurements using
Total
(Millions of Canadian dollars)
carrying value
(1)
Level 1
Level 2
Level 3
Total
fair value
Interest-bearing deposits with banks
$
23,543
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
23,543
Amortized cost securities
(2)
\u2013
\u2013
70,073
\u2013
70,073
70,073
Assets purchased under reverse
repurchase agreements and
securities borrowed
42,224
\u2013
10,956
\u2013
10,956
53,180
Loans
Retail
70,162
\u2013
446,809
4,457
451,266
521,428
Wholesale
17,943
\u2013
230,880
4,993
235,873
253,816
88,105
\u2013
677,689
9,450
687,139
775,244
Other assets
72,198
\u2013
716
170
886
73,084
226,070
\u2013
759,434
9,620
769,054
995,124
Deposits
Personal
271,414
\u2013
108,549
433
108,982
380,396
Business and government
406,045
\u2013
198,265
792
199,057
605,102
Bank
22,638
\u2013
14,120
\u2013
14,120
36,758
700,097
\u2013
320,934
1,225
322,159
1,022,256
Obligations related to assets sold
under repurchase agreements and
securities loaned
25,112
\u2013
\u2013
\u2013
\u2013
25,112
Other liabilities
77,801
\u2013
1,554
10,805
12,359
90,160
Subordinated debentures
\u2013
\u2013
9,608
60
9,668
9,668
$ 803,010
$
\u2013
$
332,096
$ 12,090
$ 344,186
$ 1,147,196
(1)
Certain financial instruments have not been assigned to a level as the carrying amount approximates their fair values.
(2)
Included in Securities \u2013 Investment, net of applicable allowance on the Consolidated Balance Sheets.
Fair values of financial assets and liabilities carried at amortized cost and disclosed in the table above are determined using the
following valuation techniques and inputs.
Amortized cost securities
Fair values of government bonds, corporate bonds, and ABS are based on quoted prices. Fair values of certain Non-OECD
government bonds are based on vendor prices or the discounted cash flow method with yield curves of other countries\u2019
government bonds as inputs. For ABS, where market prices are not available, the fair value is determined using the discounted
cash flow method. The inputs to the valuation model generally include market interest rates, spreads and yields derived from
comparable securities, prepayment, and LGD.
Assets purchased under reverse repurchase agreements and securities borrowed, and Obligations related to assets sold
under repurchase agreements and securities loaned
Valuation methods used for the long-term instruments are described in the Fair value of assets and liabilities measured on a
recurring basis and classified using the fair value hierarchy section of this note. The carrying values of short-term instruments
generally approximate their fair values.
Loans \u2013 Retail
Retail loans include residential mortgages, personal and small business loans and credit cards. For residential mortgages, and
personal and small business loans, we segregate the portfolio based on certain attributes such as product type, contractual
interest rate, term to maturity and credit scores, if applicable. Fair values of these loans are determined by the discounted cash
flow method using applicable inputs such as prevailing interest rates, contractual and posted client rates, client discounts, credit
spreads, prepayment rates and loan-to-value (LTV) ratios. Fair values of credit card receivables are also calculated based on a
discounted cash flow method with portfolio yields, write-offs and monthly payment rates as inputs. The carrying values of short-
term and variable rate loans generally approximate their fair values.
Loans \u2013 Wholesale
Where market prices are available, wholesale loans are valued based on market prices. Otherwise, fair value is determined by
the discounted cash flow method using the following inputs: market interest rates and market based spreads of assets with
similar credit ratings and terms to maturity, LGD, expected default frequency implied from credit default swap prices, if available,
and relevant pricing information such as contractual rate, origination and maturity dates, redemption price, coupon payment
frequency and date convention.
Deposits
Deposits are comprised of demand, notice, and term deposits which include senior deposit notes we have issued to provide us
with long-term funding. Fair values of term deposits are determined by one of several valuation techniques: (i) for term deposits
and similar instruments, we segregate the portfolio based on term to maturity. Fair values of these instruments are determined
by the discounted cash flow method using inputs such as client rates for new sales of the corresponding terms; and (ii) for senior
deposit notes, we use actual traded prices, vendor prices or the discounted cash flow method using a market interest rate curve
and our funding spreads as inputs. The carrying values of demand, notice, and short-term term deposits generally approximate
their fair values.
Other assets and Other liabilities
Other assets and Other liabilities include receivables and payables relating to certain commodities. Fair values of the commodity
receivables and payables are calculated by the discounted cash flow method using applicable inputs such as market interest
rates, counterparties\u2019 credit spreads, our funding spreads, commodity forward prices and spot prices.
Subordinated debentures
Fair values of Subordinated debentures are based on market prices, dealer quotes or vendor prices when available. Where prices
cannot be observed, fair value is determined using the discounted cash flow method, with applicable inputs such as market
interest rates and credit spreads.Note 9
Derivative financial instruments and hedging activities
Derivative instruments are categorized as either financial or non-financial derivatives. Financial derivatives are financial
contracts whose value is derived from an underlying interest rate, foreign exchange rate, credit risk, and equity or equity index.
Non-financial derivatives are contracts whose value is derived from a precious metal, commodity instrument or index. The
notional amount of derivatives represents the contract amount used as a reference point to calculate payments. Notional
amounts are generally not exchanged by counterparties, and do not reflect our EAD.
Financial derivatives
Forwards and futures
Forward contracts are non-standardized agreements that are transacted between counterparties in the OTC market, whereas
futures are standardized contracts with respect to amounts and settlement dates, and are traded on regular futures exchanges.
Examples of forwards and futures are described below.
Interest rate forwards (forward rate agreements) and futures are contractual obligations to buy or sell an interest-rate
sensitive financial instrument on a predetermined future date at a specified price.
Foreign exchange forwards and futures are contractual obligations to exchange one currency for another at a specified price
for settlement at a predetermined future date.
Equity forwards and futures are contractual obligations to buy or sell at a fixed value (the specified price) of an equity index,
a basket of stocks or a single stock at a predetermined future date.
Swaps
Swaps are OTC contracts in which two counterparties exchange a series of cash flows based on agreed upon rates applied to a
notional amount. Examples of swap agreements are described below.
Interest rate swaps are agreements where two counterparties exchange a series of payments based on different interest
rates applied to a notional amount in a single currency. Certain interest rate swaps are transacted and settled through clearing
houses which act as central counterparties. Cross currency swaps involve the exchange of fixed payments in one currency for the
receipt of fixed payments in another currency. Cross currency interest rate swaps involve the exchange of both interest and
notional amounts in two different currencies.
Equity swaps are contracts in which one counterparty agrees to pay or receive from the other cash flows based on changes
in the value of an equity index, a basket of stocks or a single stock.
Options
Options are contractual agreements under which the seller (writer) grants the purchaser the right, but not the obligation, either
to buy (call option) or sell (put option) a security, exchange rate, interest rate, or other financial instrument or commodity at a
specified price, at or by a predetermined future date. The seller (writer) of an option can also settle the contract by paying the
cash settlement value of the purchaser\u2019s right. The seller (writer) receives a premium from the purchaser for this right. The
various option agreements that we enter into include but are not limited to interest rate options, foreign currency options, equity
options and index options.
Credit derivatives
\n
Credit derivatives are OTC contracts that transfer credit risk related to an underlying financial instrument (referenced asset)
\n
from one counterparty to another. Credit derivatives include credit default swaps, credit default baskets and total return swaps.
\n
Credit default swaps provide protection against the decline in the value of the referenced asset as a result of specified credit
\n
events such as default or bankruptcy. They are similar in structure to an option, whereby the purchaser pays a premium to the
\n
seller of the credit default swap in return for payment contingent on a credit event affecting the referenced asset.
\n
Credit default baskets are similar to credit default swaps except that the underlying referenced financial instrument is a
\n
group of assets instead of a single asset.
\n
Total return swaps are contracts where one counterparty agrees to pay or receive from the other cash amounts based on
\n
changes in the value of a referenced asset or group of assets, including any returns such as interest earned on these assets, in
\n
exchange for amounts that are based on prevailing market funding rates.
\n
Other derivative products
\n
Other contracts are stable value and equity derivative contracts.
\n
Non-financial derivatives
\n
Other contracts also include non-financial derivative products such as precious metal and commodity derivative contracts in
\n
both the OTC and exchange markets.
\n
Derivatives issued for trading purposes
\n
Most of our derivative transactions relate to client-driven sales and trading activities, and associated market risk hedging. Sales
\n
activities include the structuring and marketing of derivative products to clients, enabling them to modify or reduce risks. Trading
\n
involves market-making, positioning and arbitrage activities. Market-making involves quoting bid and offer prices to other market
\n
participants with the intention of generating revenue based on spread and volume. Positioning involves the active management of
\n
derivative transactions with the expectation of profiting from favourable movements in prices, rates, or indices. Arbitrage
\n
activities involve identifying and profiting from price differentials between markets and product types. Any realized and unrealized
\n
gains or losses on derivatives used for trading purposes are recognized immediately in Non-interest income \u2013 Trading revenue.
\n
Derivatives issued for other-than-trading purposes
\n
We also use derivatives for purposes other than trading, primarily for hedging, in conjunction with the management of interest
\n
rate, credit, equity and foreign exchange risk related to our funding, lending, investment activities and asset/liability
\n
management.
\n
Interest rate swaps are used to manage our exposure to interest rate risk by modifying the repricing or maturity
\n
characteristics of existing and/or forecasted assets and liabilities, including funding and investment activities. Purchased options
\n
are used to hedge redeemable deposits and other options embedded in consumer products. We manage our exposure to foreign
\n
currency risk with cross currency swaps and foreign exchange forward contracts. We predominantly use credit derivatives to
\n
manage our credit exposures. We mitigate industry sector concentrations and single-name exposures related to our credit
\n
portfolio by purchasing credit derivatives to transfer credit risk to third parties.
\n
Certain derivatives and cash instruments are specifically designated and qualify for hedge accounting. We also enter into
\n
derivative transactions to economically hedge certain exposures that do not otherwise qualify for hedge accounting, or where
\n
hedge accounting is not considered economically feasible to implement. In such circumstances, changes in fair value are
\n
reflected in Non-interest income \u2013 Other income.
Notional amount of derivatives by term to maturity (absolute amounts)
(1)
As at October 31, 2023
Term to maturity
Within
1 through
Over
Other than
(Millions of Canadian dollars)
1 year
5 years
5 years
Total
Trading
Trading
Over-the-counter contracts
Interest rate contracts
Forward rate agreements
$
1,008,978
$
691,397
$
358
$
1,700,733
$
1,700,733
$
\u2013
Swaps
4,220,675
6,651,849
4,418,165
15,290,689
14,169,938
1,120,751
Options purchased
162,845
420,341
166,275
749,461
749,257
204
Options written
144,138
412,239
179,532
735,909
735,562
347
Foreign exchange contracts
Forward contracts
2,336,565
106,069
4,082
2,446,716
2,363,796
82,920
Cross currency swaps
30,098
88,625
74,538
193,261
189,100
4,161
Cross currency interest rate swaps
972,658
2,055,058
1,141,295
4,169,011
4,107,125
61,886
Options purchased
244,721
73,407
2,663
320,791
320,791
\u2013
Options written
254,534
71,039
2,305
327,878
327,878
\u2013
Credit derivatives
(2)
11,709
108,637
114,463
234,809
234,066
743
Other contracts
(3)
261,528
140,225
13,088
414,841
401,373
13,468
Exchange-traded contracts
Interest rate contracts
Futures \u2013 long positions
103,195
24,283
1
127,479
126,879
600
Futures \u2013 short positions
99,792
54,817
1
154,610
154,445
165
Options purchased
12,801
3
\u2013
12,804
12,804
\u2013
Options written
11,206
1,468
\u2013
12,674
12,674
\u2013
Foreign exchange contracts
Futures \u2013 long positions
124
\u2013
\u2013
124
124
\u2013
Other contracts
571,970
154,677
4,586
731,233
731,233
\u2013
$ 10,447,537
$ 11,054,134
$ 6,121,352
$ 27,623,023
$ 26,337,778
$ 1,285,245
\n
As at October 31, 2022
Term to maturity
Within
1 through
Over
Other than
(Millions of Canadian dollars)
1 year
5 years
5 years
Total
Trading
Trading
Over-the-counter contracts
Interest rate contracts
Forward rate agreements
$
763,398
$
44,188
$
353
$
807,939
$
806,576
$
1,363
Swaps
4,994,006
6,934,996
4,781,148
16,710,150
16,001,414
708,736
Options purchased
100,504
577,780
151,084
829,368
829,368
\u2013
Options written
108,770
556,652
182,841
848,263
848,263
\u2013
Foreign exchange contracts
Forward contracts
2,187,124
86,136
2,648
2,275,908
2,230,901
45,007
Cross currency swaps
87,942
67,345
82,659
237,946
233,617
4,329
Cross currency interest rate swaps
518,244
1,572,490
879,541
2,970,275
2,918,063
52,212
Options purchased
58,075
18,061
3,199
79,335
79,335
\u2013
Options written
62,266
16,623
3,274
82,163
82,163
\u2013
Credit derivatives
(2)
1,143
35,621
6,751
43,515
42,785
730
Other contracts
(3)
228,709
93,431
19,392
341,532
327,860
13,672
Exchange-traded contracts
Interest rate contracts
Futures \u2013 long positions
148,032
50,869
\u2013
198,901
197,251
1,650
Futures \u2013 short positions
233,941
98,763
65
332,769
332,320
449
Options purchased
56,353
12,173
\u2013
68,526
68,526
\u2013
Options written
16,394
6,168
\u2013
22,562
22,562
\u2013
Foreign exchange contracts
Futures \u2013 long positions
164
\u2013
\u2013
164
164
\u2013
Other contracts
539,103
89,147
2,094
630,344
630,344
\u2013
$
10,104,168
$
10,260,443
$
6,115,049
$
26,479,660
$
25,651,512
$
828,148
\n
(1)
The derivative notional amounts are determined using the standardized approach for measuring counterparty credit risk (SA-CCR) in accordance with the Capital
\n
Adequacy Requirements (CAR).
\n
(2)
Credit derivatives with a notional value of $1 billion (October 31, 2022 \u2013 $1 billion) are economic hedges. Trading credit derivatives comprise protection purchased of
\n
$119 billion (October 31, 2022 \u2013 $26 billion) and protection sold of $115 billion (October 31, 2022 \u2013 $17 billion).
\n
(3)
Other contracts exclude loan underwriting commitments of $2 billion (October 31, 2022 \u2013 $6 billion), which are not classified as derivatives under CAR guidelines.
Fair value of derivative instruments
(1)
As at
October 31, 2023
October 31, 2022
(Millions of Canadian dollars)
Positive
Negative
Positive
Negative
Held or issued for trading purposes
Interest rate contracts
Forward rate agreements
$
76
$
24
$
77
$
25
Swaps
26,320
22,965
25,690
21,608
Options purchased
11,230
\u2013
12,056
\u2013
Options written
\u2013
11,776
\u2013
12,201
37,626
34,765
37,823
33,834
Foreign exchange contracts
Forward contracts
22,972
22,655
37,734
37,631
Cross currency swaps
7,370
5,815
8,680
9,087
Cross currency interest rate swaps
55,268
46,550
49,758
38,230
Options purchased
2,623
\u2013
2,623
\u2013
Options written
\u2013
1,790
\u2013
2,571
88,233
76,810
98,795
87,519
Credit derivatives
175
176
388
125
Other contracts
16,319
20,865
18,474
21,084
142,353
132,616
155,480
142,562
Held or issued for other-than-trading purposes
Interest rate contracts
Swaps
1,907
7,436
2,244
6,880
1,907
7,436
2,244
6,880
Foreign exchange contracts
Forward contracts
860
509
268
237
Cross currency swaps
\u2013
\u2013
\u2013
22
Cross currency interest rate swaps
555
4,484
374
6,677
1,415
4,993
642
6,936
Credit derivatives
49
\u2013
\u2013
\u2013
Other contracts
71
109
313
273
3,442
12,538
3,199
14,089
Total gross fair values before:
145,795
145,154
158,679
156,651
Valuation adjustments determined on a pooled basis
(1,801)
(981)
(2,055)
(975)
Impact of netting agreements that qualify for balance sheet offset
(1,544)
(1,544)
(2,185)
(2,185)
$ 142,450
$ 142,629
$ 154,439
$ 153,491
\n
(1)
The fair value reflects the impact of characterizing the daily variation margin as settlement of the related derivative fair values as permitted by certain central
\n
counterparties.
\n
Fair value of derivative instruments by term to maturity
(1)
\n \n
As at
October 31, 2023
October 31, 2022
Less than
1 through
Over
Less than
1 through
Over
(Millions of Canadian dollars)
1 year
5 years
5 years
Total
1 year
5 years
5 years
Total
Derivative assets
$ 46,148
52,165
44,137
$ 142,450
$ 56,050
56,792
41,597
$ 154,439
Derivative liabilities
47,707
51,690
43,232
142,629
58,504
54,361
40,626
153,491
(1)
The fair value reflects the impact of characterizing the daily variation margin as settlement of the related derivative fair values as permitted by certain central
counterparties.
Interest rate benchmark reform
(1)
We use interest rate contracts in fair value hedges and cash flow hedges to manage our exposure to interest rate risk from our
existing and/or forecast assets and liabilities. We also use foreign denominated deposit liabilities in net investment hedges to
manage the foreign exchange risk arising from our investments in foreign operations. The hedging instruments designated to
manage these risks reference IBORs in multiple jurisdictions and will be affected by the Reform as the markets transition to ABRs
as discussed in Note 2.
The following table presents the notional or principal amount of our hedging instruments which reference IBORs and are
affected by the Reform as discussed in Note 2. The notional or principal amounts of our hedging instruments also approximates
the extent of the risk exposure we manage through hedging relationships:
\n \n
As at
October 31, 2023
October 31, 2022
Notional/Principal
Notional/Principal
(Millions of Canadian dollars)
amounts
amounts
Interest rate contracts
USD LIBOR
$
\u2013
$
40,208
CDOR
115,048
114,159
Total Return Swaps
CDOR
736
801
Non-derivative instruments
USD LIBOR
\u2013
237
$ 115,784
$ 155,405
(1)
Excludes interest rate contracts and non-derivative instruments which reference rates in multi-rate jurisdictions, including EURO Interbank Offered Rate and Australian
Bank Bill Swap Rate (BBSW).
Derivative-related credit risk
Credit risk from derivative transactions is generated by the potential for the counterparty to default on its contractual
obligations when one or more transactions have a positive market value to us. Therefore, derivative-related credit risk is
represented by the positive fair value of the instrument and is normally a small fraction of the contract\u2019s notional amount.
We subject our derivative transactions to the same credit approval, limit and monitoring standards that we use for managing
other transactions that create credit exposure. This includes evaluating the creditworthiness of counterparties, and managing
the size, diversification and maturity structure of the portfolio. Credit utilization for all products is compared with established
limits on a continual basis and is subject to a standard exception reporting process. We use a single internal rating system for all
credit risk exposure, as outlined in the internal ratings maps in the Credit risk section of Management\u2019s Discussion and Analysis.
Offsetting is a technique that can reduce credit exposure from derivatives and is generally facilitated through the use of
master netting agreements and achieved when specific criteria are met in accordance with our accounting policy in Note 2. A
master netting agreement provides for a single net settlement of all financial instruments covered by the agreement in the event
of default. However, credit risk is reduced only to the extent that our financial obligations to the same counterparty can be set off
against obligations of the counterparty to us. We maximize the use of master netting agreements to reduce derivative-related
credit exposure. Our overall exposure to credit risk that is reduced through master netting agreements may change substantially
following the reporting date as the exposure is affected by each transaction subject to the agreement as well as by changes in
underlying market rates. Measurement of our credit exposure arising out of derivative transactions is reduced to reflect the
effects of netting in cases where the enforceability of that netting is supported by appropriate legal analysis as documented in
our trading credit risk policies.
The use of collateral is another significant credit mitigation technique for managing derivative-related counterparty credit
risk. Mark-to-market provisions in our agreements with some counterparties, typically in the form of a Credit Support Annex,
provide us with the right to request that the counterparty pay down or collateralize the current market value of its derivatives
positions when the value exceeds a specified threshold amount.
Replacement cost and credit equivalent amounts are determined in accordance with OSFI\u2019s non-modelled regulatory SA-CCR
under the CAR guidelines. The replacement cost represents the total fair value of all outstanding contracts in a gain position after
factoring in the master netting agreements and applicable margins. The credit equivalent amount is defined as the replacement
cost plus an additional amount for potential future credit exposure, scaled by a regulatory factor. The risk-weighted equivalent is
determined by applying appropriate risk-weights to the credit equivalent amount, including those risk weights reflective of model
approval under the internal ratings based approach.
\n
Derivative-related credit risk
(1)
\n\n \n
As at
October 31, 2023
October 31, 2022
Credit
Credit
Replacement
equivalent
Risk-weighted
Replacement
equivalent
Risk-weighted
(Millions of Canadian dollars)
cost
amount
equivalent
(2)
cost
amount
equivalent
(2)
Over-the-counter contracts
Interest rate contracts
Forward rate agreements
$
58
$
94
$
6
$
46
$
76
$
5
Swaps
9,613
24,448
3,721
9,699
21,698
5,187
Options purchased
610
1,547
353
108
426
119
Options written
123
564
152
15
543
164
Foreign exchange contracts
Forward contracts
5,655
27,862
5,611
8,772
29,565
5,940
Swaps
4,261
21,483
4,274
6,072
22,188
4,556
Options purchased
841
1,742
383
536
1,111
340
Options written
95
441
109
28
313
86
Credit derivatives
356
1,834
219
299
766
114
Other contracts
1,933
16,002
4,929
5,196
20,457
7,520
Exchange-traded contracts
7,186
16,191
324
11,098
19,870
397
$ 30,731
$ 112,208
$ 20,081
$ 41,869
$ 117,013
$ 24,428
\n
(1)
The amounts presented are net of master netting agreements in accordance with CAR guidelines.
\n
(2)
The risk-weighted balances are calculated in accordance with CAR guidelines and exclude CVA of $13 billion (October 31, 2022 \u2013 $16 billion).
\n
Replacement cost of derivative instruments by risk rating and by counterparty type
\n\n \n
As at October 31, 2023
Risk rating
(1)
Counterparty type
(2)
OECD
(Millions of Canadian dollars)
AAA, AA
A
BBB
BB or lower
Total
Banks
governments
Other
Total
Gross positive fair values
$ 36,224
$ 70,010
$ 28,956
$ 10,605
$ 145,795
$ 69,841
$ 20,268
$ 55,686
$ 145,795
Impact of master netting agreements and
applicable margins
24,025
60,556
22,765
7,718
115,064
68,151
20,237
26,676
115,064
Replacement cost (after netting
agreements)
$ 12,199
$
9,454
$
6,191
$
2,887
$
30,731
$
1,690
$
31
$ 29,010
$
30,731
\n\n \n
As at October 31, 2022
Risk rating
(1)
Counterparty type
(2)
OECD
(Millions of Canadian dollars)
AAA, AA
A
BBB
BB or lower
Total
Banks
governments
Other
Total
Gross positive fair values
$
39,001
$
72,983
$
29,690
$
17,005
$
158,679
$
73,616
$
22,727
$
62,336
$
158,679
Impact of master netting agreements and
applicable margins
21,552
62,614
21,818
10,826
116,810
71,582
22,597
22,631
116,810
Replacement cost (after netting
agreements)
$
17,449
$
10,369
$
7,872
$
6,179
$
41,869
$
2,034
$
130
$
39,705
$
41,869
\n
(1)
Our internal risk ratings of AAA, AA, A and BBB represent investment grade ratings and ratings of BB or lower represent non-investment grade ratings, as outlined in the
\n
internal ratings maps in the Credit risk section of Management\u2019s Discussion and Analysis.
\n
(2)
Counterparty type is defined in accordance with CAR guidelines.
\n
Derivatives in hedging relationships
\n
We apply hedge accounting to minimize volatility in earnings and capital caused by changes in interest rates or foreign exchange
\n
rates. Interest rate and currency fluctuations will either cause assets and liabilities to appreciate or depreciate in market value
\n
or cause variability in forecasted cash flows. When a hedging relationship is effective, gains, losses, revenue and expenses of the
\n
hedging instrument will offset the gains, losses, revenue and expenses of the hedged item.
\n
Derivatives used in hedging relationships are recorded in Other Assets \u2013 Derivatives or Other Liabilities \u2013 Derivatives on our
\n
Consolidated Balance Sheets. Foreign currency-denominated liabilities used in net investment hedging relationships are
\n
recorded in Deposits \u2013 Business and Government and Subordinated debentures on our Consolidated Balance Sheets. Gains and
\n
losses relating to hedging ineffectiveness are recorded in Non-Interest income and amounts reclassified from hedge reserves in
\n
OCI to income are recorded in Net-interest income for cash flow hedges and Non-interest income for net investment hedges.
\n
We assess and measure the effectiveness of a hedging relationship based on the change in the fair value or cash flows of the
\n
derivative hedging instrument relative to the change in the fair value or cash flows of the hedged item attributable to the hedged
\n
risk. When cash instruments are designated as hedges of foreign exchange risks, only changes in their value due to foreign
\n
exchange risk are included in the assessment and measurement of hedge effectiveness.
\n
Potential sources of ineffectiveness can be attributed to differences between hedging instruments and hedged items:
\n
\u2022
Mismatches in the terms of hedged items and hedging instruments, for example the frequency and timing of when
\n
interest rates are reset and frequency of payment.
\n
\u2022
Difference in the discounting factors between the hedged item and the hedging instrument, taking into consideration the
\n
different reset frequency of the hedged item and hedging instrument.
\n
\u2022
Hedging derivatives with a non-zero fair value at inception date of the hedging relationship, resulting in mismatch in
\n
terms with the hedged item.
\n
Below is a description of our risk management strategy for each risk exposure that we decide to hedge:
Interest rate risk
We use interest rate contracts to manage our exposure to interest rate risk by modifying the repricing characteristics of existing
and/or forecasted assets and liabilities, including funding and investment activities. The swaps are designated in either a fair
value hedge or a cash flow hedge and predominantly reference IBORs across multiple jurisdictions. Certain swaps will be
affected by the Reform as the market transitions to ABRs.
For fair value hedges, we use interest rate contracts to manage the fair value movements of our fixed rate instruments due
to changes in benchmark interest. The interest rate swaps are entered into on a one-to-one basis to manage the benchmark
interest rate risk, and its terms are critically matched to the specified fixed rate instruments.
We also use interest rate swaps in fair value hedges to manage interest rate risk from residential mortgage assets and
funding liabilities. Our exposure from this portfolio changes with the origination of new loans, repayments of existing loans and
sale of securitized mortgages. Accordingly, we have adopted dynamic hedging for that portfolio, in which the hedge relationship
is rebalanced on a more frequent basis, such as on a bi-weekly or on a monthly basis.
For cash flow hedges, we use interest rate contracts to manage the exposure to cash flow variability of our variable rate
instruments as a result of changes in benchmark interest rates. The variable rate instruments and forecast transactions which
reference certain IBORs and will be affected by the Reform. Whilst some of the interest rate swaps are entered into on a one-to-
one basis to manage a specific exposure, other interest rate swaps may be entered into for managing interest rate risks of a
portfolio of assets and liabilities.
Foreign exchange risk
We manage our exposure to foreign currency risk with cross currency swaps in a cash flow hedge, and foreign exchange forward
contracts in a net investment hedge. Certain cash instruments may also be designated in a net investment hedge, where
applicable.
For cash flow hedges, we use cross currency swaps and forward contracts to manage the cash flow variability arising from
fluctuations in foreign exchange rates on our issued foreign denominated fixed rate liabilities and highly probable forecasted
transactions. The maturity profile and repayment terms of these swaps are matched to those of our foreign denominated
exposures to limit our cash flow volatility from changes in foreign exchange rates.
For net investment hedges, we use a combination of foreign exchange forwards and cash instruments, such as foreign
denominated deposit liabilities, to manage our foreign exchange risk arising from our investments in foreign operations. Our
most significant exposures include USD, GBP and Euro. When hedging net investments in foreign operations using foreign
exchange forwards, only the undiscounted spot element of the foreign exchange forward is designated as the hedging
instrument. Accordingly, changes in the fair value of the hedging instrument as a result of changes in forward rates and the
effects of discounting are not included in the hedging effectiveness assessment. Foreign operations are only hedged to the extent
of the principal of the foreign denominated deposit liabilities or notional amount of the derivative; we generally do not expect to
incur significant ineffectiveness on hedges of net investments in foreign operations.
Equity price risk
We use total return swaps in cash flow hedges to mitigate the cash flow variability of the expected payment associated with our
cash settled share-based compensation plan for certain key employees by exchanging interest payments for indexed RBC share
price change and dividend returns.
Credit risk
We predominantly use credit derivatives to economically hedge our credit exposures. We mitigate industry sector concentrations
and single-name exposures related to our credit portfolio by purchasing credit derivatives to transfer credit risk to third parties.
Derivative instruments designated in hedging relationships
(1)
The following table presents the fair values of the derivative instruments and the principal amounts of the non-derivative
liabilities, categorized by their hedging relationships, as well as derivatives that are not designated in hedging relationships.
\n \n
As at
October 31, 2023
October 31, 2022
Designated as hedging instruments
Designated as hedging instruments
in hedging relationships
Not designated
in hedging relationships
Not designated
Net
in a hedging
Net
in a hedging
(Millions of Canadian dollars)
Fair value
Cash flow
investment
relationship
Fair value
Cash flow
investment
relationship
Assets
Derivative instruments
$
156
$
19
$
13
$
142,262
$
247
$
57
$
36
$
154,099
Liabilities
Derivative instruments
50
100
409
142,070
27
\u2013
126
153,338
Non-derivative instruments
\u2013
\u2013
25,427
n.a.
\u2013
\u2013
25,798
n.a.
(1)
The fair value reflects the impact of characterizing the daily variation margin as settlement of the related derivative fair values as permitted by certain central
counterparties.
n.a.
not applicable
The following tables provide the remaining term to maturity analysis of the notional amounts and the weighted average rates of
the hedging instruments and their carrying amounts by types of hedging relationships:
Fair value hedges
As at October 31, 2023
Notional amounts
Carrying amount
(1)
Within
1 through
Over
\u00a0
(Millions of Canadian dollars, except average rates)
1 year
5 years
5 years
Total
Assets
Liabilities
Interest rate risk
\u00a0
Interest rate contracts
\u00a0
Hedge of fixed rate assets
$
8,853
$ 62,948
$ 21,702
$ 93,503
$
156
$
\u2013
Hedge of fixed rate liabilities
23,592
75,130
10,236
108,958
\u2013
50
Weighted average fixed interest rate
\u00a0
Hedge of fixed rate assets
4.3%
3.6%
3.2%
3.6%
\u00a0
Hedge of fixed rate liabilities
2.1%
2.4%
2.6%
2.3%
\u00a0
As at October 31, 2022
Notional amounts
Carrying amount
(1)
Within
1 through
Over
(Millions of Canadian dollars, except average rates)
1 year
5 years
5 years
Total
Assets
Liabilities
Interest rate risk
Interest rate contracts
Hedge of fixed rate assets
$
9,083
$
32,173
$
15,516
$
56,772
$
247
$
3
Hedge of fixed rate liabilities
13,231
69,419
10,094
92,744
\u2013
24
Weighted average fixed interest rate
Hedge of fixed rate assets
1.1%
2.5%
2.8%
2.3%
Hedge of fixed rate liabilities
1.9%
1.8%
2.0%
1.9%
(1)
The carrying amount reflects the impact of characterizing the daily variation margin as settlement of the related derivative fair values as permitted by certain central
counterparties.
Cash flow hedges
As at October 31, 2023
Notional amounts
Carrying amount
(1)
Within
1 through
Over
(Millions of Canadian dollars, except average rates)
1 year
5 years
5 years
Total
Assets
Liabilities
Interest rate risk
Interest rate contracts
Hedge of variable rate assets
$ 63,927
$ 68,470
$
1,097
$ 133,494
$
\u2013
$
\u2013
Hedge of variable rate liabilities
16,696
63,527
32,802
113,025
\u2013
\u2013
Weighted average fixed interest rate
Hedge of variable rate assets
4.5%
3.4%
3.7%
4.0%
Hedge of variable rate liabilities
4.9%
3.8%
2.8%
3.7%
Foreign exchange risk
Cross currency swaps
$
63
$
916
$
\u2013
$
979
$
19
$
14
Weighted average CAD-EUR exchange rate
1.48
1.44
n.a.
1.45
Weighted average CAD-USD exchange rate
n.a.
1.34
n.a.
1.34
As at October 31, 2022
Notional amounts
Carrying amount
(1)
Within
1 through
Over
(Millions of Canadian dollars, except average rates)
1 year
5 years
5 years
Total
Assets
Liabilities
Interest rate risk
Interest rate contracts
Hedge of variable rate assets
$
50,436
$
74,726
$
1,023
$
126,185
$
\u2013
$
\u2013
Hedge of variable rate liabilities
6,221
42,830
24,024
73,075
\u2013
\u2013
Weighted average fixed interest rate
Hedge of variable rate assets
3.3%
2.8%
2.5%
3.0%
Hedge of variable rate liabilities
2.0%
1.5%
2.0%
1.7%
Foreign exchange risk
Cross currency swaps
$
\u2013
$
314
$
\u2013
$
314
$
32
$
\u2013
Weighted average CAD-EUR exchange rate
n.a.
1.44
n.a.
1.44
Weighted average CAD-USD exchange rate
n.a.
n.a.
n.a.
n.a.
(1)
The carrying amount reflects the impact of characterizing the daily variation margin as settlement of the related derivative fair values as permitted by certain central
counterparties.
n.a.
not applicable
Net investment hedges
\n \n
As at October 31, 2023
Notional/Principal
Carrying amount
Within
1 through
Over
(Millions of Canadian dollars, except average rates)
1 year
5 years
5 years
Total
Assets
Liabilities
Foreign exchange risk
Foreign currency liabilities
$
6,061
$ 14,653
$
6,413
$ 27,127
n.a.
$25,427
Weighted average CAD-USD exchange rate
1.28
1.29
1.33
1.30
Weighted average CAD-EUR exchange rate
n.a.
n.a.
n.a.
n.a.
Weighted average CAD-GBP exchange rate
\u2013
1.71
\u2013
1.71
Forward contracts
$ 18,920
$
\u2013
$
\u2013
$ 18,920
$
13
$
409
Weighted average CAD-USD exchange rate
1.36
n.a.
n.a.
1.36
Weighted average CAD-EUR exchange rate
1.45
n.a.
n.a.
1.45
Weighted average CAD-GBP exchange rate
1.68
n.a.
n.a.
1.68
\n \n
As at October 31, 2022
Notional/Principal
Carrying amount
Within
1 through
Over
(Millions of Canadian dollars, except average rates)
1 year
5 years
5 years
Total
Assets
Liabilities
Foreign exchange risk
Foreign currency liabilities
$
5,462
$
20,851
$
1,025
$
27,338
n.a.
$ 25,798
Weighted average CAD-USD exchange rate
1.31
1.28
1.28
1.29
Weighted average CAD-EUR exchange rate
\u2013
1.51
1.48
1.51
Weighted average CAD-GBP exchange rate
\u2013
1.71
\u2013
1.71
Forward contracts
$
6,089
$
\u2013
$
\u2013
$
6,089
$
36
$
126
Weighted average CAD-USD exchange rate
1.34
n.a.
n.a.
1.34
Weighted average CAD-EUR exchange rate
1.36
n.a.
n.a.
1.36
Weighted average CAD-GBP exchange rate
1.55
n.a.
n.a.
1.55
n.a.
not applicable
The following tables present the details of the hedged items categorized by their hedging relationships:
Fair value hedges \u2013 Assets and liabilities designated as hedged items
\n \n
As at and for the year ended October 31, 2023
Accumulated amount of fair
value adjustments on the
hedged item included in the
Carrying amount
carrying amount
Changes in fair
values used for
calculating hedge
(Millions of Canadian dollars)
Assets
Liabilities
Assets
Liabilities
Consolidated Balance Sheet items:
ineffectiveness
Interest rate risk
Fixed rate assets
(1)
Securities \u2013 Investment, net of
applicable allowance; Loans \u2013 Retail;
$86,734
$
\u2013
$ (3,911)
$
\u2013
Loans \u2013 Wholesale
$ (1,445)
Fixed rate liabilities
(1)
Deposits \u2013 Business and government;
Subordinated debentures;
\u2013
102,535
\u2013
(6,340)
Deposits \u2013 Bank
276
\n \n
As at and for the year ended October 31, 2022
Accumulated amount of fair
value adjustments on the
hedged item included in the
Carrying amount
carrying amount
Changes in fair
values used for
calculating hedge
(Millions of Canadian dollars)
Assets
Liabilities
Assets
Liabilities
Consolidated Balance Sheet items:
ineffectiveness
Interest rate risk
Fixed rate assets
(1)
Securities \u2013 Investment, net of
applicable allowance; Loans \u2013 Retail;
$ 52,216
$
\u2013
$ (3,285)
$
\u2013
Loans \u2013 Wholesale
$ (3,695)
Fixed rate liabilities
(1)
Deposits \u2013 Business and government;
Subordinated debentures;
\u2013
86,738
\u2013
(5,924)
Deposits \u2013 Bank
5,742
(1)
As at October 31, 2023, the accumulated amount of fair value hedge adjustments remaining on our Consolidated Balance Sheets for hedged items that have ceased to be
adjusted for hedging gains and losses is a of loss of $539 million for fixed rate assets and a gain of $259 million for fixed rate liabilities (October 31, 2022 \u2013 loss of
$486 million and loss of $25 million, respectively).
Cash flow and net investment hedges \u2013 Assets and liabilities designated as hedged items
As at and for the year ended October 31, 2023
Changes in fair
Cash flow hedge/foreign
values used for
currency translation reserve
calculating hedge
Continuing
Discontinued
(Millions of Canadian dollars)
Consolidated Balance Sheet items:
ineffectiveness
hedges
hedges
Cash flow hedges
Interest rate risk
Variable rate assets
Securities \u2013 Investment, net of
applicable allowance; Loans \u2013 Retail;
$
2,248
$
(2,115)
$
(3,126)
Interest bearing deposits with banks;
Assets purchased under reverse
repurchase agreements and securities borrowed
Variable rate liabilities
Deposits \u2013 Business and government;
Deposits \u2013 Personal;
(2,558)
3,535
5,607
Obligations related to assets sold under
repurchase agreements and securities loaned
Foreign exchange risk
Fixed rate assets
Securities \u2013 Investment, net of
applicable allowance
50
\u2013
\u2013
Net investment hedges
Foreign exchange risk
Foreign subsidiaries
n.a.
1,513
(7,297)
(382)
As at and for the year ended October 31, 2022
Changes in fair
Cash flow hedge/foreign
values used for
currency translation reserve
calculating hedge
Continuing
Discontinued
(Millions of Canadian dollars)
Consolidated Balance Sheet items:
ineffectiveness
hedges
hedges
Cash flow hedges
Interest rate risk
Variable rate assets
Securities \u2013 Investment, net of
applicable allowance; Loans \u2013 Retail;
$
4,720
$
(1,777)
$
(2,668)
Interest bearing deposits with banks;
Assets purchased under reverse
repurchase agreements and securities borrowed
Variable rate liabilities
Deposits \u2013 Business and government;
(6,895)
5,471
2,231
Deposits \u2013 Personal;
Obligations related to assets sold under
repurchase agreements and securities loaned
Foreign exchange risk
Fixed rate assets
Securities \u2013 Investment, net of
applicable allowance
(17)
7
\u2013
Net investment hedges
Foreign exchange risk
Foreign subsidiaries
n.a.
1,927
(5,936)
(421)
n.a.
not applicable
Effectiveness of designated hedging relationships
For the year ended October 31, 2023
Hedge
Change in fair value
ineffectiveness
Changes in the value of
Amount reclassified
of hedging
recognized in
the hedging instrument
from hedge reserves
(Millions of Canadian dollars)
instrument
income
(1)
recognized in OCI
to income
Fair value hedges
Interest rate risk
Interest rate contracts \u2013 fixed rate assets
$
1,385
$
(60)
n.a.
n.a.
Interest rate contracts \u2013 fixed rate liabilities
(205)
71
n.a.
n.a.
Cash flow hedges
Interest rate risk
Interest rate contracts \u2013 variable rate assets
(2,232)
7
$
(3,930)
$
(3,121)
Interest rate contracts \u2013 variable rate liabilities
2,416
(11)
4,498
3,045
Foreign exchange risk
Cross currency swap \u2013 fixed rate assets
(50)
\u2013
(44)
(37)
Net investment hedges
Foreign exchange risk
Foreign currency liabilities
(684)
\u2013
(684)
\u2013
Forward contracts
(828)
\u2013
(828)
(191)
For the year ended October 31, 2022
Hedge
Change in fair value
ineffectiveness
Changes in the value of
Amount reclassified
of hedging
recognized in
the hedging instrument
from hedge reserves
(Millions of Canadian dollars)
instrument
income
(1)
recognized in OCI
to income
Fair value hedges
Interest rate risk
Interest rate contracts \u2013 fixed rate assets
$
3,650
$
(45)
n.a.
n.a.
Interest rate contracts \u2013 fixed rate liabilities
(5,713)
29
n.a.
n.a.
Cash flow hedges
Interest rate risk
Interest rate contracts \u2013 variable rate assets
(4,698)
(36)
$
(4,432)
$
(185)
Interest rate contracts \u2013 variable rate liabilities
6,713
37
6,673
(118)
Foreign exchange risk
Cross currency swap \u2013 fixed rate assets
17
\u2013
23
17
Net investment hedges
Foreign exchange risk
Foreign currency liabilities
(1,771)
(3)
(1,768)
\u2013
Forward contracts
(159)
\u2013
(159)
(23)
(1)
Hedge ineffectiveness recognized in income included gains of $3 million that are excluded from the assessment of hedge effectiveness and are offset by economic
hedges (October 31, 2022 \u2013 losses of $19 million).
n.a.
not applicable
Reconciliation of components of equity
The following table provides a reconciliation by risk category of each component of equity and an analysis of other
comprehensive income relating to hedge accounting:
For the year ended October 31, 2023
For the year ended October 31, 2022
Cash flow hedge
Foreign currency
Cash flow hedge
Foreign currency
(Millions of Canadian dollars)
reserve
translation reserve
reserve
translation reserve
Balance at the beginning of the year
$
2,394
$
5,688
$
566
$
2,055
Cash flow hedges
Effective portion of changes in fair value:
Interest rate risk
568
2,241
Foreign exchange risk
(44)
23
Equity price risk
(119)
(1)
Net amount reclassified to profit or loss:
Ongoing hedges:
Interest rate risk
(377)
(227)
Foreign exchange risk
37
(17)
Equity price risk
93
(23)
De-designated hedges:
Interest rate risk
453
530
Hedges of net investment in foreign operations
Foreign exchange denominated debt
(684)
(1,768)
Forward foreign exchange contracts
(828)
(159)
Foreign currency translation differences for
foreign operations
2,164
5,085
Reclassification of losses (gains) on foreign
currency translation to income
(160)
(18)
Reclassification of losses (gains) on net
investment hedging activities to income
191
23
Tax on movements on reserves during the
period
(249)
241
(698)
470
Balance at the end of the year
$
2,756
$
6,612
$
2,394
$
5,688
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23645": { "value": "Note 3
Fair value of financial instruments
Carrying value and fair value of financial instruments
The following tables provide a comparison of the carrying and fair values for each classification of financial instruments.
Embedded derivatives are presented on a combined basis with the host contracts. For measurement purposes, they are carried
at fair value when conditions requiring separation are met.
\u00a0
As at October 31, 2023
\u00a0
Carrying value and fair value
\u00a0 \u00a0
Carrying value
Fair value
\u00a0 \u00a0
\u00a0
Financial
Financial
Financial
\u00a0
Financial
Financial
Financial
\u00a0 \u00a0
\u00a0
instruments
instruments
instruments
\u00a0
instruments
instruments
instruments
Total
\u00a0
\u00a0
classified as
designated as
classified as
\u00a0
designated as
measured at
measured at
carrying
Total
(Millions of Canadian dollars)
FVTPL
FVTPL
FVOCI
\u00a0
FVOCI
amortized cost
amortized cost
amount
fair value
Financial assets
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Interest-bearing deposits with banks
$
\u2013
$
60,856
$
\u2013
\u00a0
$
\u2013
$
10,230
$
10,230
$
71,086
$
71,086
Securities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Trading
180,651
9,500
\u2013
\u00a0
\u2013
\u2013
\u2013
190,151
190,151
Investment, net of applicable allowance
\u2013
\u2013
127,624
\u00a0
842
91,113
83,667
219,579
212,133
\u00a0
180,651
9,500
127,624
\u00a0
842
91,113
83,667
409,730
402,284
Assets purchased under reverse repurchase
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
agreements and securities borrowed
285,869
\u2013
\u2013
\u00a0
\u2013
54,322
54,322
340,191
340,191
Loans, net of applicable allowance
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Retail
114
362
280
\u00a0
\u2013
566,376
542,480
567,132
543,236
Wholesale
5,629
3,619
597
\u00a0
\u2013
275,796
268,843
285,641
278,688
\u00a0
5,743
3,981
877
\u00a0
\u2013
842,172
811,323
852,773
821,924
Other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Derivatives
142,450
\u2013
\u2013
\u00a0
\u2013
\u2013
\u2013
142,450
142,450
Other assets
(1)
4,819
5
\u2013
\u00a0
\u2013
68,537
68,537
73,361
73,361
Financial liabilities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Deposits
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Personal
$
109
$
26,702
\u00a0 \u00a0 \u00a0
$
415,135
$
412,886
$
441,946
$
439,697
Business and government
(2)
174
137,454
\u00a0 \u00a0 \u00a0
607,447
605,260
745,075
742,888
Bank
(3)
\u2013
11,462
\u00a0 \u00a0 \u00a0
33,204
33,160
44,666
44,622
\u00a0
283
175,618
\u00a0 \u00a0 \u00a0
1,055,786
1,051,306
1,231,687
1,227,207
Other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Obligations related to securities sold short
33,651
\u2013
\u00a0 \u00a0 \u00a0
\u2013
\u2013
33,651
33,651
Obligations related to assets sold under
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
repurchase agreements and securities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
loaned
\u2013
298,679
\u00a0 \u00a0 \u00a0
36,559
36,559
335,238
335,238
Derivatives
142,629
\u2013
\u00a0 \u00a0 \u00a0
\u2013
\u2013
142,629
142,629
Other liabilities
(4)
(937)
11
\u00a0 \u00a0 \u00a0
92,500
92,402
91,574
91,476
Subordinated debentures
\u2013
\u2013
\u00a0 \u00a0 \u00a0
11,386
11,213
11,386
11,213
As at October 31, 2022
Carrying value and fair value
Carrying value
Fair value
Financial
Financial
Financial
Financial
Financial
Financial
instruments
instruments
instruments
instruments
instruments
instruments
Total
classified as
designated as
classified as
designated as
measured at
measured at
carrying
Total
(Millions of Canadian dollars)
FVTPL
FVTPL
FVOCI
FVOCI
amortized cost
amortized cost
amount
fair value
Financial assets
Interest-bearing deposits with banks
$
\u2013
$
84,468
$
\u2013
$
\u2013
$
23,543
$
23,543
$
108,011
$
108,011
Securities
Trading
138,507
9,698
\u2013
\u2013
\u2013
\u2013
148,205
148,205
Investment, net of applicable allowance
\u2013
\u2013
92,063
828
77,127
70,073
170,018
162,964
138,507
9,698
92,063
828
77,127
70,073
318,223
311,169
Assets purchased under reverse repurchase
agreements and securities borrowed
264,665
\u2013
\u2013
\u2013
53,180
53,180
317,845
317,845
Loans, net of applicable allowance
Retail
73
375
218
\u2013
546,767
521,428
547,433
522,094
Wholesale
6,914
3,222
563
\u2013
261,833
253,816
272,532
264,515
6,987
3,597
781
\u2013
808,600
775,244
819,965
786,609
Other
Derivatives
154,439
\u2013
\u2013
\u2013
\u2013
\u2013
154,439
154,439
Other assets
(1)
3,377
\u2013
\u2013
\u2013
73,084
73,084
76,461
76,461
Financial liabilities
Deposits
Personal
$
298
$
21,959
$
382,675
$
380,396
$
404,932
$
402,653
Business and government
(2)
447
152,119
607,304
605,102
759,870
757,668
Bank
(3)
\u2013
7,196
36,816
36,758
44,012
43,954
745
181,274
1,026,795
1,022,256
1,208,814
1,204,275
Other
Obligations related to securities sold short
35,511
\u2013
\u2013
\u2013
35,511
35,511
Obligations related to assets sold under
repurchase agreements and securities
loaned
\u2013
248,835
25,112
25,112
273,947
273,947
Derivatives
153,491
\u2013
\u2013
\u2013
153,491
153,491
Other liabilities
(4)
(360)
69
90,348
90,160
90,057
89,869
Subordinated debentures
\u2013
\u2013
10,025
9,668
10,025
9,668
\n
(1)
Includes Customers\u2019 liability under acceptances and financial instruments recognized in Other assets.
\n
(2)
Business and government deposits include deposits from regulated deposit-taking institutions other than banks.
\n
(3)
Bank deposits refer to deposits from regulated banks and central banks.
\n
(4)
Includes Acceptances and financial instruments recognized in Other liabilities.
\n
Financial assets designated as fair value through profit or loss
\n
For our financial assets designated as FVTPL, we measure the change in fair value attributable to changes in credit risk as the
\n
difference between the total change in the fair value of the instrument during the period and the change in fair value calculated
\n
using the appropriate risk-free yield curves. For the year ended October 31, 2023, the change in fair value during the period
\n
attributable to changes in credit risk for positions still held was a gain of $360 million and the cumulative change in fair value
\n
attributable to changes in credit risk for positions still held was a loss of $102 million. For the year ended October 31, 2022, the
\n
change in fair value during the period attributable to changes in credit risk for positions still held was a loss of $662 million and
\n
the cumulative change in fair value attributable to changes in credit risk for positions still held was a loss of $490 million. As at
\n
October 31, 2023, the extent to which credit derivatives or similar instruments mitigate the maximum exposure to credit risk was
\n
$692 million (October 31, 2022 \u2013 $589 million).
\n
Financial liabilities designated as fair value through profit or loss
\n
For our financial liabilities designated as FVTPL, we take into account changes in our own credit spread and the expected
\n
duration of the instrument to measure the change in fair value attributable to changes in credit risk.
As at or for the year ended October 31, 2023
(1)
Difference
between
Changes in fair value attributable
Contractual
carrying value
to changes in credit risk included
maturity
and contractual
in OCI for positions still held
(Millions of Canadian dollars)
amount
Carrying value
maturity amount
During the period
Cumulative
(2)
Term deposits
Personal
$
27,131
$
26,702
$
(429)
$
112
$
(57)
Business and government
(3)
147,844
137,454
(10,390)
683
(1,030)
Bank
(4)
11,485
11,462
(23)
\u2013
\u2013
186,460
175,618
(10,842)
795
(1,087)
Obligations related to assets sold under
repurchase agreements and securities loaned
298,734
298,679
(55)
3
4
Other liabilities
11
11
\u2013
\u2013
\u2013
$
485,205
$
474,308
$ (10,897)
$
798
$ (1,083)
As at or for the year ended October 31, 2022 (1)
Difference
between
Changes in fair value attributable
Contractual
carrying value
to changes in credit risk included
maturity
and contractual
in OCI for positions still held
(Millions of Canadian dollars)
amount
Carrying value
maturity amount
During the period
Cumulative (2)
Term deposits
Personal
$
22,328
$
21,959
$
(369)
$
(238)
$
(166)
Business and government
(3)
160,775
152,119
(8,656)
(2,135)
(1,718)
Bank
(4)
7,208
7,196
(12)
\u2013
\u2013
190,311
181,274
(9,037)
(2,373)
(1,884)
Obligations related to assets sold under
repurchase agreements and securities loaned
248,963
248,835
(128)
1
1
Other liabilities
69
69
\u2013
\u2013
\u2013
$
439,343
$
430,178
$
(9,165)
$ (2,372)
$
(1,883)
(1)
$29 million in changes in fair value attributable to changes in credit risk were recognized in income for the year ended October 31, 2023, and $17 million in cumulative
changes in credit risk were included in income for positions still held life-to-date (October 31, 2022 \u2013 $97 million and $97 million respectively).
(2)
The cumulative change is measured from the initial designation of the liabilities as FVTPL. For the year ended October 31, 2023, $2 million of fair value gains previously
included in OCI relate to financial liabilities derecognized during the year (October 31, 2022 \u2013 $3 million of fair value gains).
(3)
Business and government term deposits include amounts from regulated deposit-taking institutions other than regulated banks.
(4)
Bank term deposits refer to amounts from regulated banks and central banks.
Net gains (losses) from financial instruments classified and designated as fair value through profit or loss
Financial instruments classified as FVTPL, which includes mainly trading securities, derivatives, trading liabilities, and financial
assets and liabilities designated as FVTPL are measured at fair value with realized and unrealized gains and losses recognized in
Non-interest income.
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Net gains (losses)
(1)
Classified as fair value through profit or loss
(2)
$
1,998
$
(7,382)
Designated as fair value through profit or loss
(3)
1,499
8,543
$
3,497
$
1,161
By product line
(1)
Interest rate and credit
(4)
$
3,515
$
1,251
Equities
(510)
(843)
Foreign exchange and commodities
492
753
$
3,497
$
1,161
(1)
Excludes the following amounts related to our insurance operations and included in Insurance premiums, investment and fee income in the Consolidated Statements of
Income: Net losses from financial instruments designated as FVTPL of $371 million (October 31, 2022 \u2013 losses of $2,805 million).
(2)
Excludes derivatives designated in a hedging relationship. Refer to Note 9 for net gains (losses) on these derivatives.
(3)
For the year ended October 31, 2023, $1,524 million of net fair value gains on financial liabilities designated as FVTPL, other than those attributable to changes in our own
credit risk, were included in Non-interest income (October 31, 2022 \u2013 gains of $8,536 million).
(4)
Includes gains (losses) recognized on cross currency interest rate swaps.
Net interest income from financial instruments
Interest and dividend income arising from financial assets and financial liabilities and the associated costs of funding are
reported in Net interest income.
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
31,464
$
10,999
Financial instruments measured at fair value through other comprehensive income
5,127
1,177
Financial instruments measured at amortized cost
50,400
28,595
86,991
40,771
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
28,446
$
8,336
Financial instruments measured at amortized cost
33,416
9,718
61,862
18,054
Net interest income
$
25,129
$
22,717
(1)
Excludes the following amounts related to our insurance operations and included in Insurance premiums, investment and fee income in the Consolidated Statements of
Income: Interest income of $451 million (October 31, 2022 \u2013 $601 million), and Interest expense of $35 million (October 31, 2022 \u2013 $6 million).
(2)
Includes dividend income for the year ended October 31, 2023 of $3,215 million (October 31, 2022 \u2013 $2,954 million), which is presented in Interest and dividend income in
the Consolidated Statements of Income.
Fee income arising from financial instruments
For the year ended October 31, 2023, we earned $6,112 million in fees from banking services (October 31, 2022 \u2013 $6,118 million). For
the year ended October 31, 2023, we also earned $15,319 million in fees from investment management, trust, custodial,
underwriting, brokerage and other similar fiduciary services to retail and institutional clients (October 31, 2022 \u2013 $14,932 million).
These fees are included in Non-interest income.
Fair value of assets and liabilities measured at fair value on a recurring basis and classified using the fair value hierarchy
\n \n
As at
October 31, 2023
October 31, 2022
Fair value
Fair value
measurements using
measurements using
Netting
Netting
(Millions of Canadian dollars)
Level 1
Level 2
Level 3
adjustments
Fair value
Level 1
Level 2
Level 3
adjustments
Fair value
Financial assets
Interest-bearing deposits with banks
$
\u2013
$ 60,856
$
\u2013
$
$
60,856
$
\u2013
$ 84,468
$
\u2013
$
$
84,468
Securities
Trading
Debt issued or guaranteed by:
Canadian government
(1)
Federal
26,675
2,581
\u2013
29,256
15,024
3,779
\u2013
18,803
Provincial and municipal
\u2013
16,389
\u2013
16,389
\u2013
13,257
\u2013
13,257
U.S. federal, state, municipal and agencies
(1), (2)
2,249
50,439
\u2013
52,688
1,254
35,570
4
36,828
Other OECD government
(3)
2,055
2,577
\u2013
4,632
1,325
3,452
\u2013
4,777
Mortgage-backed securities
(1)
\u2013
2
\u2013
2
\u2013
2
\u2013
2
Asset-backed securities
Non-CDO securities
(4)
\u2013
1,245
\u2013
1,245
\u2013
1,308
2
1,310
Corporate debt and other debt
\u2013
22,615
\u2013
22,615
\u2013
21,162
7
21,169
Equities
58,826
2,232
2,266
63,324
46,592
3,593
1,874
52,059
89,805
98,080
2,266
190,151
64,195
82,123
1,887
148,205
Investment
Debt issued or guaranteed by:
Canadian government
(1)
Federal
2,731
3,528
\u2013
6,259
1,226
2,555
\u2013
3,781
Provincial and municipal
\u2013
2,748
\u2013
2,748
\u2013
2,124
\u2013
2,124
U.S. federal, state, municipal and agencies
(1)
275
73,020
\u2013
73,295
440
43,918
\u2013
44,358
Other OECD government
\u2013
6,192
\u2013
6,192
\u2013
5,144
\u2013
5,144
Mortgage-backed securities
(1)
\u2013
2,672
29
2,701
\u2013
2,860
28
2,888
Asset-backed securities
CDO
\u2013
8,265
\u2013
8,265
\u2013
7,524
\u2013
7,524
Non-CDO securities
\u2013
441
\u2013
441
\u2013
524
\u2013
524
Corporate debt and other debt
\u2013
27,574
149
27,723
\u2013
25,569
151
25,720
Equities
38
338
466
842
36
395
397
828
3,044
124,778
644
128,466
1,702
90,613
576
92,891
Assets purchased under reverse repurchase agreements and
securities borrowed
\u2013
285,869
\u2013
285,869
\u2013
264,665
\u2013
264,665
Loans
\u2013
8,742
1,859
10,601
\u2013
9,673
1,692
11,365
Other
Derivatives
Interest rate contracts
\u2013
39,243
290
39,533
\u2013
39,804
263
40,067
Foreign exchange contracts
\u2013
89,644
4
89,648
\u2013
99,424
13
99,437
Credit derivatives
\u2013
224
\u2013
224
\u2013
388
\u2013
388
Other contracts
2,352
13,927
111
16,390
3,939
14,786
62
18,787
Valuation adjustments
\u2013
(1,805)
4
(1,801)
\u2013
(2,100)
45
(2,055)
Total gross derivatives
2,352
141,233
409
143,994
3,939
152,302
383
156,624
Netting adjustments
(1,544)
(1,544)
(2,185)
(2,185)
Total derivatives
142,450
154,439
Other assets
1,392
3,421
11
4,824
1,221
2,141
15
3,377
$96,593
$722,979
$
5,189
$
(1,544)
$ 823,217
$71,057
$685,985
$
4,553
$
(2,185)
$ 759,410
Financial liabilities
Deposits
Personal
$
\u2013
$ 26,428
$
383
$
$
26,811
$
\u2013
$ 22,016
$
241
$
$
22,257
Business and government
\u2013
137,628
\u2013
137,628
\u2013
152,566
\u2013
152,566
Bank
\u2013
11,462
\u2013
11,462
\u2013
7,196
\u2013
7,196
Other
Obligations related to securities sold short
14,391
19,260
\u2013
33,651
16,383
19,128
\u2013
35,511
Obligations related to assets sold under repurchase agreements and
securities loaned
\u2013
298,679
\u2013
298,679
\u2013
248,835
\u2013
248,835
Derivatives
Interest rate contracts
\u2013
41,249
952
42,201
\u2013
39,592
1,122
40,714
Foreign exchange contracts
\u2013
81,750
53
81,803
\u2013
94,310
145
94,455
Credit derivatives
\u2013
176
\u2013
176
\u2013
125
\u2013
125
Other contracts
3,119
17,306
549
20,974
3,847
16,663
847
21,357
Valuation adjustments
\u2013
(982)
1
(981)
\u2013
(967)
(8)
(975)
Total gross derivatives
3,119
139,499
1,555
144,173
3,847
149,723
2,106
155,676
Netting adjustments
(1,544)
(1,544)
(2,185)
(2,185)
Total derivatives
142,629
153,491
Other liabilities
370
(1,296)
\u2013
(926)
341
(632)
\u2013
(291)
$17,880
$631,660
$
1,938
$
(1,544)
$ 649,934
$20,571
$598,832
$
2,347
$
(2,185)
$ 619,565
(1)
As at October 31, 2023, residential and commercial mortgage-backed securities (MBS) included in all fair value levels of trading securities were $14,345 million and $nil
(October 31, 2022 \u2013 $12,273 million and $nil), respectively, and in all fair value levels of Investment securities were $24,365 million and $2,618 million (October 31, 2022
\u2013
$23,362 million and $2,755 million), respectively.
(2)
United States (U.S.).
(3)
Organisation for Economic Co-operation and Development (OECD).
(4)
Collateralized debt obligations (CDO).
Fair values of our significant assets and liabilities measured on a recurring basis are determined and classified in the fair value
hierarchy table using the following valuation techniques and inputs.
Interest-bearing deposits with banks
The majority of our Interest-bearing deposits with banks are designated as FVTPL. These FVTPL deposits are composed of short-
dated deposits placed with banks, and are included in Interest-bearing deposits with banks in the fair value hierarchy table. The
fair values of these instruments are determined using the discounted cash flow method. The inputs to the valuation models
include interest rate swap curves and credit spreads, where applicable. They are classified as Level 2 instruments in the
hierarchy as the inputs are observable.
Government bonds (Canadian, U.S. and other OECD governments)
Government bonds are included in Canadian government debt, U.S. federal, state, municipal and agencies debt, Other OECD
government debt and Obligations related to securities sold short in the fair value hierarchy table. The fair values of government
issued or guaranteed debt securities in active markets are determined by reference to recent transaction prices, broker quotes,
or third-party vendor prices and are classified as Level 1 in the hierarchy. The fair values of securities that are not traded in
active markets are based on either security prices, or valuation techniques using implied yields and risk spreads derived from
prices of actively traded and similar government securities. Securities with observable prices or rate inputs as compared to
transaction prices, dealer quotes or vendor prices are classified as Level 2 in the hierarchy. Securities where inputs are
unobservable are classified as Level 3 in the hierarchy.
Corporate and U.S. municipal bonds
The fair values of corporate and U.S. municipal bonds, which are included in Corporate debt and other debt, U.S. federal, state,
municipal and agencies debt and Obligations related to securities sold short in the fair value hierarchy table, are determined
using either recently executed transaction prices, broker quotes, pricing services, or in certain instances, the discounted cash
flow method using rate inputs such as benchmark yields (CDOR, Secured Overnight Financing Rate (SOFR) and other similar
reference rates) and risk spreads of comparable securities. Securities with observable prices or rate inputs are classified as
Level 2 in the hierarchy. Securities where inputs are unobservable are classified as Level 3 in the hierarchy.
Asset-backed securities and Mortgage-backed securities
Asset-backed securities (ABS) and MBS are included in Asset-backed securities, Mortgage-backed securities, Canadian
government debt, U.S. federal, state, municipal and agencies debt, and Obligations related to securities sold short in the fair
value hierarchy table. Inputs for valuation of ABS and MBS are, when available, traded prices, dealer or lead manager quotes,
broker quotes and vendor prices of the identical securities. When prices of the identical securities are not readily available, we
use industry standard models with inputs such as discount margins, yields, default, prepayment and loss severity rates that are
implied from transaction prices, dealer quotes or vendor prices of comparable instruments. Where security prices and inputs are
observable, ABS and MBS are classified as Level 2 in the hierarchy. Otherwise, they are classified as Level 3 in the hierarchy.
Equities
Equities consist of listed and unlisted common shares, private equities, mutual funds and hedge funds with certain redemption
restrictions and are included in equities and obligations for securities sold short. The fair values of common shares are based on
quoted prices in active markets, where available, and are classified as Level 1 in the hierarchy. Where quoted prices in active
markets are not readily available, fair value is determined based on quoted market prices for similar securities or through
valuation techniques, such as multiples of earnings and the discounted cash flow method with forecasted cash flows and
discount rate as inputs. Private equities are classified as Level 3 in the hierarchy as their inputs are not observable. Hedge funds
are valued using Net Asset Values (NAV). If we can redeem a hedge fund at NAV prior to the next quarter end, the fund is
classified as Level 2 in the hierarchy. Otherwise, it is classified as Level 3 in the hierarchy.
Loans
Loans include base metal loans, corporate loans, banker acceptances and asset-backed financing loans. Fair values are
determined based on market prices, if available, or discounted cash flow method using the following inputs: market interest
rates, base metal commodity prices, market based spreads of assets with similar credit ratings and terms to maturity, LGD,
expected default frequency implied from credit derivative prices, if available, and relevant pricing information such as
contractual rate, origination and maturity dates, redemption price, coupon payment frequency and day count convention. Loans
with market prices or observable inputs are classified as Level 2 in the hierarchy and loans with unobservable inputs that have
significant impacts on the fair values are classified as Level 3 in the hierarchy.
Derivatives
The fair values of exchange-traded derivatives, such as interest rate and equity options and futures, are based on quoted market
prices and are typically classified as Level 1 in the hierarchy. OTC derivatives primarily consist of interest rate contracts, foreign
exchange contracts, commodity derivatives, equity derivatives and credit derivatives. The exchange-traded or OTC interest rate,
foreign exchange and commodity and equity derivatives are included in Interest rate contracts, Foreign exchange contracts and
Other contracts, respectively, in the fair value hierarchy table. The fair values of OTC derivatives are determined using valuation
models when quoted market prices or third-party consensus pricing information are not available. The valuation models, such as
discounted cash flow method or Black-Scholes option model, incorporate observable or unobservable inputs for interest and
foreign exchange rates, equity and commodity prices (including indices), credit spreads, corresponding market volatility levels,
and other market-based pricing factors. Other adjustments to fair value include bid-offer, CVA, FVA, OIS, parameter and model
uncertainties, and unrealized gain or loss at inception of a transaction. A derivative instrument is classified as Level 2 in the
hierarchy if observable market inputs are available or the unobservable inputs are not significant to the fair value. Otherwise, it
is classified as Level 3 in the hierarchy.
Securities borrowed or purchased under resale agreements and securities loaned or sold under repurchase agreements
In the fair value hierarchy table, these instruments are included in Assets purchased under reverse repurchase agreements and
securities borrowed, and Obligations related to assets sold under repurchase agreements and securities loaned. The fair values
of these contracts are determined using valuation techniques such as the discounted cash flow method using interest rate
curves as inputs. They are classified as Level 2 instruments in the hierarchy as the inputs are observable.
Deposits
A majority of our deposits are measured at amortized cost but certain deposits are designated as FVTPL. These FVTPL deposits
include deposits taken from clients, issuances of certificates of deposits and promissory notes, and interest rate and equity
linked notes. The fair values of these instruments are determined using the discounted cash flow method and derivative option
valuation models. The inputs to the valuation models include benchmark yield curves, credit spreads, interest rates, equity and
interest rate volatility, dividends and correlation, where applicable. They are classified as Level 2 or 3 instruments in the
hierarchy, depending on the significance of the unobservable credit spreads, volatility, dividend and correlation rates.
Quantitative information about fair value measurements using significant unobservable inputs (Level 3 Instruments)
The following table presents fair values of our significant Level 3 financial instruments, valuation techniques used to determine
their fair values, ranges and weighted averages of unobservable inputs.
As at October 31, 2023 (Millions of Canadian dollars, except for prices, percentages and ratios)
Fair value
Range of input values
(1), (2)
Weighted
Significant
average /
Reporting line in the fair value
Valuation
unobservable
Inputs
Products
hierarchy table
Assets
Liabilities
techniques
inputs (3)
Low
High
distribution
Corporate debt and related
Price-based
Prices
$
9.88
$ 107.13
$
87.66
derivatives
Corporate debt and other debt
$
\u2013
Discounted cash flows
Credit spread
1.89%
9.96%
5.93%
Loans
1,859
Credit enhancement
11.70%
15.60%
13.00%
Derivative related liabilities
$
2
Government debt and
municipal bonds
Corporate debt and other debt
149
Discounted cash flows
Yields
7.73%
10.38%
8.60%
Private equities, hedge fund
Market comparable
EV/EBITDA multiples
4.16X
14.90X
6.93X
investments and related
Equities
2,732
Price-based
P/E multiples
6.60X
22.60X
8.60X
equity derivatives
Derivative related liabilities
\u2013
Discounted cash flows
EV/Rev multiples
1.00X
5.00X
3.00X
Liquidity discounts (4)
10.00%
40.00%
16.91%
Discount rate
8.50%
13.30%
10.70%
NAV / prices (5)
n.a.
n.a.
n.a.
Interest rate derivatives and
Discounted cash flows
Interest rates
2.39%
5.18%
High
interest-rate-linked
Derivative related assets
293
Option pricing model
CPI swap rates
1.84%
2.35%
Even
structured notes
(6), (7)
Derivative related liabilities
995
IR-IR correlations
19.00%
67.00%
Even
FX-IR correlations
29.00%
56.00%
Even
FX-FX correlations
68.00%
68.00%
Even
Equity derivatives and equity-
linked structured
Discounted cash flows
Dividend yields
0.14%
10.71%
Lower
notes
(6), (7)
Derivative related assets
111
Option pricing model
Equity (EQ)-EQ correlations
32.50%
96.49%
Middle
Deposits
383
EQ-FX correlations
(83.15)%
38.44%
Middle
Derivative related liabilities
485
EQ volatilities
6.70%
110.72%
Lower
Other
(8)
Asset-backed securities
\u2013
Derivative related assets
5
Other assets
11
Mortgage-backed securities
29
U.S. state, municipal and
agencies debt
\u2013
Derivative related liabilities
73
Total
$ 5,189
$
1,938
As at October 31, 2022 (Millions of Canadian dollars, except for prices, percentages and ratios)
Fair value
Range of input values
(1), (2)
Weighted
Significant
average /
Reporting line in the fair value
Valuation
unobservable
Inputs
Products
hierarchy table
Assets
Liabilities
techniques
inputs (3)
Low
High
distribution
Corporate debt and related
Price-based
Prices
$
1.00
$ 111.90
$
85.64
derivatives
Corporate debt and other debt
$
7
Discounted cash flows
Credit spread
1.67%
10.73%
6.20%
Loans
1,692
Credit enhancement
11.70%
15.60%
13.00%
Derivative related liabilities
$
130
Government debt and
municipal bonds
Corporate debt and other debt
151
Discounted cash flows
Yields
7.85%
10.72%
8.92%
Private equities, hedge fund
Market comparable
EV/EBITDA multiples
3.97X
14.31X
8.59X
investments and related
Equities
2,271
Price-based
P/E multiples
8.47X
24.04X
12.46X
equity derivatives
Derivative related liabilities
2
Discounted cash flows
EV/Rev multiples
0.35X
5.77X
3.88X
Liquidity discounts (4)
10.00%
40.00%
17.35%
Discount rate
10.80%
10.80%
10.80%
NAV / prices (5)
n.a.
n.a.
n.a.
Interest rate derivatives and
Discounted cash flows
Interest rates
1.88%
4.49%
High
interest-rate-linked
Derivative related assets
270
Option pricing model
CPI swap rates
1.98%
2.59%
Even
structured notes
(6), (7)
Derivative related liabilities
1,216
IR-IR correlations
19.00%
67.00%
Even
FX-IR correlations
29.00%
56.00%
Even
FX-FX correlations
68.00%
68.00%
Even
Equity derivatives and equity-
linked structured
Discounted cash flows
Dividend yields
(0.63)%
8.28%
Lower
notes
(6), (7)
Derivative related assets
62
Option pricing model
Equity (EQ)-EQ correlations
33.00%
94.90%
Middle
Deposits
241
EQ-FX correlations
(83.15)%
38.44%
Middle
Derivative related liabilities
655
EQ volatilities
7.00%
129.00%
Upper
Other
(8)
Asset-backed securities
2
Derivative related assets
51
Other assets
15
Mortgage-backed securities
28
U.S. state, municipal and agencies
debt
4
Derivative related liabilities
103
Total
$
4,553
$
2,347
(1)
The low and high input values represent the actual highest and lowest level inputs used to value a group of financial instruments in a particular product category. These
input ranges do not reflect the level of input uncertainty, but are affected by the different underlying instruments within the product category. The input ranges will
therefore vary from period to period based on the characteristics of the underlying instruments held at each balance sheet date. Where provided, the weighted average
of the input values is calculated based on the relative fair values of the instruments within the product category. The weighted averages for derivatives are not presented
in the table as they would not provide a comparable metric; instead, distribution of significant unobservable inputs within the range for each product category is
indicated in the table.
(2)
Price-based inputs are significant for certain debt securities and are based on external benchmarks, comparable proxy instruments or pre-quarter-end trade data. For
these instruments, the price input is expressed in dollars for each $100 par value. For example, with an input price of $105, an instrument is valued at a premium over its
par value.
(3)
The significant unobservable inputs include the following: (i) Enterprise Value (EV); (ii) Earnings Before Interest, Taxes, Depreciation and Amortization (EBITDA);
(iii) Price / Earnings (P/E); (iv) Revenue (Rev); (v) Consumer Price Index (CPI); (vi) Interest Rate (IR); (vii) Foreign Exchange (FX); and (viii) Equity (EQ).
(4)
Fair value of securities with liquidity discount inputs totalled $483 million (October 31, 2022 \u2013 $373 million).
(5)
NAV of a hedge fund is total fair value of assets less liabilities divided by the number of fund units. Private equities are valued based on NAV or valuation techniques. The
range for NAV per unit or price per share has not been disclosed for the hedge funds or private equities due to the dispersion of prices given the diverse nature of the
investments.
(6)
The level of aggregation and diversity within each derivative instrument category may result in certain ranges of inputs being wide and inputs being unevenly distributed
across the range. In the table, we indicated whether the majority of the inputs are concentrated toward the upper, middle, or lower end of the range, or evenly distributed
throughout the range.
(7)
The structured notes contain embedded equity or interest rate derivatives with unobservable inputs that are similar to those of the equity or interest rate derivatives.
(8)
Other primarily includes certain insignificant instruments such as auction rate securities, commodity derivatives, foreign exchange derivatives, contingent
considerations, bank-owned life insurance and retractable shares.
n.a.
not applicable
Sensitivity to unobservable inputs and interrelationships between unobservable inputs
Yield, credit spreads/discount margins
A financial instrument\u2019s yield is the interest rate used to discount future cash flows in a valuation model. An increase in the yield,
in isolation, would result in a decrease in a fair value measurement and vice versa. A credit spread/discount margin is the
difference between a debt instrument\u2019s yield and a benchmark instrument\u2019s yield. Benchmark instruments have high credit
quality ratings, similar maturities and are often government bonds. The credit spread/discount margin therefore represents the
discount rate used to determine the present value of future cash flows of an asset to reflect the market return required for
uncertainty in the estimated cash flows. The credit spread/discount margin for an instrument forms part of the yield used in a
discounted cash flow method.
Funding spread
Funding spreads are credit spreads specific to funding or deposit rates. A decrease in funding spreads, on its own, will increase
the fair value of our liabilities, and vice versa.
Default rates
A default rate is the rate at which borrowers fail to make scheduled loan payments. A decrease in the default rate will typically
increase the fair value of the loan, and vice versa. This effect will be significantly more pronounced for a non-government
guaranteed loan than a government guaranteed loan.
Prepayment rates
A prepayment rate is the rate at which a loan will be repaid in advance of its expected amortization schedule. Prepayments
change the future cash flows of a loan. An increase in the prepayment rate in isolation will result in an increase in fair value when
the loan interest rate is lower than the current reinvestment rate, and a decrease in the prepayment rate in isolation will result in
a decrease in fair value when the loan interest rate is lower than the current reinvestment rate. Prepayment rates are generally
negatively correlated with interest rates.
Recovery and loss severity rates
A recovery rate is an estimation of the amount that can be collected in a loan default scenario. The recovery rate is the recovered
amount divided by the loan balance due, expressed as a percentage. The inverse concept of recovery is loss severity. Loss
severity rate is an estimation of the loan amount not collected when a loan defaults. The loss severity rate is the loss amount
divided by the loan balance due, expressed as a percentage. Generally, an increase in the recovery rate or a decrease in the loss
severity rate will increase the loan fair value, and vice versa.
Volatility rates
Volatility measures the potential variability of future prices and is often measured as the standard deviation of price movements.
Volatility is an input to option pricing models used to value derivatives and issued structured notes. Volatility is used in valuing
equity, interest rate, commodity and foreign exchange options. A higher volatility rate means that the underlying price or rate
movements are more likely to occur. Higher volatility rates may increase or decrease an option\u2019s fair value depending on the
option\u2019s terms. The determination of volatility rates is dependent on various factors, including but not limited to, the underlying\u2019s
market price, the strike price and maturity.
Dividend yields
A dividend yield is the underlying equity\u2019s expected dividends expressed as an annual percentage of its price. Dividend yield is
used as an input for forward equity price and option models. Higher dividend yields will decrease the forward price, and vice
versa. A higher dividend yield will increase or decrease an option\u2019s value, depending on the option\u2019s terms.
Correlation rates
Correlation is the linear relationship between the movements in two different variables. Correlation is an input to the valuation of
derivative contracts and issued structured notes when an instrument\u2019s payout is determined by correlated variables. When
variables are positively correlated, an increase in one variable will result in an increase in the other variable. When variables are
negatively correlated, an increase in one variable will result in a decrease in the other variable. The referenced variables can be
within a single asset class or market (equity, interest rate, commodities, credit and foreign exchange) or between variables in
different asset classes (equity to foreign exchange, or interest rate to foreign exchange). Changes in correlation will either
increase or decrease a financial instrument\u2019s fair value depending on the terms of the instrument.
Interest rates
An interest rate is the percentage amount charged on a principal or notional amount. Increasing interest rates will decrease the
discounted cash flow value of a financial instrument, and vice versa.
Consumer Price Index swap rates
A CPI swap rate is expressed as a percentage of an increase in the average price of a basket of consumer goods and services,
such as transportation, food and medical care. An increase in the CPI swap rate will cause inflation swap payments to be larger,
and vice versa.
EV/EBITDA multiples, P/E multiples, EV/Rev multiples, and liquidity discounts
Private equity valuation inputs include EV/EBITDA multiples, P/E multiples and EV/Rev multiples. These are used to calculate
either enterprise value or share value of a company based on a multiple of earnings or revenue estimates. Higher multiples
equate to higher fair values for all multiple types, and vice versa. A liquidity discount may be applied when few or no transactions
exist to support the valuations.
Credit Enhancement
Credit enhancement is an input to the valuation of securitized transactions and is the amount of loan loss protection for a senior
tranche. Credit enhancement is expressed as a percentage of the transaction sizes. An increase in credit enhancement will cause
the credit spread to decrease and the tranche fair value to increase, and vice versa.
Interrelationships between unobservable inputs
Unobservable inputs, including the above discount margin, default rate, prepayment rate, and recovery and loss severity rates,
may not be independent of each other. For example, the discount margin can be affected by a change in default rate, prepayment
rate, or recovery and loss severity rates. Discount margins will generally decrease when default rates decline or when recovery
rates increase.
Changes in fair value measurement for instruments measured on a recurring basis and categorized in Level 3
For the year ended October 31, 2023
Gains
Gains
Gains
Fair value
(losses)
(losses)
Settlement
Transfers
Transfers
Fair value
(losses) included
at beginning
included in
included
Purchases
(sales) and
into
out of
at end of
in earnings for
(Millions of Canadian dollars)
of period
earnings
in OCI
(1)
(issuances)
other
(2)
Level 3
Level 3
period
positions still held
Assets
Securities
Trading
Debt issued or guaranteed by:
U.S. state, municipal and agencies
$
4
$
\u2013
$
\u2013
$
\u2013
$
(4)
$
\u2013
$
\u2013
$
\u2013
$
\u2013
Asset-backed securities
Non-CDO securities
2
\u2013
\u2013
\u2013
(2)
\u2013
\u2013
\u2013
\u2013
Corporate debt and other debt
7
\u2013
\u2013
2
(16)
17
(10)
\u2013
\u2013
Equities
1,874
(196)
21
586
(67)
48
\u2013
2,266
(154)
1,887
(196)
21
588
(89)
65
(10)
2,266
(154)
Investment
Mortgage-backed securities
28
\u2013
\u2013
1
\u2013
\u2013
\u2013
29
n.a.
Corporate debt and other debt
151
\u2013
9
\u2013
(11)
\u2013
\u2013
149
n.a.
Equities
397
\u2013
70
1
(2)
\u2013
\u2013
466
n.a.
576
\u2013
79
2
(13)
\u2013
\u2013
644
n.a.
Loans
1,692
(95)
33
1,443
(868)
30
(376)
1,859
(44)
Other
Net derivative balances
(3)
Interest rate contracts
(859)
(63)
5
(48)
235
42
26
(662)
(43)
Foreign exchange contracts
(132)
10
10
(14)
44
\u2013
33
(49)
8
Other contracts
(785)
83
4
(143)
78
(159)
484
(438)
152
Valuation adjustments
53
\u2013
\u2013
\u2013
(50)
\u2013
\u2013
3
\u2013
Other assets
15
\u2013
1
\u2013
(5)
\u2013
\u2013
11
\u2013
$ 2,447
$ (261)
$ 153
$ 1,828
$ (668)
$
(22)
$
157
$ 3,634
$
(81)
Liabilities
Deposits
$
(241)
$
5
$
\u2013
$
(260)
$
23
$ (134)
$
224
$
(383)
$
24
Other
Other liabilities
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
$
(241)
$
5
$
\u2013
$
(260)
$
23
$ (134)
$
224
$
(383)
$
24
\n \n
For the year ended October 31, 2022
Gains
Gains
Gains
Fair value
(losses)
(losses)
Settlement
Transfers
Transfers
Fair value
(losses) included
at beginning
included in
included
Purchases
(sales) and
into
out of
at end of
in earnings for
(Millions of Canadian dollars)
of period
earnings
in OCI (1)
(issuances)
other (2)
Level 3
Level 3
period
positions still held
Assets
Securities
Trading
Debt issued or guaranteed by:
U.S. state, municipal and agencies
$
25
$
\u2013
$
2
$
\u2013
$
(23)
$
\u2013
$
\u2013
$
4
$
\u2013
Asset-backed securities
Non-CDO securities
2
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
2
\u2013
Corporate debt and other debt
25
(3)
\u2013
\u2013
(6)
9
(18)
7
\u2013
Equities
1,530
14
100
314
(82)
1
(3)
1,874
43
1,582
11
102
314
(111)
10
(21)
1,887
43
Investment
Mortgage-backed securities
20
\u2013
8
\u2013
\u2013
\u2013
\u2013
28
n.a.
Corporate debt and other debt
152
\u2013
2
\u2013
\u2013
\u2013
(3)
151
n.a.
Equities
334
\u2013
51
11
(1)
37
(35)
397
n.a.
506
\u2013
61
11
(1)
37
(38)
576
n.a.
Loans
1,077
(25)
(37)
407
(466)
802
(66)
1,692
(78)
Other
Net derivative balances
(3)
Interest rate contracts
(635)
(187)
(5)
17
64
(13)
(100)
(859)
(16)
Foreign exchange contracts
47
(103)
(2)
(22)
3
5
(60)
(132)
(90)
Other contracts
(393)
165
(34)
(245)
70
(406)
58
(785)
271
Valuation adjustments
20
\u2013
\u2013
25
(11)
19
\u2013
53
\u2013
Other assets
\u2013
\u2013
1
15
(1)
\u2013
\u2013
15
\u2013
$ 2,204
$ (139)
$
86
$
522
$ (453)
$
454
$ (227)
$ 2,447
$ 130
Liabilities
Deposits
$
(151)
$
2
$
(3)
$
(120)
$
26
$ (143)
$
148
$
(241)
$
19
Other
Other liabilities
(7)
(1)
\u2013
\u2013
8
\u2013
\u2013
\u2013
\u2013
$
(158)
$
1
$
(3)
$
(120)
$
34
$ (143)
$
148
$
(241)
$
19
(1)
These amounts include the foreign currency translation gains or losses arising on consolidation of foreign subsidiaries relating to the Level 3 instruments, where
applicable. The unrealized gains on Investment securities recognized in OCI were $65 million for the year ended October 31, 2023 (October 31, 2022 \u2013 gains of $50 million)
excluding the translation gains or losses arising on consolidation.
(2)
Other includes amortization of premiums or discounts recognized in net income.
(3)
Net derivatives as at October 31, 2023 included derivative assets of $409 million (October 31, 2022 \u2013 $383 million) and derivative liabilities of $1,555 million (October 31, 2022 \u2013
$2,106 million).
n.a.
not applicable
Transfers between fair value hierarchy levels for instruments carried at fair value on a recurring basis
Transfers between Level 1 and Level 2, and transfers into and out of Level 3 are assumed to occur at the end of the period. For an
asset or a liability that transfers into Level 3 during the period, the entire change in fair value for the period is excluded from the
Gains (losses) included in earnings for positions still held column of the above reconciliation, whereas for transfers out of Level 3
during the period, the entire change in fair value for the period is included in the same column of the above reconciliation.
Transfers between Level 1 and 2 are dependent on whether fair value is obtained on the basis of quoted market prices in active
markets (Level 1).
During the year ended October 31, 2023, significant transfers out of Level 1 to Level 2 included Trading U.S. federal, state,
municipal and agencies debt of $763 million, Investment U.S. federal, state, municipal and agencies debt of $435 million and
Obligations related to securities sold short of $151 million. During the year ended October 31, 2022, there were no significant
transfers out of Level 1 to Level 2.
During the year ended October 31, 2023 and October 31, 2022, there were no significant transfers out of Level 2 to Level 1.
Transfers between Level 2 and Level 3 are primarily due to either a change in the market observability for an input, or a change in
an unobservable input\u2019s significance to a financial instrument\u2019s fair value.
During the year ended October 31, 2023, significant transfers out of Level 2 to Level 3 included Other contracts and Deposits
due to changes in the significance of unobservable inputs and changes in the market observability of inputs. During the year
ended October 31, 2022, significant transfers out of Level 2 to Level 3 included Loans and Other contracts due to changes in the
market observability of inputs and changes in the significance of unobservable inputs.
During the year ended October 31, 2023, significant transfers out of Level 3 to Level 2 included Other contracts, Loans and
Deposits due to changes in the market observability of inputs and changes in the significance of unobservable inputs. During the
year ended October 31, 2022, there were no significant transfers out of Level 3 to Level 2.
Positive and negative fair value movements of Level 3 financial instruments from using reasonably possible alternative
assumptions
A financial instrument is classified as Level 3 in the fair value hierarchy if one or more of its unobservable inputs may
significantly affect the measurement of its fair value. In preparing the financial statements, appropriate levels for these
unobservable input parameters are chosen so that they are consistent with prevailing market evidence or management
judgment. Due to the unobservable nature of the prices or rates, there may be uncertainty about the valuation of these Level 3
financial instruments.
The following table summarizes the impacts to fair values of Level 3 financial instruments using reasonably possible
alternative assumptions. This sensitivity disclosure is intended to illustrate the potential impact of the relative uncertainty in the
fair value of Level 3 financial instruments. In reporting the sensitivities below, we offset balances in instances where: (i) the move
in valuation factors cause an offsetting positive and negative fair value movement, (ii) both offsetting instruments are in Level 3,
and (iii) exposures are managed and reported on a net basis. With respect to overall sensitivity, it is unlikely in practice that all
reasonably possible alternative assumptions would simultaneously be realized.
\n \n
As at
October 31, 2023
October 31, 2022
Positive fair value
Negative fair value
Positive fair value
Negative fair value
movement from
movement from
movement from
movement from
using reasonably
using reasonably
using reasonably
using reasonably
Level 3
possible
possible
Level 3
possible
possible
(Millions of Canadian dollars)
fair value
alternatives
alternatives
fair value
alternatives
alternatives
Securities
Trading
Debt issued or guaranteed by:
U.S. state, municipal and
agencies
$
\u2013
$
\u2013
$
\u2013
$
4
$
\u2013
$
\u2013
Asset-backed securities
\u2013
\u2013
\u2013
2
\u2013
\u2013
Corporate debt and other debt
\u2013
\u2013
\u2013
7
\u2013
\u2013
Equities
2,266
50
(43)
1,874
27
(23)
Investment
Mortgage-backed securities
29
4
(4)
28
4
(4)
Corporate debt and other debt
149
11
(10)
151
12
(10)
Equities
466
48
(47)
397
38
(39)
Loans
1,859
33
(37)
1,692
60
(62)
Derivatives
409
10
(7)
383
5
(3)
Other assets
11
\u2013
\u2013
15
\u2013
\u2013
$
5,189
$
156
$
(148)
$
4,553
$
146
$
(141)
Deposits
$
(383)
$
26
$
(26)
$
(241)
$
9
$
(9)
Derivatives
(1,555)
59
(66)
(2,106)
55
(57)
Other
Other liabilities
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
$ (1,938)
$
85
$
(92)
$ (2,347)
$
64
$
(66)
Sensitivity results
As at October 31, 2023, the effects of applying other reasonably possible alternative assumptions to the Level 3 asset positions
would be an increase of $156 million and a reduction of $148 million in fair value, of which $63 million and $61 million would be
recorded in Other components of equity, respectively. The effects of applying these assumptions to the Level 3 liability positions
would result in a decrease of $85 million and an increase of $92 million in fair value.
Level 3 valuation inputs and approaches to developing reasonably possible alternative assumptions
The following is a summary of the unobservable inputs used in the valuation of the Level 3 instruments and our approaches to
developing reasonably possible alternative assumptions used to determine sensitivity.
\n \n
Financial assets or
Sensitivity methodology
liabilities
Asset-backed securities,
Sensitivities are determined based on adjusting, plus or minus one standard deviation, the
corporate debt, government
bid-offer spreads or input prices if a sufficient number of prices are received, adjusting input
debt, municipal bonds and
parameters such as credit spreads or using high and low vendor prices as reasonably possible
loans
alternative assumptions.
Private equities, hedge fund
Sensitivity of direct private equity investments is determined by (i) adjusting the discount rate
investments and related
by 2% when the discounted cash flow method is used to determine fair value, (ii) adjusting the
equity derivatives
price multiples based on the range of multiples of comparable companies when price-multiples-
based models are used, or (iii) using an alternative valuation approach. The private equity fund,
hedge fund and related equity derivative NAVs are provided by the fund managers, and as a
result, there are no other reasonably possible alternative assumptions for these investments.
Interest rate derivatives
Sensitivities of interest rate and cross currency swaps are derived using plus or minus one
standard deviation of the inputs, and an amount representing model and parameter uncertainty,
where applicable.
Equity derivatives
Sensitivity of the Level 3 position is determined by shifting the unobservable model inputs by
plus or minus one standard deviation of the pricing service market data including volatility,
dividends or correlations, as applicable.
Bank funding and deposits
Sensitivities of deposits are calculated by shifting the funding curve by plus or minus certain
basis points.
Structured notes
Sensitivities for interest-rate-linked and equity-linked structured notes are derived by adjusting
inputs by plus or minus one standard deviation, and for other deposits, by estimating a
reasonable move in the funding curve by plus or minus certain basis points.
Fair value for financial instruments that are carried at amortized cost and classified using the fair value hierarchy
As at October 31, 2023
Fair value
Fair value may not approximate carrying value
approximates
Fair value measurements using
Total
(Millions of Canadian dollars)
carrying value
(1)
Level 1
Level 2
Level 3
Total
fair value
Interest-bearing deposits with banks
$
10,230
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
10,230
Amortized cost securities
(2)
\u2013
34
83,633
\u2013
83,667
83,667
Assets purchased under reverse
repurchase agreements and
securities borrowed
39,528
\u2013
14,794
\u2013
14,794
54,322
Loans
Retail
70,606
\u2013
466,962
4,912
471,874
542,480
Wholesale
8,231
\u2013
254,342
6,270
260,612
268,843
78,837
\u2013
721,304
11,182
732,486
811,323
Other assets
67,400
\u2013
914
223
1,137
68,537
195,995
34
820,645
11,405
832,084
1,028,079
Deposits
Personal
252,779
\u2013
159,669
438
160,107
412,886
Business and government
385,727
\u2013
218,761
772
219,533
605,260
Bank
16,902
\u2013
16,251
7
16,258
33,160
655,408
\u2013
394,681
1,217
395,898
1,051,306
Obligations related to assets sold
under repurchase agreements and
securities loaned
36,559
\u2013
\u2013
\u2013
\u2013
36,559
Other liabilities
76,982
\u2013
1,856
13,564
15,420
92,402
Subordinated debentures
\u2013
\u2013
11,213
\u2013
11,213
11,213
$ 768,949
$
\u2013
$ 407,750
$ 14,781
$ 422,531
$ 1,191,480
\n \n
As at October 31, 2022
Fair value
Fair value may not approximate carrying value
approximates
Fair value measurements using
Total
(Millions of Canadian dollars)
carrying value
(1)
Level 1
Level 2
Level 3
Total
fair value
Interest-bearing deposits with banks
$
23,543
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
23,543
Amortized cost securities
(2)
\u2013
\u2013
70,073
\u2013
70,073
70,073
Assets purchased under reverse
repurchase agreements and
securities borrowed
42,224
\u2013
10,956
\u2013
10,956
53,180
Loans
Retail
70,162
\u2013
446,809
4,457
451,266
521,428
Wholesale
17,943
\u2013
230,880
4,993
235,873
253,816
88,105
\u2013
677,689
9,450
687,139
775,244
Other assets
72,198
\u2013
716
170
886
73,084
226,070
\u2013
759,434
9,620
769,054
995,124
Deposits
Personal
271,414
\u2013
108,549
433
108,982
380,396
Business and government
406,045
\u2013
198,265
792
199,057
605,102
Bank
22,638
\u2013
14,120
\u2013
14,120
36,758
700,097
\u2013
320,934
1,225
322,159
1,022,256
Obligations related to assets sold
under repurchase agreements and
securities loaned
25,112
\u2013
\u2013
\u2013
\u2013
25,112
Other liabilities
77,801
\u2013
1,554
10,805
12,359
90,160
Subordinated debentures
\u2013
\u2013
9,608
60
9,668
9,668
$ 803,010
$
\u2013
$
332,096
$ 12,090
$ 344,186
$ 1,147,196
(1)
Certain financial instruments have not been assigned to a level as the carrying amount approximates their fair values.
(2)
Included in Securities \u2013 Investment, net of applicable allowance on the Consolidated Balance Sheets.
Fair values of financial assets and liabilities carried at amortized cost and disclosed in the table above are determined using the
following valuation techniques and inputs.
Amortized cost securities
Fair values of government bonds, corporate bonds, and ABS are based on quoted prices. Fair values of certain Non-OECD
government bonds are based on vendor prices or the discounted cash flow method with yield curves of other countries\u2019
government bonds as inputs. For ABS, where market prices are not available, the fair value is determined using the discounted
cash flow method. The inputs to the valuation model generally include market interest rates, spreads and yields derived from
comparable securities, prepayment, and LGD.
Assets purchased under reverse repurchase agreements and securities borrowed, and Obligations related to assets sold
under repurchase agreements and securities loaned
Valuation methods used for the long-term instruments are described in the Fair value of assets and liabilities measured on a
recurring basis and classified using the fair value hierarchy section of this note. The carrying values of short-term instruments
generally approximate their fair values.
Loans \u2013 Retail
Retail loans include residential mortgages, personal and small business loans and credit cards. For residential mortgages, and
personal and small business loans, we segregate the portfolio based on certain attributes such as product type, contractual
interest rate, term to maturity and credit scores, if applicable. Fair values of these loans are determined by the discounted cash
flow method using applicable inputs such as prevailing interest rates, contractual and posted client rates, client discounts, credit
spreads, prepayment rates and loan-to-value (LTV) ratios. Fair values of credit card receivables are also calculated based on a
discounted cash flow method with portfolio yields, write-offs and monthly payment rates as inputs. The carrying values of short-
term and variable rate loans generally approximate their fair values.
Loans \u2013 Wholesale
Where market prices are available, wholesale loans are valued based on market prices. Otherwise, fair value is determined by
the discounted cash flow method using the following inputs: market interest rates and market based spreads of assets with
similar credit ratings and terms to maturity, LGD, expected default frequency implied from credit default swap prices, if available,
and relevant pricing information such as contractual rate, origination and maturity dates, redemption price, coupon payment
frequency and date convention.
Deposits
Deposits are comprised of demand, notice, and term deposits which include senior deposit notes we have issued to provide us
with long-term funding. Fair values of term deposits are determined by one of several valuation techniques: (i) for term deposits
and similar instruments, we segregate the portfolio based on term to maturity. Fair values of these instruments are determined
by the discounted cash flow method using inputs such as client rates for new sales of the corresponding terms; and (ii) for senior
deposit notes, we use actual traded prices, vendor prices or the discounted cash flow method using a market interest rate curve
and our funding spreads as inputs. The carrying values of demand, notice, and short-term term deposits generally approximate
their fair values.
Other assets and Other liabilities
Other assets and Other liabilities include receivables and payables relating to certain commodities. Fair values of the commodity
receivables and payables are calculated by the discounted cash flow method using applicable inputs such as market interest
rates, counterparties\u2019 credit spreads, our funding spreads, commodity forward prices and spot prices.
Subordinated debentures
Fair values of Subordinated debentures are based on market prices, dealer quotes or vendor prices when available. Where prices
cannot be observed, fair value is determined using the discounted cash flow method, with applicable inputs such as market
interest rates and credit spreads. ", "dimensions": { "concept": "ifrs-full:DisclosureOfFairValueOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23653": { "value": "
\u00a0
As at October 31, 2023
\u00a0
Carrying value and fair value
\u00a0 \u00a0
Carrying value
Fair value
\u00a0 \u00a0
\u00a0
Financial
Financial
Financial
\u00a0
Financial
Financial
Financial
\u00a0 \u00a0
\u00a0
instruments
instruments
instruments
\u00a0
instruments
instruments
instruments
Total
\u00a0
\u00a0
classified as
designated as
classified as
\u00a0
designated as
measured at
measured at
carrying
Total
(Millions of Canadian dollars)
FVTPL
FVTPL
FVOCI
\u00a0
FVOCI
amortized cost
amortized cost
amount
fair value
Financial assets
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Interest-bearing deposits with banks
$
\u2013
$
60,856
$
\u2013
\u00a0
$
\u2013
$
10,230
$
10,230
$
71,086
$
71,086
Securities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Trading
180,651
9,500
\u2013
\u00a0
\u2013
\u2013
\u2013
190,151
190,151
Investment, net of applicable allowance
\u2013
\u2013
127,624
\u00a0
842
91,113
83,667
219,579
212,133
\u00a0
180,651
9,500
127,624
\u00a0
842
91,113
83,667
409,730
402,284
Assets purchased under reverse repurchase
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
agreements and securities borrowed
285,869
\u2013
\u2013
\u00a0
\u2013
54,322
54,322
340,191
340,191
Loans, net of applicable allowance
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Retail
114
362
280
\u00a0
\u2013
566,376
542,480
567,132
543,236
Wholesale
5,629
3,619
597
\u00a0
\u2013
275,796
268,843
285,641
278,688
\u00a0
5,743
3,981
877
\u00a0
\u2013
842,172
811,323
852,773
821,924
Other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Derivatives
142,450
\u2013
\u2013
\u00a0
\u2013
\u2013
\u2013
142,450
142,450
Other assets
(1)
4,819
5
\u2013
\u00a0
\u2013
68,537
68,537
73,361
73,361
Financial liabilities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Deposits
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Personal
$
109
$
26,702
\u00a0 \u00a0 \u00a0
$
415,135
$
412,886
$
441,946
$
439,697
Business and government
(2)
174
137,454
\u00a0 \u00a0 \u00a0
607,447
605,260
745,075
742,888
Bank
(3)
\u2013
11,462
\u00a0 \u00a0 \u00a0
33,204
33,160
44,666
44,622
\u00a0
283
175,618
\u00a0 \u00a0 \u00a0
1,055,786
1,051,306
1,231,687
1,227,207
Other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Obligations related to securities sold short
33,651
\u2013
\u00a0 \u00a0 \u00a0
\u2013
\u2013
33,651
33,651
Obligations related to assets sold under
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
repurchase agreements and securities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
loaned
\u2013
298,679
\u00a0 \u00a0 \u00a0
36,559
36,559
335,238
335,238
Derivatives
142,629
\u2013
\u00a0 \u00a0 \u00a0
\u2013
\u2013
142,629
142,629
Other liabilities
(4)
(937)
11
\u00a0 \u00a0 \u00a0
92,500
92,402
91,574
91,476
Subordinated debentures
\u2013
\u2013
\u00a0 \u00a0 \u00a0
11,386
11,213
11,386
11,213
As at October 31, 2022
Carrying value and fair value
Carrying value
Fair value
Financial
Financial
Financial
Financial
Financial
Financial
instruments
instruments
instruments
instruments
instruments
instruments
Total
classified as
designated as
classified as
designated as
measured at
measured at
carrying
Total
(Millions of Canadian dollars)
FVTPL
FVTPL
FVOCI
FVOCI
amortized cost
amortized cost
amount
fair value
Financial assets
Interest-bearing deposits with banks
$
\u2013
$
84,468
$
\u2013
$
\u2013
$
23,543
$
23,543
$
108,011
$
108,011
Securities
Trading
138,507
9,698
\u2013
\u2013
\u2013
\u2013
148,205
148,205
Investment, net of applicable allowance
\u2013
\u2013
92,063
828
77,127
70,073
170,018
162,964
138,507
9,698
92,063
828
77,127
70,073
318,223
311,169
Assets purchased under reverse repurchase
agreements and securities borrowed
264,665
\u2013
\u2013
\u2013
53,180
53,180
317,845
317,845
Loans, net of applicable allowance
Retail
73
375
218
\u2013
546,767
521,428
547,433
522,094
Wholesale
6,914
3,222
563
\u2013
261,833
253,816
272,532
264,515
6,987
3,597
781
\u2013
808,600
775,244
819,965
786,609
Other
Derivatives
154,439
\u2013
\u2013
\u2013
\u2013
\u2013
154,439
154,439
Other assets
(1)
3,377
\u2013
\u2013
\u2013
73,084
73,084
76,461
76,461
Financial liabilities
Deposits
Personal
$
298
$
21,959
$
382,675
$
380,396
$
404,932
$
402,653
Business and government
(2)
447
152,119
607,304
605,102
759,870
757,668
Bank
(3)
\u2013
7,196
36,816
36,758
44,012
43,954
745
181,274
1,026,795
1,022,256
1,208,814
1,204,275
Other
Obligations related to securities sold short
35,511
\u2013
\u2013
\u2013
35,511
35,511
Obligations related to assets sold under
repurchase agreements and securities
loaned
\u2013
248,835
25,112
25,112
273,947
273,947
Derivatives
153,491
\u2013
\u2013
\u2013
153,491
153,491
Other liabilities
(4)
(360)
69
90,348
90,160
90,057
89,869
Subordinated debentures
\u2013
\u2013
10,025
9,668
10,025
9,668
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23654": { "value": "
\u00a0
As at October 31, 2023
\u00a0
Carrying value and fair value
\u00a0 \u00a0
Carrying value
Fair value
\u00a0 \u00a0
\u00a0
Financial
Financial
Financial
\u00a0
Financial
Financial
Financial
\u00a0 \u00a0
\u00a0
instruments
instruments
instruments
\u00a0
instruments
instruments
instruments
Total
\u00a0
\u00a0
classified as
designated as
classified as
\u00a0
designated as
measured at
measured at
carrying
Total
(Millions of Canadian dollars)
FVTPL
FVTPL
FVOCI
\u00a0
FVOCI
amortized cost
amortized cost
amount
fair value
Financial assets
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Interest-bearing deposits with banks
$
\u2013
$
60,856
$
\u2013
\u00a0
$
\u2013
$
10,230
$
10,230
$
71,086
$
71,086
Securities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Trading
180,651
9,500
\u2013
\u00a0
\u2013
\u2013
\u2013
190,151
190,151
Investment, net of applicable allowance
\u2013
\u2013
127,624
\u00a0
842
91,113
83,667
219,579
212,133
\u00a0
180,651
9,500
127,624
\u00a0
842
91,113
83,667
409,730
402,284
Assets purchased under reverse repurchase
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
agreements and securities borrowed
285,869
\u2013
\u2013
\u00a0
\u2013
54,322
54,322
340,191
340,191
Loans, net of applicable allowance
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Retail
114
362
280
\u00a0
\u2013
566,376
542,480
567,132
543,236
Wholesale
5,629
3,619
597
\u00a0
\u2013
275,796
268,843
285,641
278,688
\u00a0
5,743
3,981
877
\u00a0
\u2013
842,172
811,323
852,773
821,924
Other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Derivatives
142,450
\u2013
\u2013
\u00a0
\u2013
\u2013
\u2013
142,450
142,450
Other assets
(1)
4,819
5
\u2013
\u00a0
\u2013
68,537
68,537
73,361
73,361
Financial liabilities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Deposits
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Personal
$
109
$
26,702
\u00a0 \u00a0 \u00a0
$
415,135
$
412,886
$
441,946
$
439,697
Business and government
(2)
174
137,454
\u00a0 \u00a0 \u00a0
607,447
605,260
745,075
742,888
Bank
(3)
\u2013
11,462
\u00a0 \u00a0 \u00a0
33,204
33,160
44,666
44,622
\u00a0
283
175,618
\u00a0 \u00a0 \u00a0
1,055,786
1,051,306
1,231,687
1,227,207
Other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Obligations related to securities sold short
33,651
\u2013
\u00a0 \u00a0 \u00a0
\u2013
\u2013
33,651
33,651
Obligations related to assets sold under
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
repurchase agreements and securities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
loaned
\u2013
298,679
\u00a0 \u00a0 \u00a0
36,559
36,559
335,238
335,238
Derivatives
142,629
\u2013
\u00a0 \u00a0 \u00a0
\u2013
\u2013
142,629
142,629
Other liabilities
(4)
(937)
11
\u00a0 \u00a0 \u00a0
92,500
92,402
91,574
91,476
Subordinated debentures
\u2013
\u2013
\u00a0 \u00a0 \u00a0
11,386
11,213
11,386
11,213
As at October 31, 2022
Carrying value and fair value
Carrying value
Fair value
Financial
Financial
Financial
Financial
Financial
Financial
instruments
instruments
instruments
instruments
instruments
instruments
Total
classified as
designated as
classified as
designated as
measured at
measured at
carrying
Total
(Millions of Canadian dollars)
FVTPL
FVTPL
FVOCI
FVOCI
amortized cost
amortized cost
amount
fair value
Financial assets
Interest-bearing deposits with banks
$
\u2013
$
84,468
$
\u2013
$
\u2013
$
23,543
$
23,543
$
108,011
$
108,011
Securities
Trading
138,507
9,698
\u2013
\u2013
\u2013
\u2013
148,205
148,205
Investment, net of applicable allowance
\u2013
\u2013
92,063
828
77,127
70,073
170,018
162,964
138,507
9,698
92,063
828
77,127
70,073
318,223
311,169
Assets purchased under reverse repurchase
agreements and securities borrowed
264,665
\u2013
\u2013
\u2013
53,180
53,180
317,845
317,845
Loans, net of applicable allowance
Retail
73
375
218
\u2013
546,767
521,428
547,433
522,094
Wholesale
6,914
3,222
563
\u2013
261,833
253,816
272,532
264,515
6,987
3,597
781
\u2013
808,600
775,244
819,965
786,609
Other
Derivatives
154,439
\u2013
\u2013
\u2013
\u2013
\u2013
154,439
154,439
Other assets
(1)
3,377
\u2013
\u2013
\u2013
73,084
73,084
76,461
76,461
Financial liabilities
Deposits
Personal
$
298
$
21,959
$
382,675
$
380,396
$
404,932
$
402,653
Business and government
(2)
447
152,119
607,304
605,102
759,870
757,668
Bank
(3)
\u2013
7,196
36,816
36,758
44,012
43,954
745
181,274
1,026,795
1,022,256
1,208,814
1,204,275
Other
Obligations related to securities sold short
35,511
\u2013
\u2013
\u2013
35,511
35,511
Obligations related to assets sold under
repurchase agreements and securities
loaned
\u2013
248,835
25,112
25,112
273,947
273,947
Derivatives
153,491
\u2013
\u2013
\u2013
153,491
153,491
Other liabilities
(4)
(360)
69
90,348
90,160
90,057
89,869
Subordinated debentures
\u2013
\u2013
10,025
9,668
10,025
9,668
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f23655": { "value": "
\u00a0
As at October 31, 2023
\u00a0
Carrying value and fair value
\u00a0 \u00a0
Carrying value
Fair value
\u00a0 \u00a0
\u00a0
Financial
Financial
Financial
\u00a0
Financial
Financial
Financial
\u00a0 \u00a0
\u00a0
instruments
instruments
instruments
\u00a0
instruments
instruments
instruments
Total
\u00a0
\u00a0
classified as
designated as
classified as
\u00a0
designated as
measured at
measured at
carrying
Total
(Millions of Canadian dollars)
FVTPL
FVTPL
FVOCI
\u00a0
FVOCI
amortized cost
amortized cost
amount
fair value
Financial assets
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Interest-bearing deposits with banks
$
\u2013
$
60,856
$
\u2013
\u00a0
$
\u2013
$
10,230
$
10,230
$
71,086
$
71,086
Securities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Trading
180,651
9,500
\u2013
\u00a0
\u2013
\u2013
\u2013
190,151
190,151
Investment, net of applicable allowance
\u2013
\u2013
127,624
\u00a0
842
91,113
83,667
219,579
212,133
\u00a0
180,651
9,500
127,624
\u00a0
842
91,113
83,667
409,730
402,284
Assets purchased under reverse repurchase
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
agreements and securities borrowed
285,869
\u2013
\u2013
\u00a0
\u2013
54,322
54,322
340,191
340,191
Loans, net of applicable allowance
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Retail
114
362
280
\u00a0
\u2013
566,376
542,480
567,132
543,236
Wholesale
5,629
3,619
597
\u00a0
\u2013
275,796
268,843
285,641
278,688
\u00a0
5,743
3,981
877
\u00a0
\u2013
842,172
811,323
852,773
821,924
Other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Derivatives
142,450
\u2013
\u2013
\u00a0
\u2013
\u2013
\u2013
142,450
142,450
Other assets
(1)
4,819
5
\u2013
\u00a0
\u2013
68,537
68,537
73,361
73,361
Financial liabilities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Deposits
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Personal
$
109
$
26,702
\u00a0 \u00a0 \u00a0
$
415,135
$
412,886
$
441,946
$
439,697
Business and government
(2)
174
137,454
\u00a0 \u00a0 \u00a0
607,447
605,260
745,075
742,888
Bank
(3)
\u2013
11,462
\u00a0 \u00a0 \u00a0
33,204
33,160
44,666
44,622
\u00a0
283
175,618
\u00a0 \u00a0 \u00a0
1,055,786
1,051,306
1,231,687
1,227,207
Other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Obligations related to securities sold short
33,651
\u2013
\u00a0 \u00a0 \u00a0
\u2013
\u2013
33,651
33,651
Obligations related to assets sold under
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
repurchase agreements and securities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
loaned
\u2013
298,679
\u00a0 \u00a0 \u00a0
36,559
36,559
335,238
335,238
Derivatives
142,629
\u2013
\u00a0 \u00a0 \u00a0
\u2013
\u2013
142,629
142,629
Other liabilities
(4)
(937)
11
\u00a0 \u00a0 \u00a0
92,500
92,402
91,574
91,476
Subordinated debentures
\u2013
\u2013
\u00a0 \u00a0 \u00a0
11,386
11,213
11,386
11,213
As at October 31, 2022
Carrying value and fair value
Carrying value
Fair value
Financial
Financial
Financial
Financial
Financial
Financial
instruments
instruments
instruments
instruments
instruments
instruments
Total
classified as
designated as
classified as
designated as
measured at
measured at
carrying
Total
(Millions of Canadian dollars)
FVTPL
FVTPL
FVOCI
FVOCI
amortized cost
amortized cost
amount
fair value
Financial assets
Interest-bearing deposits with banks
$
\u2013
$
84,468
$
\u2013
$
\u2013
$
23,543
$
23,543
$
108,011
$
108,011
Securities
Trading
138,507
9,698
\u2013
\u2013
\u2013
\u2013
148,205
148,205
Investment, net of applicable allowance
\u2013
\u2013
92,063
828
77,127
70,073
170,018
162,964
138,507
9,698
92,063
828
77,127
70,073
318,223
311,169
Assets purchased under reverse repurchase
agreements and securities borrowed
264,665
\u2013
\u2013
\u2013
53,180
53,180
317,845
317,845
Loans, net of applicable allowance
Retail
73
375
218
\u2013
546,767
521,428
547,433
522,094
Wholesale
6,914
3,222
563
\u2013
261,833
253,816
272,532
264,515
6,987
3,597
781
\u2013
808,600
775,244
819,965
786,609
Other
Derivatives
154,439
\u2013
\u2013
\u2013
\u2013
\u2013
154,439
154,439
Other assets
(1)
3,377
\u2013
\u2013
\u2013
73,084
73,084
76,461
76,461
Financial liabilities
Deposits
Personal
$
298
$
21,959
$
382,675
$
380,396
$
404,932
$
402,653
Business and government
(2)
447
152,119
607,304
605,102
759,870
757,668
Bank
(3)
\u2013
7,196
36,816
36,758
44,012
43,954
745
181,274
1,026,795
1,022,256
1,208,814
1,204,275
Other
Obligations related to securities sold short
35,511
\u2013
\u2013
\u2013
35,511
35,511
Obligations related to assets sold under
repurchase agreements and securities
loaned
\u2013
248,835
25,112
25,112
273,947
273,947
Derivatives
153,491
\u2013
\u2013
\u2013
153,491
153,491
Other liabilities
(4)
(360)
69
90,348
90,160
90,057
89,869
Subordinated debentures
\u2013
\u2013
10,025
9,668
10,025
9,668
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsAtFairValueThroughProfitOrLossExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f24837": { "value": "Financial assets designated as fair value through profit or loss
For our financial assets designated as FVTPL, we measure the change in fair value attributable to changes in credit risk as the
\n
difference between the total change in the fair value of the instrument during the period and the change in fair value calculated
\n
using the appropriate risk-free yield curves. For the year ended October 31, 2023, the change in fair value during the period
\n
attributable to changes in credit risk for positions still held was a gain of $360 million and the cumulative change in fair value
\n
attributable to changes in credit risk for positions still held was a loss of $102 million. For the year ended October 31, 2022, the
\n
change in fair value during the period attributable to changes in credit risk for positions still held was a loss of $662 million and
\n
the cumulative change in fair value attributable to changes in credit risk for positions still held was a loss of $490 million. As at
\n
October 31, 2023, the extent to which credit derivatives or similar instruments mitigate the maximum exposure to credit risk was
\n
$692 million (October 31, 2022 \u2013 $589 million).
\n
Financial liabilities designated as fair value through profit or loss
\n
For our financial liabilities designated as FVTPL, we take into account changes in our own credit spread and the expected
\n
duration of the instrument to measure the change in fair value attributable to changes in credit risk.
As at or for the year ended October 31, 2023
(1)
Difference
between
Changes in fair value attributable
Contractual
carrying value
to changes in credit risk included
maturity
and contractual
in OCI for positions still held
(Millions of Canadian dollars)
amount
Carrying value
maturity amount
During the period
Cumulative
(2)
Term deposits
Personal
$
27,131
$
26,702
$
(429)
$
112
$
(57)
Business and government
(3)
147,844
137,454
(10,390)
683
(1,030)
Bank
(4)
11,485
11,462
(23)
\u2013
\u2013
186,460
175,618
(10,842)
795
(1,087)
Obligations related to assets sold under
repurchase agreements and securities loaned
298,734
298,679
(55)
3
4
Other liabilities
11
11
\u2013
\u2013
\u2013
$
485,205
$
474,308
$ (10,897)
$
798
$ (1,083)
As at or for the year ended October 31, 2022 (1)
Difference
between
Changes in fair value attributable
Contractual
carrying value
to changes in credit risk included
maturity
and contractual
in OCI for positions still held
(Millions of Canadian dollars)
amount
Carrying value
maturity amount
During the period
Cumulative (2)
Term deposits
Personal
$
22,328
$
21,959
$
(369)
$
(238)
$
(166)
Business and government
(3)
160,775
152,119
(8,656)
(2,135)
(1,718)
Bank
(4)
7,208
7,196
(12)
\u2013
\u2013
190,311
181,274
(9,037)
(2,373)
(1,884)
Obligations related to assets sold under
repurchase agreements and securities loaned
248,963
248,835
(128)
1
1
Other liabilities
69
69
\u2013
\u2013
\u2013
$
439,343
$
430,178
$
(9,165)
$ (2,372)
$
(1,883)
(1)
$29 million in changes in fair value attributable to changes in credit risk were recognized in income for the year ended October 31, 2023, and $17 million in cumulative
changes in credit risk were included in income for positions still held life-to-date (October 31, 2022 \u2013 $97 million and $97 million respectively).
(2)
The cumulative change is measured from the initial designation of the liabilities as FVTPL. For the year ended October 31, 2023, $2 million of fair value gains previously
included in OCI relate to financial liabilities derecognized during the year (October 31, 2022 \u2013 $3 million of fair value gains).
(3)
Business and government term deposits include amounts from regulated deposit-taking institutions other than regulated banks.
(4)
Bank term deposits refer to amounts from regulated banks and central banks.
Net gains (losses) from financial instruments classified and designated as fair value through profit or loss
Financial instruments classified as FVTPL, which includes mainly trading securities, derivatives, trading liabilities, and financial
assets and liabilities designated as FVTPL are measured at fair value with realized and unrealized gains and losses recognized in
Non-interest income.
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Net gains (losses)
(1)
Classified as fair value through profit or loss
(2)
$
1,998
$
(7,382)
Designated as fair value through profit or loss
(3)
1,499
8,543
$
3,497
$
1,161
By product line
(1)
Interest rate and credit
(4)
$
3,515
$
1,251
Equities
(510)
(843)
Foreign exchange and commodities
492
753
$
3,497
$
1,161
(1)
Excludes the following amounts related to our insurance operations and included in Insurance premiums, investment and fee income in the Consolidated Statements of
Income: Net losses from financial instruments designated as FVTPL of $371 million (October 31, 2022 \u2013 losses of $2,805 million).
(2)
Excludes derivatives designated in a hedging relationship. Refer to Note 9 for net gains (losses) on these derivatives.
(3)
For the year ended October 31, 2023, $1,524 million of net fair value gains on financial liabilities designated as FVTPL, other than those attributable to changes in our own
credit risk, were included in Non-interest income (October 31, 2022 \u2013 gains of $8,536 million).
(4)
Includes gains (losses) recognized on cross currency interest rate swaps.", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsDesignatedAtFairValueThroughProfitOrLossExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f25327": { "value": "Net interest income from financial instruments
Interest and dividend income arising from financial assets and financial liabilities and the associated costs of funding are
reported in Net interest income.
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
31,464
$
10,999
Financial instruments measured at fair value through other comprehensive income
5,127
1,177
Financial instruments measured at amortized cost
50,400
28,595
86,991
40,771
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
28,446
$
8,336
Financial instruments measured at amortized cost
33,416
9,718
61,862
18,054
Net interest income
$
25,129
$
22,717
(1)
Excludes the following amounts related to our insurance operations and included in Insurance premiums, investment and fee income in the Consolidated Statements of
Income: Interest income of $451 million (October 31, 2022 \u2013 $601 million), and Interest expense of $35 million (October 31, 2022 \u2013 $6 million).
(2)
Includes dividend income for the year ended October 31, 2023 of $3,215 million (October 31, 2022 \u2013 $2,954 million), which is presented in Interest and dividend income in
the Consolidated Statements of Income.", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestIncomeExpenseExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f25328": { "value": "Net interest income from financial instruments
Interest and dividend income arising from financial assets and financial liabilities and the associated costs of funding are
reported in Net interest income.
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
31,464
$
10,999
Financial instruments measured at fair value through other comprehensive income
5,127
1,177
Financial instruments measured at amortized cost
50,400
28,595
86,991
40,771
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
28,446
$
8,336
Financial instruments measured at amortized cost
33,416
9,718
61,862
18,054
Net interest income
$
25,129
$
22,717
(1)
Excludes the following amounts related to our insurance operations and included in Insurance premiums, investment and fee income in the Consolidated Statements of
Income: Interest income of $451 million (October 31, 2022 \u2013 $601 million), and Interest expense of $35 million (October 31, 2022 \u2013 $6 million).
(2)
Includes dividend income for the year ended October 31, 2023 of $3,215 million (October 31, 2022 \u2013 $2,954 million), which is presented in Interest and dividend income in
the Consolidated Statements of Income.", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestIncomeExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f25333": { "value": "
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
31,464
$
10,999
Financial instruments measured at fair value through other comprehensive income
5,127
1,177
Financial instruments measured at amortized cost
50,400
28,595
86,991
40,771
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
28,446
$
8,336
Financial instruments measured at amortized cost
33,416
9,718
61,862
18,054
Net interest income
$
25,129
$
22,717
", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestExpenseExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f25334": { "value": "
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
31,464
$
10,999
Financial instruments measured at fair value through other comprehensive income
5,127
1,177
Financial instruments measured at amortized cost
50,400
28,595
86,991
40,771
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
28,446
$
8,336
Financial instruments measured at amortized cost
33,416
9,718
61,862
18,054
Net interest income
$
25,129
$
22,717
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinanceIncomeExpenseExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f25335": { "value": "
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
31,464
$
10,999
Financial instruments measured at fair value through other comprehensive income
5,127
1,177
Financial instruments measured at amortized cost
50,400
28,595
86,991
40,771
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
28,446
$
8,336
Financial instruments measured at amortized cost
33,416
9,718
61,862
18,054
Net interest income
$
25,129
$
22,717
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinanceIncomeExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f25336": { "value": "
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
31,464
$
10,999
Financial instruments measured at fair value through other comprehensive income
5,127
1,177
Financial instruments measured at amortized cost
50,400
28,595
86,991
40,771
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
28,446
$
8,336
Financial instruments measured at amortized cost
33,416
9,718
61,862
18,054
Net interest income
$
25,129
$
22,717
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinanceCostExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f25452": { "value": "Fair value of assets and liabilities measured at fair value on a recurring basis and classified using the fair value hierarchy \n \n
As at
October 31, 2023
October 31, 2022
Fair value
Fair value
measurements using
measurements using
Netting
Netting
(Millions of Canadian dollars)
Level 1
Level 2
Level 3
adjustments
Fair value
Level 1
Level 2
Level 3
adjustments
Fair value
Financial assets
Interest-bearing deposits with banks
$
\u2013
$ 60,856
$
\u2013
$
$
60,856
$
\u2013
$ 84,468
$
\u2013
$
$
84,468
Securities
Trading
Debt issued or guaranteed by:
Canadian government
(1)
Federal
26,675
2,581
\u2013
29,256
15,024
3,779
\u2013
18,803
Provincial and municipal
\u2013
16,389
\u2013
16,389
\u2013
13,257
\u2013
13,257
U.S. federal, state, municipal and agencies
(1), (2)
2,249
50,439
\u2013
52,688
1,254
35,570
4
36,828
Other OECD government
(3)
2,055
2,577
\u2013
4,632
1,325
3,452
\u2013
4,777
Mortgage-backed securities
(1)
\u2013
2
\u2013
2
\u2013
2
\u2013
2
Asset-backed securities
Non-CDO securities
(4)
\u2013
1,245
\u2013
1,245
\u2013
1,308
2
1,310
Corporate debt and other debt
\u2013
22,615
\u2013
22,615
\u2013
21,162
7
21,169
Equities
58,826
2,232
2,266
63,324
46,592
3,593
1,874
52,059
89,805
98,080
2,266
190,151
64,195
82,123
1,887
148,205
Investment
Debt issued or guaranteed by:
Canadian government
(1)
Federal
2,731
3,528
\u2013
6,259
1,226
2,555
\u2013
3,781
Provincial and municipal
\u2013
2,748
\u2013
2,748
\u2013
2,124
\u2013
2,124
U.S. federal, state, municipal and agencies
(1)
275
73,020
\u2013
73,295
440
43,918
\u2013
44,358
Other OECD government
\u2013
6,192
\u2013
6,192
\u2013
5,144
\u2013
5,144
Mortgage-backed securities
(1)
\u2013
2,672
29
2,701
\u2013
2,860
28
2,888
Asset-backed securities
CDO
\u2013
8,265
\u2013
8,265
\u2013
7,524
\u2013
7,524
Non-CDO securities
\u2013
441
\u2013
441
\u2013
524
\u2013
524
Corporate debt and other debt
\u2013
27,574
149
27,723
\u2013
25,569
151
25,720
Equities
38
338
466
842
36
395
397
828
3,044
124,778
644
128,466
1,702
90,613
576
92,891
Assets purchased under reverse repurchase agreements and
securities borrowed
\u2013
285,869
\u2013
285,869
\u2013
264,665
\u2013
264,665
Loans
\u2013
8,742
1,859
10,601
\u2013
9,673
1,692
11,365
Other
Derivatives
Interest rate contracts
\u2013
39,243
290
39,533
\u2013
39,804
263
40,067
Foreign exchange contracts
\u2013
89,644
4
89,648
\u2013
99,424
13
99,437
Credit derivatives
\u2013
224
\u2013
224
\u2013
388
\u2013
388
Other contracts
2,352
13,927
111
16,390
3,939
14,786
62
18,787
Valuation adjustments
\u2013
(1,805)
4
(1,801)
\u2013
(2,100)
45
(2,055)
Total gross derivatives
2,352
141,233
409
143,994
3,939
152,302
383
156,624
Netting adjustments
(1,544)
(1,544)
(2,185)
(2,185)
Total derivatives
142,450
154,439
Other assets
1,392
3,421
11
4,824
1,221
2,141
15
3,377
$96,593
$722,979
$
5,189
$
(1,544)
$ 823,217
$71,057
$685,985
$
4,553
$
(2,185)
$ 759,410
Financial liabilities
Deposits
Personal
$
\u2013
$ 26,428
$
383
$
$
26,811
$
\u2013
$ 22,016
$
241
$
$
22,257
Business and government
\u2013
137,628
\u2013
137,628
\u2013
152,566
\u2013
152,566
Bank
\u2013
11,462
\u2013
11,462
\u2013
7,196
\u2013
7,196
Other
Obligations related to securities sold short
14,391
19,260
\u2013
33,651
16,383
19,128
\u2013
35,511
Obligations related to assets sold under repurchase agreements and
securities loaned
\u2013
298,679
\u2013
298,679
\u2013
248,835
\u2013
248,835
Derivatives
Interest rate contracts
\u2013
41,249
952
42,201
\u2013
39,592
1,122
40,714
Foreign exchange contracts
\u2013
81,750
53
81,803
\u2013
94,310
145
94,455
Credit derivatives
\u2013
176
\u2013
176
\u2013
125
\u2013
125
Other contracts
3,119
17,306
549
20,974
3,847
16,663
847
21,357
Valuation adjustments
\u2013
(982)
1
(981)
\u2013
(967)
(8)
(975)
Total gross derivatives
3,119
139,499
1,555
144,173
3,847
149,723
2,106
155,676
Netting adjustments
(1,544)
(1,544)
(2,185)
(2,185)
Total derivatives
142,629
153,491
Other liabilities
370
(1,296)
\u2013
(926)
341
(632)
\u2013
(291)
$17,880
$631,660
$
1,938
$
(1,544)
$ 649,934
$20,571
$598,832
$
2,347
$
(2,185)
$ 619,565
Quantitative information about fair value measurements using significant unobservable inputs (Level 3 Instruments)
The following table presents fair values of our significant Level 3 financial instruments, valuation techniques used to determine
their fair values, ranges and weighted averages of unobservable inputs.
As at October 31, 2023 (Millions of Canadian dollars, except for prices, percentages and ratios)
Fair value
Range of input values
(1), (2)
Weighted
Significant
average /
Reporting line in the fair value
Valuation
unobservable
Inputs
Products
hierarchy table
Assets
Liabilities
techniques
inputs (3)
Low
High
distribution
Corporate debt and related
Price-based
Prices
$
9.88
$ 107.13
$
87.66
derivatives
Corporate debt and other debt
$
\u2013
Discounted cash flows
Credit spread
1.89%
9.96%
5.93%
Loans
1,859
Credit enhancement
11.70%
15.60%
13.00%
Derivative related liabilities
$
2
Government debt and
municipal bonds
Corporate debt and other debt
149
Discounted cash flows
Yields
7.73%
10.38%
8.60%
Private equities, hedge fund
Market comparable
EV/EBITDA multiples
4.16X
14.90X
6.93X
investments and related
Equities
2,732
Price-based
P/E multiples
6.60X
22.60X
8.60X
equity derivatives
Derivative related liabilities
\u2013
Discounted cash flows
EV/Rev multiples
1.00X
5.00X
3.00X
Liquidity discounts (4)
10.00%
40.00%
16.91%
Discount rate
8.50%
13.30%
10.70%
NAV / prices (5)
n.a.
n.a.
n.a.
Interest rate derivatives and
Discounted cash flows
Interest rates
2.39%
5.18%
High
interest-rate-linked
Derivative related assets
293
Option pricing model
CPI swap rates
1.84%
2.35%
Even
structured notes
(6), (7)
Derivative related liabilities
995
IR-IR correlations
19.00%
67.00%
Even
FX-IR correlations
29.00%
56.00%
Even
FX-FX correlations
68.00%
68.00%
Even
Equity derivatives and equity-
linked structured
Discounted cash flows
Dividend yields
0.14%
10.71%
Lower
notes
(6), (7)
Derivative related assets
111
Option pricing model
Equity (EQ)-EQ correlations
32.50%
96.49%
Middle
Deposits
383
EQ-FX correlations
(83.15)%
38.44%
Middle
Derivative related liabilities
485
EQ volatilities
6.70%
110.72%
Lower
Other
(8)
Asset-backed securities
\u2013
Derivative related assets
5
Other assets
11
Mortgage-backed securities
29
U.S. state, municipal and
agencies debt
\u2013
Derivative related liabilities
73
Total
$ 5,189
$
1,938
As at October 31, 2022 (Millions of Canadian dollars, except for prices, percentages and ratios)
Fair value
Range of input values
(1), (2)
Weighted
Significant
average /
Reporting line in the fair value
Valuation
unobservable
Inputs
Products
hierarchy table
Assets
Liabilities
techniques
inputs (3)
Low
High
distribution
Corporate debt and related
Price-based
Prices
$
1.00
$ 111.90
$
85.64
derivatives
Corporate debt and other debt
$
7
Discounted cash flows
Credit spread
1.67%
10.73%
6.20%
Loans
1,692
Credit enhancement
11.70%
15.60%
13.00%
Derivative related liabilities
$
130
Government debt and
municipal bonds
Corporate debt and other debt
151
Discounted cash flows
Yields
7.85%
10.72%
8.92%
Private equities, hedge fund
Market comparable
EV/EBITDA multiples
3.97X
14.31X
8.59X
investments and related
Equities
2,271
Price-based
P/E multiples
8.47X
24.04X
12.46X
equity derivatives
Derivative related liabilities
2
Discounted cash flows
EV/Rev multiples
0.35X
5.77X
3.88X
Liquidity discounts (4)
10.00%
40.00%
17.35%
Discount rate
10.80%
10.80%
10.80%
NAV / prices (5)
n.a.
n.a.
n.a.
Interest rate derivatives and
Discounted cash flows
Interest rates
1.88%
4.49%
High
interest-rate-linked
Derivative related assets
270
Option pricing model
CPI swap rates
1.98%
2.59%
Even
structured notes
(6), (7)
Derivative related liabilities
1,216
IR-IR correlations
19.00%
67.00%
Even
FX-IR correlations
29.00%
56.00%
Even
FX-FX correlations
68.00%
68.00%
Even
Equity derivatives and equity-
linked structured
Discounted cash flows
Dividend yields
(0.63)%
8.28%
Lower
notes
(6), (7)
Derivative related assets
62
Option pricing model
Equity (EQ)-EQ correlations
33.00%
94.90%
Middle
Deposits
241
EQ-FX correlations
(83.15)%
38.44%
Middle
Derivative related liabilities
655
EQ volatilities
7.00%
129.00%
Upper
Other
(8)
Asset-backed securities
2
Derivative related assets
51
Other assets
15
Mortgage-backed securities
28
U.S. state, municipal and agencies
debt
4
Derivative related liabilities
103
Total
$
4,553
$
2,347
Changes in fair value measurement for instruments measured on a recurring basis and categorized in Level 3
For the year ended October 31, 2023
Gains
Gains
Gains
Fair value
(losses)
(losses)
Settlement
Transfers
Transfers
Fair value
(losses) included
at beginning
included in
included
Purchases
(sales) and
into
out of
at end of
in earnings for
(Millions of Canadian dollars)
of period
earnings
in OCI
(1)
(issuances)
other
(2)
Level 3
Level 3
period
positions still held
Assets
Securities
Trading
Debt issued or guaranteed by:
U.S. state, municipal and agencies
$
4
$
\u2013
$
\u2013
$
\u2013
$
(4)
$
\u2013
$
\u2013
$
\u2013
$
\u2013
Asset-backed securities
Non-CDO securities
2
\u2013
\u2013
\u2013
(2)
\u2013
\u2013
\u2013
\u2013
Corporate debt and other debt
7
\u2013
\u2013
2
(16)
17
(10)
\u2013
\u2013
Equities
1,874
(196)
21
586
(67)
48
\u2013
2,266
(154)
1,887
(196)
21
588
(89)
65
(10)
2,266
(154)
Investment
Mortgage-backed securities
28
\u2013
\u2013
1
\u2013
\u2013
\u2013
29
n.a.
Corporate debt and other debt
151
\u2013
9
\u2013
(11)
\u2013
\u2013
149
n.a.
Equities
397
\u2013
70
1
(2)
\u2013
\u2013
466
n.a.
576
\u2013
79
2
(13)
\u2013
\u2013
644
n.a.
Loans
1,692
(95)
33
1,443
(868)
30
(376)
1,859
(44)
Other
Net derivative balances
(3)
Interest rate contracts
(859)
(63)
5
(48)
235
42
26
(662)
(43)
Foreign exchange contracts
(132)
10
10
(14)
44
\u2013
33
(49)
8
Other contracts
(785)
83
4
(143)
78
(159)
484
(438)
152
Valuation adjustments
53
\u2013
\u2013
\u2013
(50)
\u2013
\u2013
3
\u2013
Other assets
15
\u2013
1
\u2013
(5)
\u2013
\u2013
11
\u2013
$ 2,447
$ (261)
$ 153
$ 1,828
$ (668)
$
(22)
$
157
$ 3,634
$
(81)
Liabilities
Deposits
$
(241)
$
5
$
\u2013
$
(260)
$
23
$ (134)
$
224
$
(383)
$
24
Other
Other liabilities
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
$
(241)
$
5
$
\u2013
$
(260)
$
23
$ (134)
$
224
$
(383)
$
24
\n \n
For the year ended October 31, 2022
Gains
Gains
Gains
Fair value
(losses)
(losses)
Settlement
Transfers
Transfers
Fair value
(losses) included
at beginning
included in
included
Purchases
(sales) and
into
out of
at end of
in earnings for
(Millions of Canadian dollars)
of period
earnings
in OCI (1)
(issuances)
other (2)
Level 3
Level 3
period
positions still held
Assets
Securities
Trading
Debt issued or guaranteed by:
U.S. state, municipal and agencies
$
25
$
\u2013
$
2
$
\u2013
$
(23)
$
\u2013
$
\u2013
$
4
$
\u2013
Asset-backed securities
Non-CDO securities
2
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
2
\u2013
Corporate debt and other debt
25
(3)
\u2013
\u2013
(6)
9
(18)
7
\u2013
Equities
1,530
14
100
314
(82)
1
(3)
1,874
43
1,582
11
102
314
(111)
10
(21)
1,887
43
Investment
Mortgage-backed securities
20
\u2013
8
\u2013
\u2013
\u2013
\u2013
28
n.a.
Corporate debt and other debt
152
\u2013
2
\u2013
\u2013
\u2013
(3)
151
n.a.
Equities
334
\u2013
51
11
(1)
37
(35)
397
n.a.
506
\u2013
61
11
(1)
37
(38)
576
n.a.
Loans
1,077
(25)
(37)
407
(466)
802
(66)
1,692
(78)
Other
Net derivative balances
(3)
Interest rate contracts
(635)
(187)
(5)
17
64
(13)
(100)
(859)
(16)
Foreign exchange contracts
47
(103)
(2)
(22)
3
5
(60)
(132)
(90)
Other contracts
(393)
165
(34)
(245)
70
(406)
58
(785)
271
Valuation adjustments
20
\u2013
\u2013
25
(11)
19
\u2013
53
\u2013
Other assets
\u2013
\u2013
1
15
(1)
\u2013
\u2013
15
\u2013
$ 2,204
$ (139)
$
86
$
522
$ (453)
$
454
$ (227)
$ 2,447
$ 130
Liabilities
Deposits
$
(151)
$
2
$
(3)
$
(120)
$
26
$ (143)
$
148
$
(241)
$
19
Other
Other liabilities
(7)
(1)
\u2013
\u2013
8
\u2013
\u2013
\u2013
\u2013
$
(158)
$
1
$
(3)
$
(120)
$
34
$ (143)
$
148
$
(241)
$
19
Fair value for financial instruments that are carried at amortized cost and classified using the fair value hierarchy
As at October 31, 2023
Fair value
Fair value may not approximate carrying value
approximates
Fair value measurements using
Total
(Millions of Canadian dollars)
carrying value
(1)
Level 1
Level 2
Level 3
Total
fair value
Interest-bearing deposits with banks
$
10,230
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
10,230
Amortized cost securities
(2)
\u2013
34
83,633
\u2013
83,667
83,667
Assets purchased under reverse
repurchase agreements and
securities borrowed
39,528
\u2013
14,794
\u2013
14,794
54,322
Loans
Retail
70,606
\u2013
466,962
4,912
471,874
542,480
Wholesale
8,231
\u2013
254,342
6,270
260,612
268,843
78,837
\u2013
721,304
11,182
732,486
811,323
Other assets
67,400
\u2013
914
223
1,137
68,537
195,995
34
820,645
11,405
832,084
1,028,079
Deposits
Personal
252,779
\u2013
159,669
438
160,107
412,886
Business and government
385,727
\u2013
218,761
772
219,533
605,260
Bank
16,902
\u2013
16,251
7
16,258
33,160
655,408
\u2013
394,681
1,217
395,898
1,051,306
Obligations related to assets sold
under repurchase agreements and
securities loaned
36,559
\u2013
\u2013
\u2013
\u2013
36,559
Other liabilities
76,982
\u2013
1,856
13,564
15,420
92,402
Subordinated debentures
\u2013
\u2013
11,213
\u2013
11,213
11,213
$ 768,949
$
\u2013
$ 407,750
$ 14,781
$ 422,531
$ 1,191,480
\n \n
As at October 31, 2022
Fair value
Fair value may not approximate carrying value
approximates
Fair value measurements using
Total
(Millions of Canadian dollars)
carrying value
(1)
Level 1
Level 2
Level 3
Total
fair value
Interest-bearing deposits with banks
$
23,543
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
23,543
Amortized cost securities
(2)
\u2013
\u2013
70,073
\u2013
70,073
70,073
Assets purchased under reverse
repurchase agreements and
securities borrowed
42,224
\u2013
10,956
\u2013
10,956
53,180
Loans
Retail
70,162
\u2013
446,809
4,457
451,266
521,428
Wholesale
17,943
\u2013
230,880
4,993
235,873
253,816
88,105
\u2013
677,689
9,450
687,139
775,244
Other assets
72,198
\u2013
716
170
886
73,084
226,070
\u2013
759,434
9,620
769,054
995,124
Deposits
Personal
271,414
\u2013
108,549
433
108,982
380,396
Business and government
406,045
\u2013
198,265
792
199,057
605,102
Bank
22,638
\u2013
14,120
\u2013
14,120
36,758
700,097
\u2013
320,934
1,225
322,159
1,022,256
Obligations related to assets sold
under repurchase agreements and
securities loaned
25,112
\u2013
\u2013
\u2013
\u2013
25,112
Other liabilities
77,801
\u2013
1,554
10,805
12,359
90,160
Subordinated debentures
\u2013
\u2013
9,608
60
9,668
9,668
$ 803,010
$
\u2013
$
332,096
$ 12,090
$ 344,186
$ 1,147,196
", "dimensions": { "concept": "ifrs-full:DisclosureOfFairValueMeasurementExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f28031": { "value": "Prepayment rates
A prepayment rate is the rate at which a loan will be repaid in advance of its expected amortization schedule. Prepayments
change the future cash flows of a loan. An increase in the prepayment rate in isolation will result in an increase in fair value when
the loan interest rate is lower than the current reinvestment rate, and a decrease in the prepayment rate in isolation will result in
a decrease in fair value when the loan interest rate is lower than the current reinvestment rate. Prepayment rates are generally
negatively correlated with interest rates.", "dimensions": { "concept": "ifrs-full:DisclosureOfPrepaymentsAndOtherAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f30651": { "value": "Assets purchased under reverse repurchase agreements and securities borrowed, and Obligations related to assets sold
under repurchase agreements and securities loaned
Valuation methods used for the long-term instruments are described in the Fair value of assets and liabilities measured on a
recurring basis and classified using the fair value hierarchy section of this note. The carrying values of short-term instruments
generally approximate their fair values.", "dimensions": { "concept": "ifrs-full:DisclosureOfRepurchaseAndReverseRepurchaseAgreementsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f30700": { "value": "Note 4
Securities
Carrying value of securities
As at October 31, 2023
Term to maturity
(1)
With no
Within
3 months
1 year to
5 years to
Over
specific
(Millions of Canadian dollars)
3 months
to 1 year
5 years
10 years
10 years
maturity
Total
Trading
(2)
Debt issued or guaranteed by:
Canadian government
$
9,867
$ 17,244
$
8,687
$
2,932
$
6,915
$
\u2013
$
45,645
U.S. federal, state, municipal and
agencies
15,507
8,136
15,864
4,375
8,806
\u2013
52,688
Other OECD government
566
1,117
815
1,040
1,094
\u2013
4,632
Mortgage-backed securities
\u2013
\u2013
\u2013
\u2013
2
\u2013
2
Asset-backed securities
452
151
234
307
101
\u2013
1,245
Corporate debt and other debt
Bankers\u2019 acceptances
143
\u2013
\u2013
\u2013
\u2013
\u2013
143
Other
(3)
1,207
2,219
6,681
3,656
8,709
\u2013
22,472
Equities
63,324
63,324
27,742
28,867
32,281
12,310
25,627
63,324
190,151
Fair value through other
comprehensive income
(2)
Debt issued or guaranteed by:
Canadian government
Federal
Amortized cost
2,479
1,247
1,726
640
517
\u2013
6,609
Fair value
2,479
1,242
1,707
515
316
\u2013
6,259
Yield
(4)
4.5%
3.2%
2.6%
1.2%
3.4%
\u2013
3.4%
Provincial and municipal
Amortized cost
469
8
1,159
52
1,708
\u2013
3,396
Fair value
469
8
1,158
52
1,061
\u2013
2,748
Yield
(4)
4.9%
3.7%
2.8%
4.5%
4.4%
\u2013
3.8%
U.S. federal, state, municipal and
agencies
Amortized cost
846
8,595
33,044
16,355
16,486
\u2013
75,326
Fair value
856
8,572
33,050
16,193
14,624
\u2013
73,295
Yield
(4)
7.4%
2.1%
2.7%
4.0%
3.6%
\u2013
3.2%
Other OECD government
Amortized cost
160
1,009
5,030
1
\u2013
\u2013
6,200
Fair value
160
1,009
5,022
1
\u2013
\u2013
6,192
Yield
(4)
6.3%
4.0%
3.0%
4.6%
\u2013
\u2013
3.3%
Mortgage-backed securities
Amortized cost
\u2013
\u2013
32
28
2,702
\u2013
2,762
Fair value
\u2013
\u2013
31
25
2,645
\u2013
2,701
Yield
(4)
\u2013
\u2013
7.5%
6.7%
6.8%
\u2013
6.8%
Asset-backed securities
Amortized cost
\u2013
\u2013
16
7,542
1,194
\u2013
8,752
Fair value
\u2013
\u2013
17
7,503
1,186
\u2013
8,706
Yield
(4)
\u2013
\u2013
6.4%
6.9%
7.0%
\u2013
6.9%
Corporate debt and other debt
Amortized cost
4,928
1,759
18,798
2,248
41
\u2013
27,774
Fair value
4,928
1,755
18,761
2,243
36
\u2013
27,723
Yield
(4)
3.9%
4.2%
3.9%
5.4%
4.7%
\u2013
4.1%
Equities
Cost
493
493
Fair value
(5)
842
842
Amortized cost
8,882
12,618
59,805
26,866
22,648
493
131,312
Fair value
8,892
12,586
59,746
26,532
19,868
842
128,466
Amortized cost
(2)
Debt issued or guaranteed by:
Canadian government
997
1,931
17,448
6,468
\u2013
\u2013
26,844
Yield
(4)
2.8%
3.0%
2.1%
2.0%
\u2013
\u2013
2.2%
U.S. federal, state, municipal and
agencies
424
1,427
14,536
5,156
23,025
\u2013
44,568
Yield
(4)
5.0%
4.1%
3.3%
2.9%
2.5%
\u2013
2.9%
Other OECD government
375
723
4,362
66
\u2013
\u2013
5,526
Yield
(4)
2.0%
0.8%
2.9%
1.1%
\u2013
\u2013
2.5%
Asset-backed securities
\u2013
\u2013
424
\u2013
1
\u2013
425
Yield
(4)
\u2013
\u2013
4.9%
\u2013
1.4%
\u2013
4.9%
Corporate debt and other debt
838
1,443
11,256
190
23
\u2013
13,750
Yield
(4)
2.3%
2.9%
3.4%
3.1%
5.6%
\u2013
3.3%
Amortized cost, net of allowance
2,634
5,524
48,026
11,880
23,049
\u2013
91,113
Fair value
2,627
5,447
46,258
10,276
19,059
\u2013
83,667
Total carrying value of securities
$ 39,268
$ 46,977
$ 140,053
$
50,722
$ 68,544
$ 64,166
$ 409,730
As at October 31, 2022
Term to maturity
(1)
With no
Within
3 months
1 year to
5 years to
Over
specific
(Millions of Canadian dollars)
3 months
to 1 year
5 years
10 years
10 years
maturity
Total
Trading
(2)
Debt issued or guaranteed by:
Canadian government
$
2,255
$ 14,181
$
6,907
$
2,706
$
6,011
$
\u2013
$
32,060
U.S. federal, state, municipal and
agencies
7,151
10,107
7,043
4,507
8,020
\u2013
36,828
Other OECD government
1,343
233
606
241
2,354
\u2013
4,777
Mortgage-backed securities
\u2013
\u2013
\u2013
\u2013
2
\u2013
2
Asset-backed securities
779
49
67
207
208
\u2013
1,310
Corporate debt and other debt
Bankers\u2019 acceptances
252
3
\u2013
\u2013
\u2013
\u2013
255
Other
(3)
3,055
1,837
4,813
3,037
8,172
\u2013
20,914
Equities
52,059
52,059
14,835
26,410
19,436
10,698
24,767
52,059
148,205
Fair value through other comprehensive
income
(2)
Debt issued or guaranteed by:
Canadian government
Federal
Amortized cost
780
1,010
1,024
745
522
\u2013
4,081
Fair value
778
1,009
1,012
635
347
\u2013
3,781
Yield
(4)
2.3%
2.3%
2.8%
1.6%
3.1%
\u2013
2.4%
Provincial and municipal
Amortized cost
237
215
616
56
1,561
\u2013
2,685
Fair value
237
216
616
56
999
\u2013
2,124
Yield
(4)
2.0%
2.7%
2.0%
3.8%
4.1%
\u2013
3.0%
U.S. federal, state, municipal and
agencies
Amortized cost
802
2,613
13,586
9,104
19,929
\u2013
46,034
Fair value
802
2,615
13,554
9,061
18,326
\u2013
44,358
Yield
(4)
4.9%
0.4%
1.9%
3.4%
3.0%
\u2013
2.6%
Other OECD government
Amortized cost
1,105
642
3,406
1
\u2013
\u2013
5,154
Fair value
1,105
642
3,396
1
\u2013
\u2013
5,144
Yield
(4)
2.4%
1.2%
1.7%
4.4%
\u2013
\u2013
1.8%
Mortgage-backed securities
Amortized cost
\u2013
\u2013
\u2013
41
2,944
\u2013
2,985
Fair value
\u2013
\u2013
\u2013
37
2,851
\u2013
2,888
Yield
(4)
\u2013
\u2013
\u2013
4.5%
4.7%
\u2013
4.7%
Asset-backed securities
Amortized cost
\u2013
\u2013
46
6,331
1,911
\u2013
8,288
Fair value
\u2013
\u2013
46
6,172
1,830
\u2013
8,048
Yield
(4)
\u2013
\u2013
4.6%
5.3%
5.4%
\u2013
5.3%
Corporate debt and other debt
Amortized cost
5,922
4,793
12,420
2,666
51
\u2013
25,852
Fair value
5,919
4,792
12,307
2,656
46
\u2013
25,720
Yield
(4)
3.2%
2.8%
2.6%
3.1%
5.1%
\u2013
2.8%
Equities
Cost
551
551
Fair value
(5)
828
828
Amortized cost
8,846
9,273
31,098
18,944
26,918
551
95,630
Fair value
8,841
9,274
30,931
18,618
24,399
828
92,891
Amortized cost
(2)
Debt issued or guaranteed by:
Canadian government
929
1,734
16,655
6,101
\u2013
\u2013
25,419
Yield
(4)
2.4%
2.8%
2.0%
2.3%
\u2013
\u2013
2.1%
U.S. federal, state, municipal and
agencies
161
784
3,885
3,784
25,518
\u2013
34,132
Yield
(4)
4.4%
3.0%
1.7%
2.3%
2.4%
\u2013
2.3%
Other OECD government
235
1,574
3,645
64
\u2013
\u2013
5,518
Yield
(4)
1.3%
1.3%
1.9%
1.3%
\u2013
\u2013
1.7%
Asset-backed securities
\u2013
\u2013
573
135
3
\u2013
711
Yield
(4)
\u2013
\u2013
3.0%
3.5%
1.5%
\u2013
3.1%
Corporate debt and other debt
574
2,434
7,574
741
24
\u2013
11,347
Yield
(4)
0.8%
1.7%
2.6%
2.4%
4.9%
\u2013
2.0%
Amortized cost, net of allowance
1,899
6,526
32,332
10,825
25,545
\u2013
77,127
Fair value
1,899
6,455
30,579
9,433
21,707
\u2013
70,073
Total carrying value of securities
$ 25,575
$ 42,210
$ 82,699
$ 40,141
$ 74,711
$ 52,887
$ 318,223
(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 FVOCI
(1), (2)
\n \n
As at
October 31, 2023
October 31, 2022
Cost/
Gross
Gross
Cost/
Gross
Gross
Amortized
unrealized
unrealized
Amortized
unrealized
unrealized
Fair
(Millions of Canadian dollars)
cost
gains
losses
Fair value
cost
gains
losses
value
Debt issued or guaranteed by:
Canadian government
Federal
$
6,609
$
1
$
(351)
$
6,259
$
4,081
$
1
$
(301)
$
3,781
Provincial and municipal
3,396
2
(650)
2,748
2,685
6
(567)
2,124
U.S. federal, state, municipal and
agencies
75,326
343
(2,374)
73,295
46,034
343
(2,019)
44,358
Other OECD government
6,200
1
(9)
6,192
5,154
7
(17)
5,144
Mortgage-backed securities
2,762
\u2013
(61)
2,701
2,985
1
(98)
2,888
Asset-backed securities
CDO
8,308
3
(46)
8,265
7,741
3
(220)
7,524
Non-CDO securities
444
2
(5)
441
547
\u2013
(23)
524
Corporate debt and other debt
27,774
44
(95)
27,723
25,852
51
(183)
25,720
Equities
493
357
(8)
842
551
284
(7)
828
$ 131,312
$
753
$
(3,599)
$ 128,466
$
95,630
$
696
$
(3,435)
$ 92,891
\n
(1)
Excludes $91,113 million of held-to-collect securities as at October 31, 2023 that are carried at amortized cost, net of allowance for credit losses (October 31, 2022 \u2013
$77,127 million).
(2)
Gross unrealized gains and losses includes $(33) million of allowance for credit losses on debt securities at FVOCI as at October 31, 2023 (October 31, 2022 \u2013 $(19) million)
recognized in income and Other components of equity.
Allowance for credit losses on investment securities
The following tables reconcile the opening and closing allowance for debt securities at FVOCI and amortized cost by stage.
Reconciling items include the following:
\u2022
Transfers between stages, which are presumed to occur before any corresponding remeasurement of the allowance.
\u2022
Purchases, which reflect the allowance related to assets newly recognized during the period, including those assets that
were derecognized following a modification of terms.
\u2022
Sales and 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.
\u2022
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; changes in the measurement following a
transfer between stages; and unwinding of the time value discount due to the passage of time.
Allowance for credit losses \u2013 securities at FVOCI
(1)
\u00a0
For the year ended
\u00a0
October 31, 2023
October 31, 2022
\u00a0
Performing
Impaired
Performing
Impaired
(Millions of Canadian dollars)
Stage 1
Stage 2
Stage 3
(2)
Total
Stage 1
Stage 2
Stage 3 (2)
Total
Balance at beginning of period
$
3
\u00a0
$
1
$
(23)
$
(19)
$
2
$
1
$
(12)
$
(9)
Provision for credit losses
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Transfers to stage 1
\u00a0
1
(1)
\u2013
\u2013
1
(1)
\u2013
\u2013
Transfers to stage 2
\u00a0
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Transfers to stage 3
\u00a0
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Purchases
\u00a0
7
\u2013
\u2013
7
3
\u2013
\u2013
3
Sales and maturities
\u00a0
(2)
\u2013
\u2013
(2)
(1)
\u2013
\u2013
(1)
Changes in risk, parameters and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
exposures
\u00a0
(5)
\u2013
(17)
(22)
(2)
1
(10)
(11)
Exchange rate and other
\u00a0
\u2013
\u2013
3
3
\u2013
\u2013
(1)
(1)
Balance at end of period
$
4
$
\u2013
$
(37)
$
(33)
$
3
$
1
$
(23)
$
(19)
\n
(1)
Expected credit losses on debt securities at FVOCI are not separately recognized on the Consolidated Balance Sheets as the related securities are recorded at fair value.
The cumulative amount of credit losses recognized in income is presented in Other components of equity.
(2)
Reflects changes in the allowance for purchased credit impaired securities.
Allowance for credit losses \u2013 securities at amortized cost
\u00a0
For the year ended
\u00a0
October 31, 2023
October 31, 2022
\u00a0
Performing
Impaired
Performing
Impaired
(Millions of Canadian dollars)
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Balance at beginning of period
$
8
$
14
$
\u2013
$
22
$
5
$
18
$
\u2013
$
23
Provision for credit losses
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Transfers to stage 1
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Transfers to stage 2
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Transfers to stage 3
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Purchases
10
\u2013
\u2013
10
11
\u2013
\u2013
11
Sales and maturities
(1)
\u2013
\u2013
(1)
(1)
\u2013
\u2013
(1)
Changes in risk, parameters and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
exposures
(9)
\u2013
\u2013
(9)
(7)
(6)
\u2013
(13)
Exchange rate and other
\u2013
1
\u2013
1
\u2013
2
\u2013
2
Balance at end of period
$
8
$
15
$
\u2013
$
23
$
8
$
14
$
\u2013
$
22
\n
Credit risk exposure by internal risk rating
The following table presents the fair value of debt securities at FVOCI and gross carrying amount of securities at amortized cost.
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 in the Credit risk section of Management\u2019s Discussion and Analysis.
\u00a0
As at
\u00a0
October 31, 2023
October 31, 2022
\u00a0 \u00a0
Performing
\u00a0
Impaired
\u00a0
Performing
Impaired
\u00a0
(Millions of Canadian dollars)
Stage 1
Stage 2
Stage 3
(1)
Total
Stage 1
Stage 2
Stage 3 (1)
Total
Investment securities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Securities at FVOCI
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Investment grade
$ 126,732
$
1
$
\u2013
$ 126,733
$ 91,177
$
56
$
\u2013
$ 91,233
Non-investment grade
742
\u2013
\u2013
742
680
\u2013
\u2013
680
Impaired
\u2013
\u2013
149
149
\u2013
\u2013
150
150
\u00a0
127,474
1
149
127,624
91,857
56
150
92,063
Items not subject to impairment
(2)
\u00a0 \u00a0 \u00a0
842
\u00a0 \u00a0 \u00a0
828
\u00a0 \u00a0 \u00a0 \u00a0
$ 128,466
\u00a0 \u00a0 \u00a0
$ 92,891
Securities at amortized cost
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Investment grade
$
89,947
$
\u2013
$
\u2013
$
89,947
$ 76,035
$
\u2013
$
\u2013
$ 76,035
Non-investment grade
990
199
\u2013
1,189
898
216
\u2013
1,114
Impaired
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u00a0
90,937
199
\u2013
91,136
76,933
216
\u2013
77,149
Allowance for credit losses
8
15
\u2013
23
8
14
\u2013
22
\u00a0
$
90,929
$ 184
$
\u2013
$
91,113
$ 76,925
$ 202
$
\u2013
$ 77,127
\n
(1)
Reflects $149 million of purchased credit impaired securities (October 31, 2022 \u2013 $150 million).
(2)
Investment securities at FVOCI not subject to impairment represent equity securities designated as FVOCI. ", "dimensions": { "concept": "ifrs-full:DisclosureOfDebtSecuritiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f33194": { "value": "Allowance for credit losses on investment securities
The following tables reconcile the opening and closing allowance for debt securities at FVOCI and amortized cost by stage.
Reconciling items include the following:
\u2022
Transfers between stages, which are presumed to occur before any corresponding remeasurement of the allowance.
\u2022
Purchases, which reflect the allowance related to assets newly recognized during the period, including those assets that
were derecognized following a modification of terms.
\u2022
Sales and 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.
\u2022
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; changes in the measurement following a
transfer between stages; and unwinding of the time value discount due to the passage of time.
Allowance for credit losses \u2013 securities at FVOCI
(1)
\u00a0
For the year ended
\u00a0
October 31, 2023
October 31, 2022
\u00a0
Performing
Impaired
Performing
Impaired
(Millions of Canadian dollars)
Stage 1
Stage 2
Stage 3
(2)
Total
Stage 1
Stage 2
Stage 3 (2)
Total
Balance at beginning of period
$
3
\u00a0
$
1
$
(23)
$
(19)
$
2
$
1
$
(12)
$
(9)
Provision for credit losses
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Transfers to stage 1
\u00a0
1
(1)
\u2013
\u2013
1
(1)
\u2013
\u2013
Transfers to stage 2
\u00a0
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Transfers to stage 3
\u00a0
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Purchases
\u00a0
7
\u2013
\u2013
7
3
\u2013
\u2013
3
Sales and maturities
\u00a0
(2)
\u2013
\u2013
(2)
(1)
\u2013
\u2013
(1)
Changes in risk, parameters and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
exposures
\u00a0
(5)
\u2013
(17)
(22)
(2)
1
(10)
(11)
Exchange rate and other
\u00a0
\u2013
\u2013
3
3
\u2013
\u2013
(1)
(1)
Balance at end of period
$
4
$
\u2013
$
(37)
$
(33)
$
3
$
1
$
(23)
$
(19)
\n
(1)
Expected credit losses on debt securities at FVOCI are not separately recognized on the Consolidated Balance Sheets as the related securities are recorded at fair value.
The cumulative amount of credit losses recognized in income is presented in Other components of equity.
(2)
Reflects changes in the allowance for purchased credit impaired securities.
Allowance for credit losses \u2013 securities at amortized cost
\u00a0
For the year ended
\u00a0
October 31, 2023
October 31, 2022
\u00a0
Performing
Impaired
Performing
Impaired
(Millions of Canadian dollars)
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Balance at beginning of period
$
8
$
14
$
\u2013
$
22
$
5
$
18
$
\u2013
$
23
Provision for credit losses
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Transfers to stage 1
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Transfers to stage 2
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Transfers to stage 3
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Purchases
10
\u2013
\u2013
10
11
\u2013
\u2013
11
Sales and maturities
(1)
\u2013
\u2013
(1)
(1)
\u2013
\u2013
(1)
Changes in risk, parameters and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
exposures
(9)
\u2013
\u2013
(9)
(7)
(6)
\u2013
(13)
Exchange rate and other
\u2013
1
\u2013
1
\u2013
2
\u2013
2
Balance at end of period
$
8
$
15
$
\u2013
$
23
$
8
$
14
$
\u2013
$
22
\n
Credit risk exposure by internal risk rating
The following table presents the fair value of debt securities at FVOCI and gross carrying amount of securities at amortized cost.
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 in the Credit risk section of Management\u2019s Discussion and Analysis.
\u00a0
As at
\u00a0
October 31, 2023
October 31, 2022
\u00a0 \u00a0
Performing
\u00a0
Impaired
\u00a0
Performing
Impaired
\u00a0
(Millions of Canadian dollars)
Stage 1
Stage 2
Stage 3
(1)
Total
Stage 1
Stage 2
Stage 3 (1)
Total
Investment securities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Securities at FVOCI
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Investment grade
$ 126,732
$
1
$
\u2013
$ 126,733
$ 91,177
$
56
$
\u2013
$ 91,233
Non-investment grade
742
\u2013
\u2013
742
680
\u2013
\u2013
680
Impaired
\u2013
\u2013
149
149
\u2013
\u2013
150
150
\u00a0
127,474
1
149
127,624
91,857
56
150
92,063
Items not subject to impairment
(2)
\u00a0 \u00a0 \u00a0
842
\u00a0 \u00a0 \u00a0
828
\u00a0 \u00a0 \u00a0 \u00a0
$ 128,466
\u00a0 \u00a0 \u00a0
$ 92,891
Securities at amortized cost
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Investment grade
$
89,947
$
\u2013
$
\u2013
$
89,947
$ 76,035
$
\u2013
$
\u2013
$ 76,035
Non-investment grade
990
199
\u2013
1,189
898
216
\u2013
1,114
Impaired
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u00a0
90,937
199
\u2013
91,136
76,933
216
\u2013
77,149
Allowance for credit losses
8
15
\u2013
23
8
14
\u2013
22
\u00a0
$
90,929
$ 184
$
\u2013
$
91,113
$ 76,925
$ 202
$
\u2013
$ 77,127
\n
(1)
Reflects $149 million of purchased credit impaired securities (October 31, 2022 \u2013 $150 million).
(2)
Investment securities at FVOCI not subject to impairment represent equity securities designated as FVOCI.
Note 5
Loans and allowance for credit losses
\n\n
Loans by geography and portfolio net of allowance
\u00a0 \n \n
As at October 31, 2023
United
Other
Allowance for
Total net
(Millions of Canadian dollars)
Canada
States
International
Total
loan losses
(1)
of allowance
Retail
(2)
Residential mortgages
$ 397,605
$
33,683
$
3,213
$ 434,501
$
(481)
$
434,020
Personal
79,705
15,751
3,278
98,734
(1,145)
97,589
Credit cards
(3)
22,140
624
271
23,035
(1,013)
22,022
Small business
(4)
13,681
\u2013
\u2013
13,681
(180)
13,501
Wholesale
(2), (5)
121,762
119,067
46,997
287,826
(2,185)
285,641
Total loans
$ 634,893
$ 169,125
$
53,759
$ 857,777
$
(5,004)
$
852,773
Undrawn loan commitments \u2013 Retail
277,863
5,054
3,173
286,090
(152)
Undrawn loan commitments \u2013 Wholesale
128,967
247,881
84,633
461,481
(136)
\u00a0\n\n\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0
As at October 31, 2022
\u00a0 \u00a0
United
Other
\u00a0
Allowance for
Total net
(Millions of Canadian dollars)
Canada
States
International
Total
loan losses
(1)
of allowance
Retail
(2)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
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
\u2013
\u2013
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 \u2013 Retail
258,115
4,630
2,212
264,957
(243)
\u00a0
Undrawn loan commitments \u2013 Wholesale
118,928
225,113
81,194
425,235
(135)
\u00a0
\n
(1)
Excludes allowance for loans measured at FVOCI of $6 million (October 31, 2022 \u2013 $5 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
\n\n\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0
As at October 31, 2023
\u00a0
Maturity term
(1)
Rate sensitivity
\u00a0
Under
1 to 5
Over 5
\u00a0 \u00a0
Fixed
Non-rate-
\u00a0
(Millions of Canadian dollars)
1 year
(2)
years
years
Total
Floating
Rate
sensitive
Total
Retail
$ 276,720
$ 249,210
$ 44,021
$ 569,951
$ 183,604
$ 378,656
$
7,691
$ 569,951
Wholesale
236,126
39,358
12,342
287,826
53,655
232,024
2,147
287,826
Total loans
$ 512,846
$ 288,568
$ 56,363
$ 857,777
$ 237,259
$ 610,680
$
9,838
$ 857,777
Allowance for loan losses
\u00a0 \u00a0 \u00a0
(5,004)
\u00a0 \u00a0 \u00a0
(5,004)
Total loans net of allowance for loan losses
\u00a0 \u00a0 \u00a0
$ 852,773
\u00a0 \u00a0 \u00a0
$ 852,773
\n\n\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0
As at October 31, 2022
\u00a0
Maturity term
(1)
Rate sensitivity
\u00a0
Under 1
1 to 5
Over 5
\u00a0 \u00a0
Fixed
Non-rate-
\u00a0
(Millions of Canadian dollars)
year
(2)
years
years
Total
Floating
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
\u00a0 \u00a0 \u00a0
(3,753)
\u00a0 \u00a0 \u00a0
(3,753)
Total loans net of allowance for loan losses
\u00a0 \u00a0 \u00a0
$ 819,965
\u00a0 \u00a0 \u00a0
$ 819,965
\n
(1)
Generally, based on the earlier of contractual repricing or maturity date.
(2)
Includes variable rate loans that can be repriced at the clients\u2019 discretion without penalty.
Allowance for credit losses
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
For the year ended
\u00a0
October 31, 2023
October 31, 2022
\u00a0
Balance at
Provision
\u00a0
Exchange
Balance
Balance at
Provision
\u00a0
Exchange
Balance
\u00a0
beginning
for credit
Net
rate and
at end
beginning
for credit
Net
rate and
at end
(Millions of Canadian dollars)
of period
losses
write-offs
(1)
other
of period
of period
losses
write-offs
(1)
other
of period
Retail
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Residential mortgages
$
432
$
74
$
(17)
$
(8)
$
481
$
416
$
27
$
(24)
$
13
$
432
Personal
1,043
593
(404)
(4)
1,228
1,079
211
(248)
1
1,043
Credit cards
893
636
(460)
\u2013
1,069
875
348
(332)
2
893
Small business
194
43
(39)
(4)
194
177
31
(23)
9
194
Wholesale
1,574
1,145
(293)
(100)
2,326
1,797
(90)
(136)
3
1,574
Customers\u2019 liability under
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
acceptances
45
5
\u2013
\u2013
50
75
(30)
\u2013
\u2013
45
\u00a0
$ 4,181
$ 2,496
$
(1,213)
$
(116)
$ 5,348
$
4,419
$
497
$
(763)
$
28
$ 4,181
Presented as:
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Allowance for loan losses
$ 3,753
\u00a0 \u00a0 \u00a0
$ 5,004
$
4,089
\u00a0 \u00a0 \u00a0
$ 3,753
Other liabilities \u2013 Provisions
378
\u00a0 \u00a0 \u00a0
288
241
\u00a0 \u00a0 \u00a0
378
Customers\u2019 liability under
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
acceptances
45
\u00a0 \u00a0 \u00a0
50
75
\u00a0 \u00a0 \u00a0
45
Other components of equity
5
\u00a0 \u00a0 \u00a0
6
14
\u00a0 \u00a0 \u00a0
5
\n
(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, 2023 that are no longer subject to enforcement activity was $139 million (October 31, 2022 \u2013 $53 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:
\u2022
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.
\u2022
Transfers between stages, which are presumed to occur before any corresponding remeasurements of the allowance.
\u2022
Originations, which reflect the allowance related to assets newly recognized during the period, including those assets that
were derecognized following a modification of terms.
\u2022
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.
\u2022
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 \u2013 Retail and wholesale loans
For the year ended
October 31, 2023
October 31, 2022
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
$
235
$
65
$
132
$
432
$
186
$
92
$
138
$
416
Provision for credit losses
Model changes
\u2013
\u2013
\u2013
\u2013
(21)
10
\u2013
(11)
Transfers to stage 1
95
(95)
\u2013
\u2013
113
(98)
(15)
\u2013
Transfers to stage 2
(26)
38
(12)
\u2013
(14)
23
(9)
\u2013
Transfers to stage 3
(2)
(13)
15
\u2013
(2)
(25)
27
\u2013
Originations
89
\u2013
\u2013
89
159
\u2013
\u2013
159
Maturities
(17)
(9)
\u2013
(26)
(23)
(9)
\u2013
(32)
Changes in risk, parameters and
exposures
(152)
103
60
11
(167)
68
10
(89)
Write-offs
\u2013
\u2013
(30)
(30)
\u2013
\u2013
(38)
(38)
Recoveries
\u2013
\u2013
13
13
\u2013
\u2013
14
14
Exchange rate and other
1
1
(10)
(8)
4
4
5
13
Balance at end of period
$
223
$
90
$
168
$
481
$
235
$
65
$
132
$
432
Personal
Balance at beginning of period
$
285
$
661
$
97
$
1,043
$
422
$
569
$
88
$
1,079
Provision for credit losses
Model changes
\u2013
\u2013
\u2013
\u2013
(3)
\u2013
\u2013
(3)
Transfers to stage 1
696
(695)
(1)
\u2013
609
(607)
(2)
\u2013
Transfers to stage 2
(88)
90
(2)
\u2013
(120)
121
(1)
\u2013
Transfers to stage 3
(1)
(57)
58
\u2013
(2)
(47)
49
\u2013
Originations
103
\u2013
\u2013
103
106
\u2013
\u2013
106
Maturities
(45)
(112)
\u2013
(157)
(70)
(99)
\u2013
(169)
Changes in risk, parameters and
exposures
(671)
906
412
647
(660)
724
213
277
Write-offs
\u2013
\u2013
(518)
(518)
\u2013
\u2013
(374)
(374)
Recoveries
\u2013
\u2013
114
114
\u2013
\u2013
126
126
Exchange rate and other
1
\u2013
(5)
(4)
3
\u2013
(2)
1
Balance at end of period
$
280
$
793
$
155
$
1,228
$
285
$
661
$
97
$
1,043
Credit cards
Balance at beginning of period
$
177
$
716
$
\u2013
$
893
$
233
$
642
$
\u2013
$
875
Provision for credit losses
Model changes
\u2013
\u2013
\u2013
\u2013
(2)
\u2013
\u2013
(2)
Transfers to stage 1
539
(539)
\u2013
\u2013
495
(495)
\u2013
\u2013
Transfers to stage 2
(101)
101
\u2013
\u2013
(95)
95
\u2013
\u2013
Transfers to stage 3
(2)
(394)
396
\u2013
(2)
(325)
327
\u2013
Originations
13
\u2013
\u2013
13
10
\u2013
\u2013
10
Maturities
(6)
(33)
\u2013
(39)
(5)
(29)
\u2013
(34)
Changes in risk, parameters and
exposures
(417)
1,015
64
662
(458)
826
6
374
Write-offs
\u2013
\u2013
(650)
(650)
\u2013
\u2013
(503)
(503)
Recoveries
\u2013
\u2013
190
190
\u2013
\u2013
171
171
Exchange rate and other
\u2013
\u2013
\u2013
\u2013
1
2
(1)
2
Balance at end of period
$
203
$
866
$
\u2013
$
1,069
$
177
$
716
$
\u2013
$
893
Small business
Balance at beginning of period
$
73
$
73
$
48
$
194
$
88
$
55
$
34
$
177
Provision for credit losses
Model changes
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Transfers to stage 1
39
(39)
\u2013
\u2013
27
(27)
\u2013
\u2013
Transfers to stage 2
(14)
14
\u2013
\u2013
(17)
17
\u2013
\u2013
Transfers to stage 3
(1)
(10)
11
\u2013
(1)
(4)
5
\u2013
Originations
36
\u2013
\u2013
36
32
\u2013
\u2013
32
Maturities
(18)
(21)
\u2013
(39)
(22)
(24)
\u2013
(46)
Changes in risk, parameters and
exposures
(48)
44
50
46
(43)
50
38
45
Write-offs
\u2013
\u2013
(50)
(50)
\u2013
\u2013
(32)
(32)
Recoveries
\u2013
\u2013
11
11
\u2013
\u2013
9
9
Exchange rate and other
3
5
(12)
(4)
9
6
(6)
9
Balance at end of period
$
70
$
66
$
58
$
194
$
73
$
73
$
48
$
194
Wholesale
Balance at beginning of period
$
597
$
585
$
392
$
1,574
$
566
$
794
$
437
$
1,797
Provision for credit losses
Model changes
\u2013
\u2013
\u2013
\u2013
(14)
(3)
\u2013
(17)
Transfers to stage 1
216
(215)
(1)
\u2013
415
(411)
(4)
\u2013
Transfers to stage 2
(87)
89
(2)
\u2013
(78)
80
(2)
\u2013
Transfers to stage 3
(10)
(60)
70
\u2013
(3)
(62)
65
\u2013
Originations
651
\u2013
\u2013
651
641
\u2013
\u2013
641
Maturities
(448)
(270)
\u2013
(718)
(439)
(345)
\u2013
(784)
Changes in risk, parameters and
exposures
(153)
647
718
1,212
(504)
503
71
70
Write-offs
\u2013
\u2013
(324)
(324)
\u2013
\u2013
(202)
(202)
Recoveries
\u2013
\u2013
31
31
\u2013
\u2013
66
66
Exchange rate and other
8
9
(117)
(100)
13
29
(39)
3
Balance at end of period
$
774
$
785
$
767
$
2,326
$
597
$
585
$
392
$
1,574
Key inputs and assumptions
The measurement of expected credit losses is a complex calculation that involves a significant number of interrelated inputs and
assumptions and the allowance is not sensitive to any one single factor. The key drivers of changes in expected credit losses
include the following:
\u2022
Changes in the credit quality of the borrower or instrument, primarily reflected in changes in internal risk ratings;
\u2022
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;
\u2022
Changes in scenario design and the weight assigned to each scenario; and
\u2022
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 the
measurement of our weighted allowance for credit losses. The measurement of expected credit losses, including scenario design
and weightings, determining significant increases in credit risk since origination and application of expert credit judgment, is
overseen by a senior management committee that includes representation from Finance, Group Risk Management and
Economics.
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\u2019s 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. Scenario
weightings take into consideration the extent to which the base case scenario includes both favourable and unfavourable
economic expectations, and upside and downside risks to the base scenario materializing in the future. 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. When the economy is at or near equilibrium, the severity of the downside scenario
generally reflects an adverse event typical for a business cycle and both the non-linear downside scenarios reflect an outcome
that is materially more adverse than the downside scenario.
The impact of each of our five scenarios varies across our portfolios given the portfolios have different sensitivities to
movements in each macroeconomic variable. Our scenario weights are unchanged relative to October 31, 2022 to reflect
continued uncertainty and downside risks that may drive recession outcomes that are more severe 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
$868 million at October 31, 2023 (October 31, 2022 \u2013 $738 million).
Forward looking macroeconomic variables
The PD, LGD and EAD inputs used to estimate Stage 1 and Stage 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, 2023. 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 central bank policy interest rates and elevated but declining
inflation, which result in mild recessions in Canada in the second half of calendar 2023 and the U.S. in the first half of calendar
2024. Expectations are that there will be no further increases in central bank interest rates in Canada and the U.S. Our base
scenario also reflects commercial real estate price declines in the near term.
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 2024 relative to our base
scenario. In these scenarios, conditions are expected to deteriorate from calendar Q4 2023 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:
\u2022
Unemployment
\u2013 In our base forecast, calendar Q4 2023 unemployment rates are expected to rise to 5.9% in Canada and
4.0% in the U.S., peaking in Q2 2024 at 6.6% in Canada and in Q3 2024 at 4.7% in the U.S., then reverting to long run
equilibrium levels by calendar Q2 and Q3 2026, respectively.
4
5
6
7
8
10
9
Range of alternative scenarios (October 31, 2023)
Q4-2026
Q1-2027
Q2-2027
Q3-2027
Q4-2027
Q1-2028
Q2-2028
Q3-2028
Q4-2022
Q1-2023
Q2-2023
Q3-2023
Q4-2023
Q1-2024
Q2-2024
Q3-2024
Q4-2024
Q1-2025
Q2-2025
Q3-2025
Q4-2025
Q1-2026
Q2-2026
Q3-2026
Base scenario (October 31, 2023)
Base scenario (October 31, 2022)
%
Canada Unemployment Rate
(1)
(1)
Represents the average quarterly unemployment level over the calendar quarters presented.
3
5
4
7
6
8
9
Range of alternative scenarios (October 31, 2023)
Base scenario (October 31, 2023)
Base scenario (October 31, 2022)
%
U.S. Unemployment Rate
(1)
(1)
Represents the average quarterly unemployment level over the calendar quarters presented.
Q4-2026
Q1-2027
Q2-2027
Q3-2027
Q4-2027
Q1-2028
Q2-2028
Q3-2028
Q4-2022
Q1-2023
Q2-2023
Q3-2023
Q4-2023
Q1-2024
Q2-2024
Q3-2024
Q4-2024
Q1-2025
Q2-2025
Q3-2025
Q4-2025
Q1-2026
Q2-2026
Q3-2026
\u2022
Gross Domestic Product (GDP)
\u2013 In our base forecast, we expect Canadian GDP to continuously grow in calendar Q1 2024
and thereafter, while U.S. GDP growth is expected to experience a mild recession during the first half of calendar 2024
followed by continuous growth. GDP in calendar Q4 2024 is expected to be 1.6% and 0.1% above Q4 2023 levels in Canada and
the U.S., respectively.
2.0
2.1
2.2
2.3
2.4
2.5
Range of alternative scenarios (October 31, 2023)
Base scenario (October 31, 2023)
Base scenario (October 31, 2022)
Trillions of Canadian dollars
Canada Real GDP
(1)
(1)
Represents the seasonally adjusted annual rate indexed to 2012 Canadian dollars over the calendar
quarters presented.
Q4-2026
Q1-2027
Q2-2027
Q3-2027
Q4-2027
Q1-2028
Q2-2028
Q3-2028
Q4-2022
Q1-2023
Q2-2023
Q3-2023
Q4-2023
Q1-2024
Q2-2024
Q3-2024
Q4-2024
Q1-2025
Q2-2025
Q3-2025
Q4-2025
Q1-2026
Q2-2026
Q3-2026
18.0
19.0
20.0
23.0
22.0
21.0
24.0
Range of alternative scenarios (October 31, 2023)
Base scenario (October 31, 2023)
Base scenario (October 31, 2022)
(1)
Represents the seasonally adjusted annual rate indexed to 2012 U.S. dollars over the calendar
quarters presented.
Q4-2026
Q1-2027
Q2-2027
Q3-2027
Q4-2027
Q1-2028
Q2-2028
Q3-2028
Q4-2022
Q1-2023
Q2-2023
Q3-2023
Q4-2023
Q1-2024
Q2-2024
Q3-2024
Q4-2024
Q1-2025
Q2-2025
Q3-2025
Q4-2025
Q1-2026
Q2-2026
Q3-2026
Trillions of U.S. dollars
U.S. Real GDP
(1)
\u2022
Oil price (West Texas Intermediate in US$)
\u2013 In our base forecast, we expect oil prices to average $81 per barrel over the
next 12 months from calendar Q4 2023 and $67 per barrel in the following 2 to 5 years. The range of average prices in our
alternative downside and upside scenarios is $28 to $103 per barrel for the next 12 months and $43 to $74 per barrel for the
following 2 to 5 years. As at October 31, 2022, our base forecast included an average price of $88 per barrel for the next
12 months and $72 per barrel for the following 2 to 5 years.
\u2022
Canadian housing price
index
\u2013 In our base forecast, we expect housing prices to increase by 1.6% over the next 12 months
from calendar Q4 2023, with a compound annual growth rate of 5.0% 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 9.6% for the following 2 to 5 years. As at October 31, 2022 our base forecast included housing
price contraction of (1.0)% from calendar Q4 2022 for the next 12 months and housing price growth of 5.2% 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 Stage 1 and Stage 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
Stage 1 to the actual ACL recorded on these assets.
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
As at
\u00a0
October 31, 2023
October 31, 2022
\u00a0
ACL \u2013 All performing
Impact of
Stage 1 and 2
ACL \u2013 All performing
Impact of
Stage 1 and 2
(Millions of Canadian dollars)
loans in Stage 1
staging
ACL
loans in Stage 1
staging
ACL
Performing loans
(1)
$ 2,893
$ 1,257
$ 4,150
$ 2,373
$ 1,094
$ 3,467
\n
(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\u2019s Discussion and Analysis.
\u00a0
As at
\u00a0
October 31, 2023
October 31, 2022
(Millions of Canadian dollars)
Stage 1
Stage 2
Stage 3
(1)
Total
Stage 1
Stage 2
\u00a0
Stage 3 (1)
Total
Retail
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Loans outstanding \u2013 Residential
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
mortgages
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Low risk
$ 349,001
$
1,630
$
\u2013
$ 350,631
$ 340,716
$
2,573
\u00a0
$
\u2013
$ 343,289
Medium risk
19,126
1,610
\u2013
20,736
15,035
1,932
\u00a0
\u2013
16,967
High risk
1,582
4,927
\u2013
6,509
1,188
3,125
\u00a0
\u2013
4,313
Not rated
(2)
54,247
1,220
\u2013
55,467
51,915
1,304
\u00a0
\u2013
53,219
Impaired
\u2013
\u2013
682
682
\u2013
\u2013
\u00a0
560
560
\u00a0
423,956
9,387
682
434,025
408,854
8,934
\u00a0
560
418,348
Items not subject to impairment
(3)
\u00a0 \u00a0 \u00a0
476
\u00a0 \u00a0 \u00a0 \u00a0
448
Total
\u00a0 \u00a0 \u00a0
$ 434,501
\u00a0 \u00a0 \u00a0 \u00a0
$ 418,796
Loans outstanding \u2013 Personal
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Low risk
$
75,572
$
1,676
$
\u2013
$
77,248
$
73,339
$
2,575
\u00a0
$
\u2013
$
75,914
Medium risk
5,587
2,915
\u2013
8,502
5,482
3,780
\u00a0
\u2013
9,262
High risk
477
2,088
\u00a0
\u2013
2,565
836
1,660
\u00a0
\u2013
2,496
Not rated
(2)
9,982
157
\u2013
10,139
9,733
104
\u00a0
\u2013
9,837
Impaired
\u2013
\u2013
280
280
\u2013
\u2013
\u00a0
200
200
Total
$
91,618
$
6,836
$
280
$
98,734
$
89,390
$
8,119
\u00a0
$
200
$
97,709
Loans outstanding \u2013 Credit cards
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Low risk
$
16,331
$
135
$
\u2013
$
16,466
$
15,088
$
83
\u00a0
$
\u2013
$
15,171
Medium risk
1,771
2,132
\u2013
3,903
1,418
1,911
\u00a0
\u2013
3,329
High risk
41
1,734
\u2013
1,775
39
1,255
\u00a0
\u2013
1,294
Not rated
(2)
856
35
\u2013
891
751
32
\u00a0
\u2013
783
Total
$
18,999
$
4,036
$
\u2013
$
23,035
$
17,296
$
3,281
\u00a0
$
\u2013
$
20,577
Loans outstanding \u2013 Small business
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Low risk
$
8,641
$
920
$
\u2013
$
9,561
$
8,571
$
838
\u00a0
$
\u2013
$
9,409
Medium risk
2,238
936
\u2013
3,174
1,512
1,130
\u00a0
\u2013
2,642
High risk
99
592
\u2013
691
102
375
\u00a0
\u2013
477
Not rated
(2)
11
\u2013
\u2013
11
3
\u2013
\u00a0
\u2013
3
Impaired
\u2013
\u2013
244
244
\u2013
\u2013
\u00a0
138
138
Total
$
10,989
$
2,448
$
244
$
13,681
$
10,188
$
2,343
\u00a0
$
138
$
12,669
Undrawn loan commitments \u2013 Retail
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Low risk
$ 266,209
$
610
$
\u2013
$ 266,819
$ 247,620
$
1,041
\u00a0
$
\u2013
$ 248,661
Medium risk
10,759
298
\u2013
11,057
9,021
246
\u00a0
\u2013
9,267
High risk
956
434
\u2013
1,390
876
367
\u00a0
\u2013
1,243
Not rated
(2)
6,686
138
\u2013
6,824
5,668
118
\u00a0
\u2013
5,786
Total
$ 284,610
$
1,480
$
\u2013
$ 286,090
$ 263,185
$
1,772
\u00a0
$
\u2013
$ 264,957
Wholesale \u2013 Loans outstanding
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Investment grade
$
89,037
$
416
$
\u2013
$
89,453
$
88,513
$
202
\u00a0
$
\u2013
$
88,715
Non-investment grade
156,211
19,210
\u2013
175,421
145,908
15,758
\u00a0
\u2013
161,666
Not rated
(2)
10,968
238
\u2013
11,206
11,789
360
\u00a0
\u2013
12,149
Impaired
\u2013
\u2013
2,498
2,498
\u2013
\u2013
\u00a0
1,301
1,301
Items not subject to impairment
(3)
\u00a0 \u00a0 \u00a0
9,248
\u00a0 \u00a0 \u00a0 \u00a0
10,136
Total
\u00a0 \u00a0 \u00a0
$ 287,826
\u00a0 \u00a0 \u00a0 \u00a0
$ 273,967
Undrawn loan commitments \u2013
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Wholesale
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Investment grade
$ 312,178
$
186
$
\u2013
$ 312,364
$ 284,481
$
179
\u00a0
$
\u2013
$ 284,660
Non-investment grade
130,994
13,947
\u2013
144,941
126,225
10,657
\u00a0
\u2013
136,882
Not rated
(2)
4,176
\u2013
\u2013
4,176
3,692
1
\u00a0
\u2013
3,693
Total
$ 447,348
$ 14,133
$
\u2013
$ 461,481
$ 414,398
$ 10,837
\u00a0
$
\u2013
$ 425,235
\n
(1)
As at October 31, 2023, 88% of credit-impaired loans were either fully or partially collateralized (October 31, 2022 \u2013 88%). 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\u2019s 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, 2023
October 31, 2022
90 days
90 days
(Millions of Canadian dollars)
30 to 89 days
and greater
Total
30 to 89 days
and greater
Total
Retail
$
1,840
$
208
$ 2,048
$
1,328
$
168
$ 1,496
Wholesale
1,823
49
1,872
1,279
2
1,281
$
3,663
$
257
$ 3,920
$
2,607
$
170
$ 2,777
\n
(1)
Excludes loans less than 30 days past due as they are not generally representative of the borrowers\u2019 ability to meet their payment obligations.
\n
(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
\nsale or refinancing. Past due loans arising from administrative processes are not representative of the borrowers\u2019 ability to meet their payment obligations.", "dimensions": { "concept": "ifrs-full:DisclosureOfAllowanceForCreditLossesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f34075": { "value": "Note 5
Loans and allowance for credit losses
\n\n
Loans by geography and portfolio net of allowance
\u00a0 \n \n
As at October 31, 2023
United
Other
Allowance for
Total net
(Millions of Canadian dollars)
Canada
States
International
Total
loan losses
(1)
of allowance
Retail
(2)
Residential mortgages
$ 397,605
$
33,683
$
3,213
$ 434,501
$
(481)
$
434,020
Personal
79,705
15,751
3,278
98,734
(1,145)
97,589
Credit cards
(3)
22,140
624
271
23,035
(1,013)
22,022
Small business
(4)
13,681
\u2013
\u2013
13,681
(180)
13,501
Wholesale
(2), (5)
121,762
119,067
46,997
287,826
(2,185)
285,641
Total loans
$ 634,893
$ 169,125
$
53,759
$ 857,777
$
(5,004)
$
852,773
Undrawn loan commitments \u2013 Retail
277,863
5,054
3,173
286,090
(152)
Undrawn loan commitments \u2013 Wholesale
128,967
247,881
84,633
461,481
(136)
\u00a0\n\n\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0
As at October 31, 2022
\u00a0 \u00a0
United
Other
\u00a0
Allowance for
Total net
(Millions of Canadian dollars)
Canada
States
International
Total
loan losses
(1)
of allowance
Retail
(2)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
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
\u2013
\u2013
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 \u2013 Retail
258,115
4,630
2,212
264,957
(243)
\u00a0
Undrawn loan commitments \u2013 Wholesale
118,928
225,113
81,194
425,235
(135)
\u00a0
\n
(1)
Excludes allowance for loans measured at FVOCI of $6 million (October 31, 2022 \u2013 $5 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
\n\n\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0
As at October 31, 2023
\u00a0
Maturity term
(1)
Rate sensitivity
\u00a0
Under
1 to 5
Over 5
\u00a0 \u00a0
Fixed
Non-rate-
\u00a0
(Millions of Canadian dollars)
1 year
(2)
years
years
Total
Floating
Rate
sensitive
Total
Retail
$ 276,720
$ 249,210
$ 44,021
$ 569,951
$ 183,604
$ 378,656
$
7,691
$ 569,951
Wholesale
236,126
39,358
12,342
287,826
53,655
232,024
2,147
287,826
Total loans
$ 512,846
$ 288,568
$ 56,363
$ 857,777
$ 237,259
$ 610,680
$
9,838
$ 857,777
Allowance for loan losses
\u00a0 \u00a0 \u00a0
(5,004)
\u00a0 \u00a0 \u00a0
(5,004)
Total loans net of allowance for loan losses
\u00a0 \u00a0 \u00a0
$ 852,773
\u00a0 \u00a0 \u00a0
$ 852,773
\n\n\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0
As at October 31, 2022
\u00a0
Maturity term
(1)
Rate sensitivity
\u00a0
Under 1
1 to 5
Over 5
\u00a0 \u00a0
Fixed
Non-rate-
\u00a0
(Millions of Canadian dollars)
year
(2)
years
years
Total
Floating
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
\u00a0 \u00a0 \u00a0
(3,753)
\u00a0 \u00a0 \u00a0
(3,753)
Total loans net of allowance for loan losses
\u00a0 \u00a0 \u00a0
$ 819,965
\u00a0 \u00a0 \u00a0
$ 819,965
\n
(1)
Generally, based on the earlier of contractual repricing or maturity date.
(2)
Includes variable rate loans that can be repriced at the clients\u2019 discretion without penalty.
Allowance for credit losses
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
For the year ended
\u00a0
October 31, 2023
October 31, 2022
\u00a0
Balance at
Provision
\u00a0
Exchange
Balance
Balance at
Provision
\u00a0
Exchange
Balance
\u00a0
beginning
for credit
Net
rate and
at end
beginning
for credit
Net
rate and
at end
(Millions of Canadian dollars)
of period
losses
write-offs
(1)
other
of period
of period
losses
write-offs
(1)
other
of period
Retail
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Residential mortgages
$
432
$
74
$
(17)
$
(8)
$
481
$
416
$
27
$
(24)
$
13
$
432
Personal
1,043
593
(404)
(4)
1,228
1,079
211
(248)
1
1,043
Credit cards
893
636
(460)
\u2013
1,069
875
348
(332)
2
893
Small business
194
43
(39)
(4)
194
177
31
(23)
9
194
Wholesale
1,574
1,145
(293)
(100)
2,326
1,797
(90)
(136)
3
1,574
Customers\u2019 liability under
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
acceptances
45
5
\u2013
\u2013
50
75
(30)
\u2013
\u2013
45
\u00a0
$ 4,181
$ 2,496
$
(1,213)
$
(116)
$ 5,348
$
4,419
$
497
$
(763)
$
28
$ 4,181
Presented as:
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Allowance for loan losses
$ 3,753
\u00a0 \u00a0 \u00a0
$ 5,004
$
4,089
\u00a0 \u00a0 \u00a0
$ 3,753
Other liabilities \u2013 Provisions
378
\u00a0 \u00a0 \u00a0
288
241
\u00a0 \u00a0 \u00a0
378
Customers\u2019 liability under
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
acceptances
45
\u00a0 \u00a0 \u00a0
50
75
\u00a0 \u00a0 \u00a0
45
Other components of equity
5
\u00a0 \u00a0 \u00a0
6
14
\u00a0 \u00a0 \u00a0
5
\n
(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, 2023 that are no longer subject to enforcement activity was $139 million (October 31, 2022 \u2013 $53 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:
\u2022
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.
\u2022
Transfers between stages, which are presumed to occur before any corresponding remeasurements of the allowance.
\u2022
Originations, which reflect the allowance related to assets newly recognized during the period, including those assets that
were derecognized following a modification of terms.
\u2022
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.
\u2022
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 \u2013 Retail and wholesale loans
For the year ended
October 31, 2023
October 31, 2022
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
$
235
$
65
$
132
$
432
$
186
$
92
$
138
$
416
Provision for credit losses
Model changes
\u2013
\u2013
\u2013
\u2013
(21)
10
\u2013
(11)
Transfers to stage 1
95
(95)
\u2013
\u2013
113
(98)
(15)
\u2013
Transfers to stage 2
(26)
38
(12)
\u2013
(14)
23
(9)
\u2013
Transfers to stage 3
(2)
(13)
15
\u2013
(2)
(25)
27
\u2013
Originations
89
\u2013
\u2013
89
159
\u2013
\u2013
159
Maturities
(17)
(9)
\u2013
(26)
(23)
(9)
\u2013
(32)
Changes in risk, parameters and
exposures
(152)
103
60
11
(167)
68
10
(89)
Write-offs
\u2013
\u2013
(30)
(30)
\u2013
\u2013
(38)
(38)
Recoveries
\u2013
\u2013
13
13
\u2013
\u2013
14
14
Exchange rate and other
1
1
(10)
(8)
4
4
5
13
Balance at end of period
$
223
$
90
$
168
$
481
$
235
$
65
$
132
$
432
Personal
Balance at beginning of period
$
285
$
661
$
97
$
1,043
$
422
$
569
$
88
$
1,079
Provision for credit losses
Model changes
\u2013
\u2013
\u2013
\u2013
(3)
\u2013
\u2013
(3)
Transfers to stage 1
696
(695)
(1)
\u2013
609
(607)
(2)
\u2013
Transfers to stage 2
(88)
90
(2)
\u2013
(120)
121
(1)
\u2013
Transfers to stage 3
(1)
(57)
58
\u2013
(2)
(47)
49
\u2013
Originations
103
\u2013
\u2013
103
106
\u2013
\u2013
106
Maturities
(45)
(112)
\u2013
(157)
(70)
(99)
\u2013
(169)
Changes in risk, parameters and
exposures
(671)
906
412
647
(660)
724
213
277
Write-offs
\u2013
\u2013
(518)
(518)
\u2013
\u2013
(374)
(374)
Recoveries
\u2013
\u2013
114
114
\u2013
\u2013
126
126
Exchange rate and other
1
\u2013
(5)
(4)
3
\u2013
(2)
1
Balance at end of period
$
280
$
793
$
155
$
1,228
$
285
$
661
$
97
$
1,043
Credit cards
Balance at beginning of period
$
177
$
716
$
\u2013
$
893
$
233
$
642
$
\u2013
$
875
Provision for credit losses
Model changes
\u2013
\u2013
\u2013
\u2013
(2)
\u2013
\u2013
(2)
Transfers to stage 1
539
(539)
\u2013
\u2013
495
(495)
\u2013
\u2013
Transfers to stage 2
(101)
101
\u2013
\u2013
(95)
95
\u2013
\u2013
Transfers to stage 3
(2)
(394)
396
\u2013
(2)
(325)
327
\u2013
Originations
13
\u2013
\u2013
13
10
\u2013
\u2013
10
Maturities
(6)
(33)
\u2013
(39)
(5)
(29)
\u2013
(34)
Changes in risk, parameters and
exposures
(417)
1,015
64
662
(458)
826
6
374
Write-offs
\u2013
\u2013
(650)
(650)
\u2013
\u2013
(503)
(503)
Recoveries
\u2013
\u2013
190
190
\u2013
\u2013
171
171
Exchange rate and other
\u2013
\u2013
\u2013
\u2013
1
2
(1)
2
Balance at end of period
$
203
$
866
$
\u2013
$
1,069
$
177
$
716
$
\u2013
$
893
Small business
Balance at beginning of period
$
73
$
73
$
48
$
194
$
88
$
55
$
34
$
177
Provision for credit losses
Model changes
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Transfers to stage 1
39
(39)
\u2013
\u2013
27
(27)
\u2013
\u2013
Transfers to stage 2
(14)
14
\u2013
\u2013
(17)
17
\u2013
\u2013
Transfers to stage 3
(1)
(10)
11
\u2013
(1)
(4)
5
\u2013
Originations
36
\u2013
\u2013
36
32
\u2013
\u2013
32
Maturities
(18)
(21)
\u2013
(39)
(22)
(24)
\u2013
(46)
Changes in risk, parameters and
exposures
(48)
44
50
46
(43)
50
38
45
Write-offs
\u2013
\u2013
(50)
(50)
\u2013
\u2013
(32)
(32)
Recoveries
\u2013
\u2013
11
11
\u2013
\u2013
9
9
Exchange rate and other
3
5
(12)
(4)
9
6
(6)
9
Balance at end of period
$
70
$
66
$
58
$
194
$
73
$
73
$
48
$
194
Wholesale
Balance at beginning of period
$
597
$
585
$
392
$
1,574
$
566
$
794
$
437
$
1,797
Provision for credit losses
Model changes
\u2013
\u2013
\u2013
\u2013
(14)
(3)
\u2013
(17)
Transfers to stage 1
216
(215)
(1)
\u2013
415
(411)
(4)
\u2013
Transfers to stage 2
(87)
89
(2)
\u2013
(78)
80
(2)
\u2013
Transfers to stage 3
(10)
(60)
70
\u2013
(3)
(62)
65
\u2013
Originations
651
\u2013
\u2013
651
641
\u2013
\u2013
641
Maturities
(448)
(270)
\u2013
(718)
(439)
(345)
\u2013
(784)
Changes in risk, parameters and
exposures
(153)
647
718
1,212
(504)
503
71
70
Write-offs
\u2013
\u2013
(324)
(324)
\u2013
\u2013
(202)
(202)
Recoveries
\u2013
\u2013
31
31
\u2013
\u2013
66
66
Exchange rate and other
8
9
(117)
(100)
13
29
(39)
3
Balance at end of period
$
774
$
785
$
767
$
2,326
$
597
$
585
$
392
$
1,574
Key inputs and assumptions
The measurement of expected credit losses is a complex calculation that involves a significant number of interrelated inputs and
assumptions and the allowance is not sensitive to any one single factor. The key drivers of changes in expected credit losses
include the following:
\u2022
Changes in the credit quality of the borrower or instrument, primarily reflected in changes in internal risk ratings;
\u2022
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;
\u2022
Changes in scenario design and the weight assigned to each scenario; and
\u2022
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 the
measurement of our weighted allowance for credit losses. The measurement of expected credit losses, including scenario design
and weightings, determining significant increases in credit risk since origination and application of expert credit judgment, is
overseen by a senior management committee that includes representation from Finance, Group Risk Management and
Economics.
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\u2019s 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. Scenario
weightings take into consideration the extent to which the base case scenario includes both favourable and unfavourable
economic expectations, and upside and downside risks to the base scenario materializing in the future. 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. When the economy is at or near equilibrium, the severity of the downside scenario
generally reflects an adverse event typical for a business cycle and both the non-linear downside scenarios reflect an outcome
that is materially more adverse than the downside scenario.
The impact of each of our five scenarios varies across our portfolios given the portfolios have different sensitivities to
movements in each macroeconomic variable. Our scenario weights are unchanged relative to October 31, 2022 to reflect
continued uncertainty and downside risks that may drive recession outcomes that are more severe 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
$868 million at October 31, 2023 (October 31, 2022 \u2013 $738 million).
Forward looking macroeconomic variables
The PD, LGD and EAD inputs used to estimate Stage 1 and Stage 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, 2023. 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 central bank policy interest rates and elevated but declining
inflation, which result in mild recessions in Canada in the second half of calendar 2023 and the U.S. in the first half of calendar
2024. Expectations are that there will be no further increases in central bank interest rates in Canada and the U.S. Our base
scenario also reflects commercial real estate price declines in the near term.
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 2024 relative to our base
scenario. In these scenarios, conditions are expected to deteriorate from calendar Q4 2023 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:
\u2022
Unemployment
\u2013 In our base forecast, calendar Q4 2023 unemployment rates are expected to rise to 5.9% in Canada and
4.0% in the U.S., peaking in Q2 2024 at 6.6% in Canada and in Q3 2024 at 4.7% in the U.S., then reverting to long run
equilibrium levels by calendar Q2 and Q3 2026, respectively.
4
5
6
7
8
10
9
Range of alternative scenarios (October 31, 2023)
Q4-2026
Q1-2027
Q2-2027
Q3-2027
Q4-2027
Q1-2028
Q2-2028
Q3-2028
Q4-2022
Q1-2023
Q2-2023
Q3-2023
Q4-2023
Q1-2024
Q2-2024
Q3-2024
Q4-2024
Q1-2025
Q2-2025
Q3-2025
Q4-2025
Q1-2026
Q2-2026
Q3-2026
Base scenario (October 31, 2023)
Base scenario (October 31, 2022)
%
Canada Unemployment Rate
(1)
(1)
Represents the average quarterly unemployment level over the calendar quarters presented.
3
5
4
7
6
8
9
Range of alternative scenarios (October 31, 2023)
Base scenario (October 31, 2023)
Base scenario (October 31, 2022)
%
U.S. Unemployment Rate
(1)
(1)
Represents the average quarterly unemployment level over the calendar quarters presented.
Q4-2026
Q1-2027
Q2-2027
Q3-2027
Q4-2027
Q1-2028
Q2-2028
Q3-2028
Q4-2022
Q1-2023
Q2-2023
Q3-2023
Q4-2023
Q1-2024
Q2-2024
Q3-2024
Q4-2024
Q1-2025
Q2-2025
Q3-2025
Q4-2025
Q1-2026
Q2-2026
Q3-2026
\u2022
Gross Domestic Product (GDP)
\u2013 In our base forecast, we expect Canadian GDP to continuously grow in calendar Q1 2024
and thereafter, while U.S. GDP growth is expected to experience a mild recession during the first half of calendar 2024
followed by continuous growth. GDP in calendar Q4 2024 is expected to be 1.6% and 0.1% above Q4 2023 levels in Canada and
the U.S., respectively.
2.0
2.1
2.2
2.3
2.4
2.5
Range of alternative scenarios (October 31, 2023)
Base scenario (October 31, 2023)
Base scenario (October 31, 2022)
Trillions of Canadian dollars
Canada Real GDP
(1)
(1)
Represents the seasonally adjusted annual rate indexed to 2012 Canadian dollars over the calendar
quarters presented.
Q4-2026
Q1-2027
Q2-2027
Q3-2027
Q4-2027
Q1-2028
Q2-2028
Q3-2028
Q4-2022
Q1-2023
Q2-2023
Q3-2023
Q4-2023
Q1-2024
Q2-2024
Q3-2024
Q4-2024
Q1-2025
Q2-2025
Q3-2025
Q4-2025
Q1-2026
Q2-2026
Q3-2026
18.0
19.0
20.0
23.0
22.0
21.0
24.0
Range of alternative scenarios (October 31, 2023)
Base scenario (October 31, 2023)
Base scenario (October 31, 2022)
(1)
Represents the seasonally adjusted annual rate indexed to 2012 U.S. dollars over the calendar
quarters presented.
Q4-2026
Q1-2027
Q2-2027
Q3-2027
Q4-2027
Q1-2028
Q2-2028
Q3-2028
Q4-2022
Q1-2023
Q2-2023
Q3-2023
Q4-2023
Q1-2024
Q2-2024
Q3-2024
Q4-2024
Q1-2025
Q2-2025
Q3-2025
Q4-2025
Q1-2026
Q2-2026
Q3-2026
Trillions of U.S. dollars
U.S. Real GDP
(1)
\u2022
Oil price (West Texas Intermediate in US$)
\u2013 In our base forecast, we expect oil prices to average $81 per barrel over the
next 12 months from calendar Q4 2023 and $67 per barrel in the following 2 to 5 years. The range of average prices in our
alternative downside and upside scenarios is $28 to $103 per barrel for the next 12 months and $43 to $74 per barrel for the
following 2 to 5 years. As at October 31, 2022, our base forecast included an average price of $88 per barrel for the next
12 months and $72 per barrel for the following 2 to 5 years.
\u2022
Canadian housing price
index
\u2013 In our base forecast, we expect housing prices to increase by 1.6% over the next 12 months
from calendar Q4 2023, with a compound annual growth rate of 5.0% 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 9.6% for the following 2 to 5 years. As at October 31, 2022 our base forecast included housing
price contraction of (1.0)% from calendar Q4 2022 for the next 12 months and housing price growth of 5.2% 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 Stage 1 and Stage 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
Stage 1 to the actual ACL recorded on these assets.
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
As at
\u00a0
October 31, 2023
October 31, 2022
\u00a0
ACL \u2013 All performing
Impact of
Stage 1 and 2
ACL \u2013 All performing
Impact of
Stage 1 and 2
(Millions of Canadian dollars)
loans in Stage 1
staging
ACL
loans in Stage 1
staging
ACL
Performing loans
(1)
$ 2,893
$ 1,257
$ 4,150
$ 2,373
$ 1,094
$ 3,467
\n
(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\u2019s Discussion and Analysis.
\u00a0
As at
\u00a0
October 31, 2023
October 31, 2022
(Millions of Canadian dollars)
Stage 1
Stage 2
Stage 3
(1)
Total
Stage 1
Stage 2
\u00a0
Stage 3 (1)
Total
Retail
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Loans outstanding \u2013 Residential
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
mortgages
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Low risk
$ 349,001
$
1,630
$
\u2013
$ 350,631
$ 340,716
$
2,573
\u00a0
$
\u2013
$ 343,289
Medium risk
19,126
1,610
\u2013
20,736
15,035
1,932
\u00a0
\u2013
16,967
High risk
1,582
4,927
\u2013
6,509
1,188
3,125
\u00a0
\u2013
4,313
Not rated
(2)
54,247
1,220
\u2013
55,467
51,915
1,304
\u00a0
\u2013
53,219
Impaired
\u2013
\u2013
682
682
\u2013
\u2013
\u00a0
560
560
\u00a0
423,956
9,387
682
434,025
408,854
8,934
\u00a0
560
418,348
Items not subject to impairment
(3)
\u00a0 \u00a0 \u00a0
476
\u00a0 \u00a0 \u00a0 \u00a0
448
Total
\u00a0 \u00a0 \u00a0
$ 434,501
\u00a0 \u00a0 \u00a0 \u00a0
$ 418,796
Loans outstanding \u2013 Personal
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Low risk
$
75,572
$
1,676
$
\u2013
$
77,248
$
73,339
$
2,575
\u00a0
$
\u2013
$
75,914
Medium risk
5,587
2,915
\u2013
8,502
5,482
3,780
\u00a0
\u2013
9,262
High risk
477
2,088
\u00a0
\u2013
2,565
836
1,660
\u00a0
\u2013
2,496
Not rated
(2)
9,982
157
\u2013
10,139
9,733
104
\u00a0
\u2013
9,837
Impaired
\u2013
\u2013
280
280
\u2013
\u2013
\u00a0
200
200
Total
$
91,618
$
6,836
$
280
$
98,734
$
89,390
$
8,119
\u00a0
$
200
$
97,709
Loans outstanding \u2013 Credit cards
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Low risk
$
16,331
$
135
$
\u2013
$
16,466
$
15,088
$
83
\u00a0
$
\u2013
$
15,171
Medium risk
1,771
2,132
\u2013
3,903
1,418
1,911
\u00a0
\u2013
3,329
High risk
41
1,734
\u2013
1,775
39
1,255
\u00a0
\u2013
1,294
Not rated
(2)
856
35
\u2013
891
751
32
\u00a0
\u2013
783
Total
$
18,999
$
4,036
$
\u2013
$
23,035
$
17,296
$
3,281
\u00a0
$
\u2013
$
20,577
Loans outstanding \u2013 Small business
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Low risk
$
8,641
$
920
$
\u2013
$
9,561
$
8,571
$
838
\u00a0
$
\u2013
$
9,409
Medium risk
2,238
936
\u2013
3,174
1,512
1,130
\u00a0
\u2013
2,642
High risk
99
592
\u2013
691
102
375
\u00a0
\u2013
477
Not rated
(2)
11
\u2013
\u2013
11
3
\u2013
\u00a0
\u2013
3
Impaired
\u2013
\u2013
244
244
\u2013
\u2013
\u00a0
138
138
Total
$
10,989
$
2,448
$
244
$
13,681
$
10,188
$
2,343
\u00a0
$
138
$
12,669
Undrawn loan commitments \u2013 Retail
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Low risk
$ 266,209
$
610
$
\u2013
$ 266,819
$ 247,620
$
1,041
\u00a0
$
\u2013
$ 248,661
Medium risk
10,759
298
\u2013
11,057
9,021
246
\u00a0
\u2013
9,267
High risk
956
434
\u2013
1,390
876
367
\u00a0
\u2013
1,243
Not rated
(2)
6,686
138
\u2013
6,824
5,668
118
\u00a0
\u2013
5,786
Total
$ 284,610
$
1,480
$
\u2013
$ 286,090
$ 263,185
$
1,772
\u00a0
$
\u2013
$ 264,957
Wholesale \u2013 Loans outstanding
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Investment grade
$
89,037
$
416
$
\u2013
$
89,453
$
88,513
$
202
\u00a0
$
\u2013
$
88,715
Non-investment grade
156,211
19,210
\u2013
175,421
145,908
15,758
\u00a0
\u2013
161,666
Not rated
(2)
10,968
238
\u2013
11,206
11,789
360
\u00a0
\u2013
12,149
Impaired
\u2013
\u2013
2,498
2,498
\u2013
\u2013
\u00a0
1,301
1,301
Items not subject to impairment
(3)
\u00a0 \u00a0 \u00a0
9,248
\u00a0 \u00a0 \u00a0 \u00a0
10,136
Total
\u00a0 \u00a0 \u00a0
$ 287,826
\u00a0 \u00a0 \u00a0 \u00a0
$ 273,967
Undrawn loan commitments \u2013
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Wholesale
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Investment grade
$ 312,178
$
186
$
\u2013
$ 312,364
$ 284,481
$
179
\u00a0
$
\u2013
$ 284,660
Non-investment grade
130,994
13,947
\u2013
144,941
126,225
10,657
\u00a0
\u2013
136,882
Not rated
(2)
4,176
\u2013
\u2013
4,176
3,692
1
\u00a0
\u2013
3,693
Total
$ 447,348
$ 14,133
$
\u2013
$ 461,481
$ 414,398
$ 10,837
\u00a0
$
\u2013
$ 425,235
\n
(1)
As at October 31, 2023, 88% of credit-impaired loans were either fully or partially collateralized (October 31, 2022 \u2013 88%). 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\u2019s 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, 2023
October 31, 2022
90 days
90 days
(Millions of Canadian dollars)
30 to 89 days
and greater
Total
30 to 89 days
and greater
Total
Retail
$
1,840
$
208
$ 2,048
$
1,328
$
168
$ 1,496
Wholesale
1,823
49
1,872
1,279
2
1,281
$
3,663
$
257
$ 3,920
$
2,607
$
170
$ 2,777
\n
(1)
Excludes loans less than 30 days past due as they are not generally representative of the borrowers\u2019 ability to meet their payment obligations.
\n
(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
\nsale or refinancing. Past due loans arising from administrative processes are not representative of the borrowers\u2019 ability to meet their payment obligations.", "dimensions": { "concept": "ry:DisclosureOfLoansAndAllowanceForCreditLossesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f38125": { "value": "Note 6
Significant acquisitions and disposition
\n
Acquisitions
\n
HSBC Bank Canada
\n
On November 29, 2022, we entered into an agreement to acquire 100% of the common shares of HSBC Bank Canada (HSBC
\n
Canada) for an all-cash purchase price of $13.5 billion. HSBC Canada is a premier Canadian personal and commercial bank
\n
focused on globally connected clients. We will also purchase all of the existing preferred shares and subordinated debt of HSBC
\n
Canada held directly or indirectly by HSBC Holdings plc at par value ($2.1 billion as of September 30, 2023).
\n
The agreement includes a locked box mechanism under which HSBC Canada\u2019s earnings from June 30, 2022 to the closing date
\n
accrue to RBC and will be reflected in the acquired net assets on closing. Relatedly, we will pay an additional amount that
\n
accrues from August 30, 2023 to the closing date, which is calculated based on the all-cash purchase price for the common
\n
shares of HSBC Canada and the Canadian Overnight Repo Rate Average.
\n
The transaction is expected to close in the first calendar quarter of 2024 and is subject to the satisfaction of customary
\n
closing conditions, including regulatory approvals. The results of the acquired business will be consolidated from the date of close.
\n
Wealth Management
\n
On September 27, 2022, we completed the acquisition of 100% of the issued share capital of Brewin Dolphin Holdings PLC
\n
(RBC Brewin Dolphin) via our subsidiary, RBC Wealth Management (Jersey) Holdings Limited. RBC Brewin Dolphin provides
\n
discretionary wealth management services in the U.K., Ireland and the Channel Islands. RBC Brewin Dolphin\u2019s business gives us a
\n
platform to significantly transform our wealth management business in the U.K., Ireland and the Channel Islands, and provides us
\n
with the opportunity to position the combined businesses as a premier integrated wealth management provider to private and
\n
institutional clients.
\n
Total consideration of \u00a31,591 million ($2,341 million) as of the date of close consisted of \u00a31,564 million ($2,302 million) in cash, as
\n
well as amounts related to share based compensation. Our purchase price allocation assigned $3,279 million to assets and $938
\n
million to liabilities, including customer relationship intangible assets of $1,292 million and goodwill of $913 million, which is allocated
\n
to our International Wealth Management and Global Asset Management CGUs and is not deductible for tax purposes. Goodwill
\n
reflects the expected synergies from the combined businesses and the expected growth of the Wealth Management segment.
\n
The results of the acquisition have been consolidated from the date of close and included in our Wealth Management
\n
segment.
\n
Disposition
\n
Wealth Management
\n
On July 3, 2023, we completed the previously announced sale of the European asset servicing activities of RBC Investor Services
\n
\u00ae
\n
and its associated Malaysian centre of excellence to CACEIS, the asset servicing banking group of Cr\u00e9dit Agricole S.A. and Banco
\n
Santander, S.A. As a result of the transaction, we recorded a pre-tax gain on disposal of $69 million in Non-Interest income within
\n
the Wealth Management segment ($77 million after-tax). The completion of the sale of the business of the U.K. branch of RBC
\n
Investor Services Trust and the RBC Investor Services business in Jersey remains subject to customary closing conditions,
\n
including regulatory approvals. The disposal group consists of $2.6 billion of assets, primarily consisting of cash and due from
\n
banks, and $2.6 billion of liabilities, primarily consisting of deposits, and remains classified as held-for-sale, presented in Other
\nassets and Other liabilities, respectively.", "dimensions": { "concept": "ry:DisclosureOfSignificantAcquisitionsAndDisposalsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f38129": { "value": "Acquisitions
HSBC Bank Canada
\n
On November 29, 2022, we entered into an agreement to acquire 100% of the common shares of HSBC Bank Canada (HSBC
\n
Canada) for an all-cash purchase price of $13.5 billion. HSBC Canada is a premier Canadian personal and commercial bank
\n
focused on globally connected clients. We will also purchase all of the existing preferred shares and subordinated debt of HSBC
\n
Canada held directly or indirectly by HSBC Holdings plc at par value ($2.1 billion as of September 30, 2023).
\n
The agreement includes a locked box mechanism under which HSBC Canada\u2019s earnings from June 30, 2022 to the closing date
\n
accrue to RBC and will be reflected in the acquired net assets on closing. Relatedly, we will pay an additional amount that
\n
accrues from August 30, 2023 to the closing date, which is calculated based on the all-cash purchase price for the common
\n
shares of HSBC Canada and the Canadian Overnight Repo Rate Average.
\n
The transaction is expected to close in the first calendar quarter of 2024 and is subject to the satisfaction of customary
\n
closing conditions, including regulatory approvals. The results of the acquired business will be consolidated from the date of close.
\n
Wealth Management
\n
On September 27, 2022, we completed the acquisition of 100% of the issued share capital of Brewin Dolphin Holdings PLC
\n
(RBC Brewin Dolphin) via our subsidiary, RBC Wealth Management (Jersey) Holdings Limited. RBC Brewin Dolphin provides
\n
discretionary wealth management services in the U.K., Ireland and the Channel Islands. RBC Brewin Dolphin\u2019s business gives us a
\n
platform to significantly transform our wealth management business in the U.K., Ireland and the Channel Islands, and provides us
\n
with the opportunity to position the combined businesses as a premier integrated wealth management provider to private and
\n
institutional clients.
\n
Total consideration of \u00a31,591 million ($2,341 million) as of the date of close consisted of \u00a31,564 million ($2,302 million) in cash, as
\n
well as amounts related to share based compensation. Our purchase price allocation assigned $3,279 million to assets and $938
\n
million to liabilities, including customer relationship intangible assets of $1,292 million and goodwill of $913 million, which is allocated
\n
to our International Wealth Management and Global Asset Management CGUs and is not deductible for tax purposes. Goodwill
\n
reflects the expected synergies from the combined businesses and the expected growth of the Wealth Management segment.
\n
The results of the acquisition have been consolidated from the date of close and included in our Wealth Management
\nsegment.", "dimensions": { "concept": "ifrs-full:DisclosureOfBusinessCombinationsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f38170": { "value": "Note 7
Derecognition of financial assets
\n
We enter into transactions in which we transfer financial assets such as loans or securities to structured entities or other third
\n
parties. The majority of assets transferred under repurchase agreements, securities lending agreements, and in our Canadian
\n
residential mortgage securitization transactions do not qualify for derecognition as we continue to be exposed to substantially
\n
all of the risks and rewards of the transferred assets, such as prepayment, credit, price, interest rate and foreign exchange risks.
\n
Transferred financial assets not derecognized
\n
Securitization of Canadian residential mortgage loans
\n
We periodically securitize insured Canadian residential mortgage loans through the creation of MBS pools under the National
\n
Housing Act MBS (NHA MBS) program. All loans securitized under the NHA MBS program are required to be insured by the
\n
Canadian Mortgage and Housing Corporation (CMHC) or a third-party insurer. We require the borrower to pay for mortgage
\n
insurance when the loan amount is greater than 80% of the original appraised value of the property (LTV ratio). For residential
\n
mortgage loans securitized under this program with LTV ratios less than 80%, we are required to insure the mortgages at our own
\n
expense. Under the NHA MBS program, we are responsible for making all payments due on our issued MBS, regardless of whether
\n
we collect the necessary funds from the mortgagor or the insurer. When a borrower defaults on a mortgage, we submit a claim to
\n
the insurer if the amount recovered from the collection or foreclosure process is lower than the sum of the principal balance,
\n
accrued interest and collection costs on the outstanding loan. The insurance claim process is managed by the insurance provider
in accordance with the insurer\u2019s policies and covers the entire unpaid loan balance plus generally up to 12 months of interest,
selling costs and other eligible expenses. If an insurance claim is denied, a loss is recognized in Provision for credit losses in our
Consolidated Statements of Income. The amount recorded as a loss is not significant to our Consolidated Financial Statements
and no significant losses were incurred due to legal action arising from mortgage defaults during 2023 and 2022.
We sell the NHA MBS pools primarily to Canada Housing Trust, a government-sponsored structured entity under the Canada
Mortgage Bond (CMB) program. The entity periodically issues CMBs, which are guaranteed by the government, and sells them to
third-party investors. Proceeds of the CMB issuances are used by the entity to purchase the NHA MBS pools from eligible NHA
MBS issuers who participate in the issuance of a particular CMB series. Our continuing involvement includes servicing the
underlying residential mortgage loans we have securitized, either ourselves or through a third-party servicer. We also act as
counterparty in interest rate swap agreements where we pay the entity the interest due to CMB investors and receive the interest
on the underlying MBS and reinvested assets. As part of the swaps, we are also required to maintain a principal reinvestment
account for principal payments received on the underlying mortgage loans to meet the repayment obligation upon maturity of
the CMB. We reinvest the collected principal payments in permitted investments as outlined in the swap agreements.
We have determined that certain of the NHA MBS program loans transferred to the entity do not qualify for derecognition as
we have not transferred substantially all of the risks and rewards of ownership. As a result, these transferred MBS continue to be
classified as residential mortgage loans and recognized on our Consolidated Balance Sheets. The cash received for these
transferred MBS is treated as a secured borrowing and a corresponding liability is recorded in Deposits \u2013 Business and
government on our Consolidated Balance Sheets.
Securities sold under repurchase agreements and securities loaned
We also enter into transactions such as repurchase agreements and securities lending agreements where we transfer assets
under agreements to repurchase them at a future date and retain substantially all of the risks and rewards associated with the
assets. These transferred assets remain on our Consolidated Balance Sheets and are accounted for as collateralized borrowing
transactions.
The following table provides information on the carrying amount and fair value of the transferred assets that did not qualify for
derecognition, and their associated liabilities.
As at
October 31, 2023
October 31, 2022
Canadian
Securities
\u00a0
Canadian
Securities
\u00a0
residential
sold under
\u00a0
residential
sold under
\u00a0
mortgage
repurchase
Securities
mortgage
repurchase
Securities
(Millions of Canadian dollars)
loans
(1), (2)
agreements
(3)
loaned
(3)
Total
loans
(1), (2)
agreements
(3)
loaned
(3)
Total
Carrying amount of transferred
\u00a0 \u00a0 \u00a0
assets that do not qualify for
\u00a0 \u00a0 \u00a0
derecognition
$ 28,312
$ 313,558
$ 21,680
$ 363,550
$ 32,812
$ 258,615
$ 15,332
$ 306,759
Carrying amount of associated
\u00a0 \u00a0 \u00a0
liabilities
28,007
313,558
21,680
363,245
32,177
258,615
15,332
306,124
Fair value of transferred assets
$ 26,472
$ 313,558
$ 21,680
$ 361,710
$ 31,174
$ 258,615
$ 15,332
$ 305,121
Fair value of associated
\u00a0 \u00a0 \u00a0
liabilities
26,780
313,558
21,680
362,018
30,900
258,615
15,332
304,847
Fair value of net position
$
(308)
$
\u2013
$
\u2013
$
(308)
$
274
$
\u2013
$
\u2013
$
274
(1)
Includes Canadian residential mortgage loans transferred primarily to Canada Housing Trust at the initial securitization and other permitted investments used for
funding requirements after the initial securitization.
(2)
CMB investors have legal recourse only to the transferred assets, and do not have recourse to our general assets.
(3)
Does not include over-collateralization of assets pledged.", "dimensions": { "concept": "ry:DisclosureOfDerecognitionOfFinancialAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f38469": { "value": "Note 8
Structured entities
In the normal course of business, we engage in a variety of financial transactions with structured entities to support our
financing and investing needs as well as those of our clients. A structured entity is an entity in which voting or similar rights are
not the dominant factor in deciding control. Structured entities are generally created to achieve a narrow and well defined
objective with restrictions around their ongoing activities. We consolidate a structured entity when we control the entity in
accordance with our accounting policy as described in Note 2. In other cases, we may sponsor or have an interest in such an
entity but may not consolidate it.
Consolidated structured entities
We consolidate the following structured entities, whose assets and liabilities are recorded on our Consolidated Balance Sheets.
Third-party investors in these structured entities generally have recourse only to the assets of the related entity and do not have
recourse to our general assets unless we breach our contractual obligations to those entities. In the ordinary course of business,
the assets of each consolidated structured entity can generally only be used to settle the obligations of that entity.
Multi-seller conduits
We generally do not maintain ownership in the multi-seller conduits that we administer and generally do not have rights to, or
control of, their assets. However, we issue asset-backed commercial paper (ABCP) through a multi-seller conduit that does not
have an expected loss investor with substantive power to direct the significant operating activities of the conduit. This conduit is
consolidated because we have exposure to variability of returns from performance in the multi-seller arrangements through
providing transaction-specific and program-wide liquidity, credit and loan facilities to the conduit and have decision-making
power over the relevant activities. As of October 31, 2023, $1,316 million of financial assets held by the conduit were included in
Loans (October 31, 2022 \u2013 $1,826 million) and $1,194 million of ABCP issued by the conduit was included in Deposits
(October 31, 2022 \u2013 $1,284 million) on our Consolidated Balance Sheets.
Credit card securitization vehicle
We securitize a portion of our credit card receivables through a structured entity on a revolving basis. The entity purchases
co-ownership interests in a pool of credit card receivables and issues senior and subordinated term notes collateralized by that
co-ownership interest in the underlying pool of credit card receivables. Investors who purchase the term notes have recourse
only to that co-ownership interest in the underlying pool of credit card receivables.
We continue to service the credit card receivables and perform an administrative role for the entity. We also retain risk in
the underlying pool of credit card receivables through our retained interest in the transferred assets, the cash reserve balance
we fund from time to time, and also through certain subordinated notes which we retain. Additionally, we may own some senior
notes as investments or for market-making activities and we act as counterparty to interest rate and cross currency swap
agreements which hedge the entity\u2019s interest rate and currency risk exposure.
We consolidate the structured entity because we have decision-making power over the timing and size of future issuances
and other relevant activities which were predetermined by us at inception. We also obtain significant funding benefits and are
exposed to variability from the performance of the underlying credit card receivables through our retained interest. As at
October 31, 2023, $7 billion of notes issued by our credit card securitization vehicle were included in Deposits on our Consolidated
Balance Sheets (October 31, 2022 \u2013 $6 billion).
Collateralized commercial paper vehicle
We established a funding vehicle that provides loans to us and finances those loans by issuing commercial paper to third-party
investors. The structured entity\u2019s commercial paper carries an equivalent credit rating to RBC because we are obligated to
advance funds to the entity in the event there are insufficient funds from other sources to settle maturing commercial paper. We
pledge collateral to secure the loans and are exposed to the market and credit risks of the pledged securities.
We consolidate the structured entity because we have decision-making power over the relevant activities, are the sole
borrower from the structure, and are exposed to a majority of the residual ownership risks through the credit support provided.
As at October 31, 2023, $17 billion of commercial paper issued by the vehicle was included in Deposits on our Consolidated
Balance Sheets (October 31, 2022 \u2013 $14 billion).
Covered bonds
We periodically transfer mortgages to RBC Covered Bond Guarantor Limited Partnership (the Guarantor LP) to support funding
activities and asset coverage requirements under our covered bonds program. The Guarantor LP was created to guarantee
interest and principal payments under the covered bond program. The covered bonds guaranteed by the Guarantor LP are direct,
unsecured and unconditional obligations of RBC; therefore, investors have a claim against the Bank which will continue if the
covered bonds are not paid by the Bank and the mortgage assets in the Guarantor LP are insufficient to satisfy the obligations
owing on the covered bonds. We act as general partner, limited partner, swap counterparty, lender and liquidity provider to the
Guarantor LP, servicer for the underlying mortgages as well as the registered issuer of the covered bonds.
We consolidate the Guarantor LP as we have the decision-making power over the relevant activities through our role as
general partner and are exposed to variability from the performance of the underlying mortgages. As at October 31, 2023, the
total amount of mortgages transferred and outstanding was $100 billion (October 31, 2022 \u2013 $121 billion) and $50 billion of covered
bonds were recorded as Deposits on our Consolidated Balance Sheets (October 31, 2022 \u2013 $43 billion).
Structured finance
We sell taxable and tax-exempt municipal bonds into Tender Option Bond (TOB) structures, which consist of a bond that is credit
enhanced by us and purchased by a TOB trust. The TOB trust finances the purchase from us by issuing floating-rate certificates to
short-term investors and a residual certificate that is purchased by us. We are the remarketing agent for the floating-rate
certificates and provide a liquidity facility to the short-term investors which requires us to purchase any certificates tendered but
not successfully remarketed. We credit enhance the bond purchased by the TOB trust with a letter of credit under which we are
required to extend funding if there are any losses on the underlying bonds. We earn interest on the residual certificate and
receive market-based fees for acting as remarketing agent and providing the liquidity facility and letter of credit.
We consolidate the TOB trust when we are the holder of the residual certificate as we have decision-making power over the
relevant activities, including the selection of the underlying municipal bonds and the ability to terminate the structure, and are
exposed to variability from the performance of the underlying municipal bonds. As at October 31, 2023, $5 billion of municipal
bonds were included in Securities related to consolidated TOB structures (October 31, 2022 \u2013 $6 billion) and a corresponding
$5 billion of floating-rate certificates were included in Deposits on our Consolidated Balance Sheets (October 31, 2022 \u2013 $7 billion).
We establish structured entities to acquire loans for the purposes of issuing term collateralized loan obligation (CLO)
transactions and act as collateral manager. During the warehouse phase, we provide subordinated financing and, for certain
term CLO transactions, act as the arranger and placement agent, and may provide senior warehouse financing. Proceeds from
the sale of the term CLO are used to repay our warehouse financing. During the term CLO phase, we continue to provide
subordinated financing, which serves as the first loss tranche that absorbs losses prior to the senior tranches, and may also
directly invest in the other tranches.
We consolidate these CLO structures as we have decision-making power over the relevant activities of the entity, which
include the initial selection and subsequent management of the underlying debt portfolio, and when our interests, including
direct investment plus collateral management fees, indicate that we are acting as a principal. As at October 31, 2023, $493 million
of Cash and due from banks and $1,675 million of Loans related to consolidated CLO structures (October 31, 2022 \u2013 $108 million
and $1,410 million, respectively) and $1,706 million of Deposits representing the subordinated and senior tranches held by third
parties (October 31, 2022 \u2013 $1,314 million) were recorded on our Consolidated Balance Sheets.
RBC managed investment funds
We are sponsors and investment managers of mutual and pooled funds, which give us the ability to direct the investment
decisions of the funds. We consolidate those mutual and pooled funds in which our interests, which include direct investment in
seed capital plus management or performance fees, indicate that we are acting as a principal. As at October 31, 2023,
$400 million of Trading securities held in the consolidated funds (October 31, 2022 \u2013 $524 million) and $331 million of Other
liabilities representing the fund units held by third parties (October 31, 2022 \u2013 $363 million) were recorded on our Consolidated
Balance Sheets.
Unconsolidated structured entities
We have interests in certain structured entities that we do not consolidate but have recorded assets and liabilities on our
Consolidated Balance Sheets related to our transactions and involvement with these entities.
The following table presents the assets and liabilities recorded on our Consolidated Balance Sheets and our maximum
exposure to loss related to our interests in unconsolidated structured entities. It also presents the size of each class of
unconsolidated structured entity, as measured by the total assets of the entities in which we have an interest.
As at October 31, 2023
\u00a0 \u00a0
Non-RBC
\u00a0
\u00a0 \u00a0
managed
Third-party
Multi-seller
Structured
investment
securitization
(Millions of Canadian dollars)
conduits
(1)
finance
funds
vehicles
Other
Total
On-balance sheet assets
\u00a0 \u00a0 \u00a0 \u00a0
Securities
$
4
$
\u2013
$
2,411
$
\u2013
$
743
$
3,158
Loans
\u2013
5,790
\u2013
8,451
2,403
16,644
Derivatives
2
\u2013
26
\u2013
91
119
Other assets
\u2013
\u2013
\u2013
\u2013
365
365
$
6
$
5,790
$
2,437
$
8,451
$
3,602
$
20,286
On-balance sheet liabilities
\u00a0 \u00a0 \u00a0 \u00a0
Deposits
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
166
$
166
Derivatives
245
\u2013
1
\u2013
\u2013
246
Other liabilities
\u2013
\u2013
\u2013
\u2013
7
7
$
245
$
\u2013
$
1
$
\u2013
$
173
$
419
Maximum exposure to loss
(2)
$
54,715
$ 10,580
$
3,068
$
14,863
$
5,595
$
88,821
Total assets of unconsolidated structured entities
$
53,641
$ 31,037
$ 440,924
$
81,028
$ 461,919
$
1,068,549
As at October 31, 2022
\u00a0 \u00a0
Non-RBC
\u00a0 \u00a0 \u00a0
\u00a0 \u00a0
managed
Third-party
\u00a0 \u00a0
Multi-seller
Structured
investment
securitization
\u00a0 \u00a0
(Millions of Canadian dollars)
conduits
(1)
finance
funds
vehicles
Other
Total
On-balance sheet assets
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Securities
$
255
$
\u2013
$
3,089
$
\u2013
$
595
$
3,939
Loans
\u2013
5,334
\u2013
8,494
2,487
16,315
Derivatives
25
\u2013
\u2013
\u2013
100
125
Other assets
\u2013
6
\u2013
\u2013
568
574
$
280
$
5,340
$
3,089
$
8,494
$
3,750
$
20,953
On-balance sheet liabilities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Deposits
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
Derivatives
171
\u2013
\u2013
\u2013
\u2013
171
Other liabilities
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
$
171
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
171
Maximum exposure to loss
(2)
$
48,260
$
8,658
$
3,758
$
14,339
$
5,523
$
80,538
Total assets of unconsolidated structured entities
$
47,289
$
26,543
$
548,320
$
64,361
$
554,573
$
1,241,086
(1)
Total assets of unconsolidated structured entities represent the maximum assets that may have to be purchased by the conduits under purchase commitments
outstanding. Of the purchase commitments outstanding, the conduits have purchased financial assets totalling $37 billion as at October 31, 2023 (October 31, 2022 \u2013
$32 billion).
(2)
The maximum exposure to loss resulting from our interests in these entities consists mostly of investments, loans, fair value of derivatives, liquidity and credit
enhancement facilities. The maximum exposure to loss of the multi-seller conduits is higher than the on-balance sheet assets primarily because of the notional amounts
of the backstop liquidity and credit enhancement facilities. Refer to Note 24 for further details.
Below is a description of our involvement with each significant class of unconsolidated structured entity.
Multi-seller conduits
We administer multi-seller ABCP conduit programs. Multi-seller conduits primarily purchase financial assets from clients and
finance those purchases by issuing ABCP.
In certain multi-seller conduit arrangements, we do not maintain any ownership of the multi-seller conduits that we
administer and have no rights to, or control of, its assets. As the administrative agent, we earn a residual fee for providing
services such as coordinating funding activities, transaction structuring, documentation, execution and monitoring. The ABCP
issued by each multi-seller conduit is in the conduit\u2019s own name with recourse to the financial assets owned by the multi-seller
conduit, and is non-recourse to us except through our participation in liquidity and/or credit enhancement facilities.
We provide transaction-specific and program-wide liquidity facilities to the multi-seller conduits. In addition, we provide
program-wide credit enhancement to the multi-seller conduits which obligate us to purchase assets or advance funds in the
event the multi-seller conduit does not otherwise have funds from other sources, such as from the liquidity facilities, to settle
maturing ABCP. In some cases, we or another third party may provide transaction-specific credit enhancement which can take
various forms. We receive market-based fees for providing these liquidity and credit facilities.
For certain transactions, we act as counterparty to various hedging contracts to facilitate our clients\u2019 securitization of fixed
rate and/or foreign currency denominated assets through the conduits. These may take the form of forward contracts, interest
rate swaps or cross currency swaps. These derivatives expose us to foreign exchange and interest rate risks that are centrally
managed by our foreign exchange trading and swap desks, respectively, and credit risk on the underlying assets that is mitigated
by the credit enhancement described below.
Each transaction is structured with transaction-specific first loss protection provided by the third-party seller. This
enhancement can take various forms, including but not limited to overcollateralization, excess spread, subordinated classes of
financial assets, guarantees or letters of credit. The amount of this enhancement varies but is generally designed to cover a
multiple of historical losses.
An unrelated third party (expected loss investor) absorbs losses, up to a maximum contractual amount, that may occur in
the future on the assets in the multi-seller conduits before the multi-seller conduits\u2019 debt holders and us. In return for assuming
this multi-seller conduit first-loss position, each multi-seller conduit pays the expected loss investor a return commensurate with
its risk position. The expected loss investor has substantive power to direct the majority of the activities which significantly
impact the conduit\u2019s economic performance, including initial selection and approval of the asset purchase commitments and
liquidity facilities, approval of renewal and amendment of these transactions and facilities, sale or transfer of assets, ongoing
monitoring of asset performance, mitigation of losses, and management of the ABCP liabilities.
We do not consolidate these multi-seller conduits as we do not control the conduits as noted above.
Structured finance
We participate in certain municipal bond TOB structures that we do not consolidate. These structures are similar to those
consolidated municipal bond TOB structures described above; however, the residual certificates are held by third parties. We provide
liquidity facilities for the benefit of floating-rate certificate holders which may be drawn if certificates are tendered but not able to be
remarketed. For a portion of these trusts, we also provide a letter of credit for the underlying bonds held in the trust. We do not have
decision-making power over the relevant activities of the structures; therefore, we do not consolidate these structures.
We provide senior warehouse financing to unaffiliated structured entities that are established by third parties to acquire
loans for the purposes of issuing a term CLO transaction. Subordinated financing is provided during the warehouse phase by
either the collateral manager or third-party investors. Subordinated financing serves as the first loss tranche which absorbs
losses prior to ourselves as the senior lender. We act as the arranger and placement agent for the term CLO transaction.
Proceeds from the sale of the term CLO are used to repay our senior warehouse financing, at which point we have no further
involvement with the transaction. We do not consolidate these CLO structures as we do not have decision-making power over the
relevant activities of the entity, which include the initial selection and subsequent management of the underlying debt portfolio.
We provide senior financing to unaffiliated structured entities that are established by third parties to acquire loans.
Subordinated financing is provided by either the collateral manager or third-party investors. Subordinated financing serves as
the first loss tranche which absorbs losses prior to ourselves as the senior lender. These facilities tend to be longer in term than
the CLO warehouse facilities and benefit from credit enhancement generally designed to cover a multiple of historical losses. We
do not consolidate these structures as we do not have decision-making power over the relevant activities of the entity, which
include the initial selection and subsequent management of the underlying debt portfolio.
Non-RBC managed investment funds
We enter into fee-based equity derivative transactions with third parties including mutual funds, unit investment trusts and other
investment funds. These transactions provide their investors with the desired exposure to reference funds, and we economically
hedge our exposure to these derivatives by investing in those reference funds. We also act as custodian for several funds. We do not
consolidate those reference funds that are managed by third parties as we do not have power to direct their investing activities.
We provide liquidity facilities to certain third-party investment funds. The funds issue unsecured variable-rate preferred
shares and invest in portfolios of tax-exempt municipal bonds. Undrawn liquidity commitments expose us to the liquidity risk of
the preferred shares and drawn commitments expose us to the credit risk of the underlying municipal bonds. We do not
consolidate these third-party managed funds as we do not have power to direct their investing activities.
Third-party securitization vehicles
We hold interests in securitization vehicles that provide funding to certain third parties on whose behalf the entities were created. The
activities of these entities are limited to the purchase and sale of specified financial assets from the sponsor. We, as well as other
financial institutions, are obligated to provide funding up to our maximum commitment level and are exposed to credit losses on the
underlying assets after various credit enhancements. Enhancements can take various forms, including but not limited to
overcollateralization, excess spread, subordinated classes of financial assets, guarantees or letters of credit. The amount of this
enhancement varies but is generally designed to cover a multiple of historical losses. We do not consolidate these entities as we do
not have decision-making power over the relevant activities, including the entities\u2019 investing and financing activities.
Other
Other unconsolidated structured entities include managed investment funds, arrangements to pass credit risk to third parties,
credit investment products and tax credit funds.
We are sponsors and investment managers of mutual and pooled funds, which gives us the ability to direct the investment
decisions of the funds. We do not consolidate those mutual and pooled funds if we exercise our decision-making power as an
agent on behalf of other unit holders.
We use structured entities to generally transform credit derivatives into cash instruments, to distribute credit risk and to
create customized credit products to meet investors\u2019 specific requirements. We enter into derivative contracts, including credit
derivatives, to purchase protection from these entities (credit protection) and convert various risk factors such as yield, currency
or credit risk of underlying assets to meet the needs of the investors. We act as sole arranger and swap provider for certain
entities and, in some cases, fulfill other administrative functions for the entities. We do not consolidate these credit investment
product entities as we do not have decision-making power over the relevant activities, which include selection of the collateral
and reference portfolio, and are not exposed to a majority of the benefits or risks of the entities.
We created certain funds to pass through tax credits received from underlying low-income housing, historic rehabilitation
real estate projects to third parties, new market tax credits or renewable energy tax credits to third parties (tax credit funds). We
are sponsors of the tax credit funds as a result of our responsibility to manage the funds, arrange the financing, and perform the
administrative duties of these tax credit funds. We do not consolidate the tax credit funds as the third-party investors in these
funds have the decision-making power to select the underlying investments and are exposed to the majority of the residual
ownership and tax risks of the funds.
We also purchase passive interests in renewable energy tax credit entities created and controlled by third parties. We do not
consolidate these third-party funds as we do not have decision-making power over the relevant activities and our investments
are managed as part of larger portfolios which are held for trading purposes.
Other interests in unconsolidated structured entities
In the normal course of business, we buy and sell passive interests in certain third-party structured entities, including mutual
funds, exchange traded funds, and government-sponsored ABS vehicles. Our investments in these entities are managed as part of
larger portfolios which are held for trading, liquidity or hedging purposes. We did not create or sponsor these entities and do not
have any decision-making power over their ongoing activities. Our maximum exposure to loss is limited to our on-balance sheet
investments in these entities, which are not included in the table above. As at October 31, 2023 and 2022, our investments in these
entities were included in Trading and Investment securities on our Consolidated Balance Sheets. Refer to Note 3 and Note 4 for
further details on our Trading and Investment securities.
Sponsored entities
We are a sponsor of certain structured entities in which we have interests but do not consolidate. In determining whether we are
a sponsor of a structured entity, we consider both qualitative and quantitative factors, including the purpose and nature of the
entity, our initial and continuing involvement and whether we hold subordinated interests in the entity. We are considered to be
the sponsor of certain credit investment products, tax credit entities, RBC managed mutual funds and a commercial mortgage
securitization vehicle. During the year ended October 31, 2023, we did not transfer any commercial mortgages (October 31, 2022 \u2013
$450 million) to a sponsored securitization vehicle in which we did not have any interests as at the end of the reporting period.
Financial support provided to structured entities
During the years ended October 31, 2023 and 2022, we have not provided any financial or non-financial support to any
consolidated or unconsolidated structured entities when we were not contractually obligated to do so. Furthermore, we have no
intention to provide such support in the future.", "dimensions": { "concept": "ifrs-full:DisclosureOfInformationAboutInterestsInStructuredEntityExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f38532": { "value": "Collateralized commercial paper vehicle
We established a funding vehicle that provides loans to us and finances those loans by issuing commercial paper to third-party
investors. The structured entity\u2019s commercial paper carries an equivalent credit rating to RBC because we are obligated to
advance funds to the entity in the event there are insufficient funds from other sources to settle maturing commercial paper. We
pledge collateral to secure the loans and are exposed to the market and credit risks of the pledged securities.
We consolidate the structured entity because we have decision-making power over the relevant activities, are the sole
borrower from the structure, and are exposed to a majority of the residual ownership risks through the credit support provided.
As at October 31, 2023, $17 billion of commercial paper issued by the vehicle was included in Deposits on our Consolidated
Balance Sheets (October 31, 2022 \u2013 $14 billion). Pledged assets and collateral
In the ordinary course of business, we pledge assets and enter into collateral agreements with terms and conditions that are
usual and customary to our regular lending, borrowing and trading activities recorded on our Consolidated Balance Sheets. The
following are examples of our general terms and conditions on pledged assets and collateral:
\u2022
The risks and rewards of the pledged assets reside with the pledgor.
\u2022
The pledged asset is returned to the pledgor when the necessary conditions have been satisfied.
\u2022
The right of the pledgee to sell or re-pledge the asset is dependent on the specific agreement under which the collateral
is pledged.
\u2022
If there is no default, the pledgee must return the comparable asset to the pledgor upon satisfaction of the obligation.
We are also required to provide intraday pledges to the Bank of Canada when we use a real-time electronic wire transfer system
that continuously processes all Canadian dollar large-value or time-critical payments throughout the day. The pledged assets
earmarked for our Canadian dollar large-value or time-critical payments are normally released back to us at the end of the
settlement cycle each day. Therefore, the pledged assets amount is not included in the following table. For the year ended
October 31, 2023, we had on average $1 billion of assets pledged intraday to the Bank of Canada on a daily basis (October 31,
2022 \u2013 $2 billion). There are infrequent occasions where we are required to take an overnight advance from the Bank of Canada
to cover a settlement requirement, in which case an equivalent value of the pledged assets would be used to secure the advance.
There were no overnight advances taken on October 31, 2023 and October 31, 2022.
Assets pledged against liabilities and collateral assets held or re-pledged
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
As at
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Sources of pledged assets and collateral
\u00a0 \u00a0
Bank assets
\u00a0 \u00a0
Loans
$
102,944
$
97,178
Securities
107,122
70,334
Other assets
28,953
40,318
\u00a0
239,019
207,830
Client assets
(1)
\u00a0 \u00a0
Collateral received and available for sale or re-pledging
502,109
465,484
Less: not sold or re-pledged
(6,876)
(9,192)
\u00a0
495,233
456,292
\u00a0
$
734,252
$
664,122
Uses of pledged assets and collateral
\u00a0 \u00a0
Securities borrowing and lending
$
168,681
$
158,748
Obligations related to securities sold short
46,260
45,288
Obligations related to securities lent or sold under repurchase agreements
331,784
274,392
Securitization
38,686
40,438
Covered bonds
69,802
62,905
Derivative transactions
40,352
49,556
Foreign governments and central banks
9,111
9,503
Clearing systems, payment systems and depositories
10,709
8,263
Other
18,867
15,029
\u00a0
$
734,252
$
664,122
\n", "dimensions": { "concept": "ifrs-full:DisclosureOfCollateralExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f39295": { "value": "Note 9
Derivative financial instruments and hedging activities
Derivative instruments are categorized as either financial or non-financial derivatives. Financial derivatives are financial
contracts whose value is derived from an underlying interest rate, foreign exchange rate, credit risk, and equity or equity index.
Non-financial derivatives are contracts whose value is derived from a precious metal, commodity instrument or index. The
notional amount of derivatives represents the contract amount used as a reference point to calculate payments. Notional
amounts are generally not exchanged by counterparties, and do not reflect our EAD.
Financial derivatives
Forwards and futures
Forward contracts are non-standardized agreements that are transacted between counterparties in the OTC market, whereas
futures are standardized contracts with respect to amounts and settlement dates, and are traded on regular futures exchanges.
Examples of forwards and futures are described below.
Interest rate forwards (forward rate agreements) and futures are contractual obligations to buy or sell an interest-rate
sensitive financial instrument on a predetermined future date at a specified price.
Foreign exchange forwards and futures are contractual obligations to exchange one currency for another at a specified price
for settlement at a predetermined future date.
Equity forwards and futures are contractual obligations to buy or sell at a fixed value (the specified price) of an equity index,
a basket of stocks or a single stock at a predetermined future date.
Swaps
Swaps are OTC contracts in which two counterparties exchange a series of cash flows based on agreed upon rates applied to a
notional amount. Examples of swap agreements are described below.
Interest rate swaps are agreements where two counterparties exchange a series of payments based on different interest
rates applied to a notional amount in a single currency. Certain interest rate swaps are transacted and settled through clearing
houses which act as central counterparties. Cross currency swaps involve the exchange of fixed payments in one currency for the
receipt of fixed payments in another currency. Cross currency interest rate swaps involve the exchange of both interest and
notional amounts in two different currencies.
Equity swaps are contracts in which one counterparty agrees to pay or receive from the other cash flows based on changes
in the value of an equity index, a basket of stocks or a single stock.
Options
Options are contractual agreements under which the seller (writer) grants the purchaser the right, but not the obligation, either
to buy (call option) or sell (put option) a security, exchange rate, interest rate, or other financial instrument or commodity at a
specified price, at or by a predetermined future date. The seller (writer) of an option can also settle the contract by paying the
cash settlement value of the purchaser\u2019s right. The seller (writer) receives a premium from the purchaser for this right. The
various option agreements that we enter into include but are not limited to interest rate options, foreign currency options, equity
options and index options.
Credit derivatives
\n
Credit derivatives are OTC contracts that transfer credit risk related to an underlying financial instrument (referenced asset)
\n
from one counterparty to another. Credit derivatives include credit default swaps, credit default baskets and total return swaps.
\n
Credit default swaps provide protection against the decline in the value of the referenced asset as a result of specified credit
\n
events such as default or bankruptcy. They are similar in structure to an option, whereby the purchaser pays a premium to the
\n
seller of the credit default swap in return for payment contingent on a credit event affecting the referenced asset.
\n
Credit default baskets are similar to credit default swaps except that the underlying referenced financial instrument is a
\n
group of assets instead of a single asset.
\n
Total return swaps are contracts where one counterparty agrees to pay or receive from the other cash amounts based on
\n
changes in the value of a referenced asset or group of assets, including any returns such as interest earned on these assets, in
\n
exchange for amounts that are based on prevailing market funding rates.
\n
Other derivative products
\n
Other contracts are stable value and equity derivative contracts.
\n
Non-financial derivatives
\n
Other contracts also include non-financial derivative products such as precious metal and commodity derivative contracts in
\n
both the OTC and exchange markets.
\n
Derivatives issued for trading purposes
\n
Most of our derivative transactions relate to client-driven sales and trading activities, and associated market risk hedging. Sales
\n
activities include the structuring and marketing of derivative products to clients, enabling them to modify or reduce risks. Trading
\n
involves market-making, positioning and arbitrage activities. Market-making involves quoting bid and offer prices to other market
\n
participants with the intention of generating revenue based on spread and volume. Positioning involves the active management of
\n
derivative transactions with the expectation of profiting from favourable movements in prices, rates, or indices. Arbitrage
\n
activities involve identifying and profiting from price differentials between markets and product types. Any realized and unrealized
\n
gains or losses on derivatives used for trading purposes are recognized immediately in Non-interest income \u2013 Trading revenue.
\n
Derivatives issued for other-than-trading purposes
\n
We also use derivatives for purposes other than trading, primarily for hedging, in conjunction with the management of interest
\n
rate, credit, equity and foreign exchange risk related to our funding, lending, investment activities and asset/liability
\n
management.
\n
Interest rate swaps are used to manage our exposure to interest rate risk by modifying the repricing or maturity
\n
characteristics of existing and/or forecasted assets and liabilities, including funding and investment activities. Purchased options
\n
are used to hedge redeemable deposits and other options embedded in consumer products. We manage our exposure to foreign
\n
currency risk with cross currency swaps and foreign exchange forward contracts. We predominantly use credit derivatives to
\n
manage our credit exposures. We mitigate industry sector concentrations and single-name exposures related to our credit
\n
portfolio by purchasing credit derivatives to transfer credit risk to third parties.
\n
Certain derivatives and cash instruments are specifically designated and qualify for hedge accounting. We also enter into
\n
derivative transactions to economically hedge certain exposures that do not otherwise qualify for hedge accounting, or where
\n
hedge accounting is not considered economically feasible to implement. In such circumstances, changes in fair value are
\n
reflected in Non-interest income \u2013 Other income.
Notional amount of derivatives by term to maturity (absolute amounts)
(1)
As at October 31, 2023
Term to maturity
Within
1 through
Over
Other than
(Millions of Canadian dollars)
1 year
5 years
5 years
Total
Trading
Trading
Over-the-counter contracts
Interest rate contracts
Forward rate agreements
$
1,008,978
$
691,397
$
358
$
1,700,733
$
1,700,733
$
\u2013
Swaps
4,220,675
6,651,849
4,418,165
15,290,689
14,169,938
1,120,751
Options purchased
162,845
420,341
166,275
749,461
749,257
204
Options written
144,138
412,239
179,532
735,909
735,562
347
Foreign exchange contracts
Forward contracts
2,336,565
106,069
4,082
2,446,716
2,363,796
82,920
Cross currency swaps
30,098
88,625
74,538
193,261
189,100
4,161
Cross currency interest rate swaps
972,658
2,055,058
1,141,295
4,169,011
4,107,125
61,886
Options purchased
244,721
73,407
2,663
320,791
320,791
\u2013
Options written
254,534
71,039
2,305
327,878
327,878
\u2013
Credit derivatives
(2)
11,709
108,637
114,463
234,809
234,066
743
Other contracts
(3)
261,528
140,225
13,088
414,841
401,373
13,468
Exchange-traded contracts
Interest rate contracts
Futures \u2013 long positions
103,195
24,283
1
127,479
126,879
600
Futures \u2013 short positions
99,792
54,817
1
154,610
154,445
165
Options purchased
12,801
3
\u2013
12,804
12,804
\u2013
Options written
11,206
1,468
\u2013
12,674
12,674
\u2013
Foreign exchange contracts
Futures \u2013 long positions
124
\u2013
\u2013
124
124
\u2013
Other contracts
571,970
154,677
4,586
731,233
731,233
\u2013
$ 10,447,537
$ 11,054,134
$ 6,121,352
$ 27,623,023
$ 26,337,778
$ 1,285,245
\n
As at October 31, 2022
Term to maturity
Within
1 through
Over
Other than
(Millions of Canadian dollars)
1 year
5 years
5 years
Total
Trading
Trading
Over-the-counter contracts
Interest rate contracts
Forward rate agreements
$
763,398
$
44,188
$
353
$
807,939
$
806,576
$
1,363
Swaps
4,994,006
6,934,996
4,781,148
16,710,150
16,001,414
708,736
Options purchased
100,504
577,780
151,084
829,368
829,368
\u2013
Options written
108,770
556,652
182,841
848,263
848,263
\u2013
Foreign exchange contracts
Forward contracts
2,187,124
86,136
2,648
2,275,908
2,230,901
45,007
Cross currency swaps
87,942
67,345
82,659
237,946
233,617
4,329
Cross currency interest rate swaps
518,244
1,572,490
879,541
2,970,275
2,918,063
52,212
Options purchased
58,075
18,061
3,199
79,335
79,335
\u2013
Options written
62,266
16,623
3,274
82,163
82,163
\u2013
Credit derivatives
(2)
1,143
35,621
6,751
43,515
42,785
730
Other contracts
(3)
228,709
93,431
19,392
341,532
327,860
13,672
Exchange-traded contracts
Interest rate contracts
Futures \u2013 long positions
148,032
50,869
\u2013
198,901
197,251
1,650
Futures \u2013 short positions
233,941
98,763
65
332,769
332,320
449
Options purchased
56,353
12,173
\u2013
68,526
68,526
\u2013
Options written
16,394
6,168
\u2013
22,562
22,562
\u2013
Foreign exchange contracts
Futures \u2013 long positions
164
\u2013
\u2013
164
164
\u2013
Other contracts
539,103
89,147
2,094
630,344
630,344
\u2013
$
10,104,168
$
10,260,443
$
6,115,049
$
26,479,660
$
25,651,512
$
828,148
\n
(1)
The derivative notional amounts are determined using the standardized approach for measuring counterparty credit risk (SA-CCR) in accordance with the Capital
\n
Adequacy Requirements (CAR).
\n
(2)
Credit derivatives with a notional value of $1 billion (October 31, 2022 \u2013 $1 billion) are economic hedges. Trading credit derivatives comprise protection purchased of
\n
$119 billion (October 31, 2022 \u2013 $26 billion) and protection sold of $115 billion (October 31, 2022 \u2013 $17 billion).
\n
(3)
Other contracts exclude loan underwriting commitments of $2 billion (October 31, 2022 \u2013 $6 billion), which are not classified as derivatives under CAR guidelines.
Fair value of derivative instruments
(1)
As at
October 31, 2023
October 31, 2022
(Millions of Canadian dollars)
Positive
Negative
Positive
Negative
Held or issued for trading purposes
Interest rate contracts
Forward rate agreements
$
76
$
24
$
77
$
25
Swaps
26,320
22,965
25,690
21,608
Options purchased
11,230
\u2013
12,056
\u2013
Options written
\u2013
11,776
\u2013
12,201
37,626
34,765
37,823
33,834
Foreign exchange contracts
Forward contracts
22,972
22,655
37,734
37,631
Cross currency swaps
7,370
5,815
8,680
9,087
Cross currency interest rate swaps
55,268
46,550
49,758
38,230
Options purchased
2,623
\u2013
2,623
\u2013
Options written
\u2013
1,790
\u2013
2,571
88,233
76,810
98,795
87,519
Credit derivatives
175
176
388
125
Other contracts
16,319
20,865
18,474
21,084
142,353
132,616
155,480
142,562
Held or issued for other-than-trading purposes
Interest rate contracts
Swaps
1,907
7,436
2,244
6,880
1,907
7,436
2,244
6,880
Foreign exchange contracts
Forward contracts
860
509
268
237
Cross currency swaps
\u2013
\u2013
\u2013
22
Cross currency interest rate swaps
555
4,484
374
6,677
1,415
4,993
642
6,936
Credit derivatives
49
\u2013
\u2013
\u2013
Other contracts
71
109
313
273
3,442
12,538
3,199
14,089
Total gross fair values before:
145,795
145,154
158,679
156,651
Valuation adjustments determined on a pooled basis
(1,801)
(981)
(2,055)
(975)
Impact of netting agreements that qualify for balance sheet offset
(1,544)
(1,544)
(2,185)
(2,185)
$ 142,450
$ 142,629
$ 154,439
$ 153,491
\n
(1)
The fair value reflects the impact of characterizing the daily variation margin as settlement of the related derivative fair values as permitted by certain central
\n
counterparties.
\n
Fair value of derivative instruments by term to maturity
(1)
\n \n
As at
October 31, 2023
October 31, 2022
Less than
1 through
Over
Less than
1 through
Over
(Millions of Canadian dollars)
1 year
5 years
5 years
Total
1 year
5 years
5 years
Total
Derivative assets
$ 46,148
52,165
44,137
$ 142,450
$ 56,050
56,792
41,597
$ 154,439
Derivative liabilities
47,707
51,690
43,232
142,629
58,504
54,361
40,626
153,491
(1)
The fair value reflects the impact of characterizing the daily variation margin as settlement of the related derivative fair values as permitted by certain central
counterparties.
Interest rate benchmark reform
(1)
We use interest rate contracts in fair value hedges and cash flow hedges to manage our exposure to interest rate risk from our
existing and/or forecast assets and liabilities. We also use foreign denominated deposit liabilities in net investment hedges to
manage the foreign exchange risk arising from our investments in foreign operations. The hedging instruments designated to
manage these risks reference IBORs in multiple jurisdictions and will be affected by the Reform as the markets transition to ABRs
as discussed in Note 2.
The following table presents the notional or principal amount of our hedging instruments which reference IBORs and are
affected by the Reform as discussed in Note 2. The notional or principal amounts of our hedging instruments also approximates
the extent of the risk exposure we manage through hedging relationships:
\n \n
As at
October 31, 2023
October 31, 2022
Notional/Principal
Notional/Principal
(Millions of Canadian dollars)
amounts
amounts
Interest rate contracts
USD LIBOR
$
\u2013
$
40,208
CDOR
115,048
114,159
Total Return Swaps
CDOR
736
801
Non-derivative instruments
USD LIBOR
\u2013
237
$ 115,784
$ 155,405
(1)
Excludes interest rate contracts and non-derivative instruments which reference rates in multi-rate jurisdictions, including EURO Interbank Offered Rate and Australian
Bank Bill Swap Rate (BBSW).
Derivative-related credit risk
Credit risk from derivative transactions is generated by the potential for the counterparty to default on its contractual
obligations when one or more transactions have a positive market value to us. Therefore, derivative-related credit risk is
represented by the positive fair value of the instrument and is normally a small fraction of the contract\u2019s notional amount.
We subject our derivative transactions to the same credit approval, limit and monitoring standards that we use for managing
other transactions that create credit exposure. This includes evaluating the creditworthiness of counterparties, and managing
the size, diversification and maturity structure of the portfolio. Credit utilization for all products is compared with established
limits on a continual basis and is subject to a standard exception reporting process. We use a single internal rating system for all
credit risk exposure, as outlined in the internal ratings maps in the Credit risk section of Management\u2019s Discussion and Analysis.
Offsetting is a technique that can reduce credit exposure from derivatives and is generally facilitated through the use of
master netting agreements and achieved when specific criteria are met in accordance with our accounting policy in Note 2. A
master netting agreement provides for a single net settlement of all financial instruments covered by the agreement in the event
of default. However, credit risk is reduced only to the extent that our financial obligations to the same counterparty can be set off
against obligations of the counterparty to us. We maximize the use of master netting agreements to reduce derivative-related
credit exposure. Our overall exposure to credit risk that is reduced through master netting agreements may change substantially
following the reporting date as the exposure is affected by each transaction subject to the agreement as well as by changes in
underlying market rates. Measurement of our credit exposure arising out of derivative transactions is reduced to reflect the
effects of netting in cases where the enforceability of that netting is supported by appropriate legal analysis as documented in
our trading credit risk policies.
The use of collateral is another significant credit mitigation technique for managing derivative-related counterparty credit
risk. Mark-to-market provisions in our agreements with some counterparties, typically in the form of a Credit Support Annex,
provide us with the right to request that the counterparty pay down or collateralize the current market value of its derivatives
positions when the value exceeds a specified threshold amount.
Replacement cost and credit equivalent amounts are determined in accordance with OSFI\u2019s non-modelled regulatory SA-CCR
under the CAR guidelines. The replacement cost represents the total fair value of all outstanding contracts in a gain position after
factoring in the master netting agreements and applicable margins. The credit equivalent amount is defined as the replacement
cost plus an additional amount for potential future credit exposure, scaled by a regulatory factor. The risk-weighted equivalent is
determined by applying appropriate risk-weights to the credit equivalent amount, including those risk weights reflective of model
approval under the internal ratings based approach.
\n
Derivative-related credit risk
(1)
\n\n \n
As at
October 31, 2023
October 31, 2022
Credit
Credit
Replacement
equivalent
Risk-weighted
Replacement
equivalent
Risk-weighted
(Millions of Canadian dollars)
cost
amount
equivalent
(2)
cost
amount
equivalent
(2)
Over-the-counter contracts
Interest rate contracts
Forward rate agreements
$
58
$
94
$
6
$
46
$
76
$
5
Swaps
9,613
24,448
3,721
9,699
21,698
5,187
Options purchased
610
1,547
353
108
426
119
Options written
123
564
152
15
543
164
Foreign exchange contracts
Forward contracts
5,655
27,862
5,611
8,772
29,565
5,940
Swaps
4,261
21,483
4,274
6,072
22,188
4,556
Options purchased
841
1,742
383
536
1,111
340
Options written
95
441
109
28
313
86
Credit derivatives
356
1,834
219
299
766
114
Other contracts
1,933
16,002
4,929
5,196
20,457
7,520
Exchange-traded contracts
7,186
16,191
324
11,098
19,870
397
$ 30,731
$ 112,208
$ 20,081
$ 41,869
$ 117,013
$ 24,428
\n
(1)
The amounts presented are net of master netting agreements in accordance with CAR guidelines.
\n
(2)
The risk-weighted balances are calculated in accordance with CAR guidelines and exclude CVA of $13 billion (October 31, 2022 \u2013 $16 billion).
\n
Replacement cost of derivative instruments by risk rating and by counterparty type
\n\n \n
As at October 31, 2023
Risk rating
(1)
Counterparty type
(2)
OECD
(Millions of Canadian dollars)
AAA, AA
A
BBB
BB or lower
Total
Banks
governments
Other
Total
Gross positive fair values
$ 36,224
$ 70,010
$ 28,956
$ 10,605
$ 145,795
$ 69,841
$ 20,268
$ 55,686
$ 145,795
Impact of master netting agreements and
applicable margins
24,025
60,556
22,765
7,718
115,064
68,151
20,237
26,676
115,064
Replacement cost (after netting
agreements)
$ 12,199
$
9,454
$
6,191
$
2,887
$
30,731
$
1,690
$
31
$ 29,010
$
30,731
\n\n \n
As at October 31, 2022
Risk rating
(1)
Counterparty type
(2)
OECD
(Millions of Canadian dollars)
AAA, AA
A
BBB
BB or lower
Total
Banks
governments
Other
Total
Gross positive fair values
$
39,001
$
72,983
$
29,690
$
17,005
$
158,679
$
73,616
$
22,727
$
62,336
$
158,679
Impact of master netting agreements and
applicable margins
21,552
62,614
21,818
10,826
116,810
71,582
22,597
22,631
116,810
Replacement cost (after netting
agreements)
$
17,449
$
10,369
$
7,872
$
6,179
$
41,869
$
2,034
$
130
$
39,705
$
41,869
\n
(1)
Our internal risk ratings of AAA, AA, A and BBB represent investment grade ratings and ratings of BB or lower represent non-investment grade ratings, as outlined in the
\n
internal ratings maps in the Credit risk section of Management\u2019s Discussion and Analysis.
\n
(2)
Counterparty type is defined in accordance with CAR guidelines.
\n
Derivatives in hedging relationships
\n
We apply hedge accounting to minimize volatility in earnings and capital caused by changes in interest rates or foreign exchange
\n
rates. Interest rate and currency fluctuations will either cause assets and liabilities to appreciate or depreciate in market value
\n
or cause variability in forecasted cash flows. When a hedging relationship is effective, gains, losses, revenue and expenses of the
\n
hedging instrument will offset the gains, losses, revenue and expenses of the hedged item.
\n
Derivatives used in hedging relationships are recorded in Other Assets \u2013 Derivatives or Other Liabilities \u2013 Derivatives on our
\n
Consolidated Balance Sheets. Foreign currency-denominated liabilities used in net investment hedging relationships are
\n
recorded in Deposits \u2013 Business and Government and Subordinated debentures on our Consolidated Balance Sheets. Gains and
\n
losses relating to hedging ineffectiveness are recorded in Non-Interest income and amounts reclassified from hedge reserves in
\n
OCI to income are recorded in Net-interest income for cash flow hedges and Non-interest income for net investment hedges.
\n
We assess and measure the effectiveness of a hedging relationship based on the change in the fair value or cash flows of the
\n
derivative hedging instrument relative to the change in the fair value or cash flows of the hedged item attributable to the hedged
\n
risk. When cash instruments are designated as hedges of foreign exchange risks, only changes in their value due to foreign
\n
exchange risk are included in the assessment and measurement of hedge effectiveness.
\n
Potential sources of ineffectiveness can be attributed to differences between hedging instruments and hedged items:
\n
\u2022
Mismatches in the terms of hedged items and hedging instruments, for example the frequency and timing of when
\n
interest rates are reset and frequency of payment.
\n
\u2022
Difference in the discounting factors between the hedged item and the hedging instrument, taking into consideration the
\n
different reset frequency of the hedged item and hedging instrument.
\n
\u2022
Hedging derivatives with a non-zero fair value at inception date of the hedging relationship, resulting in mismatch in
\n
terms with the hedged item.
\n
Below is a description of our risk management strategy for each risk exposure that we decide to hedge:
Interest rate risk
We use interest rate contracts to manage our exposure to interest rate risk by modifying the repricing characteristics of existing
and/or forecasted assets and liabilities, including funding and investment activities. The swaps are designated in either a fair
value hedge or a cash flow hedge and predominantly reference IBORs across multiple jurisdictions. Certain swaps will be
affected by the Reform as the market transitions to ABRs.
For fair value hedges, we use interest rate contracts to manage the fair value movements of our fixed rate instruments due
to changes in benchmark interest. The interest rate swaps are entered into on a one-to-one basis to manage the benchmark
interest rate risk, and its terms are critically matched to the specified fixed rate instruments.
We also use interest rate swaps in fair value hedges to manage interest rate risk from residential mortgage assets and
funding liabilities. Our exposure from this portfolio changes with the origination of new loans, repayments of existing loans and
sale of securitized mortgages. Accordingly, we have adopted dynamic hedging for that portfolio, in which the hedge relationship
is rebalanced on a more frequent basis, such as on a bi-weekly or on a monthly basis.
For cash flow hedges, we use interest rate contracts to manage the exposure to cash flow variability of our variable rate
instruments as a result of changes in benchmark interest rates. The variable rate instruments and forecast transactions which
reference certain IBORs and will be affected by the Reform. Whilst some of the interest rate swaps are entered into on a one-to-
one basis to manage a specific exposure, other interest rate swaps may be entered into for managing interest rate risks of a
portfolio of assets and liabilities.
Foreign exchange risk
We manage our exposure to foreign currency risk with cross currency swaps in a cash flow hedge, and foreign exchange forward
contracts in a net investment hedge. Certain cash instruments may also be designated in a net investment hedge, where
applicable.
For cash flow hedges, we use cross currency swaps and forward contracts to manage the cash flow variability arising from
fluctuations in foreign exchange rates on our issued foreign denominated fixed rate liabilities and highly probable forecasted
transactions. The maturity profile and repayment terms of these swaps are matched to those of our foreign denominated
exposures to limit our cash flow volatility from changes in foreign exchange rates.
For net investment hedges, we use a combination of foreign exchange forwards and cash instruments, such as foreign
denominated deposit liabilities, to manage our foreign exchange risk arising from our investments in foreign operations. Our
most significant exposures include USD, GBP and Euro. When hedging net investments in foreign operations using foreign
exchange forwards, only the undiscounted spot element of the foreign exchange forward is designated as the hedging
instrument. Accordingly, changes in the fair value of the hedging instrument as a result of changes in forward rates and the
effects of discounting are not included in the hedging effectiveness assessment. Foreign operations are only hedged to the extent
of the principal of the foreign denominated deposit liabilities or notional amount of the derivative; we generally do not expect to
incur significant ineffectiveness on hedges of net investments in foreign operations.
Equity price risk
We use total return swaps in cash flow hedges to mitigate the cash flow variability of the expected payment associated with our
cash settled share-based compensation plan for certain key employees by exchanging interest payments for indexed RBC share
price change and dividend returns.
Credit risk
We predominantly use credit derivatives to economically hedge our credit exposures. We mitigate industry sector concentrations
and single-name exposures related to our credit portfolio by purchasing credit derivatives to transfer credit risk to third parties.
Derivative instruments designated in hedging relationships
(1)
The following table presents the fair values of the derivative instruments and the principal amounts of the non-derivative
liabilities, categorized by their hedging relationships, as well as derivatives that are not designated in hedging relationships.
\n \n
As at
October 31, 2023
October 31, 2022
Designated as hedging instruments
Designated as hedging instruments
in hedging relationships
Not designated
in hedging relationships
Not designated
Net
in a hedging
Net
in a hedging
(Millions of Canadian dollars)
Fair value
Cash flow
investment
relationship
Fair value
Cash flow
investment
relationship
Assets
Derivative instruments
$
156
$
19
$
13
$
142,262
$
247
$
57
$
36
$
154,099
Liabilities
Derivative instruments
50
100
409
142,070
27
\u2013
126
153,338
Non-derivative instruments
\u2013
\u2013
25,427
n.a.
\u2013
\u2013
25,798
n.a.
(1)
The fair value reflects the impact of characterizing the daily variation margin as settlement of the related derivative fair values as permitted by certain central
counterparties.
n.a.
not applicable
The following tables provide the remaining term to maturity analysis of the notional amounts and the weighted average rates of
the hedging instruments and their carrying amounts by types of hedging relationships:
Fair value hedges
As at October 31, 2023
Notional amounts
Carrying amount
(1)
Within
1 through
Over
\u00a0
(Millions of Canadian dollars, except average rates)
1 year
5 years
5 years
Total
Assets
Liabilities
Interest rate risk
\u00a0
Interest rate contracts
\u00a0
Hedge of fixed rate assets
$
8,853
$ 62,948
$ 21,702
$ 93,503
$
156
$
\u2013
Hedge of fixed rate liabilities
23,592
75,130
10,236
108,958
\u2013
50
Weighted average fixed interest rate
\u00a0
Hedge of fixed rate assets
4.3%
3.6%
3.2%
3.6%
\u00a0
Hedge of fixed rate liabilities
2.1%
2.4%
2.6%
2.3%
\u00a0
As at October 31, 2022
Notional amounts
Carrying amount
(1)
Within
1 through
Over
(Millions of Canadian dollars, except average rates)
1 year
5 years
5 years
Total
Assets
Liabilities
Interest rate risk
Interest rate contracts
Hedge of fixed rate assets
$
9,083
$
32,173
$
15,516
$
56,772
$
247
$
3
Hedge of fixed rate liabilities
13,231
69,419
10,094
92,744
\u2013
24
Weighted average fixed interest rate
Hedge of fixed rate assets
1.1%
2.5%
2.8%
2.3%
Hedge of fixed rate liabilities
1.9%
1.8%
2.0%
1.9%
(1)
The carrying amount reflects the impact of characterizing the daily variation margin as settlement of the related derivative fair values as permitted by certain central
counterparties.
Cash flow hedges
As at October 31, 2023
Notional amounts
Carrying amount
(1)
Within
1 through
Over
(Millions of Canadian dollars, except average rates)
1 year
5 years
5 years
Total
Assets
Liabilities
Interest rate risk
Interest rate contracts
Hedge of variable rate assets
$ 63,927
$ 68,470
$
1,097
$ 133,494
$
\u2013
$
\u2013
Hedge of variable rate liabilities
16,696
63,527
32,802
113,025
\u2013
\u2013
Weighted average fixed interest rate
Hedge of variable rate assets
4.5%
3.4%
3.7%
4.0%
Hedge of variable rate liabilities
4.9%
3.8%
2.8%
3.7%
Foreign exchange risk
Cross currency swaps
$
63
$
916
$
\u2013
$
979
$
19
$
14
Weighted average CAD-EUR exchange rate
1.48
1.44
n.a.
1.45
Weighted average CAD-USD exchange rate
n.a.
1.34
n.a.
1.34
As at October 31, 2022
Notional amounts
Carrying amount
(1)
Within
1 through
Over
(Millions of Canadian dollars, except average rates)
1 year
5 years
5 years
Total
Assets
Liabilities
Interest rate risk
Interest rate contracts
Hedge of variable rate assets
$
50,436
$
74,726
$
1,023
$
126,185
$
\u2013
$
\u2013
Hedge of variable rate liabilities
6,221
42,830
24,024
73,075
\u2013
\u2013
Weighted average fixed interest rate
Hedge of variable rate assets
3.3%
2.8%
2.5%
3.0%
Hedge of variable rate liabilities
2.0%
1.5%
2.0%
1.7%
Foreign exchange risk
Cross currency swaps
$
\u2013
$
314
$
\u2013
$
314
$
32
$
\u2013
Weighted average CAD-EUR exchange rate
n.a.
1.44
n.a.
1.44
Weighted average CAD-USD exchange rate
n.a.
n.a.
n.a.
n.a.
(1)
The carrying amount reflects the impact of characterizing the daily variation margin as settlement of the related derivative fair values as permitted by certain central
counterparties.
n.a.
not applicable
Net investment hedges
\n \n
As at October 31, 2023
Notional/Principal
Carrying amount
Within
1 through
Over
(Millions of Canadian dollars, except average rates)
1 year
5 years
5 years
Total
Assets
Liabilities
Foreign exchange risk
Foreign currency liabilities
$
6,061
$ 14,653
$
6,413
$ 27,127
n.a.
$25,427
Weighted average CAD-USD exchange rate
1.28
1.29
1.33
1.30
Weighted average CAD-EUR exchange rate
n.a.
n.a.
n.a.
n.a.
Weighted average CAD-GBP exchange rate
\u2013
1.71
\u2013
1.71
Forward contracts
$ 18,920
$
\u2013
$
\u2013
$ 18,920
$
13
$
409
Weighted average CAD-USD exchange rate
1.36
n.a.
n.a.
1.36
Weighted average CAD-EUR exchange rate
1.45
n.a.
n.a.
1.45
Weighted average CAD-GBP exchange rate
1.68
n.a.
n.a.
1.68
\n \n
As at October 31, 2022
Notional/Principal
Carrying amount
Within
1 through
Over
(Millions of Canadian dollars, except average rates)
1 year
5 years
5 years
Total
Assets
Liabilities
Foreign exchange risk
Foreign currency liabilities
$
5,462
$
20,851
$
1,025
$
27,338
n.a.
$ 25,798
Weighted average CAD-USD exchange rate
1.31
1.28
1.28
1.29
Weighted average CAD-EUR exchange rate
\u2013
1.51
1.48
1.51
Weighted average CAD-GBP exchange rate
\u2013
1.71
\u2013
1.71
Forward contracts
$
6,089
$
\u2013
$
\u2013
$
6,089
$
36
$
126
Weighted average CAD-USD exchange rate
1.34
n.a.
n.a.
1.34
Weighted average CAD-EUR exchange rate
1.36
n.a.
n.a.
1.36
Weighted average CAD-GBP exchange rate
1.55
n.a.
n.a.
1.55
n.a.
not applicable
The following tables present the details of the hedged items categorized by their hedging relationships:
Fair value hedges \u2013 Assets and liabilities designated as hedged items
\n \n
As at and for the year ended October 31, 2023
Accumulated amount of fair
value adjustments on the
hedged item included in the
Carrying amount
carrying amount
Changes in fair
values used for
calculating hedge
(Millions of Canadian dollars)
Assets
Liabilities
Assets
Liabilities
Consolidated Balance Sheet items:
ineffectiveness
Interest rate risk
Fixed rate assets
(1)
Securities \u2013 Investment, net of
applicable allowance; Loans \u2013 Retail;
$86,734
$
\u2013
$ (3,911)
$
\u2013
Loans \u2013 Wholesale
$ (1,445)
Fixed rate liabilities
(1)
Deposits \u2013 Business and government;
Subordinated debentures;
\u2013
102,535
\u2013
(6,340)
Deposits \u2013 Bank
276
\n \n
As at and for the year ended October 31, 2022
Accumulated amount of fair
value adjustments on the
hedged item included in the
Carrying amount
carrying amount
Changes in fair
values used for
calculating hedge
(Millions of Canadian dollars)
Assets
Liabilities
Assets
Liabilities
Consolidated Balance Sheet items:
ineffectiveness
Interest rate risk
Fixed rate assets
(1)
Securities \u2013 Investment, net of
applicable allowance; Loans \u2013 Retail;
$ 52,216
$
\u2013
$ (3,285)
$
\u2013
Loans \u2013 Wholesale
$ (3,695)
Fixed rate liabilities
(1)
Deposits \u2013 Business and government;
Subordinated debentures;
\u2013
86,738
\u2013
(5,924)
Deposits \u2013 Bank
5,742
(1)
As at October 31, 2023, the accumulated amount of fair value hedge adjustments remaining on our Consolidated Balance Sheets for hedged items that have ceased to be
adjusted for hedging gains and losses is a of loss of $539 million for fixed rate assets and a gain of $259 million for fixed rate liabilities (October 31, 2022 \u2013 loss of
$486 million and loss of $25 million, respectively).
Cash flow and net investment hedges \u2013 Assets and liabilities designated as hedged items
As at and for the year ended October 31, 2023
Changes in fair
Cash flow hedge/foreign
values used for
currency translation reserve
calculating hedge
Continuing
Discontinued
(Millions of Canadian dollars)
Consolidated Balance Sheet items:
ineffectiveness
hedges
hedges
Cash flow hedges
Interest rate risk
Variable rate assets
Securities \u2013 Investment, net of
applicable allowance; Loans \u2013 Retail;
$
2,248
$
(2,115)
$
(3,126)
Interest bearing deposits with banks;
Assets purchased under reverse
repurchase agreements and securities borrowed
Variable rate liabilities
Deposits \u2013 Business and government;
Deposits \u2013 Personal;
(2,558)
3,535
5,607
Obligations related to assets sold under
repurchase agreements and securities loaned
Foreign exchange risk
Fixed rate assets
Securities \u2013 Investment, net of
applicable allowance
50
\u2013
\u2013
Net investment hedges
Foreign exchange risk
Foreign subsidiaries
n.a.
1,513
(7,297)
(382)
As at and for the year ended October 31, 2022
Changes in fair
Cash flow hedge/foreign
values used for
currency translation reserve
calculating hedge
Continuing
Discontinued
(Millions of Canadian dollars)
Consolidated Balance Sheet items:
ineffectiveness
hedges
hedges
Cash flow hedges
Interest rate risk
Variable rate assets
Securities \u2013 Investment, net of
applicable allowance; Loans \u2013 Retail;
$
4,720
$
(1,777)
$
(2,668)
Interest bearing deposits with banks;
Assets purchased under reverse
repurchase agreements and securities borrowed
Variable rate liabilities
Deposits \u2013 Business and government;
(6,895)
5,471
2,231
Deposits \u2013 Personal;
Obligations related to assets sold under
repurchase agreements and securities loaned
Foreign exchange risk
Fixed rate assets
Securities \u2013 Investment, net of
applicable allowance
(17)
7
\u2013
Net investment hedges
Foreign exchange risk
Foreign subsidiaries
n.a.
1,927
(5,936)
(421)
n.a.
not applicable
Effectiveness of designated hedging relationships
For the year ended October 31, 2023
Hedge
Change in fair value
ineffectiveness
Changes in the value of
Amount reclassified
of hedging
recognized in
the hedging instrument
from hedge reserves
(Millions of Canadian dollars)
instrument
income
(1)
recognized in OCI
to income
Fair value hedges
Interest rate risk
Interest rate contracts \u2013 fixed rate assets
$
1,385
$
(60)
n.a.
n.a.
Interest rate contracts \u2013 fixed rate liabilities
(205)
71
n.a.
n.a.
Cash flow hedges
Interest rate risk
Interest rate contracts \u2013 variable rate assets
(2,232)
7
$
(3,930)
$
(3,121)
Interest rate contracts \u2013 variable rate liabilities
2,416
(11)
4,498
3,045
Foreign exchange risk
Cross currency swap \u2013 fixed rate assets
(50)
\u2013
(44)
(37)
Net investment hedges
Foreign exchange risk
Foreign currency liabilities
(684)
\u2013
(684)
\u2013
Forward contracts
(828)
\u2013
(828)
(191)
For the year ended October 31, 2022
Hedge
Change in fair value
ineffectiveness
Changes in the value of
Amount reclassified
of hedging
recognized in
the hedging instrument
from hedge reserves
(Millions of Canadian dollars)
instrument
income
(1)
recognized in OCI
to income
Fair value hedges
Interest rate risk
Interest rate contracts \u2013 fixed rate assets
$
3,650
$
(45)
n.a.
n.a.
Interest rate contracts \u2013 fixed rate liabilities
(5,713)
29
n.a.
n.a.
Cash flow hedges
Interest rate risk
Interest rate contracts \u2013 variable rate assets
(4,698)
(36)
$
(4,432)
$
(185)
Interest rate contracts \u2013 variable rate liabilities
6,713
37
6,673
(118)
Foreign exchange risk
Cross currency swap \u2013 fixed rate assets
17
\u2013
23
17
Net investment hedges
Foreign exchange risk
Foreign currency liabilities
(1,771)
(3)
(1,768)
\u2013
Forward contracts
(159)
\u2013
(159)
(23)
(1)
Hedge ineffectiveness recognized in income included gains of $3 million that are excluded from the assessment of hedge effectiveness and are offset by economic
hedges (October 31, 2022 \u2013 losses of $19 million).
n.a.
not applicable
Reconciliation of components of equity
The following table provides a reconciliation by risk category of each component of equity and an analysis of other
comprehensive income relating to hedge accounting:
For the year ended October 31, 2023
For the year ended October 31, 2022
Cash flow hedge
Foreign currency
Cash flow hedge
Foreign currency
(Millions of Canadian dollars)
reserve
translation reserve
reserve
translation reserve
Balance at the beginning of the year
$
2,394
$
5,688
$
566
$
2,055
Cash flow hedges
Effective portion of changes in fair value:
Interest rate risk
568
2,241
Foreign exchange risk
(44)
23
Equity price risk
(119)
(1)
Net amount reclassified to profit or loss:
Ongoing hedges:
Interest rate risk
(377)
(227)
Foreign exchange risk
37
(17)
Equity price risk
93
(23)
De-designated hedges:
Interest rate risk
453
530
Hedges of net investment in foreign operations
Foreign exchange denominated debt
(684)
(1,768)
Forward foreign exchange contracts
(828)
(159)
Foreign currency translation differences for
foreign operations
2,164
5,085
Reclassification of losses (gains) on foreign
currency translation to income
(160)
(18)
Reclassification of losses (gains) on net
investment hedging activities to income
191
23
Tax on movements on reserves during the
period
(249)
241
(698)
470
Balance at the end of the year
$
2,756
$
6,612
$
2,394
$
5,688
", "dimensions": { "concept": "ifrs-full:DisclosureOfDerivativeFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f39375": { "value": "Derivatives issued for trading purposes
Most of our derivative transactions relate to client-driven sales and trading activities, and associated market risk hedging. Sales
\n
activities include the structuring and marketing of derivative products to clients, enabling them to modify or reduce risks. Trading
\n
involves market-making, positioning and arbitrage activities. Market-making involves quoting bid and offer prices to other market
\n
participants with the intention of generating revenue based on spread and volume. Positioning involves the active management of
\n
derivative transactions with the expectation of profiting from favourable movements in prices, rates, or indices. Arbitrage
\n
activities involve identifying and profiting from price differentials between markets and product types. Any realized and unrealized
\ngains or losses on derivatives used for trading purposes are recognized immediately in Non-interest income \u2013 Trading revenue.", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsHeldForTradingExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f41424": { "value": "Foreign exchange risk
We manage our exposure to foreign currency risk with cross currency swaps in a cash flow hedge, and foreign exchange forward
contracts in a net investment hedge. Certain cash instruments may also be designated in a net investment hedge, where
applicable.
For cash flow hedges, we use cross currency swaps and forward contracts to manage the cash flow variability arising from
fluctuations in foreign exchange rates on our issued foreign denominated fixed rate liabilities and highly probable forecasted
transactions. The maturity profile and repayment terms of these swaps are matched to those of our foreign denominated
exposures to limit our cash flow volatility from changes in foreign exchange rates.
For net investment hedges, we use a combination of foreign exchange forwards and cash instruments, such as foreign
denominated deposit liabilities, to manage our foreign exchange risk arising from our investments in foreign operations. Our
most significant exposures include USD, GBP and Euro. When hedging net investments in foreign operations using foreign
exchange forwards, only the undiscounted spot element of the foreign exchange forward is designated as the hedging
instrument. Accordingly, changes in the fair value of the hedging instrument as a result of changes in forward rates and the
effects of discounting are not included in the hedging effectiveness assessment. Foreign operations are only hedged to the extent
of the principal of the foreign denominated deposit liabilities or notional amount of the derivative; we generally do not expect to
incur significant ineffectiveness on hedges of net investments in foreign operations.", "dimensions": { "concept": "ifrs-full:DisclosureOfEffectOfChangesInForeignExchangeRatesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f43909": { "value": "Note 10
Premises and equipment
For the year ended October 31, 2023
Owned by the Bank
(1)
Right-of-use lease assets
Furniture,
fixtures
Computer
and other
Leasehold
Work in
(Millions of Canadian dollars)
Land
Buildings
equipment
equipment
improvements
process
Buildings
Equipment
Total
Cost
Balance at beginning of period
$ 141
$
1,261
$
1,169
$
836
$
2,845
$
120
$
5,748
$
299
$ 12,419
Additions
\u2013
\u2013
32
12
29
511
385
80
1,049
Acquisition through business
combination
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Transfers from work in
process
\u2013
19
246
62
187
(514)
\u2013
\u2013
\u2013
Disposals
\u2013
(53)
(216)
(96)
(78)
(2)
(331)
(31)
(807)
Foreign exchange translation
1
6
22
9
32
1
103
\u2013
174
Other
(2)
18
30
12
(8)
(8)
(12)
(31)
(1)
Balance at end of period
$ 140
$
1,251
$
1,283
$
835
$
3,007
$
108
$
5,893
$
317
$ 12,834
Accumulated depreciation
Balance at beginning of period
$
\u2013
$
627
$
640
$
525
$
1,656
$
\u2013
$
1,643
$
114
$
5,205
Depreciation
\u2013
51
247
91
235
\u2013
559
92
1,275
Disposals
\u2013
(50)
(216)
(88)
(70)
\u2013
(112)
(31)
(567)
Foreign exchange translation
\u2013
3
16
6
16
\u2013
31
\u2013
72
Other
\u2013
15
36
16
26
\u2013
28
(21)
100
Balance at end of period
$
\u2013
$
646
$
723
$
550
$
1,863
$
\u2013
$
2,149
$
154
$
6,085
Net carrying amount at end of
period
$ 140
$
605
$
560
$
285
$
1,144
$
108
$
3,744
$
163
$
6,749
For the year ended October 31, 2022
Owned by the Bank
(1)
Right-of-use lease assets
Furniture,
fixtures
Computer
and other
Leasehold
Work in
(Millions of Canadian dollars)
Land
Buildings
equipment
equipment
improvements
process
Buildings
Equipment
Total
Cost
Balance at beginning of period
$
145
$
1,308
$
1,126
$
773
$
2,754
$
170
$
5,394
$
308
$
11,978
Additions
\u2013
\u2013
24
3
28
397
270
138
860
Acquisition through business
combination
\u2013
\u2013
4
1
6
1
55
\u2013
67
Transfers from work in process
\u2013
15
195
49
206
(465)
\u2013
\u2013
\u2013
Disposals
(10)
(83)
(195)
(5)
(205)
(1)
(153)
(146)
(798)
Foreign exchange translation
7
24
17
15
67
6
58
(1)
193
Other
(1)
(3)
(2)
\u2013
(11)
12
124
\u2013
119
Balance at end of period
$
141
$
1,261
$
1,169
$
836
$
2,845
$
120
$
5,748
$
299
$
12,419
Accumulated depreciation
Balance at beginning of period
$
\u2013
$
664
$
584
$
427
$
1,589
$
\u2013
$
1,133
$
157
$
4,554
Depreciation
\u2013
48
234
94
233
\u2013
569
87
1,265
Disposals
\u2013
(80)
(192)
(4)
(204)
\u2013
(106)
(146)
(732)
Foreign exchange translation
\u2013
11
12
6
38
\u2013
2
(1)
68
Other
\u2013
(16)
2
2
\u2013
\u2013
45
17
50
Balance at end of period
$
\u2013
$
627
$
640
$
525
$
1,656
$
\u2013
$
1,643
$
114
$
5,205
Net carrying amount at end of
period
$
141
$
634
$
529
$
311
$
1,189
$
120
$
4,105
$
185
$
7,214
(1)
As at October 31, 2023, we had total contractual commitments of $120 million to purchase premises and equipment (October 31, 2022 \u2013 $185 million).
Lease payments
Total lease payments for the year ended October 31, 2023 were $1,326 million, of which $655 million or 49% relates to variable
payments and $671 million or 51% relates to fixed payments. Total lease payments for the year ended October 31, 2022 were
$1,213 million, of which $578 million or 48% relates to variable payments and $635 million or 52% relates to fixed payments.
Total variable lease payments not included in the measurement of lease liabilities were $647 million for the year ended
October 31, 2023 (October 31, 2022 \u2013 $571 million).", "dimensions": { "concept": "ifrs-full:DisclosureOfPropertyPlantAndEquipmentExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f43912": { "value": "
For the year ended October 31, 2023
Owned by the Bank
(1)
Right-of-use lease assets
Furniture,
fixtures
Computer
and other
Leasehold
Work in
(Millions of Canadian dollars)
Land
Buildings
equipment
equipment
improvements
process
Buildings
Equipment
Total
Cost
Balance at beginning of period
$ 141
$
1,261
$
1,169
$
836
$
2,845
$
120
$
5,748
$
299
$ 12,419
Additions
\u2013
\u2013
32
12
29
511
385
80
1,049
Acquisition through business
combination
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Transfers from work in
process
\u2013
19
246
62
187
(514)
\u2013
\u2013
\u2013
Disposals
\u2013
(53)
(216)
(96)
(78)
(2)
(331)
(31)
(807)
Foreign exchange translation
1
6
22
9
32
1
103
\u2013
174
Other
(2)
18
30
12
(8)
(8)
(12)
(31)
(1)
Balance at end of period
$ 140
$
1,251
$
1,283
$
835
$
3,007
$
108
$
5,893
$
317
$ 12,834
Accumulated depreciation
Balance at beginning of period
$
\u2013
$
627
$
640
$
525
$
1,656
$
\u2013
$
1,643
$
114
$
5,205
Depreciation
\u2013
51
247
91
235
\u2013
559
92
1,275
Disposals
\u2013
(50)
(216)
(88)
(70)
\u2013
(112)
(31)
(567)
Foreign exchange translation
\u2013
3
16
6
16
\u2013
31
\u2013
72
Other
\u2013
15
36
16
26
\u2013
28
(21)
100
Balance at end of period
$
\u2013
$
646
$
723
$
550
$
1,863
$
\u2013
$
2,149
$
154
$
6,085
Net carrying amount at end of
period
$ 140
$
605
$
560
$
285
$
1,144
$
108
$
3,744
$
163
$
6,749
For the year ended October 31, 2022
Owned by the Bank
(1)
Right-of-use lease assets
Furniture,
fixtures
Computer
and other
Leasehold
Work in
(Millions of Canadian dollars)
Land
Buildings
equipment
equipment
improvements
process
Buildings
Equipment
Total
Cost
Balance at beginning of period
$
145
$
1,308
$
1,126
$
773
$
2,754
$
170
$
5,394
$
308
$
11,978
Additions
\u2013
\u2013
24
3
28
397
270
138
860
Acquisition through business
combination
\u2013
\u2013
4
1
6
1
55
\u2013
67
Transfers from work in process
\u2013
15
195
49
206
(465)
\u2013
\u2013
\u2013
Disposals
(10)
(83)
(195)
(5)
(205)
(1)
(153)
(146)
(798)
Foreign exchange translation
7
24
17
15
67
6
58
(1)
193
Other
(1)
(3)
(2)
\u2013
(11)
12
124
\u2013
119
Balance at end of period
$
141
$
1,261
$
1,169
$
836
$
2,845
$
120
$
5,748
$
299
$
12,419
Accumulated depreciation
Balance at beginning of period
$
\u2013
$
664
$
584
$
427
$
1,589
$
\u2013
$
1,133
$
157
$
4,554
Depreciation
\u2013
48
234
94
233
\u2013
569
87
1,265
Disposals
\u2013
(80)
(192)
(4)
(204)
\u2013
(106)
(146)
(732)
Foreign exchange translation
\u2013
11
12
6
38
\u2013
2
(1)
68
Other
\u2013
(16)
2
2
\u2013
\u2013
45
17
50
Balance at end of period
$
\u2013
$
627
$
640
$
525
$
1,656
$
\u2013
$
1,643
$
114
$
5,205
Net carrying amount at end of
period
$
141
$
634
$
529
$
311
$
1,189
$
120
$
4,105
$
185
$
7,214
", "dimensions": { "concept": "ifrs-full:DisclosureOfDepreciationAndAmortisationExpenseExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f44880": { "value": "Lease payments
Total lease payments for the year ended October 31, 2023 were $1,326 million, of which $655 million or 49% relates to variable
payments and $671 million or 51% relates to fixed payments. Total lease payments for the year ended October 31, 2022 were
$1,213 million, of which $578 million or 48% relates to variable payments and $635 million or 52% relates to fixed payments.
Total variable lease payments not included in the measurement of lease liabilities were $647 million for the year ended
October 31, 2023 (October 31, 2022 \u2013 $571 million).", "dimensions": { "concept": "ifrs-full:DisclosureOfLeasesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f44902": { "value": "Note 11
Goodwill and other intangible assets
Goodwill
\n \n
For the year ended October 31, 2023
U.S. Wealth
Canadian
Management
International
(Millions of
Canadian
Caribbean
Wealth
Global Asset
(including
Wealth
Investor
Capital
Canadian dollars)
Banking
Banking
Management
Management
City National)
Management
Services
Insurance
Markets
Total
Balance at beginning
of period
$ 2,574
$
1,759
$
589
$
1,928
$
3,027
$
1,042
$
59
$
112
$
1,187
$ 12,277
Acquisitions
70
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
70
Dispositions
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
(30)
\u2013
\u2013
(30)
Currency translations
\u2013
32
4
88
53
82
\u2013
\u2013
18
277
Balance at end of
period
$ 2,644
$
1,791
$
593
$
2,016
$
3,080
$
1,124
$
29
$
112
$
1,205
$ 12,594
\n \n
For the year ended October 31, 2022
U.S. Wealth
Canadian
Management
International
(Millions of
Canadian
Caribbean
Wealth
Global Asset
(including
Wealth
Investor
Capital
Canadian dollars)
Banking
Banking
Management
Management
City National)
Management
Services
(1)
Insurance
Markets
(1)
Total
Balance at beginning
of period
$
2,557
$
1,600
$
577
$
1,964
$
2,768
$
115
$
60
$
112
$
1,101
$ 10,854
Acquisitions
17
\u2013
\u2013
33
\u2013
880
\u2013
\u2013
\u2013
930
Dispositions
\u2013
\u2013
\u2013
\u2013
(19)
\u2013
\u2013
\u2013
\u2013
(19)
Currency translations
\u2013
159
12
(69)
278
47
(1)
\u2013
86
512
Balance at end of
period
$
2,574
$
1,759
$
589
$
1,928
$
3,027
$
1,042
$
59
$
112
$
1,187
$ 12,277
(1)
Amounts have been revised from those previously presented to conform to our new basis of segment presentation. Refer to Note 27 for further details of our business
segments.
We perform our annual impairment test by comparing the carrying amount of each CGU to its recoverable amount. The
recoverable amount of a CGU is represented by its VIU, except in circumstances where the carrying amount of a CGU exceeds its
VIU. In such cases, the greater of the CGU\u2019s FVLCD and its VIU is the recoverable amount. Our annual impairment test is
performed as at August 1.
In our 2023 annual impairment tests, the recoverable amount of our Caribbean Banking CGU was based on its FVLCD and the
recoverable amounts of all other CGUs tested were based on their VIU. In our 2022 annual impairment tests, the recoverable
amounts of the Caribbean Banking CGU and International Wealth Management CGU were based on their FVLCD and the
recoverable amounts of all other CGUs tested were based on their VIU.
Value in use
We calculate VIU using a five-year discounted cash flow method, with the exception of our International Wealth Management
CGU where cash flow projections covering a seven-year period were used, which more closely aligns with the strategic growth
plan resulting from the acquisition of RBC Brewin Dolphin. Future cash flows are based on financial plans agreed by
management, estimated based on forecast results, business initiatives, capital required to support future cash flows and returns
to shareholders. Key drivers of future cash flows include net interest margins and average interest-earning assets. The values
assigned to these drivers over the forecast period are based on past experience, external and internal economic forecasts, and
management\u2019s expectations of the impact of economic conditions on our financial results. Beyond the initial cash flow projection
period, cash flows are assumed to increase at a constant rate using a nominal long-term growth rate (terminal growth rate).
Terminal growth rates are based on the long-term steady state growth expectations in the countries within which the CGU
operates. The discount rates used to determine the present value of each CGU\u2019s projected future cash flows are based on the
bank-wide cost of capital, adjusted for the risks to which each CGU is exposed. CGU-specific risks include: country risk, business/
operational risk, geographic risk (including political risk, devaluation risk, and government regulation), currency risk, and price
risk (including product pricing risk and inflation).
The estimation of VIU involves significant judgment in the determination of inputs to the discounted cash flow model and is
most sensitive to changes in future cash flows, discount rates and terminal growth rates applied to cash flows beyond the
forecast period. The sensitivity of the VIU to key inputs and assumptions used was tested by recalculating the recoverable
amount using reasonably possible changes to those parameters. As at August 1, 2023, no reasonably possible change in an
individual key input or assumption, as described, would result in a CGU\u2019s carrying amount exceeding its recoverable amount
based on VIU.
The terminal growth rates and pre-tax discount rates used in our discounted cash flow models are summarized below.
As at
August 1, 2023
August 1, 2022
Terminal
Terminal
Discount
growth
Discount
growth
rate
(1)
rate
rate
(1)
rate
Group of cash generating units
Canadian Banking
11.7%
3.0%
11.0%
3.0%
Caribbean Banking
12.9
3.5
12.6
3.5
Canadian Wealth Management
12.5
3.0
11.8
3.0
Global Asset Management
12.5
3.0
11.8
3.0
U.S. Wealth Management (including City National)
12.5
3.0
12.8
3.0
International Wealth Management
(2)
12.5
3.0
n.m.
n.m.
Investor Services
12.4
3.0
11.8
3.0
Insurance
12.4
3.0
11.6
3.0
Capital Markets
12.7
3.0
12.4
3.0
(1)
Pre-tax discount rates are determined implicitly based on post-tax discount rates.
(2)
The recoverable amount for our International Wealth Management CGU was determined using a multiples-based approach in 2022.
n.m. not meaningful
Fair value less costs of disposal \u2013 Caribbean Banking
As at August 1, 2023, the recoverable amount of our Caribbean Banking CGU, based on FVLCD, was 109% of its carrying amount
(August 1, 2022 \u2013 109%). We calculated FVLCD using a discounted cash flow method that projects future cash flows over a 5-year
period. Cash flows are based on management forecasts, adjusted to approximate the considerations of a prospective third-party
buyer. Cash flows beyond the initial 5-year period are assumed to increase at a constant rate using a nominal long-term growth
rate. Future cash flows, terminal growth rates, and discount rates are based on the same factors noted above. The forecast
future cash flows were discounted using a pre-tax rate of 12.9% (August 1, 2022 \u2013 12.6%), reflecting a higher interest rate
environment. This fair value measurement is categorized as level 3 in the fair value hierarchy as certain significant inputs are not
observable. We use significant judgment to determine inputs to the discounted cash flow model, which is most sensitive to
changes in future cash flows, discount rates and terminal growth rates.
We considered reasonably possible alternative scenarios, including market comparable transactions, which yielded
valuations ranging from an immaterial deficit to an immaterial surplus. The sensitivity of the FVLCD to key inputs and
assumptions was tested by recalculating the recoverable amount using reasonably possible changes to those parameters. A
50 bps change in the terminal growth rate would increase and decrease the recoverable amount by $235 million and $209 million,
respectively. A 50 bps increase in the discount rate would decrease the recoverable amount by $278 million. A reduction in the
forecasted cash flows of 10% per annum would reduce the recoverable amount by $485 million. If future cash flows were reduced
by 8%, the recoverable amount would approximate the carrying amount. Changes in these assumptions have been applied
holding other individual factors constant. However, changes in one factor may be magnified or offset by related changes in other
assumptions as impacts to the recoverable amount are highly interdependent and changes in assumptions may not have a linear
effect on the recoverable amount of the CGU. In aggregate, the range of reasonably possible outcomes would not materially
affect the recoverable amount of the CGU.
Other intangible assets
For the year ended October 31, 2023
Internally
Core
Customer
generated
Other
deposit
list and
In process
(Millions of Canadian dollars)
software
software
intangibles
relationships
software
Total
Gross carrying amount
\u00a0
Balance at beginning of period
$
5,076
$
908
$
1,630
$
2,472
$
1,535
$
11,621
Additions
81
179
\u2013
\u2013
1,134
1,394
Acquisition through business combination
\u2013
31
\u2013
\u2013
\u2013
31
Transfers
1,067
78
\u2013
\u2013
(1,145)
\u2013
Dispositions
(509)
(145)
\u2013
(160)
8
(806)
Impairment losses
(73)
\u2013
\u2013
(9)
(5)
(87)
Currency translations
68
17
28
144
38
295
Other changes
(115)
29
\u2013
9
(33)
(110)
Balance at end of period
$
5,595
$
1,097
$
1,658
$
2,456
$
1,532
$
12,338
Accumulated amortization
\u00a0
Balance at beginning of period
$
(3,031)
$
(612)
$
(1,146)
$
(749)
$
\u2013
$
(5,538)
Amortization charge for the year
(1,009)
(146)
(160)
(172)
\u2013
(1,487)
Dispositions
506
157
\u2013
114
\u2013
777
Impairment losses
(19)
\u2013
\u2013
\u2013
\u2013
(19)
Currency translations
(37)
(13)
(24)
(33)
\u2013
(107)
Other changes
(7)
(44)
\u2013
(6)
\u2013
(57)
Balance at end of period
$
(3,597)
$
(658)
$
(1,330)
$
(846)
$
\u2013
$
(6,431)
Net balance at end of period
$
1,998
$
439
$
328
$
1,610
$
1,532
$
5,907
For the year ended October 31, 2022
Internally
Core
Customer
generated
Other
deposit
list and
In process
(Millions of Canadian dollars)
software
software
intangibles
relationships
software
Total
Gross carrying amount
Balance at beginning of period
$
4,886
$
894
$
1,474
$
1,414
$
1,236
$
9,904
Additions
25
16
\u2013
\u2013
1,256
1,297
Acquisition through business combination
\u2013
14
\u2013
1,292
148
1,454
Transfers
1,121
76
\u2013
\u2013
(1,197)
\u2013
Dispositions
(960)
(111)
\u2013
(329)
(5)
(1,405)
Impairment losses
(16)
\u2013
\u2013
\u2013
(11)
(27)
Currency translations
71
48
149
113
30
411
Other changes
(51)
(29)
7
(18)
78
(13)
Balance at end of period
$
5,076
$
908
$
1,630
$
2,472
$
1,535
$
11,621
Accumulated amortization
Balance at beginning of period
$
(2,979)
$
(572)
$
(885)
$
(997)
$
\u2013
$
(5,433)
Amortization charge for the year
(976)
(137)
(153)
(103)
\u2013
(1,369)
Dispositions
959
109
\u2013
315
\u2013
1,383
Impairment losses
9
\u2013
\u2013
\u2013
\u2013
9
Currency translations
(36)
(31)
(98)
13
\u2013
(152)
Other changes
(8)
19
(10)
23
\u2013
24
Balance at end of period
$
(3,031)
$
(612)
$
(1,146)
$
(749)
$
\u2013
$
(5,538)
Net balance at end of period
$
2,045
$
296
$
484
$
1,723
$
1,535
$
6,083
", "dimensions": { "concept": "ifrs-full:DisclosureOfIntangibleAssetsAndGoodwillExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f44906": { "value": "Goodwill \n \n
For the year ended October 31, 2023
U.S. Wealth
Canadian
Management
International
(Millions of
Canadian
Caribbean
Wealth
Global Asset
(including
Wealth
Investor
Capital
Canadian dollars)
Banking
Banking
Management
Management
City National)
Management
Services
Insurance
Markets
Total
Balance at beginning
of period
$ 2,574
$
1,759
$
589
$
1,928
$
3,027
$
1,042
$
59
$
112
$
1,187
$ 12,277
Acquisitions
70
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
70
Dispositions
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
(30)
\u2013
\u2013
(30)
Currency translations
\u2013
32
4
88
53
82
\u2013
\u2013
18
277
Balance at end of
period
$ 2,644
$
1,791
$
593
$
2,016
$
3,080
$
1,124
$
29
$
112
$
1,205
$ 12,594
\n \n
For the year ended October 31, 2022
U.S. Wealth
Canadian
Management
International
(Millions of
Canadian
Caribbean
Wealth
Global Asset
(including
Wealth
Investor
Capital
Canadian dollars)
Banking
Banking
Management
Management
City National)
Management
Services
(1)
Insurance
Markets
(1)
Total
Balance at beginning
of period
$
2,557
$
1,600
$
577
$
1,964
$
2,768
$
115
$
60
$
112
$
1,101
$ 10,854
Acquisitions
17
\u2013
\u2013
33
\u2013
880
\u2013
\u2013
\u2013
930
Dispositions
\u2013
\u2013
\u2013
\u2013
(19)
\u2013
\u2013
\u2013
\u2013
(19)
Currency translations
\u2013
159
12
(69)
278
47
(1)
\u2013
86
512
Balance at end of
period
$
2,574
$
1,759
$
589
$
1,928
$
3,027
$
1,042
$
59
$
112
$
1,187
$ 12,277
(1)
Amounts have been revised from those previously presented to conform to our new basis of segment presentation. Refer to Note 27 for further details of our business
segments.
We perform our annual impairment test by comparing the carrying amount of each CGU to its recoverable amount. The
recoverable amount of a CGU is represented by its VIU, except in circumstances where the carrying amount of a CGU exceeds its
VIU. In such cases, the greater of the CGU\u2019s FVLCD and its VIU is the recoverable amount. Our annual impairment test is
performed as at August 1.
In our 2023 annual impairment tests, the recoverable amount of our Caribbean Banking CGU was based on its FVLCD and the
recoverable amounts of all other CGUs tested were based on their VIU. In our 2022 annual impairment tests, the recoverable
amounts of the Caribbean Banking CGU and International Wealth Management CGU were based on their FVLCD and the
recoverable amounts of all other CGUs tested were based on their VIU.
Value in use
We calculate VIU using a five-year discounted cash flow method, with the exception of our International Wealth Management
CGU where cash flow projections covering a seven-year period were used, which more closely aligns with the strategic growth
plan resulting from the acquisition of RBC Brewin Dolphin. Future cash flows are based on financial plans agreed by
management, estimated based on forecast results, business initiatives, capital required to support future cash flows and returns
to shareholders. Key drivers of future cash flows include net interest margins and average interest-earning assets. The values
assigned to these drivers over the forecast period are based on past experience, external and internal economic forecasts, and
management\u2019s expectations of the impact of economic conditions on our financial results. Beyond the initial cash flow projection
period, cash flows are assumed to increase at a constant rate using a nominal long-term growth rate (terminal growth rate).
Terminal growth rates are based on the long-term steady state growth expectations in the countries within which the CGU
operates. The discount rates used to determine the present value of each CGU\u2019s projected future cash flows are based on the
bank-wide cost of capital, adjusted for the risks to which each CGU is exposed. CGU-specific risks include: country risk, business/
operational risk, geographic risk (including political risk, devaluation risk, and government regulation), currency risk, and price
risk (including product pricing risk and inflation).
The estimation of VIU involves significant judgment in the determination of inputs to the discounted cash flow model and is
most sensitive to changes in future cash flows, discount rates and terminal growth rates applied to cash flows beyond the
forecast period. The sensitivity of the VIU to key inputs and assumptions used was tested by recalculating the recoverable
amount using reasonably possible changes to those parameters. As at August 1, 2023, no reasonably possible change in an
individual key input or assumption, as described, would result in a CGU\u2019s carrying amount exceeding its recoverable amount
based on VIU.
The terminal growth rates and pre-tax discount rates used in our discounted cash flow models are summarized below.
As at
August 1, 2023
August 1, 2022
Terminal
Terminal
Discount
growth
Discount
growth
rate
(1)
rate
rate
(1)
rate
Group of cash generating units
Canadian Banking
11.7%
3.0%
11.0%
3.0%
Caribbean Banking
12.9
3.5
12.6
3.5
Canadian Wealth Management
12.5
3.0
11.8
3.0
Global Asset Management
12.5
3.0
11.8
3.0
U.S. Wealth Management (including City National)
12.5
3.0
12.8
3.0
International Wealth Management
(2)
12.5
3.0
n.m.
n.m.
Investor Services
12.4
3.0
11.8
3.0
Insurance
12.4
3.0
11.6
3.0
Capital Markets
12.7
3.0
12.4
3.0
(1)
Pre-tax discount rates are determined implicitly based on post-tax discount rates.
(2)
The recoverable amount for our International Wealth Management CGU was determined using a multiples-based approach in 2022.
n.m. not meaningful
Fair value less costs of disposal \u2013 Caribbean Banking
As at August 1, 2023, the recoverable amount of our Caribbean Banking CGU, based on FVLCD, was 109% of its carrying amount
(August 1, 2022 \u2013 109%). We calculated FVLCD using a discounted cash flow method that projects future cash flows over a 5-year
period. Cash flows are based on management forecasts, adjusted to approximate the considerations of a prospective third-party
buyer. Cash flows beyond the initial 5-year period are assumed to increase at a constant rate using a nominal long-term growth
rate. Future cash flows, terminal growth rates, and discount rates are based on the same factors noted above. The forecast
future cash flows were discounted using a pre-tax rate of 12.9% (August 1, 2022 \u2013 12.6%), reflecting a higher interest rate
environment. This fair value measurement is categorized as level 3 in the fair value hierarchy as certain significant inputs are not
observable. We use significant judgment to determine inputs to the discounted cash flow model, which is most sensitive to
changes in future cash flows, discount rates and terminal growth rates.
We considered reasonably possible alternative scenarios, including market comparable transactions, which yielded
valuations ranging from an immaterial deficit to an immaterial surplus. The sensitivity of the FVLCD to key inputs and
assumptions was tested by recalculating the recoverable amount using reasonably possible changes to those parameters. A
50 bps change in the terminal growth rate would increase and decrease the recoverable amount by $235 million and $209 million,
respectively. A 50 bps increase in the discount rate would decrease the recoverable amount by $278 million. A reduction in the
forecasted cash flows of 10% per annum would reduce the recoverable amount by $485 million. If future cash flows were reduced
by 8%, the recoverable amount would approximate the carrying amount. Changes in these assumptions have been applied
holding other individual factors constant. However, changes in one factor may be magnified or offset by related changes in other
assumptions as impacts to the recoverable amount are highly interdependent and changes in assumptions may not have a linear
effect on the recoverable amount of the CGU. In aggregate, the range of reasonably possible outcomes would not materially
affect the recoverable amount of the CGU.", "dimensions": { "concept": "ifrs-full:DisclosureOfGoodwillExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f45626": { "value": "Other intangible assets
For the year ended October 31, 2023
Internally
Core
Customer
generated
Other
deposit
list and
In process
(Millions of Canadian dollars)
software
software
intangibles
relationships
software
Total
Gross carrying amount
\u00a0
Balance at beginning of period
$
5,076
$
908
$
1,630
$
2,472
$
1,535
$
11,621
Additions
81
179
\u2013
\u2013
1,134
1,394
Acquisition through business combination
\u2013
31
\u2013
\u2013
\u2013
31
Transfers
1,067
78
\u2013
\u2013
(1,145)
\u2013
Dispositions
(509)
(145)
\u2013
(160)
8
(806)
Impairment losses
(73)
\u2013
\u2013
(9)
(5)
(87)
Currency translations
68
17
28
144
38
295
Other changes
(115)
29
\u2013
9
(33)
(110)
Balance at end of period
$
5,595
$
1,097
$
1,658
$
2,456
$
1,532
$
12,338
Accumulated amortization
\u00a0
Balance at beginning of period
$
(3,031)
$
(612)
$
(1,146)
$
(749)
$
\u2013
$
(5,538)
Amortization charge for the year
(1,009)
(146)
(160)
(172)
\u2013
(1,487)
Dispositions
506
157
\u2013
114
\u2013
777
Impairment losses
(19)
\u2013
\u2013
\u2013
\u2013
(19)
Currency translations
(37)
(13)
(24)
(33)
\u2013
(107)
Other changes
(7)
(44)
\u2013
(6)
\u2013
(57)
Balance at end of period
$
(3,597)
$
(658)
$
(1,330)
$
(846)
$
\u2013
$
(6,431)
Net balance at end of period
$
1,998
$
439
$
328
$
1,610
$
1,532
$
5,907
For the year ended October 31, 2022
Internally
Core
Customer
generated
Other
deposit
list and
In process
(Millions of Canadian dollars)
software
software
intangibles
relationships
software
Total
Gross carrying amount
Balance at beginning of period
$
4,886
$
894
$
1,474
$
1,414
$
1,236
$
9,904
Additions
25
16
\u2013
\u2013
1,256
1,297
Acquisition through business combination
\u2013
14
\u2013
1,292
148
1,454
Transfers
1,121
76
\u2013
\u2013
(1,197)
\u2013
Dispositions
(960)
(111)
\u2013
(329)
(5)
(1,405)
Impairment losses
(16)
\u2013
\u2013
\u2013
(11)
(27)
Currency translations
71
48
149
113
30
411
Other changes
(51)
(29)
7
(18)
78
(13)
Balance at end of period
$
5,076
$
908
$
1,630
$
2,472
$
1,535
$
11,621
Accumulated amortization
Balance at beginning of period
$
(2,979)
$
(572)
$
(885)
$
(997)
$
\u2013
$
(5,433)
Amortization charge for the year
(976)
(137)
(153)
(103)
\u2013
(1,369)
Dispositions
959
109
\u2013
315
\u2013
1,383
Impairment losses
9
\u2013
\u2013
\u2013
\u2013
9
Currency translations
(36)
(31)
(98)
13
\u2013
(152)
Other changes
(8)
19
(10)
23
\u2013
24
Balance at end of period
$
(3,031)
$
(612)
$
(1,146)
$
(749)
$
\u2013
$
(5,538)
Net balance at end of period
$
2,045
$
296
$
484
$
1,723
$
1,535
$
6,083
", "dimensions": { "concept": "ifrs-full:DisclosureOfIntangibleAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f46328": { "value": "Note 12
Joint ventures and associated companies
We do not have any joint ventures or associated companies that are individually material to our financial results. The following
table summarizes the carrying value of our interests in joint ventures and associated companies accounted for under the equity
method as well as our share of the income of those entities.
Joint ventures
Associated companies
As at and for the year ended
October 31
October 31
October 31
October 31
(Millions of Canadian dollars)
2023
2022
2023
2022
Carrying amount
$
215
$
248
$
286
$
463
Share of:
Net income
(1)
$
18
$
103
$
5
$
7
(1)
Excludes impairment losses recognized on our interests in joint ventures and associated companies. During the year ended October 31, 2023, we recognized impairment
losses of $242 million in Non-interest income \u2013 Income (loss) from joint ventures and associates with respect to our interest in an associated company in our Wealth
Management segment (October 31, 2022 \u2013 $nil).", "dimensions": { "concept": "ifrs-full:DisclosureOfJointVenturesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f46329": { "value": "Note 12
Joint ventures and associated companies
We do not have any joint ventures or associated companies that are individually material to our financial results. The following
table summarizes the carrying value of our interests in joint ventures and associated companies accounted for under the equity
method as well as our share of the income of those entities.
Joint ventures
Associated companies
As at and for the year ended
October 31
October 31
October 31
October 31
(Millions of Canadian dollars)
2023
2022
2023
2022
Carrying amount
$
215
$
248
$
286
$
463
Share of:
Net income
(1)
$
18
$
103
$
5
$
7
(1)
Excludes impairment losses recognized on our interests in joint ventures and associated companies. During the year ended October 31, 2023, we recognized impairment
losses of $242 million in Non-interest income \u2013 Income (loss) from joint ventures and associates with respect to our interest in an associated company in our Wealth
Management segment (October 31, 2022 \u2013 $nil).", "dimensions": { "concept": "ifrs-full:DisclosureOfSignificantInvestmentsInAssociatesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f46425": { "value": "Note 13
Other assets
\n \n
As at
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Accounts receivable and prepaids
$
4,373
$
4,250
Accrued interest receivable
7,775
4,703
Cash collateral
20,104
25,634
Commodity trading receivables
5,979
7,054
Deferred income tax asset
2,446
1,472
Employee benefit assets
2,826
3,331
Held-for-sale assets
2,562
11
Insurance-related assets
Collateral loans
528
524
Policy loans
87
85
Reinsurance assets
1,127
1,084
Other
13
12
Investments in joint ventures and associates
501
711
Margin deposits
8,849
14,684
Precious metals
2,753
1,772
Receivable from brokers, dealers and clients
2,834
3,299
Taxes receivable
8,908
6,933
Other
5,403
4,741
$
77,068
$
80,300
", "dimensions": { "concept": "ifrs-full:DisclosureOfTradeAndOtherReceivablesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f46426": { "value": "Note 13
Other assets
\n \n
As at
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Accounts receivable and prepaids
$
4,373
$
4,250
Accrued interest receivable
7,775
4,703
Cash collateral
20,104
25,634
Commodity trading receivables
5,979
7,054
Deferred income tax asset
2,446
1,472
Employee benefit assets
2,826
3,331
Held-for-sale assets
2,562
11
Insurance-related assets
Collateral loans
528
524
Policy loans
87
85
Reinsurance assets
1,127
1,084
Other
13
12
Investments in joint ventures and associates
501
711
Margin deposits
8,849
14,684
Precious metals
2,753
1,772
Receivable from brokers, dealers and clients
2,834
3,299
Taxes receivable
8,908
6,933
Other
5,403
4,741
$
77,068
$
80,300
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f46430": { "value": "\n \n
As at
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Accounts receivable and prepaids
$
4,373
$
4,250
Accrued interest receivable
7,775
4,703
Cash collateral
20,104
25,634
Commodity trading receivables
5,979
7,054
Deferred income tax asset
2,446
1,472
Employee benefit assets
2,826
3,331
Held-for-sale assets
2,562
11
Insurance-related assets
Collateral loans
528
524
Policy loans
87
85
Reinsurance assets
1,127
1,084
Other
13
12
Investments in joint ventures and associates
501
711
Margin deposits
8,849
14,684
Precious metals
2,753
1,772
Receivable from brokers, dealers and clients
2,834
3,299
Taxes receivable
8,908
6,933
Other
5,403
4,741
$
77,068
$
80,300
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherCurrentAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f46431": { "value": "\n \n
As at
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Accounts receivable and prepaids
$
4,373
$
4,250
Accrued interest receivable
7,775
4,703
Cash collateral
20,104
25,634
Commodity trading receivables
5,979
7,054
Deferred income tax asset
2,446
1,472
Employee benefit assets
2,826
3,331
Held-for-sale assets
2,562
11
Insurance-related assets
Collateral loans
528
524
Policy loans
87
85
Reinsurance assets
1,127
1,084
Other
13
12
Investments in joint ventures and associates
501
711
Margin deposits
8,849
14,684
Precious metals
2,753
1,772
Receivable from brokers, dealers and clients
2,834
3,299
Taxes receivable
8,908
6,933
Other
5,403
4,741
$
77,068
$
80,300
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherNoncurrentAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f46432": { "value": "\n \n
As at
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Accounts receivable and prepaids
$
4,373
$
4,250
Accrued interest receivable
7,775
4,703
Cash collateral
20,104
25,634
Commodity trading receivables
5,979
7,054
Deferred income tax asset
2,446
1,472
Employee benefit assets
2,826
3,331
Held-for-sale assets
2,562
11
Insurance-related assets
Collateral loans
528
524
Policy loans
87
85
Reinsurance assets
1,127
1,084
Other
13
12
Investments in joint ventures and associates
501
711
Margin deposits
8,849
14,684
Precious metals
2,753
1,772
Receivable from brokers, dealers and clients
2,834
3,299
Taxes receivable
8,908
6,933
Other
5,403
4,741
$
77,068
$
80,300
", "dimensions": { "concept": "ifrs-full:DisclosureOfTaxReceivablesAndPayablesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f46588": { "value": "Note 14
Deposits
\n \n
As at
October 31, 2023
October 31, 2022
(Millions of Canadian dollars)
Demand
(1)
Notice
(2)
Term
(3)
Total
Demand
(1)
Notice
(2)
Term
(3)
Total
Personal
$
186,530
$ 57,614
$ 197,802
$
441,946
$
203,645
$
64,743
$ 136,544
$
404,932
Business and government
316,200
19,056
409,819
745,075
348,004
17,855
394,011
759,870
Bank
7,996
769
35,901
44,666
10,458
490
33,064
44,012
$
510,726
$ 77,439
$ 643,522
$ 1,231,687
$
562,107
$
83,088
$ 563,619
$ 1,208,814
Non-interest-bearing
(4)
Canada
$
132,994
$
6,107
$
168
$
139,269
$
149,737
$
7,797
$
466
$
158,000
United States
40,646
\u2013
\u2013
40,646
52,702
\u2013
\u2013
52,702
Europe
(5)
17
\u2013
\u2013
17
620
\u2013
\u2013
620
Other International
7,265
\u2013
\u2013
7,265
7,840
\u2013
\u2013
7,840
Interest-bearing
(4)
Canada
302,746
14,641
493,347
810,734
305,779
17,982
409,586
733,347
United States
16,210
55,895
78,837
150,942
11,410
57,055
85,111
153,576
Europe
(5)
5,353
726
51,812
57,891
28,276
254
52,144
80,674
Other International
5,495
70
19,358
24,923
5,743
\u2013
16,312
22,055
$
510,726
$ 77,439
$ 643,522
$ 1,231,687
$
562,107
$
83,088
$ 563,619
$ 1,208,814
(1)
Demand deposits are deposits for which we do not have the right to require notice of withdrawal, which include both savings and chequing accounts.
(2)
Notice deposits are deposits for which we can legally require notice of withdrawal. These deposits are primarily savings accounts.
(3)
Term deposits are deposits payable on a fixed date, and include term deposits, guaranteed investment certificates and similar instruments.
(4)
The geographical splits of the deposits are based on the point of origin of the deposits and where the revenue is recognized. As at October 31, 2023, deposits
denominated in U.S. dollars, British pounds, Euro and other foreign currencies were $445 billion, $34 billion, $49 billion and $32 billion, respectively (October 31, 2022 \u2013
$465 billion, $35 billion, $50 billion and $30 billion, respectively).
(5)
Europe includes the United Kingdom, the Channel Islands, France and Luxembourg.
Contractual maturities of term deposits
\n \n
As at
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Within 1 year:
less than 3 months
$
182,373
$
159,602
3 to 6 months
69,868
61,996
6 to 12 months
151,079
156,531
1 to 2 years
76,232
49,225
2 to 3 years
49,965
42,809
3 to 4 years
36,774
27,609
4 to 5 years
36,506
33,835
Over 5 years
40,725
32,012
$
643,522
$
563,619
Aggregate amount of term deposits in denominations of one hundred thousand dollars or more
$
586,000
$
521,000
Average deposit balances and average rates of interest
\u00a0
For the year ended
\u00a0
October 31, 2023
October 31, 2022
\u00a0
Average
Average
Average
Average
(Millions of Canadian dollars, except for percentage amounts)
balances
rates
balances
rates
Canada
$
913,669
3.02%
$
847,052
1.02%
United States
196,490
2.74
207,436
0.50
Europe
70,426
4.22
81,824
1.03
Other International
31,035
2.26
28,613
0.72
\u00a0
$ 1,211,620
3.03%
$
1,164,925
0.92%
\n", "dimensions": { "concept": "ifrs-full:DisclosureOfDepositsFromBanksExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f47138": { "value": "Note 15
Insurance
Risk management
Insurance risk is the risk of fluctuations in the timing, frequency or severity of insured events, relative to our expectations at the
time of underwriting. We do not have a high degree of concentration risk due to our geographic diversity and business mix.
Concentration risk is not a major concern for the life insurance business as it does not have a material level of region-specific
characteristics. Reinsurance is also used for a majority of our Canadian insurance business to lower our risk profile and limit the
liability on a single claim. We manage underwriting and pricing risk through the use of underwriting guidelines which detail the
class, nature and type of business that may be accepted, pricing policies by product line and controls over policy wordings. The
risk that claims are handled or paid inappropriately is mitigated by using a range of information technology (IT) system controls
and manual processes conducted by experienced staff. These, together with a range of detailed policies and procedures, ensure
that all claims are handled in a timely, appropriate and accurate manner.
Reinsurance ceded
In the ordinary course of business, our insurance operations reinsure risks to other insurance and reinsurance companies in
order to lower our risk profile, limit loss exposure to large risks, and provide additional capacity for future growth. These ceding
reinsurance arrangements do not relieve our insurance subsidiaries from our direct obligations to the insured parties. We
evaluate the financial condition of the reinsurers and monitor our concentrations of credit risks to minimize our exposure to
losses from reinsurer insolvency. Reinsurance amounts (ceded premiums) included in Non-interest income are shown in the
table below.
Net premiums and claims
\u00a0
For the year ended
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Gross premiums
$
5,428
$
4,913
Premiums ceded to reinsurers
(297)
(260)
Net premiums
$
5,131
$
4,653
Gross claims and benefits
(1)
$
3,960
$
1,741
Reinsurers\u2019 share of claims and benefits
(261)
(273)
Net claims
$
3,699
$
1,468
\n
(1)
Includes the change in fair value of investments backing our policyholder liabilities.
Insurance claims and policy benefit liabilities
All actuarial assumptions are set in conjunction with Canadian Institute of Actuaries Standards of Practice and OSFI
requirements. The assumptions that have the greatest effect on the measurement of insurance liabilities, the processes used to
determine them and the assumptions used as at October 31, 2023 are as follows:
Mortality and morbidity \u2013 Mortality estimates are based on standard industry insured mortality tables, adjusted where
appropriate to reflect our own experience. Morbidity assumptions are made with respect to the rates of claim incidence and
claim termination for health insurance policies and are based on a combination of industry and our own experience.
Future investment yield \u2013 Assumptions are based on the current yield rate, a reinvestment assumption and an allowance for
future credit losses for each line of business, and are developed using interest rate scenario testing, including prescribed
scenarios for determination of minimum liabilities as set out in the actuarial standards.
Policyholder behaviour
\u2013 Under certain policies, the policyholder has a contractual right to change benefits and premiums, as
well as convert policies to permanent forms of insurance. All policyholders have the right to terminate their policies through
lapse. Lapses represent the termination of policies due to non-payment of premiums. Lapse assumptions are primarily based on
our recent experience adjusted for emerging industry experience where applicable.
Significant insurance assumptions
\u00a0
As at
\u00a0
October 31
October 31
\u00a0
2023
2022
Life Insurance
\u00a0 \u00a0
Canadian Insurance
\u00a0 \u00a0
Mortality rates
(1)
0.11%
0.11%
Morbidity rates
(2)
1.79
1.81
Future reinvestment yield
(3)
3.73
3.75
Lapse rates
(4)
0.50
0.50
International Insurance
\u00a0 \u00a0
Mortality rates
(1)
0.83
0.80
Future reinvestment yield
(3)
2.90
2.90
\n
(1)
Average annual death rate for the largest portfolio of insured policies.
(2)
Average net termination rate for the individual and group disability insurance portfolio.
(3)
Ultimate reinvestment rate of the insurance operations.
(4)
Ultimate policy termination rate (lapse rate) for the largest permanent life insurance portfolio that relies on a higher termination rate to maintain its profitability
(lapse-supported policies).
Insurance claims and policy benefit liabilities
The following table summarizes our gross and reinsurers\u2019 share of insurance liabilities at the end of the year.
\u00a0
As at
\u00a0
October 31, 2023
October 31, 2022
(Millions of Canadian dollars)
Gross
Ceded
Net
Gross
Ceded
Net
Life insurance policyholder liabilities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Life, health and annuity
$
11,934
$
968
$
10,966
$
11,481
$
902
$
10,579
Investment contracts
(1)
38
\u2013
38
41
\u2013
41
\u00a0
$
11,972
$
968
$
11,004
$
11,522
$
902
$
10,620
Non-life insurance policyholder liabilities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Unearned premium provision
(1)
$
9
$
\u2013
$
9
$
7
$
\u2013
$
7
Unpaid claims provision
32
1
31
30
1
29
\u00a0
$
41
$
1
$
40
$
37
$
1
$
36
\u00a0
$
12,013
$
969
$
11,044
$
11,559
$
903
$
10,656
\n
(1)
Liabilities for investment contracts and unearned premium provision are reported in Other liabilities on the Consolidated Balance Sheets.
Reconciliation of life insurance policyholder liabilities
\u00a0
For the year ended
\u00a0
October 31, 2023
October 31, 2022
(Millions of Canadian dollars)
Gross
Ceded
Net
Gross
Ceded
Net
Balances at beginning of period
$
11,522
$
902
$
10,620
$
12,817
$
861
$
11,956
New and in-force policies
(1)
552
30
522
(1,288)
(130)
(1,158)
Changes in assumption and methodology
(99)
36
(135)
(6)
171
(177)
Net change in investment contracts
(3)
\u2013
(3)
(1)
\u2013
(1)
Balances at end of period
$
11,972
$
968
$
11,004
$
11,522
$
902
$
10,620
\n
(1)
Includes the change in fair value of investments backing our policyholder liabilities.
The net increase in life insurance policyholder liabilities over the prior year was primarily attributable to business growth
partially offset by asset and liability matching activities and market movements on assets backing life insurance policyholder
liabilities. During the year, we reviewed all key actuarial methods and assumptions which are used in determining the life
insurance policyholder liabilities resulting in a $135 million net decrease to such liabilities. This is primarily comprised of a
decrease of $170 million arising from insurance risk related assumption updates largely due to mortality assumptions, partially
offset by increases of $15 million due to changes to valuation models and related data and $14 million due to an increase in the
crediting rate on universal life insurance policies.
Sensitivity analysis
The following table presents the sensitivity of the level of insurance policyholder liabilities disclosed in this note to reasonably
possible changes in the actuarial assumptions used to calculate them. The percentage change in each variable is applied to a
range of existing actuarial modelling assumptions to derive the possible impact on net income. The analyses are performed
where a single assumption is changed while holding other assumptions constant, which is unlikely to occur in practice.
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0 \u00a0
Net income impact
for the year ended
\u00a0 \u00a0
\u00a0
Change in
October 31
October 31
(Millions of Canadian dollars, except for percentage amounts)
variable
2023
2022
Increase in market interest rates
(1)
1%
$
1
$
(10)
Decrease in market interest rates
(1)
1
7
5
Increase in equity market values
(2)
10
2
6
Decrease in equity market values
(2)
10
(8)
(10)
Increase in maintenance expenses
(3)
5
(32)
(33)
Life Insurance
(3)
\u00a0 \u00a0 \u00a0
Adverse change in annuitant mortality rates
2
(177)
(166)
Adverse change in assurance mortality rates
2
(54)
(59)
Adverse change in morbidity rates
5
(177)
(181)
Adverse change in lapse rates
10
(192)
(199)
\n
(1)
Sensitivities for market interest rates include the expected current period earnings impact of a 100 basis points shift in the yield curve by increasing the current
reinvestment rates while holding the assumed ultimate rates constant. The sensitivity consists of both the impact on assumed reinvestment rates in the actuarial
liabilities and any changes in fair value of assets and liabilities from the yield curve shift.
(2)
Sensitivities to changes in equity market values are composed of the expected current period earnings impact from differences in the changes in fair value of the equity
asset holdings and the partially offsetting impact on the actuarial liabilities.
(3)
Sensitivities to changes in maintenance expenses and life insurance actuarial assumptions include the expected current period earnings impact from recognition of
increased liabilities due to an adverse change in the given assumption over the lifetime of all in-force policies.", "dimensions": { "concept": "ifrs-full:DisclosureOfInsuranceContractsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f47142": { "value": "Risk management
Insurance risk is the risk of fluctuations in the timing, frequency or severity of insured events, relative to our expectations at the
time of underwriting. We do not have a high degree of concentration risk due to our geographic diversity and business mix.
Concentration risk is not a major concern for the life insurance business as it does not have a material level of region-specific
characteristics. Reinsurance is also used for a majority of our Canadian insurance business to lower our risk profile and limit the
liability on a single claim. We manage underwriting and pricing risk through the use of underwriting guidelines which detail the
class, nature and type of business that may be accepted, pricing policies by product line and controls over policy wordings. The
risk that claims are handled or paid inappropriately is mitigated by using a range of information technology (IT) system controls
and manual processes conducted by experienced staff. These, together with a range of detailed policies and procedures, ensure
that all claims are handled in a timely, appropriate and accurate manner.", "dimensions": { "concept": "ifrs-full:DisclosureOfInsuranceRiskExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f47155": { "value": "Reinsurance ceded
In the ordinary course of business, our insurance operations reinsure risks to other insurance and reinsurance companies in
order to lower our risk profile, limit loss exposure to large risks, and provide additional capacity for future growth. These ceding
reinsurance arrangements do not relieve our insurance subsidiaries from our direct obligations to the insured parties. We
evaluate the financial condition of the reinsurers and monitor our concentrations of credit risks to minimize our exposure to
losses from reinsurer insolvency. Reinsurance amounts (ceded premiums) included in Non-interest income are shown in the
table below.", "dimensions": { "concept": "ifrs-full:DisclosureOfReinsuranceExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f47165": { "value": "Net premiums and claims
\u00a0
For the year ended
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Gross premiums
$
5,428
$
4,913
Premiums ceded to reinsurers
(297)
(260)
Net premiums
$
5,131
$
4,653
Gross claims and benefits
(1)
$
3,960
$
1,741
Reinsurers\u2019 share of claims and benefits
(261)
(273)
Net claims
$
3,699
$
1,468
\n
(1)
Includes the change in fair value of investments backing our policyholder liabilities.
Insurance claims and policy benefit liabilities
All actuarial assumptions are set in conjunction with Canadian Institute of Actuaries Standards of Practice and OSFI
requirements. The assumptions that have the greatest effect on the measurement of insurance liabilities, the processes used to
determine them and the assumptions used as at October 31, 2023 are as follows:
Mortality and morbidity \u2013 Mortality estimates are based on standard industry insured mortality tables, adjusted where
appropriate to reflect our own experience. Morbidity assumptions are made with respect to the rates of claim incidence and
claim termination for health insurance policies and are based on a combination of industry and our own experience.
Future investment yield \u2013 Assumptions are based on the current yield rate, a reinvestment assumption and an allowance for
future credit losses for each line of business, and are developed using interest rate scenario testing, including prescribed
scenarios for determination of minimum liabilities as set out in the actuarial standards.
Policyholder behaviour
\u2013 Under certain policies, the policyholder has a contractual right to change benefits and premiums, as
well as convert policies to permanent forms of insurance. All policyholders have the right to terminate their policies through
lapse. Lapses represent the termination of policies due to non-payment of premiums. Lapse assumptions are primarily based on
our recent experience adjusted for emerging industry experience where applicable.", "dimensions": { "concept": "ifrs-full:DisclosureOfClaimsAndBenefitsPaidExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f47686": { "value": "Sensitivity analysis
The following table presents the sensitivity of the level of insurance policyholder liabilities disclosed in this note to reasonably
possible changes in the actuarial assumptions used to calculate them. The percentage change in each variable is applied to a
range of existing actuarial modelling assumptions to derive the possible impact on net income. The analyses are performed
where a single assumption is changed while holding other assumptions constant, which is unlikely to occur in practice.
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0 \u00a0
Net income impact
for the year ended
\u00a0 \u00a0
\u00a0
Change in
October 31
October 31
(Millions of Canadian dollars, except for percentage amounts)
variable
2023
2022
Increase in market interest rates
(1)
1%
$
1
$
(10)
Decrease in market interest rates
(1)
1
7
5
Increase in equity market values
(2)
10
2
6
Decrease in equity market values
(2)
10
(8)
(10)
Increase in maintenance expenses
(3)
5
(32)
(33)
Life Insurance
(3)
\u00a0 \u00a0 \u00a0
Adverse change in annuitant mortality rates
2
(177)
(166)
Adverse change in assurance mortality rates
2
(54)
(59)
Adverse change in morbidity rates
5
(177)
(181)
Adverse change in lapse rates
10
(192)
(199)
\n
(1)
Sensitivities for market interest rates include the expected current period earnings impact of a 100 basis points shift in the yield curve by increasing the current
reinvestment rates while holding the assumed ultimate rates constant. The sensitivity consists of both the impact on assumed reinvestment rates in the actuarial
liabilities and any changes in fair value of assets and liabilities from the yield curve shift.
(2)
Sensitivities to changes in equity market values are composed of the expected current period earnings impact from differences in the changes in fair value of the equity
asset holdings and the partially offsetting impact on the actuarial liabilities.
(3)
Sensitivities to changes in maintenance expenses and life insurance actuarial assumptions include the expected current period earnings impact from recognition of
increased liabilities due to an adverse change in the given assumption over the lifetime of all in-force policies.", "dimensions": { "concept": "ifrs-full:DisclosureOfSensitivityAnalysisForActuarialAssumptionsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f47830": { "value": "Note 16
Segregated funds
We offer certain individual variable insurance contracts that allow policyholders to invest in segregated funds. The investment
returns on these funds are passed directly to the policyholders. Amounts invested are at the policyholders\u2019 risk, except where the
policyholders have selected options providing maturity and death benefit guarantees. A liability for the guarantees is recorded in
Insurance claims and policy benefit liabilities.
Segregated fund net assets are recorded at fair value. All of our segregated fund net assets are categorized as Level 1 in the
fair value hierarchy. The fair value of the segregated fund liabilities is equal to the fair value of the segregated fund net assets.
Segregated fund net assets and segregated fund liabilities are presented on separate lines on the Consolidated Balance Sheets.
The following tables present the composition of net assets and the changes in net assets for the year.
Segregated fund net assets
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
As at
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Cash
$
40
$
39
Investment in mutual funds
2,719
2,598
Other assets (liabilities), net
1
1
\u00a0
$
2,760
$
2,638
\n
Changes in net assets
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
For the year ended
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Net assets at beginning of period
$
2,638
$
2,666
Additions (deductions):
\u00a0 \u00a0
Deposits from policyholders
734
859
Net realized and unrealized gains (losses)
52
(301)
Interest and dividends
76
56
Payment to policyholders
(668)
(573)
Management and administrative fees
(72)
(69)
Net assets at end of period
$
2,760
$
2,638
\n", "dimensions": { "concept": "ry:DisclosureOfSegregatedFundsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f47987": { "value": "Note 17
Employee benefits \u2013 Pension and other post-employment benefits
Plan characteristics
We sponsor a number of programs that provide pension and post-employment benefits to eligible employees. The majority of
beneficiaries of the pension plans are located in Canada and other beneficiaries of the pension plans are primarily located in the
U.S., the U.K. and the Caribbean. The pension arrangements including investment, plan benefits and funding decisions are
governed by local pension committees or trustees, who are legally segregated from the Bank, or management. Significant plan
changes require the approval of the Board of Directors.
Our defined benefit pension plans provide pension benefits based on years of service, contributions and average earnings at
retirement. Our primary defined benefit pension plans are closed to new members. New employees are generally eligible to join
defined contribution pension plans. The specific features of these plans vary by location. We also provide supplemental
non-registered (non-qualified) pension plans for certain executives and senior management that are typically unfunded or
partially funded.
Our defined contribution pension plans provide pension benefits based on accumulated employee and Bank contributions.
The Bank contributions are based on a percentage of an employee\u2019s annual earnings and a portion of the Bank contribution may
be dependent on the amount being contributed by the employee and their years of service.
Our primary other post-employment benefit plans provide health, dental, disability and life insurance coverage and cover a
number of current and retired employees who are mainly located in Canada. These plans are unfunded unless required by
legislation.
We measure our benefit obligations and pension assets as at October 31 each year. All plans are valued using the projected
unit-credit method. We fund our registered defined benefit pension plans in accordance with actuarially determined amounts
required to satisfy employee benefit obligations under current pension regulations. For our principal pension plan, the most
recent funding actuarial valuation was completed on January 1, 2023, and the next valuation is required no later than
January 1, 2026.
For the year ended October 31, 2023, total contributions to our pension plans (defined benefit and defined contribution
plans) and other post-employment benefit plans were $346 million and $80 million (October 31, 2022 \u2013 $427 million and
$79 million), respectively. For 2024, total contributions to our pension plans and other post-employment benefit plans are
expected to be $408 million and $86 million, respectively.
Risks
By their design, the defined benefit pension and other post-employment benefit plans expose the Bank to various risks such as
investment performance, reductions in discount rates used to value the obligations, increased longevity of plan members, future
inflation levels impacting future salary increases as well as future increases in healthcare costs. These risks will reduce over time
due to the membership closure of our primary defined benefit pension plans and migration to defined contribution pension plans.
The following table presents the financial position related to all of our material pension and other post-employment benefit plans
worldwide, including executive retirement arrangements.
\n\n\n \n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0
As at
\u00a0
October 31, 2023
October 31, 2022
Other post-
Other post-
Defined benefit
employment
Defined benefit
employment
(Millions of Canadian dollars)
pension plans
benefit plans
pension plans
benefit plans
Canada
\u00a0 \u00a0 \u00a0 \u00a0
Fair value of plan assets
$
13,704
$
\u2013
$
14,310
$
\u2013
Present value of defined benefit obligation
11,142
1,348
11,271
1,387
Net surplus (deficit)
$
2,562
$
(1,348)
$
3,039
$
(1,387)
International
\u00a0 \u00a0 \u00a0 \u00a0
Fair value of plan assets
$
664
$
\u2013
$
716
$
\u2013
Present value of defined benefit obligation
585
69
622
75
Net surplus (deficit)
$
79
$
(69)
$
94
$
(75)
Total
\u00a0 \u00a0 \u00a0 \u00a0
Fair value of plan assets
$
14,368
$
\u2013
$
15,026
$
\u2013
Present value of defined benefit obligation
11,727
1,417
11,893
1,462
Total net surplus (deficit)
$
2,641
$
(1,417)
$
3,133
$
(1,462)
Effect of asset ceiling
(9)
\u2013
(8)
\u2013
Total net surplus (deficit), net of effect of asset ceiling
$
2,632
$
(1,417)
$
3,125
$
(1,462)
Amounts recognized in our Consolidated Balance Sheets
\u00a0 \u00a0 \u00a0 \u00a0
Employee benefit assets
$
2,826
$
\u2013
$
3,331
$
\u2013
Employee benefit liabilities
(194)
(1,417)
(206)
(1,462)
Total net surplus (deficit), net of effect of asset ceiling
$
2,632
$
(1,417)
$
3,125
$
(1,462)
\n
\n
The following table presents an analysis of the movement in the financial position related to all of our material pension and other
post-employment benefit plans worldwide, including executive retirement arrangements.
\n\n\n \n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0
As at or for the year ended
\u00a0
October 31, 2023
October 31, 2022
Other post-
Other post-
Defined benefit
employment
Defined benefit
employment
(Millions of Canadian dollars)
pension plans
(1)
benefit plans
pension plans
(1)
benefit plans
Fair value of plan assets at beginning of period
$
15,026
$
\u2013
$
17,703
$
\u2013
Interest income
786
\u2013
580
\u2013
Remeasurements
\u00a0 \u00a0 \u00a0 \u00a0
Return on plan assets (excluding interest income)
(895)
\u2013
(2,931)
\u2013
Change in foreign currency exchange rate
55
\u2013
(62)
\u2013
Contributions \u2013 Employer
23
80
177
79
Contributions \u2013 Plan participant
44
22
45
20
Payments
(645)
(102)
(610)
(99)
Payments \u2013 amount paid in respect of settlements
\u2013
\u2013
3
\u2013
Business combinations/Disposals
(17)
\u2013
135
\u2013
Other
(9)
\u2013
(14)
\u2013
Fair value of plan assets at end of period
$
14,368
$
\u2013
$
15,026
$
\u2013
Benefit obligation at beginning of period
$
11,893
$
1,462
$
15,315
$
1,780
Current service costs
195
33
308
42
Past service costs
\u2013
(2)
(1)
2
Gains and losses on settlements
\u2013
\u2013
(3)
\u2013
Interest expense
624
77
496
63
Remeasurements
\u00a0 \u00a0 \u00a0 \u00a0
Actuarial losses (gains) from demographic
assumptions
(2)
(24)
(2)
(1)
Actuarial losses (gains) from financial assumptions
(480)
(46)
(3,797)
(341)
Actuarial losses (gains) from experience adjustments
70
(1)
83
(9)
Change in foreign currency exchange rate
45
1
(47)
6
Contributions \u2013 Plan participant
44
22
45
20
Payments
(645)
(102)
(610)
(99)
Payments \u2013 amount paid in respect of settlements
\u2013
\u2013
3
\u2013
Business combinations/Disposals
(17)
(3)
103
(1)
Benefit obligation at end of period
$
11,727
$
1,417
$
11,893
$
1,462
Unfunded obligation
$
18
$
1,417
$
23
$
1,462
Wholly or partly funded obligation
11,709
\u2013
11,870
\u2013
Total benefit obligation
$
11,727
$
1,417
$
11,893
$
1,462
\n
(1)
For pension plans with funding deficits, the benefit obligations and fair value of plan assets as at October 31, 2023 were $300 million and $106 million, respectively
(October 31, 2022 \u2013 $323 million and $117 million, respectively).
Pension and other post-employment benefit expense
The following table presents the composition of our pension and other post-employment benefit expense related to our material
pension and other post-employment benefit plans worldwide.
\n\n \u00a0 \n \n
For the year ended
Other post-employment
Pension plans
benefit plans
October 31
October 31
October 31
October 31
(Millions of Canadian dollars)
2023
2022
2023
2022
Current service costs
$
195
$
308
$
33
$
42
Past service costs
\u2013
(1)
(2)
2
Gains and losses on settlements
\u2013
(3)
\u2013
\u2013
Net interest expense (income)
(162)
(84)
77
63
Remeasurements of other long term benefits
\u2013
\u2013
(1)
(26)
Administrative expense
9
14
\u2013
\u2013
Defined benefit pension expense
$
42
$
234
$
107
$
81
Defined contribution pension expense
323
250
\u2013
\u2013
$
365
$
484
$
107
$
81
\n
Service costs for the year ended October 31, 2023 totalled $193 million (October 31, 2022 \u2013 $305 million) for pension plans in
Canada and $2 million (October 31, 2022 \u2013 $2 million) for International plans. Net interest expense (income) for the year ended
October 31, 2023 totalled $(157) million (October 31, 2022 \u2013 $(83) million) for pension plans in Canada and $(5) million
(October 31, 2022 \u2013 $(1) million) for International plans.
Pension and other post-employment benefit remeasurements
The following table presents the composition of our remeasurements recorded in OCI related to our material pension and other
post-employment benefit plans worldwide.
\u00a0 \n \n
For the year ended
Defined benefit pension
Other post-employment
plans
benefit plans
October 31
October 31
October 31
October 31
(Millions of Canadian dollars)
2023
2022
2023
2022
Actuarial (gains) losses:
Changes in demographic assumptions
$
(2)
$
(2)
$
(27)
$
(1)
Changes in financial assumptions
(480)
(3,797)
(45)
(319)
Experience adjustments
70
83
2
(5)
Return on plan assets (excluding interest based on discount rate)
895
2,931
\u2013
\u2013
Change in asset ceiling (excluding interest income)
1
2
\u2013
\u2013
$
484
$
(783)
$
(70)
$
(325)
\n
Remeasurements recorded in OCI for the year ended October 31, 2023 were losses of $440 million (October 31, 2022 \u2013 gains of
$798 million) for pension plans in Canada and losses of $44 million (October 31, 2022 \u2013 losses of $15 million) for International
plans.
Investment policy and strategies
Defined benefit pension plan assets are invested prudently in order to meet our longer-term pension obligations. The pension
plans\u2019 investment strategy is to hold a diversified mix of investments by asset class and geographic location in order to reduce
investment-specific risk to the funded status while maximizing the expected returns to meet pension obligations. Investment of
the plan\u2019s assets follows an asset/liability framework as investment is conducted with careful consideration of the pension
obligation\u2019s sensitivity to interest rates and credit spreads which are key risk factors impacting the obligation\u2019s value. Factors
taken into consideration in developing our asset mix include but are not limited to the following:
\u2022
the nature of the underlying benefit obligations, including the duration and term profile of the liabilities;
\u2022
the member demographics, including expectations for normal retirements, terminations, and deaths;
\u2022
the financial position of the pension plans;
\u2022
the diversification benefits obtained by the inclusion of multiple asset classes; and
\u2022
expected asset returns, including asset and liability correlations, along with liquidity requirements of the plan.
To implement our asset mix policy, we may invest in debt securities, equity securities, and alternative investments. Our holdings
in certain investments, including common shares, debt securities rated lower than BBB and residential and commercial
mortgages, cannot exceed a defined percentage of the market value of our defined benefit pension plan assets. We may use
derivative instruments as either a synthetic investment to more efficiently replicate the performance of an underlying security, or
as a hedge against financial risks within the plan. To manage our credit risk exposure, where derivative instruments are not
centrally cleared, counterparties are required to meet minimum credit ratings and enter into collateral agreements.
Our defined benefit pension plan assets are primarily comprised of debt and equity securities and alternative investments.
Our equity securities generally have unadjusted quoted market prices in an active market (Level 1) and our debt securities
generally have quoted market prices for similar assets in an active market (Level 2). Alternative investments and other includes
cash, hedge funds, and private fund investments including infrastructure equity, real estate, private debt and private equity. In
the case of private fund investments, no quoted market prices are usually available (Level 2 or Level 3). These fund assets are
either valued by an independent valuator or priced using observable market inputs.
During the year ended October 31, 2023, the management of defined benefit pension investments focused on increased
allocation to risk reducing investments and strategies, improving diversification, while striving to maintain expected investment
return. Over time, an increasing allocation to debt securities is being used to reduce asset/liability duration mismatch and hence
variability of the plan\u2019s funded status due to interest rate movement. Longer maturity debt securities, given their price sensitivity
to movements in interest rates, are considered to be a good economic hedge to risk associated with the plan\u2019s liabilities, which
are discounted using predominantly long maturity bond interest rates as inputs.
Asset allocation of defined benefit pension plans
(1), (2)
\n\n\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0
As at
\u00a0
October 31, 2023
October 31, 2022
\u00a0 \u00a0
Percentage
Quoted
\u00a0
Percentage
Quoted
\u00a0 \u00a0
of total
in active
\u00a0
of total
in active
(Millions of Canadian dollars, except percentages)
Fair value
plan assets
market
(3)
Fair value
plan assets
market
(3)
Equity securities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Domestic
$
723
5%
100%
$
1,469
10%
100%
Foreign
1,726
12
100
2,799
19
100
Debt securities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Domestic government bonds
(4)
4,343
30
\u2013
3,489
23
\u2013
Foreign government bonds
128
1
\u2013
114
1
\u2013
Corporate and other bonds
3,296
23
\u2013
3,171
21
\u2013
Alternative investments and other
4,152
29
6
3,984
26
8
\u00a0
$
14,368
100%
19%
$
15,026
100%
30%
\n
(1)
The asset allocation is based on the underlying investments held directly and indirectly through the funds as this is how we manage our investment policy and strategies.
(2)
Represents the total plan assets held in our Canadian and International pension plans.
(3)
If our assessment of whether or not an asset was quoted in an active market was based on direct investments, 22% of our total plan assets would be classified as quoted
in an active market (October 31, 2022 \u2013 34%).
(4)
Amounts are net of securities sold under repurchase agreements.
As at October 31, 2023, the plan assets include 0.3 million (October 31, 2022 \u2013 0.7 million) of our common shares with a fair
value of $37 million (October 31, 2022 \u2013 $89 million) and $62 million (October 31, 2022 \u2013 $48 million) of our debt securities. For the
year ended October 31, 2023, dividends received on our common shares held in the plan assets were $3 million (October 31, 2022 \u2013
$4 million).
Maturity profile
The following table presents the maturity profile of our defined benefit pension plan obligation.
\n \n
As at October 31, 2023
(Millions of Canadian dollars, except participants and years)
Canada
International
Total
Number of plan participants
65,890
5,963
71,853
Actual benefit payments 2023
$
604
$
41
$
645
Benefits expected to be paid 2024
670
44
714
Benefits expected to be paid 2025
694
40
734
Benefits expected to be paid 2026
717
42
759
Benefits expected to be paid 2027
738
42
780
Benefits expected to be paid 2028
757
42
799
Benefits expected to be paid 2029-2033
4,013
226
4,239
Weighted average duration of defined benefit payments
12.2 years
15.1 years
12.3 years
\n
Significant assumptions
Our methodologies to determine significant assumptions used in calculating the defined benefit pension and other post-
employment benefit expense are as follows:
Discount rate
For the Canadian pension and other post-employment benefit plans, all future expected benefit payments at each measurement
date are discounted at spot rates from a derived Canadian AA corporate bond yield curve. The derived curve is based on actual
short and mid-maturity corporate AA rates and extrapolated longer term rates. The extrapolated corporate AA rates are derived
from observed corporate A, corporate AA and provincial AA yields. For the International pension and other post-employment
benefit plans, all future expected benefit payments at each measurement date are discounted at spot rates from a local AA
corporate bond yield curve. Spot rates beyond 30 years are set to equal the 30-year spot rate. The discount rate is the equivalent
single rate that produces the same discounted value as that determined using the entire discount curve. This valuation
methodology does not rely on assumptions regarding reinvestment returns.
Rate of increase in future compensation
The assumptions for increases in future compensation are developed separately for each plan, where relevant. Each assumption
is set based on the price inflation assumption and compensation policies in each market, as well as relevant local statutory and
plan-specific requirements.
Healthcare cost trend rates
Healthcare cost calculations are based on both short and long term trend assumptions established using the plan\u2019s recent
experience as well as market expectations.
Weighted average assumptions to determine benefit obligation
\n \n
\u00a0
As at
\u00a0
Defined benefit pension
Other post-employment
\u00a0
plans
benefit plans
\u00a0
October 31
October 31
October 31
October 31
\u00a0
2023
2022
2023
2022
Discount rate
5.7%
5.4%
5.8%
5.5%
Rate of increase in future compensation
3.0%
3.0%
n.a.
n.a.
Healthcare cost trend rates
(1)
\u00a0 \u00a0 \u00a0 \u00a0
\u2013 Medical
n.a.
n.a.
3.4%
3.5%
\u2013 Dental
n.a.
n.a.
3.1%
3.1%
\n
(1)
For our other post-employment benefit plans, the assumed trend rates used to measure the expected benefit costs of the defined benefit obligations are also the
ultimate trend rates.
n.a.
not applicable
Mortality assumptions
Mortality assumptions are significant in measuring our obligations under the defined benefit pension plans. These assumptions
have been set based on country specific statistics. Future longevity improvements have been considered and included where
appropriate. The following table summarizes the mortality assumptions used for material plans.
\u00a0
As at
\u00a0
October 31, 2023
October 31, 2022
\u00a0
Life expectancy at 65 for a member currently at
Life expectancy at 65 for a member currently at
\u00a0
Age 65
Age 45
Age 65
Age 45
(In years)
Male
Female
Male
Female
Male
Female
Male
Female
Country
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Canada
23.9
24.3
24.8
25.2
23.9
24.2
24.8
25.1
United Kingdom
23.5
25.4
24.7
26.8
23.4
25.4
24.7
26.8
\n
Sensitivity analysis
Assumptions adopted can have a significant effect on the value of the obligations for defined benefit pension and other post-
employment benefit plans and are based on historical experience and market inputs. The increase (decrease) in obligation in the
following table has been determined for key assumptions assuming all other assumptions are held constant. In practice, this is
unlikely to occur, as changes in some of the assumptions may be correlated. The following table presents the sensitivity analysis
of key assumptions for 2023.
\u00a0
Increase (decrease)
in obligation
\u00a0
\u00a0 \u00a0
Other post-
\u00a0
Defined benefit
employment
(Millions of Canadian dollars)
pension plans
benefit plans
Discount rate
\u00a0 \u00a0
Impact of 100 bps increase in discount rate
$
(1,228)
$
(149)
Impact of 100 bps decrease in discount rate
1,536
184
Rate of increase in future compensation
\u00a0 \u00a0
Impact of 50 bps increase in rate of increase in future compensation
23
\u2013
Impact of 50 bps decrease in rate of increase in future compensation
(25)
\u2013
Mortality rate
\u00a0 \u00a0
Impact of an increase in longevity by one additional year
289
18
Healthcare cost trend rate
\u00a0 \u00a0
Impact of 100 bps increase in healthcare cost trend rate
n.a.
50
Impact of 100 bps decrease in healthcare cost trend rate
n.a.
(42)
\n
n.a.
not applicable", "dimensions": { "concept": "ifrs-full:DisclosureOfEmployeeBenefitsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f49681": { "value": "Note 18
Other liabilities
\u00a0
As at
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Accounts payable and accrued expenses
$
1,599
$
1,292
Accrued interest payable
10,936
5,019
Cash collateral
23,365
26,143
Commodity liabilities
11,716
10,038
Deferred income
3,830
3,660
Deferred income taxes
426
439
Dividends payable
1,975
1,856
Employee benefit liabilities
1,611
1,668
Held-for-sale liabilities
2,560
\u2013
Insurance related liabilities
342
324
Lease liabilities
4,764
5,110
Negotiable instruments
1,684
1,715
Payable to brokers, dealers and clients
8,065
10,974
Payroll and related compensation
9,088
8,991
Precious metals certificates
775
557
Provisions
644
627
Short-term borrowings of subsidiaries
4,507
9,609
Taxes payable
2,959
2,136
Other
5,324
5,077
\u00a0
$
96,170
$
95,235
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f49682": { "value": "Note 18
Other liabilities
\u00a0
As at
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Accounts payable and accrued expenses
$
1,599
$
1,292
Accrued interest payable
10,936
5,019
Cash collateral
23,365
26,143
Commodity liabilities
11,716
10,038
Deferred income
3,830
3,660
Deferred income taxes
426
439
Dividends payable
1,975
1,856
Employee benefit liabilities
1,611
1,668
Held-for-sale liabilities
2,560
\u2013
Insurance related liabilities
342
324
Lease liabilities
4,764
5,110
Negotiable instruments
1,684
1,715
Payable to brokers, dealers and clients
8,065
10,974
Payroll and related compensation
9,088
8,991
Precious metals certificates
775
557
Provisions
644
627
Short-term borrowings of subsidiaries
4,507
9,609
Taxes payable
2,959
2,136
Other
5,324
5,077
\u00a0
$
96,170
$
95,235
", "dimensions": { "concept": "ifrs-full:DisclosureOfTradeAndOtherPayablesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f49686": { "value": "
\u00a0
As at
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Accounts payable and accrued expenses
$
1,599
$
1,292
Accrued interest payable
10,936
5,019
Cash collateral
23,365
26,143
Commodity liabilities
11,716
10,038
Deferred income
3,830
3,660
Deferred income taxes
426
439
Dividends payable
1,975
1,856
Employee benefit liabilities
1,611
1,668
Held-for-sale liabilities
2,560
\u2013
Insurance related liabilities
342
324
Lease liabilities
4,764
5,110
Negotiable instruments
1,684
1,715
Payable to brokers, dealers and clients
8,065
10,974
Payroll and related compensation
9,088
8,991
Precious metals certificates
775
557
Provisions
644
627
Short-term borrowings of subsidiaries
4,507
9,609
Taxes payable
2,959
2,136
Other
5,324
5,077
\u00a0
$
96,170
$
95,235
", "dimensions": { "concept": "ifrs-full:DisclosureOfProvisionsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f49687": { "value": "
\u00a0
As at
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Accounts payable and accrued expenses
$
1,599
$
1,292
Accrued interest payable
10,936
5,019
Cash collateral
23,365
26,143
Commodity liabilities
11,716
10,038
Deferred income
3,830
3,660
Deferred income taxes
426
439
Dividends payable
1,975
1,856
Employee benefit liabilities
1,611
1,668
Held-for-sale liabilities
2,560
\u2013
Insurance related liabilities
342
324
Lease liabilities
4,764
5,110
Negotiable instruments
1,684
1,715
Payable to brokers, dealers and clients
8,065
10,974
Payroll and related compensation
9,088
8,991
Precious metals certificates
775
557
Provisions
644
627
Short-term borrowings of subsidiaries
4,507
9,609
Taxes payable
2,959
2,136
Other
5,324
5,077
\u00a0
$
96,170
$
95,235
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherNoncurrentLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f49688": { "value": "
\u00a0
As at
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Accounts payable and accrued expenses
$
1,599
$
1,292
Accrued interest payable
10,936
5,019
Cash collateral
23,365
26,143
Commodity liabilities
11,716
10,038
Deferred income
3,830
3,660
Deferred income taxes
426
439
Dividends payable
1,975
1,856
Employee benefit liabilities
1,611
1,668
Held-for-sale liabilities
2,560
\u2013
Insurance related liabilities
342
324
Lease liabilities
4,764
5,110
Negotiable instruments
1,684
1,715
Payable to brokers, dealers and clients
8,065
10,974
Payroll and related compensation
9,088
8,991
Precious metals certificates
775
557
Provisions
644
627
Short-term borrowings of subsidiaries
4,507
9,609
Taxes payable
2,959
2,136
Other
5,324
5,077
\u00a0
$
96,170
$
95,235
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherCurrentLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f49689": { "value": "
\u00a0
As at
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Accounts payable and accrued expenses
$
1,599
$
1,292
Accrued interest payable
10,936
5,019
Cash collateral
23,365
26,143
Commodity liabilities
11,716
10,038
Deferred income
3,830
3,660
Deferred income taxes
426
439
Dividends payable
1,975
1,856
Employee benefit liabilities
1,611
1,668
Held-for-sale liabilities
2,560
\u2013
Insurance related liabilities
342
324
Lease liabilities
4,764
5,110
Negotiable instruments
1,684
1,715
Payable to brokers, dealers and clients
8,065
10,974
Payroll and related compensation
9,088
8,991
Precious metals certificates
775
557
Provisions
644
627
Short-term borrowings of subsidiaries
4,507
9,609
Taxes payable
2,959
2,136
Other
5,324
5,077
\u00a0
$
96,170
$
95,235
", "dimensions": { "concept": "ifrs-full:DisclosureOfAccruedExpensesAndOtherLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f49855": { "value": "Note 19
Subordinated debentures
The debentures are unsecured obligations and are subordinated in right of payment to the claims of depositors and certain other
creditors. The amounts presented below are net of our own holdings in these debentures, and include the impact of fair value
hedges used for managing interest rate risk.
(Millions of Canadian dollars, except percentage and foreign currency)
\u00a0 \u00a0 \u00a0
As at
\u00a0 \u00a0 \u00a0
Denominated in
\u00a0 \u00a0
\u00a0
Earliest par value
Interest
foreign currency
October 31
October 31
Maturity
redemption date
rate
(millions)
2023
2022
June 8, 2023
(1)
\u00a0
9.30%
$
\u2013
$
110
January 27, 2026
(2)
\u00a0
4.65%
US$1,500
1,939
1,884
November 1, 2027
(3)
November 1, 2022
4.75%
TT$300
\u2013
60
July 25, 2029
(2)
July 25, 2024
2.74%
(4)
\u00a0
1,459
1,415
December 23, 2029
(2)
December 23, 2024
2.88%
(5)
\u00a0
1,442
1,412
February 1, 2033
(2)
February 1, 2028
5.01%
(6)
\u00a0
1,418
\u2013
June 30, 2030
(2)
June 30, 2025
2.09%
(7)
\u00a0
1,249
1,250
November 3, 2031
(2)
November 3, 2026
2.14%
(8)
\u00a0
1,637
1,637
May 3, 2032
(2)
May 3, 2027
2.94%
(9)
\u00a0
919
932
January 28, 2033
(2)
January 28, 2028
1.67%
(10)
\u00a0
868
875
October 1, 2083
Any interest payment date
(11)
\u00a0
224
224
June 29, 2085
Any interest payment date
(12)
US$174
241
237
\u00a0 \u00a0 \u00a0 \u00a0
$
11,396
$
10,036
Deferred financing costs
\u00a0 \u00a0 \u00a0
(10)
(11)
\u00a0 \u00a0 \u00a0 \u00a0
$
11,386
$
10,025
(1)
On June 8, 2023, all $110 million of outstanding 9.30% subordinated debentures matured. The principal plus accrued interest were paid to noteholders on the maturity date.
(2)
The notes include NVCC provisions, necessary for the notes to qualify as Tier 2 regulatory capital under Basel III. NVCC provisions require the conversion of the
instrument into a variable number of common shares in the event that OSFI deems the Bank non-viable or a federal or provincial government in Canada publicly
announces that the Bank has accepted or agreed to accept a capital injection. In such an event, each note is convertible into common shares pursuant to an automatic
conversion formula with a multiplier of 1.5 and a conversion price based on the greater of: (i) a floor price of $5.00 and (ii) the current market price of our common shares
based on the volume weighted average trading price of our common shares on the Toronto Stock Exchange. The number of shares issued is determined by dividing the
par value of the note (including accrued and unpaid interest on such note) by the conversion price and then times the multiplier.
(3)
On November 1, 2022, we redeemed all TT$300 million of outstanding 4.75% subordinated debentures due on November 1, 2027 for 100% of their principal amount plus
interest accrued to, but excluding, the redemption date.
(4)
Interest at stated interest rate until earliest par value redemption date, and thereafter at a rate of 0.98% above the 3-month CDOR.
(5)
Interest at stated interest rate until earliest par value redemption date, and thereafter at a rate of 0.89% above the 3-month CDOR.
(6)
Interest at stated interest rate until earliest par value redemption date, and thereafter at a rate of 2.12% above the Daily Compounded CORRA.
(7)
Interest at stated interest rate until earliest par value redemption date, and thereafter at a rate of 1.31% above the 3-month CDOR.
(8)
Interest at stated interest rate until earliest par value redemption date, and thereafter at a rate of 0.61% above the 3-month CDOR.
(9)
Interest at stated interest rate until earliest par value redemption date, and thereafter at a rate of 0.76% above the 3-month CDOR.
(10)
Interest at stated interest rate until earliest par value redemption date, and thereafter at a rate of 0.55% above the 3-month CDOR.
(11)
Interest at a rate of 0.40% above the 30-day Bankers\u2019 Acceptance rate.
(12)
Interest at a rate of 0.25% above the U.S. dollar 3-month London Interbank Mean Rate (LIMEAN) under a synthetic methodology. In the event of a reduction of the annual
dividend we declare on our common shares, the interest payable on the debentures is reduced pro rata to the dividend reduction and the interest reduction is payable
with the proceeds from the sale of newly issued common shares.
All redemptions, cancellations and exchanges of subordinated debentures are subject to the consent and approval of OSFI.
Maturity schedule
The aggregate maturities of subordinated debentures, based on the maturity dates under the terms of issue, are as follows:
\u00a0
As at
\u00a0
October 31
(Millions of Canadian dollars)
2023
Within 1 year
$
\u2013
1 to 5 years
1,939
5 to 10 years
8,992
Thereafter
465
\u00a0
$
11,396", "dimensions": { "concept": "ifrs-full:DisclosureOfSubordinatedLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f50190": { "value": "Note 20
Equity
Share capital
Authorized share capital
Preferred \u2013 An unlimited number of First Preferred Shares and Second Preferred Shares without nominal or par value, issuable in
series; provided that the maximum aggregate consideration for all First Preferred Shares outstanding at any time may not exceed
$30 billion, and for all Second Preferred Shares that may be issued may not exceed $5 billion.
Common \u2013 An unlimited number of shares without nominal or par value may be issued.
Outstanding share capital
The following table details our common and preferred shares and other equity instruments outstanding.
\u00a0
As at and for the year ended
\u00a0
October 31, 2023
October 31, 2022
\u00a0
Number of
\u00a0
Dividends
Number of
\u00a0
Dividends
(Millions of Canadian dollars, except the number
shares
\u00a0
declared
shares
\u00a0
declared
of shares and as otherwise noted)
(thousands)
Amount
per share
(thousands)
Amount
per share
Common shares issued
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Balance at beginning of period
1,385,591
$ 17,318
\u00a0
1,425,187
$ 17,728
\u00a0
Issued in connection with share-based
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
compensation plans
(1)
740
68
\u00a0
1,270
99
\u00a0
Issued in connection with dividend
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
reinvestment plan
16,042
2,012
\u00a0
\u2013
\u2013
\u00a0
Purchased for cancellation
(2)
\u2013
\u2013
\u00a0
(40,866)
(509)
\u00a0
Balance at end of period
1,402,373
$ 19,398
$
5.34
1,385,591
$ 17,318
$
4.96
Treasury \u2013 common shares
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Balance at beginning of period
(3)
(2,680)
$
(334)
\u00a0
(662)
$
(73)
\u00a0
Purchases
(30,195)
(3,556)
\u00a0
(48,437)
(5,183)
\u00a0
Sales
31,013
3,659
\u00a0
46,419
4,922
\u00a0
Balance at end of period
(3)
(1,862)
$
(231)
\u00a0
(2,680)
$
(334)
\u00a0
Common shares outstanding
1,400,511
$ 19,167
\u00a0
1,382,911
$ 16,984
\u00a0
Preferred shares and other equity
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
instruments issued
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
First preferred
(4)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Non-cumulative, fixed rate
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series BH
6,000
$
150
$
1.23
6,000
$
150
$
1.23
Series BI
6,000
150
1.23
6,000
150
1.23
Non-cumulative, 5-Year Rate Reset
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series AZ
20,000
500
0.93
20,000
500
0.93
Series BB
20,000
500
0.91
20,000
500
0.91
Series BD
24,000
600
0.80
24,000
600
0.80
Series BF
12,000
300
0.75
12,000
300
0.75
Series BO
14,000
350
1.20
14,000
350
1.20
Series BT
750
750
4.20%
750
750
4.20%
Non-cumulative, fixed rate/floating rate
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series C-2
(5)
15
23
US$ 67.50
15
23
US$ 67.50
Other equity instruments
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Limited recourse capital notes (LRCNs)
(6)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series 1
(7)
1,750
1,750
4.50%
1,750
1,750
4.50%
Series 2
(7)
1,250
1,250
4.00%
1,250
1,250
4.00%
Series 3
(7)
1,000
1,000
3.65%
1,000
1,000
3.65%
\u00a0
106,765
$
7,323
\u00a0
106,765
$
7,323
\u00a0
Treasury \u2013 preferred shares and other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
equity instruments
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Balance at beginning of period
(3)
(12)
$
(5)
\u00a0
(164)
$
(39)
\u00a0
Purchases
(1,924)
(519)
\u00a0
(2,811)
(518)
\u00a0
Sales
1,927
515
\u00a0
2,963
552
\u00a0
Balance at end of period
(3)
(9)
$
(9)
\u00a0
(12)
$
(5)
\u00a0
Preferred shares and other equity
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
instruments outstanding
106,756
$
7,314
\u00a0
106,753
$
7,318
\u00a0
(1)
Includes fair value adjustments to stock options of $6 million (October 31, 2022 \u2013 $6 million).
(2)
During the year ended October 31, 2023, we did not purchase for cancellation any common shares. During the year ended October 31, 2022, we purchased for cancellation
common shares at a total fair value of $5,426 million (average cost of $132.80 per share), with a book value of $509 million (book value of $12.47 per share).
(3)
Positive amounts represent a short position and negative amounts represent a long position.
(4)
First Preferred Shares were issued at $25 per share with the exception of Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BT (Series BT) and
Non-Cumulative Fixed Rate/Floating Rate First Preferred Shares Series C-2 (Series C-2) which were issued at $1,000 and US$1,000 per share (equivalent to US$25 per
depositary share), respectively.
(5)
On November 7, 2023, we redeemed all of our issued and outstanding Non-Cumulative Fixed Rate/Floating Rate First Preferred Shares Series C-2 for cash at a redemption
price of US$1,000 per share (equivalent to US$25 per depositary share).
(6)
Each series of LRCNs (LRCN Series) were issued at a $1,000 per note. The number of shares represent the number of notes issued and the dividends declared per share
represent the annual interest rate percentage applicable to the notes issued as at the reporting date.
(7)
In connection with the issuance of LRCN Series 1, we issued $1,750 million of Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BQ (Series BQ); in
connection with the issuance of LRCN Series 2, we issued $1,250 million of Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BR (Series BR); in connection
with the issuance of LRCN Series 3, we issued $1,000 million of Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BS (Series BS). The Series BQ, BR and BS
preferred shares were issued at a price of $1,000 per share and were issued to a consolidated trust to be held as trust assets in connection with each respective
LRCN Series.
Significant terms and conditions of preferred shares and other equity instruments
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0 \u00a0 \u00a0
Current
Earliest
\u00a0 \u00a0
\u00a0
Current
\u00a0
dividend
redemption
\u00a0
Redemption
As at October 31, 2023
annual yield
Premium
per share
(1)
date
(2)
Issue date
price
(2), (3)
Preferred shares
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
First preferred
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Non-cumulative, fixed rate
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series BH
(4)
4.90%
\u00a0
$
.306250
November 24, 2020
June 5, 2015
$
26.00
Series BI
(4)
4.90%
\u00a0
.306250
November 24, 2020
July 22, 2015
26.00
Non-cumulative, 5-Year
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Rate Reset
(5)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series AZ
(4)
3.70%
2.21%
.231250
May 24, 2019
January 30, 2014
25.00
Series BB
(4)
3.65%
2.26%
.228125
August 24, 2019
June 3, 2014
25.00
Series BD
(4)
3.20%
2.74%
.200000
May 24, 2020
January 30, 2015
25.00
Series BF
(4)
3.00%
2.62%
.187500
November 24, 2020
March 13, 2015
25.00
Series BO
(4)
4.80%
2.38%
.300000
February 24, 2024
November 2, 2018
25.00
Series BT
(4)
4.20%
2.71%
21.000000
February 24, 2027
November 5, 2021
1,000.00
Non-cumulative, fixed rate/
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
floating rate
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series C-2
(6)
6.75%
4.052%
US$16.875000
November 7, 2023
November 2, 2015
US$1,000.00
Other equity instruments
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Limited recourse capital
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
notes
(7)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series 1
(8)
4.50%
4.137%
n.a.
October 24, 2025
July 28, 2020
$1,000.00
Series 2
(9)
4.00%
3.617%
n.a.
January 24, 2026
November 2, 2020
1,000.00
Series 3
(10)
3.65%
2.665%
n.a.
October 24, 2026
June 8, 2021
1,000.00
\n
(1)
With the exception of Series BT, non-cumulative preferential dividends of each Series are payable quarterly, as and when declared by the Board of Directors, on or about
the 24th day (7th day for Series C-2) of February, May, August and November. In the case of Series BT, non-cumulative preferential dividends are payable semi-annually,
as and when declared by the Board of Directors.
(2)
Subject to the consent of OSFI and the requirements of the
Bank Act
(Canada), we may, on or after the dates specified above, redeem First Preferred Shares. In the case
of Series AZ, BB, BD, BF, and BO, these may be redeemed for cash at a price per share of $25 if redeemed on the earliest redemption date and on the same date every
fifth year thereafter. In the case of BH and BI, these may be redeemed for cash at a price per share of $26 if redeemed during the 12 months commencing on the earliest
redemption date and decreasing by $0.25 each 12-month period thereafter to a price per share of $25 if redeemed four years from the earliest redemption date or
thereafter. Series BT may be redeemed for cash at a price per share of $1,000 if redeemed on the earliest redemption date and on the same date every fifth year
thereafter. Series C-2 may be redeemed at a price of US$1,000 on the earliest redemption date and any dividend payment date thereafter.
(3)
Subject to the consent of OSFI and the requirements of the
Bank Act
(Canada), we may purchase the First Preferred Shares of each Series for cancellation at the lowest
price or prices at which, in the opinion of the Board of Directors, such shares are obtainable.
(4)
The preferred shares include NVCC provisions, necessary for the shares to qualify as Tier 1 regulatory capital under Basel III. NVCC provisions require the conversion of
the instrument into a variable number of common shares in the event that OSFI deems the Bank non-viable or a federal or provincial government in Canada publicly
announces that the Bank has accepted or agreed to accept a capital injection. In such an event, each preferred share is convertible into common shares pursuant to an
automatic conversion formula with a multiplier of 1 and with a conversion price based on the greater of: (i) a floor price of $5 and (ii) the current market price of our
common shares based on the volume weighted average trading price of our common shares on the Toronto Stock Exchange. The number of shares issued is determined
by dividing the preferred share value by the conversion price.
(5)
The dividend rate will reset on the earliest redemption date and every fifth year thereafter at a rate equal to the 5-year Government of Canada bond yield plus the
premium indicated. The holders have the option to convert their shares into non-cumulative floating rate First Preferred Shares subject to certain conditions on the
earliest redemption date and every fifth year thereafter at a rate equal to the three-month Government of Canada Treasury Bill rate plus the premium indicated.
(6)
The dividend rate will change on the earliest redemption date at a rate equal to the 3-month LIBOR plus the premium indicated. Series C-2 do not qualify as Tier 1
regulatory capital. On November 7, 2023, we redeemed all of our issued and outstanding Non-Cumulative Fixed Rate/Floating Rate First Preferred Shares Series C-2 for
cash at a redemption price of US$1,000 per share (equivalent to US$25 per depositary share).
(7)
The current annual yield on each LRCN Series represents the annual interest rate applicable to the notes issued as at the reporting date. The payments of interest and
principal in cash on the LRCN Series are made at our discretion, and non-payment of interest and principal in cash does not constitute an event of default. In the event of
(i) non-payment of interest on any interest payment date, (ii) non-payment of the redemption price in case of a redemption of a LRCN Series, (iii) non-payment of
principal at the maturity of a LRCN Series, or (iv) an event of default on a LRCN Series, holders of such LRCN Series will have recourse only to the assets (Trust Assets)
held by a third-party trustee in a consolidated trust in respect of such LRCN Series and each such noteholder will be entitled to receive its pro rata share of the Trust
Assets. In such an event, the delivery of the Trust Assets for each LRCN Series will represent the full and complete extinguishment of our obligations under the related
LRCN Series. The LRCNs include NVCC provisions, necessary for the shares to qualify as Tier 1 regulatory capital under Basel III. NVCC provisions require the conversion
of the instrument into a variable number of common shares in the event that OSFI deems the Bank non-viable or a federal or provincial government in Canada publicly
announces that the Bank has accepted or agreed to accept a capital injection. In such an event, each note is automatically redeemed and the redemption price will be
satisfied by the delivery of Trust Assets, which will consist of common shares pursuant to an automatic conversion of the series of preferred shares that were issued
concurrently with the related LRCN Series. Each series of preferred shares include an automatic conversion formula with a conversion price based on the greater of: (i) a
floor price of $5 and (ii) the current market price of our common shares based on the volume weighted average trading price of our common shares on the Toronto Stock
Exchange. The number of common shares issued in respect of each series of preferred shares will be determined by dividing the preferred share value ($1,000 plus
declared and unpaid dividends) by the conversion price. The number of common shares delivered to each noteholder will be based on such noteholder\u2019s pro rata interest
in the Trust Assets. Subject to the consent of OSFI, we may purchase LRCNs for cancellation at such price or prices and upon such terms and conditions as we in our
absolute discretion may determine, subject to any applicable law restricting the purchase of notes.
(8)
LRCN Series 1 bear interest at a fixed rate of 4.5% per annum until November 24, 2025, and thereafter at a rate per annum, reset every fifth year, equal to the 5-Year
Government of Canada Yield plus 4.137% until maturity on November 24, 2080. The interest is paid semi-annually on or about the 24
th
day of May and November. LRCN
Series 1 is redeemable during the period from October 24 to and including November 24, commencing in 2025 and every fifth year thereafter to the extent we redeem
Series BQ pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
(9)
LRCN Series 2 bear interest at a fixed rate of 4.0% per annum until February 24, 2026, and thereafter at a rate per annum, reset every fifth year, equal to the 5-Year
Government of Canada Yield plus 3.617% until maturity on February 24, 2081. The interest is paid semi-annually on or about the 24th day of February and August. LRCN
Series 2 is redeemable during the period from January 24 to and including February 24, commencing in 2026 and every fifth year thereafter to the extent we redeem
Series BR pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
(10)
LRCN Series 3 bear interest at a fixed rate of 3.65% per annum until November 24, 2026, and thereafter at a rate per annum, reset every fifth year, equal to the 5-Year
Government of Canada Yield plus 2.665% until maturity on November 24, 2081. The interest is paid semi-annually on or about the 24th day of May and November. LRCN
Series 3 is redeemable during the period from October 24 to and including November 24, commencing in 2026 and every fifth year thereafter to the extent we redeem
Series BS pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
n.a.
not applicable
Restrictions on the payment of dividends
We are prohibited by the
Bank Act
(Canada) from declaring any dividends on our preferred or common shares when we are, or
would be placed as a result of the declaration, in contravention of the capital adequacy and liquidity regulations or any
regulatory directives issued under the Act. We may not pay dividends on our common shares at any time unless all dividends to
which preferred shareholders are then entitled have been declared and paid or set apart for payment.
Currently, these limitations do not restrict the payment of dividends on our preferred or common shares.
Dividend reinvestment plan
Our dividend reinvestment plan (DRIP) provides common and preferred shareholders with a means to receive additional
common shares rather than cash dividends. The plan is only open to shareholders residing in Canada or the U.S. The
requirements of our DRIP are satisfied through either open market share purchases or shares issued from treasury. During the
second, third and fourth quarters of 2023, the requirements of our DRIP were satisfied through shares issued from treasury.
During the first quarter of 2023 and the year ended October 31, 2022, the requirements of our DRIP were satisfied through open
market share purchases.
Shares available for future issuances
As at October 31, 2023, 26.9 million common shares are available for future issue relating to our DRIP and potential exercise of
stock options and awards outstanding. In addition, we may issue up to 38.9 million common shares from treasury under the RBC
Umbrella Savings and Securities Purchase Plan that was approved by shareholders on February 26, 2009. ", "dimensions": { "concept": "ifrs-full:DisclosureOfShareCapitalReservesAndOtherEquityInterestExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f50194": { "value": "Share capital
Authorized share capital
Preferred \u2013 An unlimited number of First Preferred Shares and Second Preferred Shares without nominal or par value, issuable in
series; provided that the maximum aggregate consideration for all First Preferred Shares outstanding at any time may not exceed
$30 billion, and for all Second Preferred Shares that may be issued may not exceed $5 billion.
Common \u2013 An unlimited number of shares without nominal or par value may be issued.
Outstanding share capital
The following table details our common and preferred shares and other equity instruments outstanding.
\u00a0
As at and for the year ended
\u00a0
October 31, 2023
October 31, 2022
\u00a0
Number of
\u00a0
Dividends
Number of
\u00a0
Dividends
(Millions of Canadian dollars, except the number
shares
\u00a0
declared
shares
\u00a0
declared
of shares and as otherwise noted)
(thousands)
Amount
per share
(thousands)
Amount
per share
Common shares issued
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Balance at beginning of period
1,385,591
$ 17,318
\u00a0
1,425,187
$ 17,728
\u00a0
Issued in connection with share-based
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
compensation plans
(1)
740
68
\u00a0
1,270
99
\u00a0
Issued in connection with dividend
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
reinvestment plan
16,042
2,012
\u00a0
\u2013
\u2013
\u00a0
Purchased for cancellation
(2)
\u2013
\u2013
\u00a0
(40,866)
(509)
\u00a0
Balance at end of period
1,402,373
$ 19,398
$
5.34
1,385,591
$ 17,318
$
4.96
Treasury \u2013 common shares
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Balance at beginning of period
(3)
(2,680)
$
(334)
\u00a0
(662)
$
(73)
\u00a0
Purchases
(30,195)
(3,556)
\u00a0
(48,437)
(5,183)
\u00a0
Sales
31,013
3,659
\u00a0
46,419
4,922
\u00a0
Balance at end of period
(3)
(1,862)
$
(231)
\u00a0
(2,680)
$
(334)
\u00a0
Common shares outstanding
1,400,511
$ 19,167
\u00a0
1,382,911
$ 16,984
\u00a0
Preferred shares and other equity
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
instruments issued
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
First preferred
(4)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Non-cumulative, fixed rate
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series BH
6,000
$
150
$
1.23
6,000
$
150
$
1.23
Series BI
6,000
150
1.23
6,000
150
1.23
Non-cumulative, 5-Year Rate Reset
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series AZ
20,000
500
0.93
20,000
500
0.93
Series BB
20,000
500
0.91
20,000
500
0.91
Series BD
24,000
600
0.80
24,000
600
0.80
Series BF
12,000
300
0.75
12,000
300
0.75
Series BO
14,000
350
1.20
14,000
350
1.20
Series BT
750
750
4.20%
750
750
4.20%
Non-cumulative, fixed rate/floating rate
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series C-2
(5)
15
23
US$ 67.50
15
23
US$ 67.50
Other equity instruments
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Limited recourse capital notes (LRCNs)
(6)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series 1
(7)
1,750
1,750
4.50%
1,750
1,750
4.50%
Series 2
(7)
1,250
1,250
4.00%
1,250
1,250
4.00%
Series 3
(7)
1,000
1,000
3.65%
1,000
1,000
3.65%
\u00a0
106,765
$
7,323
\u00a0
106,765
$
7,323
\u00a0
Treasury \u2013 preferred shares and other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
equity instruments
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Balance at beginning of period
(3)
(12)
$
(5)
\u00a0
(164)
$
(39)
\u00a0
Purchases
(1,924)
(519)
\u00a0
(2,811)
(518)
\u00a0
Sales
1,927
515
\u00a0
2,963
552
\u00a0
Balance at end of period
(3)
(9)
$
(9)
\u00a0
(12)
$
(5)
\u00a0
Preferred shares and other equity
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
instruments outstanding
106,756
$
7,314
\u00a0
106,753
$
7,318
\u00a0
(1)
Includes fair value adjustments to stock options of $6 million (October 31, 2022 \u2013 $6 million).
(2)
During the year ended October 31, 2023, we did not purchase for cancellation any common shares. During the year ended October 31, 2022, we purchased for cancellation
common shares at a total fair value of $5,426 million (average cost of $132.80 per share), with a book value of $509 million (book value of $12.47 per share).
(3)
Positive amounts represent a short position and negative amounts represent a long position.
(4)
First Preferred Shares were issued at $25 per share with the exception of Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BT (Series BT) and
Non-Cumulative Fixed Rate/Floating Rate First Preferred Shares Series C-2 (Series C-2) which were issued at $1,000 and US$1,000 per share (equivalent to US$25 per
depositary share), respectively.
(5)
On November 7, 2023, we redeemed all of our issued and outstanding Non-Cumulative Fixed Rate/Floating Rate First Preferred Shares Series C-2 for cash at a redemption
price of US$1,000 per share (equivalent to US$25 per depositary share).
(6)
Each series of LRCNs (LRCN Series) were issued at a $1,000 per note. The number of shares represent the number of notes issued and the dividends declared per share
represent the annual interest rate percentage applicable to the notes issued as at the reporting date.
(7)
In connection with the issuance of LRCN Series 1, we issued $1,750 million of Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BQ (Series BQ); in
connection with the issuance of LRCN Series 2, we issued $1,250 million of Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BR (Series BR); in connection
with the issuance of LRCN Series 3, we issued $1,000 million of Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BS (Series BS). The Series BQ, BR and BS
preferred shares were issued at a price of $1,000 per share and were issued to a consolidated trust to be held as trust assets in connection with each respective
LRCN Series.
Significant terms and conditions of preferred shares and other equity instruments
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0 \u00a0 \u00a0
Current
Earliest
\u00a0 \u00a0
\u00a0
Current
\u00a0
dividend
redemption
\u00a0
Redemption
As at October 31, 2023
annual yield
Premium
per share
(1)
date
(2)
Issue date
price
(2), (3)
Preferred shares
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
First preferred
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Non-cumulative, fixed rate
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series BH
(4)
4.90%
\u00a0
$
.306250
November 24, 2020
June 5, 2015
$
26.00
Series BI
(4)
4.90%
\u00a0
.306250
November 24, 2020
July 22, 2015
26.00
Non-cumulative, 5-Year
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Rate Reset
(5)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series AZ
(4)
3.70%
2.21%
.231250
May 24, 2019
January 30, 2014
25.00
Series BB
(4)
3.65%
2.26%
.228125
August 24, 2019
June 3, 2014
25.00
Series BD
(4)
3.20%
2.74%
.200000
May 24, 2020
January 30, 2015
25.00
Series BF
(4)
3.00%
2.62%
.187500
November 24, 2020
March 13, 2015
25.00
Series BO
(4)
4.80%
2.38%
.300000
February 24, 2024
November 2, 2018
25.00
Series BT
(4)
4.20%
2.71%
21.000000
February 24, 2027
November 5, 2021
1,000.00
Non-cumulative, fixed rate/
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
floating rate
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series C-2
(6)
6.75%
4.052%
US$16.875000
November 7, 2023
November 2, 2015
US$1,000.00
Other equity instruments
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Limited recourse capital
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
notes
(7)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series 1
(8)
4.50%
4.137%
n.a.
October 24, 2025
July 28, 2020
$1,000.00
Series 2
(9)
4.00%
3.617%
n.a.
January 24, 2026
November 2, 2020
1,000.00
Series 3
(10)
3.65%
2.665%
n.a.
October 24, 2026
June 8, 2021
1,000.00
\n
(1)
With the exception of Series BT, non-cumulative preferential dividends of each Series are payable quarterly, as and when declared by the Board of Directors, on or about
the 24th day (7th day for Series C-2) of February, May, August and November. In the case of Series BT, non-cumulative preferential dividends are payable semi-annually,
as and when declared by the Board of Directors.
(2)
Subject to the consent of OSFI and the requirements of the
Bank Act
(Canada), we may, on or after the dates specified above, redeem First Preferred Shares. In the case
of Series AZ, BB, BD, BF, and BO, these may be redeemed for cash at a price per share of $25 if redeemed on the earliest redemption date and on the same date every
fifth year thereafter. In the case of BH and BI, these may be redeemed for cash at a price per share of $26 if redeemed during the 12 months commencing on the earliest
redemption date and decreasing by $0.25 each 12-month period thereafter to a price per share of $25 if redeemed four years from the earliest redemption date or
thereafter. Series BT may be redeemed for cash at a price per share of $1,000 if redeemed on the earliest redemption date and on the same date every fifth year
thereafter. Series C-2 may be redeemed at a price of US$1,000 on the earliest redemption date and any dividend payment date thereafter.
(3)
Subject to the consent of OSFI and the requirements of the
Bank Act
(Canada), we may purchase the First Preferred Shares of each Series for cancellation at the lowest
price or prices at which, in the opinion of the Board of Directors, such shares are obtainable.
(4)
The preferred shares include NVCC provisions, necessary for the shares to qualify as Tier 1 regulatory capital under Basel III. NVCC provisions require the conversion of
the instrument into a variable number of common shares in the event that OSFI deems the Bank non-viable or a federal or provincial government in Canada publicly
announces that the Bank has accepted or agreed to accept a capital injection. In such an event, each preferred share is convertible into common shares pursuant to an
automatic conversion formula with a multiplier of 1 and with a conversion price based on the greater of: (i) a floor price of $5 and (ii) the current market price of our
common shares based on the volume weighted average trading price of our common shares on the Toronto Stock Exchange. The number of shares issued is determined
by dividing the preferred share value by the conversion price.
(5)
The dividend rate will reset on the earliest redemption date and every fifth year thereafter at a rate equal to the 5-year Government of Canada bond yield plus the
premium indicated. The holders have the option to convert their shares into non-cumulative floating rate First Preferred Shares subject to certain conditions on the
earliest redemption date and every fifth year thereafter at a rate equal to the three-month Government of Canada Treasury Bill rate plus the premium indicated.
(6)
The dividend rate will change on the earliest redemption date at a rate equal to the 3-month LIBOR plus the premium indicated. Series C-2 do not qualify as Tier 1
regulatory capital. On November 7, 2023, we redeemed all of our issued and outstanding Non-Cumulative Fixed Rate/Floating Rate First Preferred Shares Series C-2 for
cash at a redemption price of US$1,000 per share (equivalent to US$25 per depositary share).
(7)
The current annual yield on each LRCN Series represents the annual interest rate applicable to the notes issued as at the reporting date. The payments of interest and
principal in cash on the LRCN Series are made at our discretion, and non-payment of interest and principal in cash does not constitute an event of default. In the event of
(i) non-payment of interest on any interest payment date, (ii) non-payment of the redemption price in case of a redemption of a LRCN Series, (iii) non-payment of
principal at the maturity of a LRCN Series, or (iv) an event of default on a LRCN Series, holders of such LRCN Series will have recourse only to the assets (Trust Assets)
held by a third-party trustee in a consolidated trust in respect of such LRCN Series and each such noteholder will be entitled to receive its pro rata share of the Trust
Assets. In such an event, the delivery of the Trust Assets for each LRCN Series will represent the full and complete extinguishment of our obligations under the related
LRCN Series. The LRCNs include NVCC provisions, necessary for the shares to qualify as Tier 1 regulatory capital under Basel III. NVCC provisions require the conversion
of the instrument into a variable number of common shares in the event that OSFI deems the Bank non-viable or a federal or provincial government in Canada publicly
announces that the Bank has accepted or agreed to accept a capital injection. In such an event, each note is automatically redeemed and the redemption price will be
satisfied by the delivery of Trust Assets, which will consist of common shares pursuant to an automatic conversion of the series of preferred shares that were issued
concurrently with the related LRCN Series. Each series of preferred shares include an automatic conversion formula with a conversion price based on the greater of: (i) a
floor price of $5 and (ii) the current market price of our common shares based on the volume weighted average trading price of our common shares on the Toronto Stock
Exchange. The number of common shares issued in respect of each series of preferred shares will be determined by dividing the preferred share value ($1,000 plus
declared and unpaid dividends) by the conversion price. The number of common shares delivered to each noteholder will be based on such noteholder\u2019s pro rata interest
in the Trust Assets. Subject to the consent of OSFI, we may purchase LRCNs for cancellation at such price or prices and upon such terms and conditions as we in our
absolute discretion may determine, subject to any applicable law restricting the purchase of notes.
(8)
LRCN Series 1 bear interest at a fixed rate of 4.5% per annum until November 24, 2025, and thereafter at a rate per annum, reset every fifth year, equal to the 5-Year
Government of Canada Yield plus 4.137% until maturity on November 24, 2080. The interest is paid semi-annually on or about the 24
th
day of May and November. LRCN
Series 1 is redeemable during the period from October 24 to and including November 24, commencing in 2025 and every fifth year thereafter to the extent we redeem
Series BQ pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
(9)
LRCN Series 2 bear interest at a fixed rate of 4.0% per annum until February 24, 2026, and thereafter at a rate per annum, reset every fifth year, equal to the 5-Year
Government of Canada Yield plus 3.617% until maturity on February 24, 2081. The interest is paid semi-annually on or about the 24th day of February and August. LRCN
Series 2 is redeemable during the period from January 24 to and including February 24, commencing in 2026 and every fifth year thereafter to the extent we redeem
Series BR pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
(10)
LRCN Series 3 bear interest at a fixed rate of 3.65% per annum until November 24, 2026, and thereafter at a rate per annum, reset every fifth year, equal to the 5-Year
Government of Canada Yield plus 2.665% until maturity on November 24, 2081. The interest is paid semi-annually on or about the 24th day of May and November. LRCN
Series 3 is redeemable during the period from October 24 to and including November 24, commencing in 2026 and every fifth year thereafter to the extent we redeem
Series BS pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
n.a.
not applicable ", "dimensions": { "concept": "ifrs-full:DisclosureOfIssuedCapitalExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f50203": { "value": "
\u00a0
As at and for the year ended
\u00a0
October 31, 2023
October 31, 2022
\u00a0
Number of
\u00a0
Dividends
Number of
\u00a0
Dividends
(Millions of Canadian dollars, except the number
shares
\u00a0
declared
shares
\u00a0
declared
of shares and as otherwise noted)
(thousands)
Amount
per share
(thousands)
Amount
per share
Common shares issued
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Balance at beginning of period
1,385,591
$ 17,318
\u00a0
1,425,187
$ 17,728
\u00a0
Issued in connection with share-based
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
compensation plans
(1)
740
68
\u00a0
1,270
99
\u00a0
Issued in connection with dividend
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
reinvestment plan
16,042
2,012
\u00a0
\u2013
\u2013
\u00a0
Purchased for cancellation
(2)
\u2013
\u2013
\u00a0
(40,866)
(509)
\u00a0
Balance at end of period
1,402,373
$ 19,398
$
5.34
1,385,591
$ 17,318
$
4.96
Treasury \u2013 common shares
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Balance at beginning of period
(3)
(2,680)
$
(334)
\u00a0
(662)
$
(73)
\u00a0
Purchases
(30,195)
(3,556)
\u00a0
(48,437)
(5,183)
\u00a0
Sales
31,013
3,659
\u00a0
46,419
4,922
\u00a0
Balance at end of period
(3)
(1,862)
$
(231)
\u00a0
(2,680)
$
(334)
\u00a0
Common shares outstanding
1,400,511
$ 19,167
\u00a0
1,382,911
$ 16,984
\u00a0
Preferred shares and other equity
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
instruments issued
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
First preferred
(4)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Non-cumulative, fixed rate
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series BH
6,000
$
150
$
1.23
6,000
$
150
$
1.23
Series BI
6,000
150
1.23
6,000
150
1.23
Non-cumulative, 5-Year Rate Reset
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series AZ
20,000
500
0.93
20,000
500
0.93
Series BB
20,000
500
0.91
20,000
500
0.91
Series BD
24,000
600
0.80
24,000
600
0.80
Series BF
12,000
300
0.75
12,000
300
0.75
Series BO
14,000
350
1.20
14,000
350
1.20
Series BT
750
750
4.20%
750
750
4.20%
Non-cumulative, fixed rate/floating rate
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series C-2
(5)
15
23
US$ 67.50
15
23
US$ 67.50
Other equity instruments
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Limited recourse capital notes (LRCNs)
(6)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series 1
(7)
1,750
1,750
4.50%
1,750
1,750
4.50%
Series 2
(7)
1,250
1,250
4.00%
1,250
1,250
4.00%
Series 3
(7)
1,000
1,000
3.65%
1,000
1,000
3.65%
\u00a0
106,765
$
7,323
\u00a0
106,765
$
7,323
\u00a0
Treasury \u2013 preferred shares and other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
equity instruments
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Balance at beginning of period
(3)
(12)
$
(5)
\u00a0
(164)
$
(39)
\u00a0
Purchases
(1,924)
(519)
\u00a0
(2,811)
(518)
\u00a0
Sales
1,927
515
\u00a0
2,963
552
\u00a0
Balance at end of period
(3)
(9)
$
(9)
\u00a0
(12)
$
(5)
\u00a0
Preferred shares and other equity
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
instruments outstanding
106,756
$
7,314
\u00a0
106,753
$
7,318
\u00a0
(1)
Includes fair value adjustments to stock options of $6 million (October 31, 2022 \u2013 $6 million).
(2)
During the year ended October 31, 2023, we did not purchase for cancellation any common shares. During the year ended October 31, 2022, we purchased for cancellation
common shares at a total fair value of $5,426 million (average cost of $132.80 per share), with a book value of $509 million (book value of $12.47 per share).
(3)
Positive amounts represent a short position and negative amounts represent a long position.
(4)
First Preferred Shares were issued at $25 per share with the exception of Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BT (Series BT) and
Non-Cumulative Fixed Rate/Floating Rate First Preferred Shares Series C-2 (Series C-2) which were issued at $1,000 and US$1,000 per share (equivalent to US$25 per
depositary share), respectively.
(5)
On November 7, 2023, we redeemed all of our issued and outstanding Non-Cumulative Fixed Rate/Floating Rate First Preferred Shares Series C-2 for cash at a redemption
price of US$1,000 per share (equivalent to US$25 per depositary share).
(6)
Each series of LRCNs (LRCN Series) were issued at a $1,000 per note. The number of shares represent the number of notes issued and the dividends declared per share
represent the annual interest rate percentage applicable to the notes issued as at the reporting date.
(7)
In connection with the issuance of LRCN Series 1, we issued $1,750 million of Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BQ (Series BQ); in
connection with the issuance of LRCN Series 2, we issued $1,250 million of Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BR (Series BR); in connection
with the issuance of LRCN Series 3, we issued $1,000 million of Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BS (Series BS). The Series BQ, BR and BS
preferred shares were issued at a price of $1,000 per share and were issued to a consolidated trust to be held as trust assets in connection with each respective
LRCN Series.
Significant terms and conditions of preferred shares and other equity instruments
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0 \u00a0 \u00a0
Current
Earliest
\u00a0 \u00a0
\u00a0
Current
\u00a0
dividend
redemption
\u00a0
Redemption
As at October 31, 2023
annual yield
Premium
per share
(1)
date
(2)
Issue date
price
(2), (3)
Preferred shares
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
First preferred
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Non-cumulative, fixed rate
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series BH
(4)
4.90%
\u00a0
$
.306250
November 24, 2020
June 5, 2015
$
26.00
Series BI
(4)
4.90%
\u00a0
.306250
November 24, 2020
July 22, 2015
26.00
Non-cumulative, 5-Year
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Rate Reset
(5)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series AZ
(4)
3.70%
2.21%
.231250
May 24, 2019
January 30, 2014
25.00
Series BB
(4)
3.65%
2.26%
.228125
August 24, 2019
June 3, 2014
25.00
Series BD
(4)
3.20%
2.74%
.200000
May 24, 2020
January 30, 2015
25.00
Series BF
(4)
3.00%
2.62%
.187500
November 24, 2020
March 13, 2015
25.00
Series BO
(4)
4.80%
2.38%
.300000
February 24, 2024
November 2, 2018
25.00
Series BT
(4)
4.20%
2.71%
21.000000
February 24, 2027
November 5, 2021
1,000.00
Non-cumulative, fixed rate/
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
floating rate
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series C-2
(6)
6.75%
4.052%
US$16.875000
November 7, 2023
November 2, 2015
US$1,000.00
Other equity instruments
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Limited recourse capital
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
notes
(7)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Series 1
(8)
4.50%
4.137%
n.a.
October 24, 2025
July 28, 2020
$1,000.00
Series 2
(9)
4.00%
3.617%
n.a.
January 24, 2026
November 2, 2020
1,000.00
Series 3
(10)
3.65%
2.665%
n.a.
October 24, 2026
June 8, 2021
1,000.00
\n
(1)
With the exception of Series BT, non-cumulative preferential dividends of each Series are payable quarterly, as and when declared by the Board of Directors, on or about
the 24th day (7th day for Series C-2) of February, May, August and November. In the case of Series BT, non-cumulative preferential dividends are payable semi-annually,
as and when declared by the Board of Directors.
(2)
Subject to the consent of OSFI and the requirements of the
Bank Act
(Canada), we may, on or after the dates specified above, redeem First Preferred Shares. In the case
of Series AZ, BB, BD, BF, and BO, these may be redeemed for cash at a price per share of $25 if redeemed on the earliest redemption date and on the same date every
fifth year thereafter. In the case of BH and BI, these may be redeemed for cash at a price per share of $26 if redeemed during the 12 months commencing on the earliest
redemption date and decreasing by $0.25 each 12-month period thereafter to a price per share of $25 if redeemed four years from the earliest redemption date or
thereafter. Series BT may be redeemed for cash at a price per share of $1,000 if redeemed on the earliest redemption date and on the same date every fifth year
thereafter. Series C-2 may be redeemed at a price of US$1,000 on the earliest redemption date and any dividend payment date thereafter.
(3)
Subject to the consent of OSFI and the requirements of the
Bank Act
(Canada), we may purchase the First Preferred Shares of each Series for cancellation at the lowest
price or prices at which, in the opinion of the Board of Directors, such shares are obtainable.
(4)
The preferred shares include NVCC provisions, necessary for the shares to qualify as Tier 1 regulatory capital under Basel III. NVCC provisions require the conversion of
the instrument into a variable number of common shares in the event that OSFI deems the Bank non-viable or a federal or provincial government in Canada publicly
announces that the Bank has accepted or agreed to accept a capital injection. In such an event, each preferred share is convertible into common shares pursuant to an
automatic conversion formula with a multiplier of 1 and with a conversion price based on the greater of: (i) a floor price of $5 and (ii) the current market price of our
common shares based on the volume weighted average trading price of our common shares on the Toronto Stock Exchange. The number of shares issued is determined
by dividing the preferred share value by the conversion price.
(5)
The dividend rate will reset on the earliest redemption date and every fifth year thereafter at a rate equal to the 5-year Government of Canada bond yield plus the
premium indicated. The holders have the option to convert their shares into non-cumulative floating rate First Preferred Shares subject to certain conditions on the
earliest redemption date and every fifth year thereafter at a rate equal to the three-month Government of Canada Treasury Bill rate plus the premium indicated.
(6)
The dividend rate will change on the earliest redemption date at a rate equal to the 3-month LIBOR plus the premium indicated. Series C-2 do not qualify as Tier 1
regulatory capital. On November 7, 2023, we redeemed all of our issued and outstanding Non-Cumulative Fixed Rate/Floating Rate First Preferred Shares Series C-2 for
cash at a redemption price of US$1,000 per share (equivalent to US$25 per depositary share).
(7)
The current annual yield on each LRCN Series represents the annual interest rate applicable to the notes issued as at the reporting date. The payments of interest and
principal in cash on the LRCN Series are made at our discretion, and non-payment of interest and principal in cash does not constitute an event of default. In the event of
(i) non-payment of interest on any interest payment date, (ii) non-payment of the redemption price in case of a redemption of a LRCN Series, (iii) non-payment of
principal at the maturity of a LRCN Series, or (iv) an event of default on a LRCN Series, holders of such LRCN Series will have recourse only to the assets (Trust Assets)
held by a third-party trustee in a consolidated trust in respect of such LRCN Series and each such noteholder will be entitled to receive its pro rata share of the Trust
Assets. In such an event, the delivery of the Trust Assets for each LRCN Series will represent the full and complete extinguishment of our obligations under the related
LRCN Series. The LRCNs include NVCC provisions, necessary for the shares to qualify as Tier 1 regulatory capital under Basel III. NVCC provisions require the conversion
of the instrument into a variable number of common shares in the event that OSFI deems the Bank non-viable or a federal or provincial government in Canada publicly
announces that the Bank has accepted or agreed to accept a capital injection. In such an event, each note is automatically redeemed and the redemption price will be
satisfied by the delivery of Trust Assets, which will consist of common shares pursuant to an automatic conversion of the series of preferred shares that were issued
concurrently with the related LRCN Series. Each series of preferred shares include an automatic conversion formula with a conversion price based on the greater of: (i) a
floor price of $5 and (ii) the current market price of our common shares based on the volume weighted average trading price of our common shares on the Toronto Stock
Exchange. The number of common shares issued in respect of each series of preferred shares will be determined by dividing the preferred share value ($1,000 plus
declared and unpaid dividends) by the conversion price. The number of common shares delivered to each noteholder will be based on such noteholder\u2019s pro rata interest
in the Trust Assets. Subject to the consent of OSFI, we may purchase LRCNs for cancellation at such price or prices and upon such terms and conditions as we in our
absolute discretion may determine, subject to any applicable law restricting the purchase of notes.
(8)
LRCN Series 1 bear interest at a fixed rate of 4.5% per annum until November 24, 2025, and thereafter at a rate per annum, reset every fifth year, equal to the 5-Year
Government of Canada Yield plus 4.137% until maturity on November 24, 2080. The interest is paid semi-annually on or about the 24
th
day of May and November. LRCN
Series 1 is redeemable during the period from October 24 to and including November 24, commencing in 2025 and every fifth year thereafter to the extent we redeem
Series BQ pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
(9)
LRCN Series 2 bear interest at a fixed rate of 4.0% per annum until February 24, 2026, and thereafter at a rate per annum, reset every fifth year, equal to the 5-Year
Government of Canada Yield plus 3.617% until maturity on February 24, 2081. The interest is paid semi-annually on or about the 24th day of February and August. LRCN
Series 2 is redeemable during the period from January 24 to and including February 24, commencing in 2026 and every fifth year thereafter to the extent we redeem
Series BR pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
(10)
LRCN Series 3 bear interest at a fixed rate of 3.65% per annum until November 24, 2026, and thereafter at a rate per annum, reset every fifth year, equal to the 5-Year
Government of Canada Yield plus 2.665% until maturity on November 24, 2081. The interest is paid semi-annually on or about the 24th day of May and November. LRCN
Series 3 is redeemable during the period from October 24 to and including November 24, commencing in 2026 and every fifth year thereafter to the extent we redeem
Series BS pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
n.a.
not applicable
Restrictions on the payment of dividends
We are prohibited by the
Bank Act
(Canada) from declaring any dividends on our preferred or common shares when we are, or
would be placed as a result of the declaration, in contravention of the capital adequacy and liquidity regulations or any
regulatory directives issued under the Act. We may not pay dividends on our common shares at any time unless all dividends to
which preferred shareholders are then entitled have been declared and paid or set apart for payment.
Currently, these limitations do not restrict the payment of dividends on our preferred or common shares.
Dividend reinvestment plan
Our dividend reinvestment plan (DRIP) provides common and preferred shareholders with a means to receive additional
common shares rather than cash dividends. The plan is only open to shareholders residing in Canada or the U.S. The
requirements of our DRIP are satisfied through either open market share purchases or shares issued from treasury. During the
second, third and fourth quarters of 2023, the requirements of our DRIP were satisfied through shares issued from treasury.
During the first quarter of 2023 and the year ended October 31, 2022, the requirements of our DRIP were satisfied through open
market share purchases.", "dimensions": { "concept": "ifrs-full:DisclosureOfDividendsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f50343": { "value": "19398000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwners", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f50347": { "value": "5.34", "decimals": 2, "dimensions": { "concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwnersPerShare", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00", "unit": "iso4217:CAD/xbrli:shares" } }, "f50352": { "value": "17318000000", "decimals": -6, "dimensions": { "concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwners", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2021-11-01T00:00:00/2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "f50356": { "value": "4.96", "decimals": 2, "dimensions": { "concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwnersPerShare", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2021-11-01T00:00:00/2022-11-01T00:00:00", "unit": "iso4217:CAD/xbrli:shares" } }, "f51303": { "value": "Note 21
Share-based compensation
Stock option plans
We have stock option plans for certain key employees. Under the plans, options are periodically granted to purchase common
shares. The exercise price for the majority of the grants is determined as the higher of the volume-weighted average of the
trading prices per board lot (100 shares) of our common shares on the Toronto Stock Exchange (i) on the day preceding the day
of grant; and (ii) the five consecutive trading days immediately preceding the day of grant. The exercise price for the remaining
grants is the closing market share price of our common shares on the New York Stock Exchange on the date of grant. All options
vest over a four-year period, and are exercisable for a period not exceeding 10 years from the grant date.
The compensation expense recorded for the year ended October 31, 2023, in respect of the stock option plans was $11 million
(October 31, 2022 \u2013 $8 million). The compensation expense related to non-vested options was $5 million at October 31, 2023
(October 31, 2022 \u2013 $4 million), to be recognized over the weighted average period of 1.9 years (October 31, 2022 \u2013 2.0 years).
Analysis of the movement in the number and weighted average exercise price of options is set out below:
A summary of our stock option activity and related information
\u00a0
For the year ended
\u00a0
October 31, 2023
October 31, 2022
\u00a0
Number of
Weighted
Number of
Weighted
\u00a0
options
average
options
average
(Canadian dollars per share except share amounts)
(thousands)
exercise price
(1)
(thousands)
exercise price
(1)
Outstanding at beginning of period
7,509
$
100.07
7,055
$
92.27
Granted
1,088
131.64
1,184
129.99
Exercised
(2), (3)
(740)
84.76
(684)
73.98
Forfeited in the period
(90)
113.55
(46)
104.28
Outstanding at end of period
7,767
$
106.01
7,509
$ 100.07
Exercisable at end of period
3,830
$
91.84
3,502
$
87.15
(1)
The weighted average exercise prices reflect the conversion of foreign currency-denominated options at the exchange rates as of October 31, 2023 and October 31, 2022.
For foreign currency-denominated options exercised during the year, the weighted average exercise prices are translated using exchange rates as at the settlement date.
(2)
Cash received for options exercised during the year was $63 million (October 31, 2022 \u2013 $51 million) and the weighted average share price at the date of exercise was
$130.94 (October 31, 2022 \u2013 $134.10).
(3)
New shares were issued for all stock options exercised in 2023 and 2022.
Options outstanding as at October 31, 2023 by range of exercise price
\u00a0
Options outstanding
Options exercisable
\u00a0 \u00a0 \u00a0
Weighted
\u00a0 \u00a0
\u00a0 \u00a0 \u00a0
average
\u00a0 \u00a0
\u00a0
Number
Weighted
remaining
Number
Weighted
(Canadian dollars per share except
outstanding
average
contractual
exercisable
average
share amounts and years)
(thousands)
exercise price
(1)
life (years)
(thousands)
exercise price
(1)
$64.73 \u2013 $79.65
936
$
74.96
1.58
936
$
74.96
$90.23 \u2013 $96.55
1,779
93.48
3.82
1,779
93.48
$102.33 \u2013 $104.70
1,633
103.81
5.22
1,115
103.39
$106.00 \u2013 $106.00
1,202
106.00
7.12
\u2013
\u2013
$129.99 \u2013 $131.64
2,217
130.78
8.60
\u2013
\u2013
\u00a0
7,767
$
106.01
5.72
3,830
$
91.84
(1)
The weighted average exercise prices reflect the conversion of foreign currency-denominated options at the exchange rate as of October 31, 2023.
The weighted average fair value of options granted during the year ended October 31, 2023 was estimated at $11.51 (October 31,
2022 \u2013 $7.80). This was determined by applying the Black-Scholes model on the date of grant, taking into account the specific
terms and conditions under which the options are granted, such as the vesting period and expected share price volatility
estimated by considering the historic average share price volatility over a historical period corresponding to the expected option
life. The following assumptions were used to determine the fair value of options granted:
Weighted average assumptions
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
For the year ended
\u00a0
October 31
October 31
(Canadian dollars per share except percentages and years)
2023
2022
Share price at grant date
$
130.16
$
128.48
Risk-free interest rate
2.89%
1.25%
Expected dividend yield
3.79%
3.66%
Expected share price volatility
14%
13%
Expected life of option
6 Years
6 Years
\n
Employee savings and share ownership plans
We offer many employees an opportunity to own our common shares through savings and share ownership plans. Under these
plans, the employees can generally contribute between 1% and 10% of their annual salary or benefit base for commission-based
employees. For each contribution between 1% and 6%, we will match 50% of the employee contributions in our common shares.
For the RBC Dominion Securities Savings Plan, our maximum annual contribution is $4,500 per employee. For the RBC U.K. Share
Incentive Plan, our maximum annual contribution is \u00a31,500 per employee. For the year ended October 31, 2023, we contributed
$139 million (October 31, 2022 \u2013 $128 million), under the terms of these plans, towards the purchase of our common shares. As at
October 31, 2023, an aggregate of 36 million common shares were held under these plans (October 31, 2022 \u2013 36 million common
shares).
Deferred share and other plans
We offer deferred share unit plans to executives, certain key employees and non-employee directors of the Bank. Under these
plans, participants may choose to receive all or a percentage of their annual variable short-term incentive bonus, commission, or
directors\u2019 fee in the form of deferred share units (DSUs). The participants must elect to participate in the plan prior to the
beginning of the year. DSUs earn dividend equivalents in the form of additional DSUs at the same rate as dividends on common
shares. The participant is not allowed to convert the DSUs until retirement or termination of employment/directorship. The cash
value of the DSUs is equivalent to the market value of common shares when conversion takes place.
We also offer unit awards for certain key employees within Capital Markets. The bonus is invested as RBC share units and a
specified percentage vests on a specified number of anniversary dates each year. Each vested amount is paid in cash and is
based on the original number of share units granted plus accumulated dividends, valued using the average closing price of RBC
common shares during the five trading days immediately preceding the vesting date.
We offer performance deferred share award plans to certain key employees, all of which vest at the end of three years. Upon
vesting, the award is paid in cash and is based on the original number of RBC share units granted plus accumulated dividends
valued using the average closing price of RBC common shares during the five trading days immediately preceding the vesting
date. A portion of the award under certain plans may be increased or decreased up to 25%, depending on our total shareholder
return compared to a defined peer group of global financial institutions.
We maintain non-qualified deferred compensation plans for certain key employees in the U.S. These plans allow eligible
employees to defer a portion of their annual income and a variety of productivity and recruitment bonuses and allocate the
deferrals among specified fund choices, including a RBC Share Account fund that tracks the value of our common shares.
The following table presents the units granted under the deferred share and other plans for the year.
Units granted under deferred share and other plans
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
For the year ended
\u00a0
October 31, 2023
October 31, 2022
\u00a0 \u00a0
Weighted
\u00a0
Weighted
\u00a0
Units
average
Units
average
\u00a0
granted
fair value
granted
fair value
(Units and per unit amounts)
(thousands)
per unit
(thousands)
per unit
Deferred share unit plans
466
$
130.61
469
$
131.49
Capital Markets compensation plan unit awards
4,231
110.32
3,794
125.22
Performance deferred share award plans
2,362
131.41
2,220
129.65
Deferred compensation plans
103
126.81
92
135.44
Other share-based plans
1,506
130.12
1,083
128.50
\u00a0
8,668
$
120.79
7,658
$
127.48
\n
Our liabilities for the awards granted under the deferred share and other plans are measured at fair value, determined based on
the quoted market price of our common shares and specified fund choices as applicable. Annually, our obligation is increased by
additional units earned by plan participants, and is reduced by forfeitures, cancellations, and the settlement of vested units. In
addition, our obligation is impacted by fluctuations in the market price of our common shares and specified fund units. For
performance deferred share award plans, the estimated outcome of meeting the performance conditions also impacts our
obligation.
The following tables present the units that have been earned by the participants, our obligations for these earned units
under the deferred share and other plans, and the related compensation expenses (recoveries) recognized for the year.
Obligations under deferred share and other plans
\u00a0
As at
\u00a0
October 31, 2023
October 31, 2022
\u00a0
Units
Carrying
Units
Carrying
(Millions of Canadian dollars except units)
(thousands)
amount
(thousands)
amount
Deferred share unit plans
5,786
$
641
5,429
$
684
Capital Markets compensation plan unit awards
9,934
1,098
9,398
1,182
Performance deferred share award plans
5,808
643
6,006
757
Deferred compensation plans
(1)
2,654
294
2,537
319
Other share-based plans
2,135
234
1,772
218
\u00a0
26,317
$
2,910
25,142
$ 3,160
(1)
Excludes obligations not determined based on the quoted market price of our common shares.
Compensation expenses recognized under deferred share and other plans
\u00a0
For the year ended
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Deferred share unit plans
$
(51)
$
20
Capital Markets compensation plan unit awards
126
210
Performance deferred share award plans
216
273
Deferred compensation plans
213
(261)
Other share-based plans
104
91
\u00a0
$
608
$
333
", "dimensions": { "concept": "ifrs-full:DisclosureOfSharebasedPaymentArrangementsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f52024": { "value": "Note 22
Income taxes
Components of tax expense
\u00a0
For the year ended
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Income taxes (recoveries) in Consolidated Statements of Income
\u00a0 \u00a0
Current tax
\u00a0 \u00a0
Tax expense for current year
$
4,081
$
4,151
Adjustments for prior years
851
(230)
Recoveries arising from previously unrecognized tax loss, tax credit or temporary difference of
\u00a0 \u00a0
a prior period
(100)
\u2013
\u00a0
4,832
3,921
Deferred tax
\u00a0 \u00a0
Origination and reversal of temporary difference
(1,286)
232
Effects of changes in tax rates
(47)
4
Adjustments for prior years
125
231
Recoveries arising from previously unrecognized tax loss, tax credit or temporary difference of
\u00a0 \u00a0
a prior period, net
(24)
(86)
\u00a0
(1,232)
381
\u00a0
3,600
4,302
Income taxes (recoveries) in Consolidated Statements of Comprehensive Income and Changes in
\u00a0 \u00a0
Equity
\u00a0 \u00a0
Other comprehensive income
\u00a0 \u00a0
Net unrealized gains (losses) on debt securities and loans at fair value through other
\u00a0 \u00a0
comprehensive income
(10)
(633)
Provision for credit losses recognized in income
\u2013
(2)
Reclassification of net losses (gains) on debt securities and loans at fair value through other
\u00a0 \u00a0
comprehensive income to income
(39)
2
Unrealized foreign currency translation gains (losses)
20
2
Net foreign currency translation gains (losses) from hedging activities
(306)
(478)
Reclassification of losses (gains) on net investment hedging activities to income
45
6
Net gains (losses) on derivatives designated as cash flow hedges
190
628
Reclassification of losses (gains) on derivatives designated as cash flow hedges to income
59
70
Remeasurement gains(losses) on employee benefit plans
(68)
287
Net gains(losses) from fair value change due to credit risk on financial liabilities designated at fair
\u00a0 \u00a0
value through profit or loss
(222)
622
Net gains (losses) on equity securities designated at fair value through other comprehensive
\u00a0 \u00a0
income
24
(3)
Share-based compensation awards
2
10
Distributions on other equity instruments and issuance costs
(59)
(45)
\u00a0
(364)
466
Total income taxes
$
3,236
$
4,768
The following is an analysis of the differences between the income tax expense reflected in the Consolidated Statements of
Income and the amounts calculated at the Canadian statutory tax rate.
Reconciliation to statutory tax rate
\n\n\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0
For the year ended
(Millions of Canadian dollars, except for percentage amounts)
October 31, 2023
October 31, 2022
Income taxes at Canadian statutory tax rate
$
5,115
27.7%
$
5,269
26.2%
Increase (decrease) in income taxes resulting from:
\u00a0 \u00a0 \u00a0 \u00a0
Lower average tax rate applicable to subsidiaries
(2,130)
(11.5)
(428)
(2.1)
Tax-exempt income from securities
(337)
(1.8)
(437)
(2.2)
Tax rate change
1,050
5.7
4
\u2013
Other
(98)
(0.6)
(106)
(0.5)
Income taxes in Consolidated Statements of Income / effective tax rate
$
3,600
19.5%
$
4,302
21.4%
\n
The effective income tax rate of 19.5% decreased 190 bps, primarily due to lower average tax rate applicable to subsidiaries. This
factor was partially offset by the impact of the Canada Recovery Dividend (CRD) and the 1.5% increase in the Canadian corporate
tax rate in the current year.
Deferred tax assets and liabilities result from tax loss and tax credit carryforwards and temporary differences between the tax
basis of assets and liabilities and their carrying amounts on our Consolidated Balance Sheets.
Significant components of deferred tax assets and liabilities
\n\n\n \n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0
As at and for the year ended October 31, 2023
\u00a0
Net asset
Change
Change
Exchange
Net asset
beginning of
through
through
rate
Acquisitions/
end of
(Millions of Canadian dollars)
period
equity
profit or loss
differences
disposals
Other
period
Net deferred tax asset/(liability)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Allowance for credit losses
$
987
$
\u2013
$
185
$
2
$
\u2013
$\u2013
$ 1,174
Deferred compensation
1,504
(2)
(2)
22
\u2013
\u2013
1,522
Business realignment charges
12
\u2013
11
\u2013
\u2013
\u2013
23
Tax loss and tax credit carryforwards
322
\u2013
(57)
1
(5)
\u2013
261
Deferred (income) expense
6
(3)
661
(11)
(2)
\u2013
651
Financial instruments measured at
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
fair value through other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
comprehensive income
(16)
(330)
\u2013
25
\u2013
\u2013
(321)
Premises and equipment and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
intangibles
(1,234)
\u2013
302
(27)
(8)
\u2013
(967)
Pension and post-employment
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
related
(435)
68
37
1
(4)
\u2013
(333)
Other
(113)
4
95
24
\u2013
\u2013
10
\u00a0
$ 1,033
$
(263)
$ 1,232
$
37
$
(19)
$\u2013
$ 2,020
Comprising
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Deferred tax assets
$ 1,472
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
$ 2,446
Deferred tax liabilities
(439)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
(426)
\u00a0
$ 1,033
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
$ 2,020
\n\n\n \n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0
As at and for the year ended October 31, 2022
Net asset
Change
Change
Exchange
Net asset
beginning of
through
through
rate
Acquisitions/
end of
(Millions of Canadian dollars)
period
equity
profit or loss
differences
disposals
Other
period
Net deferred tax asset/(liability)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Allowance for credit losses
$
974
$
\u2013
$
2
$
11
$
\u2013
$\u2013
$
987
Deferred compensation
1,614
(10)
(211)
101
10
\u2013
1,504
Business realignment charges
11
\u2013
1
\u2013
\u2013
\u2013
12
Tax loss and tax credit carryforwards
242
\u2013
67
2
8
3
322
Deferred (income) expense
110
(1)
(126)
23
\u2013
\u2013
6
Financial instruments measured at
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
fair value through other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
comprehensive income
(19)
(2)
\u2013
5
\u2013
\u2013
(16)
Premises and equipment and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
intangibles
(836)
\u2013
4
(57)
(345)
\u2013
(1,234)
Pension and post-employment
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
related
(163)
(287)
19
4
(8)
\u2013
(435)
Other
4
22
(137)
(6)
4
\u2013
(113)
\u00a0
$
1,937
$
(278)
$
(381)
$
83
$
(331)
$3
$
1,033
Comprising
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Deferred tax assets
$
2,011
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
$
1,472
Deferred tax liabilities
(74)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
(439)
\u00a0
$
1,937
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
$
1,033
\n
The tax loss and tax credit carryforwards amount of deferred tax assets primarily relates to losses and tax credits in our
Canadian, U.S., and Caribbean operations. Deferred tax assets of $261 million were recognized at October 31, 2023 (October 31,
2022 \u2013 $322 million) in respect of tax losses and tax credits incurred in current or preceding years for which recognition is
dependent on the projection of future taxable profits. Management\u2019s forecasts support the assumption that it is probable that
the results of future operations will generate sufficient taxable income to utilize the deferred tax assets. The forecasts rely on
continued liquidity and capital support to our business operations, including tax planning strategies implemented in relation to
such support.
As at October 31, 2023, unused tax losses and tax credits of $417 million and $18 million (October 31, 2022 \u2013 $429 million and
$130 million) available to be offset against potential tax adjustments or future taxable income were not recognized as deferred
tax assets. There are no unused tax losses that will expire within one year (October 31, 2022 \u2013 $nil), or in two to four years
(October 31, 2022 \u2013 $nil) and there are $417 million of unused tax losses that will expire after four years (October 31, 2022 \u2013 $429
million). There are no tax credits that will expire in one year (October 31, 2022 \u2013 $nil), or in two to four years (October 31, 2022 \u2013
$93 million) and there are $18 million that will expire after four years (October 31, 2022 \u2013 $37 million).
The amount of temporary differences associated with investments in subsidiaries, branches and associates and interests in
joint ventures for which deferred tax liabilities have not been recognized in the parent bank is $22 billion as at October 31, 2023
(October 31, 2022 \u2013 $26 billion).
Government of Canada Budget 2022
On December 15, 2022, Bill C-32, Fall Economic Statement Implementation Act, 2022 (the Bill), tabled by the Government of
Canada, received royal assent. The Bill amends the Income Tax Act (Canada) to implement a CRD and a permanent increase in
the Canadian corporate tax rate on banks and life insurer groups.
The CRD is a one-time 15% tax for 2022 determined based on the average taxable income above $1 billion for taxation years
2020 and 2021 and payable in equal installments over five years. The CRD resulted in an increase in income taxes of $1.2 billion for
the year ended October 31, 2023, of which $1 billion was recognized in net income and $0.2 billion was recognized in other
comprehensive income.
The permanent increase in the Canadian corporate tax rate is 1.5% on taxable income above $100 million and applies to
taxation years that end after April 7, 2022, resulting in an increase in the Canadian statutory tax rate from 26.2% to 27.7% for the
year ended October 31, 2023.
Tax examinations and assessments
During the year, we received proposal letters (the Proposals) from the Canada Revenue Agency (CRA) in respect of the 2018
taxation year, which suggested that Royal Bank of Canada owes additional taxes of approximately $228 million as they denied
the deductibility of certain dividends. On November 28, 2023, we received a reassessment in respect of the 2018 taxation year,
consistent with the Proposals received during the year. The reassessment received is consistent with the reassessments received
for taxation years 2012 to 2017 of approximately $1,628 million of additional income taxes and the reassessments received for
taxation years 2009 to 2011 of approximately $434 million of additional income taxes and interest in respect of the same matter.
These amounts represent the maximum additional taxes owing for those years.
Legislative amendments introduced in the 2015 Canadian Federal Budget resulted in disallowed deduction of dividends from
transactions with Taxable Canadian Corporations including those hedged with Tax Indifferent Investors, namely pension funds
and non-resident entities with prospective application effective May 1, 2017. The dividends to which the reassessments relate
include both dividends in transactions similar to those which are the target of the 2015 legislative amendments and dividends
which are unrelated to the legislative amendments.
It is possible that the CRA will reassess us for significant additional income tax for subsequent years on the same basis. In all
cases, we are confident that our tax filing position was appropriate and intend to defend ourselves vigorously.", "dimensions": { "concept": "ifrs-full:DisclosureOfIncomeTaxExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f52398": { "value": "Significant components of deferred tax assets and liabilities \n \n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0
As at and for the year ended October 31, 2023
\u00a0
Net asset
Change
Change
Exchange
Net asset
beginning of
through
through
rate
Acquisitions/
end of
(Millions of Canadian dollars)
period
equity
profit or loss
differences
disposals
Other
period
Net deferred tax asset/(liability)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Allowance for credit losses
$
987
$
\u2013
$
185
$
2
$
\u2013
$\u2013
$ 1,174
Deferred compensation
1,504
(2)
(2)
22
\u2013
\u2013
1,522
Business realignment charges
12
\u2013
11
\u2013
\u2013
\u2013
23
Tax loss and tax credit carryforwards
322
\u2013
(57)
1
(5)
\u2013
261
Deferred (income) expense
6
(3)
661
(11)
(2)
\u2013
651
Financial instruments measured at
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
fair value through other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
comprehensive income
(16)
(330)
\u2013
25
\u2013
\u2013
(321)
Premises and equipment and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
intangibles
(1,234)
\u2013
302
(27)
(8)
\u2013
(967)
Pension and post-employment
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
related
(435)
68
37
1
(4)
\u2013
(333)
Other
(113)
4
95
24
\u2013
\u2013
10
\u00a0
$ 1,033
$
(263)
$ 1,232
$
37
$
(19)
$\u2013
$ 2,020
Comprising
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Deferred tax assets
$ 1,472
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
$ 2,446
Deferred tax liabilities
(439)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
(426)
\u00a0
$ 1,033
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
$ 2,020
\n\n\n \n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0
As at and for the year ended October 31, 2022
Net asset
Change
Change
Exchange
Net asset
beginning of
through
through
rate
Acquisitions/
end of
(Millions of Canadian dollars)
period
equity
profit or loss
differences
disposals
Other
period
Net deferred tax asset/(liability)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Allowance for credit losses
$
974
$
\u2013
$
2
$
11
$
\u2013
$\u2013
$
987
Deferred compensation
1,614
(10)
(211)
101
10
\u2013
1,504
Business realignment charges
11
\u2013
1
\u2013
\u2013
\u2013
12
Tax loss and tax credit carryforwards
242
\u2013
67
2
8
3
322
Deferred (income) expense
110
(1)
(126)
23
\u2013
\u2013
6
Financial instruments measured at
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
fair value through other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
comprehensive income
(19)
(2)
\u2013
5
\u2013
\u2013
(16)
Premises and equipment and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
intangibles
(836)
\u2013
4
(57)
(345)
\u2013
(1,234)
Pension and post-employment
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
related
(163)
(287)
19
4
(8)
\u2013
(435)
Other
4
22
(137)
(6)
4
\u2013
(113)
\u00a0
$
1,937
$
(278)
$
(381)
$
83
$
(331)
$3
$
1,033
Comprising
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Deferred tax assets
$
2,011
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
$
1,472
Deferred tax liabilities
(74)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
(439)
\u00a0
$
1,937
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
$
1,033
\n", "dimensions": { "concept": "ifrs-full:DisclosureOfDeferredTaxesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f53115": { "value": "Note 23
Earnings per share
\u00a0
For the year ended
\u00a0
October 31
October 31
(Millions of Canadian dollars, except share and per share amounts)
2023
2022
Basic earnings per share
\u00a0 \u00a0
Net income
$
14,866
$
15,807
Dividends on preferred shares and distributions on other equity instruments
(236)
(247)
Net income attributable to non-controlling interests
(7)
(13)
Net income available to common shareholders
$
14,623
$
15,547
Weighted average number of common shares (in thousands)
1,391,020
1,403,654
Basic earnings per share (in dollars)
$
10.51
$
11.08
Diluted earnings per share
\u00a0 \u00a0
Net income available to common shareholders
$
14,623
$
15,547
Weighted average number of common shares (in thousands)
1,391,020
1,403,654
Stock options
(1)
1,483
1,918
Issuable under other share-based compensation plans
26
462
Average number of diluted common shares (in thousands)
1,392,529
1,406,034
Diluted earnings per share (in dollars)
$
10.50
$
11.06
(1)
The dilutive effect of stock options was calculated using the treasury stock method. When the exercise price of options outstanding is greater than the average market
price of our common shares, the options are excluded from the calculation of diluted earnings per share. For the year ended October 31, 2023, an average of 2,119,045
outstanding options with an average exercise price of $130.73 were excluded from the calculation of diluted earnings per share. For the year ended October 31, 2022, no
outstanding options were excluded from the calculation of diluted earnings per share.", "dimensions": { "concept": "ifrs-full:DisclosureOfEarningsPerShareExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f53263": { "value": "Note 24
Guarantees, commitments, pledged assets and contingencies
Guarantees and commitments
We use guarantees and other off-balance sheet credit instruments to meet the financing needs of our clients.
The table below summarizes our maximum exposure to credit losses related to our guarantees and commitments provided
to third parties. The maximum exposure to credit risk relating to a guarantee is the maximum risk of loss if there was a total
default by the guaranteed parties, without consideration of possible recoveries under recourse provisions, insurance policies or
from collateral held or pledged. The maximum exposure to credit risk relating to a commitment to extend credit is the full amount
of the commitment. In both cases, the maximum risk exposure is significantly greater than the amount recognized as a liability in
our Consolidated Balance Sheets.
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
Maximum exposure
to credit losses
As at
\u00a0
\u00a0
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Financial guarantees
\u00a0 \u00a0
Financial standby letters of credit
$
23,314
$
20,291
Commitments to extend credit
\u00a0 \u00a0
Backstop liquidity facilities
51,544
45,336
Credit enhancements
3,226
2,960
Documentary and commercial letters of credit
291
318
Other commitments to extend credit
301,132
284,602
Other credit-related commitments
\u00a0 \u00a0
Securities lending indemnifications
95,055
90,693
Performance guarantees
7,503
7,333
Sponsored member guarantees
14,043
1,241
Other
203
360
\n
Our credit review process, our policy for requiring collateral security, and the types of collateral security held are generally the
same for guarantees and commitments as for loans. Our clients generally have the right to request settlement of, or draw on, our
guarantees and commitments within one year. However, certain guarantees can only be drawn if specified conditions are met.
These conditions, along with collateral requirements, are described below. We believe that it is highly unlikely that all or
substantially all of the guarantees and commitments will be drawn or settled within one year, and contracts may expire without
being drawn or settled.
Financial guarantees
Financial standby letters of credit
Financial standby letters of credit represent irrevocable assurances that we will make payments in the event that a client cannot
meet its payment obligations to the third party. For certain guarantees, the guaranteed party can request payment from us even
though the client has not defaulted on its obligations. These guarantees generally have a term of five to seven years.
Our policy for requiring collateral security with respect to these instruments and the types of collateral security held is generally
the same as for loans. When collateral security is taken, it is determined on an account-by-account basis according to the risk of the
borrower and the specifics of the transaction. Collateral security may include cash, securities and other assets pledged.
Commitments to extend credit
Backstop liquidity facilities
Backstop liquidity facilities are provided to ABCP conduit programs administered by us and third parties as an alternative source
of financing in the event that such programs are unable to access commercial paper markets, or in limited circumstances, when
predetermined performance measures of the financial assets acquired or financed by these programs are not met. We also
provide backstop liquidity facilities to certain third-party commercial mortgage securitization vehicles. The average remaining
term of these liquidity facilities is approximately four years.
The terms of the backstop liquidity facilities do not require us to advance money to these programs in the event of
bankruptcy or insolvency and generally do not require us to purchase non-performing or defaulted assets.
Credit enhancements
We provide partial credit enhancement to multi-seller ABCP programs administered by us to protect commercial paper investors
in the event that the collections on the underlying assets together with the transaction-specific credit enhancements or the
liquidity facilities prove to be insufficient to pay for maturing commercial paper. Each of the asset pools is structured to achieve
a high investment grade credit profile through credit enhancements required to be provided by the third-party sellers related to
each transaction. The average remaining term of these credit facilities is approximately three years.
Documentary and commercial letters of credit
Documentary and commercial letters of credit, which are written undertakings by us on behalf of a client authorizing a third party
to draw drafts on us up to a stipulated amount under specific terms and conditions, where some are collateralized based on the
underlying agreement with the client and others are collateralized by cash deposits or other assets of the client.
Other commitments to extend credit
Commitments to extend credit represent unused portions of authorizations to extend credit in the form of loans, reverse
repurchase agreements, bankers\u2019 acceptances or letters of credit where we do not have the ability to unilaterally withdraw the
credit extended to the borrower.
\n
\n
Other credit-related commitments
Securities lending indemnifications
In securities lending transactions, we act as an agent for the owner of a security, who agrees to lend the security to a borrower
for a fee, under the terms of a pre-arranged contract. The borrower must fully collateralize the security loaned at all times. As
part of this custodial business, an indemnification may be provided to securities lending customers to ensure that the fair value
of securities loaned will be returned in the event that the borrower fails to return the borrowed securities and the collateral held
is insufficient to cover the fair value of those securities. These indemnifications normally terminate without being drawn upon.
The term of these indemnifications varies, as the securities loaned are recallable on demand. Collateral held for our securities
lending transactions typically includes cash, securities that are issued or guaranteed by the Canadian government, U.S.
government or other OECD countries or high quality debt or equity instruments.
Performance guarantees
Performance guarantees represent irrevocable assurances that we will make payments to third-party beneficiaries in the event
that a client fails to perform under a specified non-financial contractual obligation. Such obligations typically include works and
service contracts, performance bonds, and warranties related to international trade. The term of these guarantees can range up
to three to seven years.
Our policy for requiring collateral security with respect to these instruments and the types of collateral security held is generally
the same as for loans. When collateral security is taken, it is determined on an account-by-account basis according to the risk of the
borrower and the specifics of the transaction. Collateral security may include cash, securities and other assets pledged.
Sponsored member guarantees
For certain overnight repurchase and reverse repurchase transactions, we act as a sponsoring member to eligible clients to clear
transactions through the Fixed Income Clearing Corporation (FICC). We also provide a guarantee to FICC for the prompt and full
payment and performance of our sponsored member clients\u2019 respective obligations under the FICC rules. The guarantees are
fully collateralized by cash and securities issued or guaranteed by the U.S. government.
Indemnifications
In the normal course of our operations, we provide indemnifications which are often standard contractual terms to
counterparties in transactions such as purchase and sale contracts, fiduciary, agency, licensing, custodial and service
agreements, clearing system arrangements, participation as a member of exchanges, director/officer contracts and leasing
transactions. These indemnification agreements may require us to compensate the counterparties for costs incurred as a result
of changes in laws and regulations (including tax legislation) or as a result of litigation claims or statutory sanctions that may be
suffered by the counterparty as a consequence of the transaction. The terms of these indemnification agreements vary based on
the contract. The nature of the indemnification agreements prevents us from making a reasonable estimate of the maximum
potential amount we could be required to pay to counterparties. Historically, we have not made any significant payments under
such indemnifications.
Uncommitted amounts
Uncommitted amounts represent undrawn credit facilities for which we have the ability to unilaterally withdraw the credit
extended to the borrower at any time. These include both retail and commercial commitments. As at October 31, 2023, the total
balance of uncommitted amounts was $398 billion (October 31, 2022 \u2013 $363 billion).
Other commitments
We invest in private companies, directly or through third-party investment funds, including venture capital funds, private equity
funds, Small Business Investment Companies, real estate funds and Low Income Housing Tax Credit funds. These funds are
generally structured as closed-end limited partnerships wherein we hold a limited partner interest. For the year ended
October 31, 2023, we have unfunded commitments of $1,832 million (October 31, 2022 \u2013 $1,421 million) representing the aggregate
amount of cash we are obligated to contribute as capital to these partnerships under the terms of the relevant contracts.
Pledged assets and collateral
In the ordinary course of business, we pledge assets and enter into collateral agreements with terms and conditions that are
usual and customary to our regular lending, borrowing and trading activities recorded on our Consolidated Balance Sheets. The
following are examples of our general terms and conditions on pledged assets and collateral:
\u2022
The risks and rewards of the pledged assets reside with the pledgor.
\u2022
The pledged asset is returned to the pledgor when the necessary conditions have been satisfied.
\u2022
The right of the pledgee to sell or re-pledge the asset is dependent on the specific agreement under which the collateral
is pledged.
\u2022
If there is no default, the pledgee must return the comparable asset to the pledgor upon satisfaction of the obligation.
We are also required to provide intraday pledges to the Bank of Canada when we use a real-time electronic wire transfer system
that continuously processes all Canadian dollar large-value or time-critical payments throughout the day. The pledged assets
earmarked for our Canadian dollar large-value or time-critical payments are normally released back to us at the end of the
settlement cycle each day. Therefore, the pledged assets amount is not included in the following table. For the year ended
October 31, 2023, we had on average $1 billion of assets pledged intraday to the Bank of Canada on a daily basis (October 31,
2022 \u2013 $2 billion). There are infrequent occasions where we are required to take an overnight advance from the Bank of Canada
to cover a settlement requirement, in which case an equivalent value of the pledged assets would be used to secure the advance.
There were no overnight advances taken on October 31, 2023 and October 31, 2022.
Assets pledged against liabilities and collateral assets held or re-pledged
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
As at
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Sources of pledged assets and collateral
\u00a0 \u00a0
Bank assets
\u00a0 \u00a0
Loans
$
102,944
$
97,178
Securities
107,122
70,334
Other assets
28,953
40,318
\u00a0
239,019
207,830
Client assets
(1)
\u00a0 \u00a0
Collateral received and available for sale or re-pledging
502,109
465,484
Less: not sold or re-pledged
(6,876)
(9,192)
\u00a0
495,233
456,292
\u00a0
$
734,252
$
664,122
Uses of pledged assets and collateral
\u00a0 \u00a0
Securities borrowing and lending
$
168,681
$
158,748
Obligations related to securities sold short
46,260
45,288
Obligations related to securities lent or sold under repurchase agreements
331,784
274,392
Securitization
38,686
40,438
Covered bonds
69,802
62,905
Derivative transactions
40,352
49,556
Foreign governments and central banks
9,111
9,503
Clearing systems, payment systems and depositories
10,709
8,263
Other
18,867
15,029
\u00a0
$
734,252
$
664,122
\n
(1)
Primarily relates to Obligations related to securities lent or sold under repurchase agreements, Securities lent and Derivative transactions.", "dimensions": { "concept": "ifrs-full:DisclosureOfCommitmentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f53264": { "value": "Note 24
Guarantees, commitments, pledged assets and contingencies
Guarantees and commitments
We use guarantees and other off-balance sheet credit instruments to meet the financing needs of our clients.
The table below summarizes our maximum exposure to credit losses related to our guarantees and commitments provided
to third parties. The maximum exposure to credit risk relating to a guarantee is the maximum risk of loss if there was a total
default by the guaranteed parties, without consideration of possible recoveries under recourse provisions, insurance policies or
from collateral held or pledged. The maximum exposure to credit risk relating to a commitment to extend credit is the full amount
of the commitment. In both cases, the maximum risk exposure is significantly greater than the amount recognized as a liability in
our Consolidated Balance Sheets.
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
Maximum exposure
to credit losses
As at
\u00a0
\u00a0
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Financial guarantees
\u00a0 \u00a0
Financial standby letters of credit
$
23,314
$
20,291
Commitments to extend credit
\u00a0 \u00a0
Backstop liquidity facilities
51,544
45,336
Credit enhancements
3,226
2,960
Documentary and commercial letters of credit
291
318
Other commitments to extend credit
301,132
284,602
Other credit-related commitments
\u00a0 \u00a0
Securities lending indemnifications
95,055
90,693
Performance guarantees
7,503
7,333
Sponsored member guarantees
14,043
1,241
Other
203
360
\n
Our credit review process, our policy for requiring collateral security, and the types of collateral security held are generally the
same for guarantees and commitments as for loans. Our clients generally have the right to request settlement of, or draw on, our
guarantees and commitments within one year. However, certain guarantees can only be drawn if specified conditions are met.
These conditions, along with collateral requirements, are described below. We believe that it is highly unlikely that all or
substantially all of the guarantees and commitments will be drawn or settled within one year, and contracts may expire without
being drawn or settled.
Financial guarantees
Financial standby letters of credit
Financial standby letters of credit represent irrevocable assurances that we will make payments in the event that a client cannot
meet its payment obligations to the third party. For certain guarantees, the guaranteed party can request payment from us even
though the client has not defaulted on its obligations. These guarantees generally have a term of five to seven years.
Our policy for requiring collateral security with respect to these instruments and the types of collateral security held is generally
the same as for loans. When collateral security is taken, it is determined on an account-by-account basis according to the risk of the
borrower and the specifics of the transaction. Collateral security may include cash, securities and other assets pledged.
Commitments to extend credit
Backstop liquidity facilities
Backstop liquidity facilities are provided to ABCP conduit programs administered by us and third parties as an alternative source
of financing in the event that such programs are unable to access commercial paper markets, or in limited circumstances, when
predetermined performance measures of the financial assets acquired or financed by these programs are not met. We also
provide backstop liquidity facilities to certain third-party commercial mortgage securitization vehicles. The average remaining
term of these liquidity facilities is approximately four years.
The terms of the backstop liquidity facilities do not require us to advance money to these programs in the event of
bankruptcy or insolvency and generally do not require us to purchase non-performing or defaulted assets.
Credit enhancements
We provide partial credit enhancement to multi-seller ABCP programs administered by us to protect commercial paper investors
in the event that the collections on the underlying assets together with the transaction-specific credit enhancements or the
liquidity facilities prove to be insufficient to pay for maturing commercial paper. Each of the asset pools is structured to achieve
a high investment grade credit profile through credit enhancements required to be provided by the third-party sellers related to
each transaction. The average remaining term of these credit facilities is approximately three years.
Documentary and commercial letters of credit
Documentary and commercial letters of credit, which are written undertakings by us on behalf of a client authorizing a third party
to draw drafts on us up to a stipulated amount under specific terms and conditions, where some are collateralized based on the
underlying agreement with the client and others are collateralized by cash deposits or other assets of the client.
Other commitments to extend credit
Commitments to extend credit represent unused portions of authorizations to extend credit in the form of loans, reverse
repurchase agreements, bankers\u2019 acceptances or letters of credit where we do not have the ability to unilaterally withdraw the
credit extended to the borrower.
\n
\n
Other credit-related commitments
Securities lending indemnifications
In securities lending transactions, we act as an agent for the owner of a security, who agrees to lend the security to a borrower
for a fee, under the terms of a pre-arranged contract. The borrower must fully collateralize the security loaned at all times. As
part of this custodial business, an indemnification may be provided to securities lending customers to ensure that the fair value
of securities loaned will be returned in the event that the borrower fails to return the borrowed securities and the collateral held
is insufficient to cover the fair value of those securities. These indemnifications normally terminate without being drawn upon.
The term of these indemnifications varies, as the securities loaned are recallable on demand. Collateral held for our securities
lending transactions typically includes cash, securities that are issued or guaranteed by the Canadian government, U.S.
government or other OECD countries or high quality debt or equity instruments.
Performance guarantees
Performance guarantees represent irrevocable assurances that we will make payments to third-party beneficiaries in the event
that a client fails to perform under a specified non-financial contractual obligation. Such obligations typically include works and
service contracts, performance bonds, and warranties related to international trade. The term of these guarantees can range up
to three to seven years.
Our policy for requiring collateral security with respect to these instruments and the types of collateral security held is generally
the same as for loans. When collateral security is taken, it is determined on an account-by-account basis according to the risk of the
borrower and the specifics of the transaction. Collateral security may include cash, securities and other assets pledged.
Sponsored member guarantees
For certain overnight repurchase and reverse repurchase transactions, we act as a sponsoring member to eligible clients to clear
transactions through the Fixed Income Clearing Corporation (FICC). We also provide a guarantee to FICC for the prompt and full
payment and performance of our sponsored member clients\u2019 respective obligations under the FICC rules. The guarantees are
fully collateralized by cash and securities issued or guaranteed by the U.S. government.
Indemnifications
In the normal course of our operations, we provide indemnifications which are often standard contractual terms to
counterparties in transactions such as purchase and sale contracts, fiduciary, agency, licensing, custodial and service
agreements, clearing system arrangements, participation as a member of exchanges, director/officer contracts and leasing
transactions. These indemnification agreements may require us to compensate the counterparties for costs incurred as a result
of changes in laws and regulations (including tax legislation) or as a result of litigation claims or statutory sanctions that may be
suffered by the counterparty as a consequence of the transaction. The terms of these indemnification agreements vary based on
the contract. The nature of the indemnification agreements prevents us from making a reasonable estimate of the maximum
potential amount we could be required to pay to counterparties. Historically, we have not made any significant payments under
such indemnifications.
Uncommitted amounts
Uncommitted amounts represent undrawn credit facilities for which we have the ability to unilaterally withdraw the credit
extended to the borrower at any time. These include both retail and commercial commitments. As at October 31, 2023, the total
balance of uncommitted amounts was $398 billion (October 31, 2022 \u2013 $363 billion).
Other commitments
We invest in private companies, directly or through third-party investment funds, including venture capital funds, private equity
funds, Small Business Investment Companies, real estate funds and Low Income Housing Tax Credit funds. These funds are
generally structured as closed-end limited partnerships wherein we hold a limited partner interest. For the year ended
October 31, 2023, we have unfunded commitments of $1,832 million (October 31, 2022 \u2013 $1,421 million) representing the aggregate
amount of cash we are obligated to contribute as capital to these partnerships under the terms of the relevant contracts.
Pledged assets and collateral
In the ordinary course of business, we pledge assets and enter into collateral agreements with terms and conditions that are
usual and customary to our regular lending, borrowing and trading activities recorded on our Consolidated Balance Sheets. The
following are examples of our general terms and conditions on pledged assets and collateral:
\u2022
The risks and rewards of the pledged assets reside with the pledgor.
\u2022
The pledged asset is returned to the pledgor when the necessary conditions have been satisfied.
\u2022
The right of the pledgee to sell or re-pledge the asset is dependent on the specific agreement under which the collateral
is pledged.
\u2022
If there is no default, the pledgee must return the comparable asset to the pledgor upon satisfaction of the obligation.
We are also required to provide intraday pledges to the Bank of Canada when we use a real-time electronic wire transfer system
that continuously processes all Canadian dollar large-value or time-critical payments throughout the day. The pledged assets
earmarked for our Canadian dollar large-value or time-critical payments are normally released back to us at the end of the
settlement cycle each day. Therefore, the pledged assets amount is not included in the following table. For the year ended
October 31, 2023, we had on average $1 billion of assets pledged intraday to the Bank of Canada on a daily basis (October 31,
2022 \u2013 $2 billion). There are infrequent occasions where we are required to take an overnight advance from the Bank of Canada
to cover a settlement requirement, in which case an equivalent value of the pledged assets would be used to secure the advance.
There were no overnight advances taken on October 31, 2023 and October 31, 2022.
Assets pledged against liabilities and collateral assets held or re-pledged
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
As at
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Sources of pledged assets and collateral
\u00a0 \u00a0
Bank assets
\u00a0 \u00a0
Loans
$
102,944
$
97,178
Securities
107,122
70,334
Other assets
28,953
40,318
\u00a0
239,019
207,830
Client assets
(1)
\u00a0 \u00a0
Collateral received and available for sale or re-pledging
502,109
465,484
Less: not sold or re-pledged
(6,876)
(9,192)
\u00a0
495,233
456,292
\u00a0
$
734,252
$
664,122
Uses of pledged assets and collateral
\u00a0 \u00a0
Securities borrowing and lending
$
168,681
$
158,748
Obligations related to securities sold short
46,260
45,288
Obligations related to securities lent or sold under repurchase agreements
331,784
274,392
Securitization
38,686
40,438
Covered bonds
69,802
62,905
Derivative transactions
40,352
49,556
Foreign governments and central banks
9,111
9,503
Clearing systems, payment systems and depositories
10,709
8,263
Other
18,867
15,029
\u00a0
$
734,252
$
664,122
\n
(1)
Primarily relates to Obligations related to securities lent or sold under repurchase agreements, Securities lent and Derivative transactions.", "dimensions": { "concept": "ifrs-full:DisclosureOfContingentLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f53265": { "value": "Note 24
Guarantees, commitments, pledged assets and contingencies
Guarantees and commitments
We use guarantees and other off-balance sheet credit instruments to meet the financing needs of our clients.
The table below summarizes our maximum exposure to credit losses related to our guarantees and commitments provided
to third parties. The maximum exposure to credit risk relating to a guarantee is the maximum risk of loss if there was a total
default by the guaranteed parties, without consideration of possible recoveries under recourse provisions, insurance policies or
from collateral held or pledged. The maximum exposure to credit risk relating to a commitment to extend credit is the full amount
of the commitment. In both cases, the maximum risk exposure is significantly greater than the amount recognized as a liability in
our Consolidated Balance Sheets.
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
Maximum exposure
to credit losses
As at
\u00a0
\u00a0
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Financial guarantees
\u00a0 \u00a0
Financial standby letters of credit
$
23,314
$
20,291
Commitments to extend credit
\u00a0 \u00a0
Backstop liquidity facilities
51,544
45,336
Credit enhancements
3,226
2,960
Documentary and commercial letters of credit
291
318
Other commitments to extend credit
301,132
284,602
Other credit-related commitments
\u00a0 \u00a0
Securities lending indemnifications
95,055
90,693
Performance guarantees
7,503
7,333
Sponsored member guarantees
14,043
1,241
Other
203
360
\n
Our credit review process, our policy for requiring collateral security, and the types of collateral security held are generally the
same for guarantees and commitments as for loans. Our clients generally have the right to request settlement of, or draw on, our
guarantees and commitments within one year. However, certain guarantees can only be drawn if specified conditions are met.
These conditions, along with collateral requirements, are described below. We believe that it is highly unlikely that all or
substantially all of the guarantees and commitments will be drawn or settled within one year, and contracts may expire without
being drawn or settled.
Financial guarantees
Financial standby letters of credit
Financial standby letters of credit represent irrevocable assurances that we will make payments in the event that a client cannot
meet its payment obligations to the third party. For certain guarantees, the guaranteed party can request payment from us even
though the client has not defaulted on its obligations. These guarantees generally have a term of five to seven years.
Our policy for requiring collateral security with respect to these instruments and the types of collateral security held is generally
the same as for loans. When collateral security is taken, it is determined on an account-by-account basis according to the risk of the
borrower and the specifics of the transaction. Collateral security may include cash, securities and other assets pledged.
Commitments to extend credit
Backstop liquidity facilities
Backstop liquidity facilities are provided to ABCP conduit programs administered by us and third parties as an alternative source
of financing in the event that such programs are unable to access commercial paper markets, or in limited circumstances, when
predetermined performance measures of the financial assets acquired or financed by these programs are not met. We also
provide backstop liquidity facilities to certain third-party commercial mortgage securitization vehicles. The average remaining
term of these liquidity facilities is approximately four years.
The terms of the backstop liquidity facilities do not require us to advance money to these programs in the event of
bankruptcy or insolvency and generally do not require us to purchase non-performing or defaulted assets.
Credit enhancements
We provide partial credit enhancement to multi-seller ABCP programs administered by us to protect commercial paper investors
in the event that the collections on the underlying assets together with the transaction-specific credit enhancements or the
liquidity facilities prove to be insufficient to pay for maturing commercial paper. Each of the asset pools is structured to achieve
a high investment grade credit profile through credit enhancements required to be provided by the third-party sellers related to
each transaction. The average remaining term of these credit facilities is approximately three years.
Documentary and commercial letters of credit
Documentary and commercial letters of credit, which are written undertakings by us on behalf of a client authorizing a third party
to draw drafts on us up to a stipulated amount under specific terms and conditions, where some are collateralized based on the
underlying agreement with the client and others are collateralized by cash deposits or other assets of the client.
Other commitments to extend credit
Commitments to extend credit represent unused portions of authorizations to extend credit in the form of loans, reverse
repurchase agreements, bankers\u2019 acceptances or letters of credit where we do not have the ability to unilaterally withdraw the
credit extended to the borrower.
\n
\n
Other credit-related commitments
Securities lending indemnifications
In securities lending transactions, we act as an agent for the owner of a security, who agrees to lend the security to a borrower
for a fee, under the terms of a pre-arranged contract. The borrower must fully collateralize the security loaned at all times. As
part of this custodial business, an indemnification may be provided to securities lending customers to ensure that the fair value
of securities loaned will be returned in the event that the borrower fails to return the borrowed securities and the collateral held
is insufficient to cover the fair value of those securities. These indemnifications normally terminate without being drawn upon.
The term of these indemnifications varies, as the securities loaned are recallable on demand. Collateral held for our securities
lending transactions typically includes cash, securities that are issued or guaranteed by the Canadian government, U.S.
government or other OECD countries or high quality debt or equity instruments.
Performance guarantees
Performance guarantees represent irrevocable assurances that we will make payments to third-party beneficiaries in the event
that a client fails to perform under a specified non-financial contractual obligation. Such obligations typically include works and
service contracts, performance bonds, and warranties related to international trade. The term of these guarantees can range up
to three to seven years.
Our policy for requiring collateral security with respect to these instruments and the types of collateral security held is generally
the same as for loans. When collateral security is taken, it is determined on an account-by-account basis according to the risk of the
borrower and the specifics of the transaction. Collateral security may include cash, securities and other assets pledged.
Sponsored member guarantees
For certain overnight repurchase and reverse repurchase transactions, we act as a sponsoring member to eligible clients to clear
transactions through the Fixed Income Clearing Corporation (FICC). We also provide a guarantee to FICC for the prompt and full
payment and performance of our sponsored member clients\u2019 respective obligations under the FICC rules. The guarantees are
fully collateralized by cash and securities issued or guaranteed by the U.S. government.
Indemnifications
In the normal course of our operations, we provide indemnifications which are often standard contractual terms to
counterparties in transactions such as purchase and sale contracts, fiduciary, agency, licensing, custodial and service
agreements, clearing system arrangements, participation as a member of exchanges, director/officer contracts and leasing
transactions. These indemnification agreements may require us to compensate the counterparties for costs incurred as a result
of changes in laws and regulations (including tax legislation) or as a result of litigation claims or statutory sanctions that may be
suffered by the counterparty as a consequence of the transaction. The terms of these indemnification agreements vary based on
the contract. The nature of the indemnification agreements prevents us from making a reasonable estimate of the maximum
potential amount we could be required to pay to counterparties. Historically, we have not made any significant payments under
such indemnifications.
Uncommitted amounts
Uncommitted amounts represent undrawn credit facilities for which we have the ability to unilaterally withdraw the credit
extended to the borrower at any time. These include both retail and commercial commitments. As at October 31, 2023, the total
balance of uncommitted amounts was $398 billion (October 31, 2022 \u2013 $363 billion).
Other commitments
We invest in private companies, directly or through third-party investment funds, including venture capital funds, private equity
funds, Small Business Investment Companies, real estate funds and Low Income Housing Tax Credit funds. These funds are
generally structured as closed-end limited partnerships wherein we hold a limited partner interest. For the year ended
October 31, 2023, we have unfunded commitments of $1,832 million (October 31, 2022 \u2013 $1,421 million) representing the aggregate
amount of cash we are obligated to contribute as capital to these partnerships under the terms of the relevant contracts.
Pledged assets and collateral
In the ordinary course of business, we pledge assets and enter into collateral agreements with terms and conditions that are
usual and customary to our regular lending, borrowing and trading activities recorded on our Consolidated Balance Sheets. The
following are examples of our general terms and conditions on pledged assets and collateral:
\u2022
The risks and rewards of the pledged assets reside with the pledgor.
\u2022
The pledged asset is returned to the pledgor when the necessary conditions have been satisfied.
\u2022
The right of the pledgee to sell or re-pledge the asset is dependent on the specific agreement under which the collateral
is pledged.
\u2022
If there is no default, the pledgee must return the comparable asset to the pledgor upon satisfaction of the obligation.
We are also required to provide intraday pledges to the Bank of Canada when we use a real-time electronic wire transfer system
that continuously processes all Canadian dollar large-value or time-critical payments throughout the day. The pledged assets
earmarked for our Canadian dollar large-value or time-critical payments are normally released back to us at the end of the
settlement cycle each day. Therefore, the pledged assets amount is not included in the following table. For the year ended
October 31, 2023, we had on average $1 billion of assets pledged intraday to the Bank of Canada on a daily basis (October 31,
2022 \u2013 $2 billion). There are infrequent occasions where we are required to take an overnight advance from the Bank of Canada
to cover a settlement requirement, in which case an equivalent value of the pledged assets would be used to secure the advance.
There were no overnight advances taken on October 31, 2023 and October 31, 2022.
Assets pledged against liabilities and collateral assets held or re-pledged
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
As at
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Sources of pledged assets and collateral
\u00a0 \u00a0
Bank assets
\u00a0 \u00a0
Loans
$
102,944
$
97,178
Securities
107,122
70,334
Other assets
28,953
40,318
\u00a0
239,019
207,830
Client assets
(1)
\u00a0 \u00a0
Collateral received and available for sale or re-pledging
502,109
465,484
Less: not sold or re-pledged
(6,876)
(9,192)
\u00a0
495,233
456,292
\u00a0
$
734,252
$
664,122
Uses of pledged assets and collateral
\u00a0 \u00a0
Securities borrowing and lending
$
168,681
$
158,748
Obligations related to securities sold short
46,260
45,288
Obligations related to securities lent or sold under repurchase agreements
331,784
274,392
Securitization
38,686
40,438
Covered bonds
69,802
62,905
Derivative transactions
40,352
49,556
Foreign governments and central banks
9,111
9,503
Clearing systems, payment systems and depositories
10,709
8,263
Other
18,867
15,029
\u00a0
$
734,252
$
664,122
\n
(1)
Primarily relates to Obligations related to securities lent or sold under repurchase agreements, Securities lent and Derivative transactions.", "dimensions": { "concept": "ifrs-full:DisclosureOfCommitmentsAndContingentLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f53718": { "value": "Note 25
Legal and regulatory matters
We are a large global institution that is subject to many different complex legal and regulatory requirements that continue to
evolve. We are and have been subject to a variety of legal proceedings, including civil claims and lawsuits, regulatory
examinations, investigations, audits and requests for information by various governmental regulatory agencies and law
enforcement authorities in various jurisdictions. Some of these matters may involve novel legal theories and interpretations and
may be advanced under criminal as well as civil statutes, and some proceedings could result in the imposition of civil, regulatory
enforcement or criminal penalties. We review the status of all proceedings on an ongoing basis and will exercise judgment in
resolving them in such manner as we believe to be in our best interest. In many proceedings, it is inherently difficult to determine
whether any loss is probable or to reliably estimate the amount of any loss. This is an area of significant judgment and
uncertainty and the extent of our financial and other exposure to these proceedings after taking into account current provisions
could be material to our results of operations in any particular period though we do not believe that the ultimate resolution of
any such matter will have a material effect on our consolidated financial condition. The following is a description of our
significant legal proceedings. Based on the facts currently known, except as may otherwise be noted, it is not possible at this
time for us to predict the ultimate outcome of these proceedings or the timing of their resolution.
London interbank offered rate (LIBOR) litigation
Royal Bank of Canada and other U.S. dollar panel banks have been named as defendants in private lawsuits filed in the U.S. with
respect to the setting of U.S. dollar LIBOR including a number of class action lawsuits which have been consolidated before the
U.S. District Court for the Southern District of New York. The complaints in those private lawsuits assert claims against us and
other panel banks under various U.S. laws, including U.S. antitrust laws, the U.S. Commodity Exchange Act, and state law. On
December 30, 2021, the U.S. Court of Appeals for the Second Circuit issued an opinion affirming in part and reversing in part certain
district court rulings that had dismissed a substantial portion of the consolidated class action on jurisdictional grounds and lack of
standing. The Second Circuit remanded the matter to the district court for further proceedings consistent with its decision.
On July 21, 2023, Royal Bank of Canada and several other defendants executed a settlement agreement resolving one of the
LIBOR class actions brought on behalf of certain plaintiffs that purchased U.S. dollar LIBOR-based instruments. The settlement
was preliminarily approved on August 1, 2023 and remains subject to final court approval.
Royal Bank of Canada Trust Company (Bahamas) Limited proceedings
On April 13, 2015, a French investigating judge notified Royal Bank of Canada Trust Company (Bahamas) Limited (RBC Bahamas)
of the issuance of an
ordonnance de renvoi
referring RBC Bahamas and other unrelated persons to the French
tribunal
correctionnel
to face the charge of complicity in estate tax fraud relating to actions taken relating to a trust for which RBC
Bahamas serves as trustee. RBC Bahamas believes that its actions did not violate French law and contested the charge in the
French court. On January 12, 2017, the French court acquitted all parties including RBC Bahamas and on June 29, 2018, the French
appellate court affirmed the acquittals. The acquittals were appealed and on January 6, 2021, the French Supreme Court issued a
judgment reversing the decision of the French Court of Appeal and sent the case back to the French Court of Appeal for
rehearing. The retrial before the Court of Appeal commenced on September 18, 2023 and has concluded. The Court of Appeal\u2019s
decision is expected to be issued on March 5, 2024.
On October 28, 2016, Royal Bank of Canada was granted an exemption by the U.S. Department of Labor that allows Royal
Bank of Canada and its current and future affiliates to continue to qualify for the Qualified Professional Asset Manager (QPAM)
exemption under the Employee Retirement Income Security Act despite any potential conviction of RBC Bahamas in the French
proceeding for a temporary one year period from the date of conviction. We expect the Department of Labor to publish a
technical correction to the prior one-year exemption in advance of the Court of Appeals decision. The anticipated technical
correction will reflect the fact that the decision will be rendered by an appellate court, and not the district court. In addition, the
Department of Labor has proposed amendments to the QPAM exemption. If the amendments are finalized as proposed, it is
unclear how they would affect Royal Bank of Canada\u2019s ability to obtain relief beyond the one-year temporary exemption period.
RBC Bahamas continues to review the trustee\u2019s and the trust\u2019s legal obligations, including liabilities and potential liabilities
under applicable tax and other laws.
Foreign exchange matters
Beginning in 2015, putative class actions were brought against Royal Bank of Canada and/or RBC Capital Markets, LLC in the U.S.,
Canada, the United Kingdom and Brazil. These actions were each brought against multiple foreign exchange dealers and alleged,
among other things, collusive behaviour in global foreign exchange trading. By May 2023 all of the U.S., Canadian and U.K. actions
were settled or dismissed, and while the Brazilian actions have not been resolved, our exposure to these actions is de minimis to
Royal Bank of Canada.
U.S. communications recordkeeping inquiry
In October 2022, our subsidiary RBC Capital Markets, LLC received a request for information and documents from the Securities
and Exchange Commission (SEC) concerning compliance with records preservation requirements relating to business
communications exchanged on electronic channels that have not been approved by RBC Capital Markets, LLC. RBC Capital
Markets, LLC is cooperating with the SEC\u2019s inquiry. As has been publicly reported, the SEC is conducting similar inquiries into
recordkeeping practices at multiple other financial institutions.
U.K. Competition and Markets Authority investigation
In November 2018, the U.K. Competition and Markets Authority (CMA) started an investigation of Royal Bank of Canada and RBC
Europe Limited relating to alleged anti-competitive conduct between 2009 and 2013, involving U.K. government bonds and related
derivatives. In May 2023, the CMA issued a statement of objections to Royal Bank of Canada and RBC Europe Limited, and certain
other financial institutions. Royal Bank of Canada and RBC Europe Limited are contesting the CMA\u2019s case.
In June 2023, RBC Europe Limited and RBC Capital Markets, LLC, among other financial institutions, were named as
defendants in a putative class action filed in the U.S. by plaintiffs alleging anti-competitive conduct in the U.K. government bonds
market. In September 2023, the defendants filed a motion to dismiss the complaint.
Vacation pay class action
On December 29, 2022, the Ontario Superior Court of Justice certified a class in an action against RBC Dominion Securities
Limited and RBC Dominion Securities Inc. (together, RBC DS). The action commenced in July 2020, asserting claims relating to
statutory vacation pay and public holiday pay for investment advisors, associates and assistants in our Canadian Wealth
Management business, with the exception of those employed in Alberta and British Columbia.
Other matters
We are a defendant in a number of other actions alleging that certain of our practices and actions were improper. The lawsuits
involve a variety of complex issues and the timing of their resolution is varied and uncertain. Management believes that we will
ultimately be successful in resolving these lawsuits, to the extent that we are able to assess them, without material financial
impact to the Bank. This is, however, an area of significant judgment and the potential liability resulting from these lawsuits
could be material to our results of operations in any particular period.
Various other legal proceedings are pending that challenge certain of our other practices or actions. While this is an area of
significant judgment and some matters are currently inestimable, we consider that the aggregate liability, to the extent that we
are able to assess it, resulting from these other proceedings will not be material to our consolidated financial position or results
of operations.", "dimensions": { "concept": "ifrs-full:DisclosureOfRegulatoryDeferralAccountsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f53827": { "value": "Note 26
Related party transactions
Related parties
Related parties include associated companies over which we have direct or indirect control or have significant influence and
post-employment benefit plans for the benefit of our employees. Related parties also include key management personnel (KMP),
the Board of Directors (Directors), close family members of KMP and Directors, and entities which are, directly or indirectly,
controlled by or jointly controlled by KMP, Directors or their close family members.
Key management personnel and Directors
KMP are defined as those persons having authority and responsibility for planning, directing and controlling our activities,
directly or indirectly. They include the senior members of our organization called the Group Executive (GE). The GE is comprised
of the President and Chief Executive Officer, and the Chief Officers and Group Heads, who report directly to him. The Directors do
not plan, direct, or control the activities of the entity; they oversee the management of the business and provide stewardship.
Compensation of Key management personnel and Directors
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
For the year ended
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
(1)
Salaries and other short-term employee benefits
(2)
$
23
$
27
Post-employment benefits
(3)
2
2
Share-based payments
39
40
\u00a0
$
64
$
69
\n
(1)
During the year ended October 31, 2022 certain executives, who were members of the Bank\u2019s GE as at October 31, 2021, left the Bank and therefore were no longer part of
KMP. Compensation for the year ended October 31, 2022 attributable to the former executives, including benefits and share-based payments relating to awards granted in
prior years was $14 million.
(2)
Includes the portion of the annual variable short-term incentive bonus that certain executives elected to receive in the form of DSUs. Refer to Note 21 for further details.
Directors receive retainers but do not receive salaries and other short-term employee benefits.
(3)
Directors do not receive post-employment benefits.
Stock options, share-based awards and shares held by Key management personnel, Directors and their close family
members
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
As at
\u00a0
October 31, 2023
(1)
October 31, 2022 (2)
\u00a0
No. of
\u00a0
No. of
\u00a0
(Millions of Canadian dollars, except number of units)
units held
Value
units held
Value
Stock options
(3)
2,805,471
$
26
2,409,294
$
59
Other non-option share-based awards
(3)
991,909
110
914,496
115
RBC common and preferred shares
181,648
20
170,312
22
\u00a0
3,979,028
$
156
3,494,102
$
196
\n
(1)
During the year ended October 31, 2023, certain directors, who were members of the Board of Directors as at October 31, 2022, retired. Total shareholdings held upon
their retirement was 32,958 units with a value of $4 million.
(2)
During the year ended October 31, 2022 certain executives, who were members of the Bank\u2019s GE as at October 31, 2021, left the Bank and therefore were no longer KMP.
Total shareholdings and options held upon their departure was 569,470 units with a value of $34 million.
(3)
Directors do not receive stock options or any other non-option share-based awards.
Transactions, arrangements and agreements involving Key management personnel, Directors and their close family
members
In the normal course of business, we provide certain banking services to KMP, Directors, and their close family members. These
transactions were made on substantially the same terms, including interest rates and security, as for comparable transactions
with persons of a similar standing and did not involve more than the normal risk of repayment or present other unfavourable
features.
As at October 31, 2023, total loans to KMP, Directors and their close family members were $18 million (October 31, 2022 \u2013
$14 million). We have no Stage 3 allowance or provision for credit losses relating to these loans as at and for the years ended
October 31, 2023 and October 31, 2022. No guarantees, pledges or commitments have been given to KMP, Directors or their close
family members.
Joint ventures and associates
In the normal course of business, we provide certain banking and financial services to our joint ventures and associates,
including loans, interest and non-interest bearing deposits. These transactions meet the definition of related party transactions
and were made on substantially the same terms as for comparable transactions with third parties.
As at October 31, 2023, loans to joint ventures and associates were $217 million (October 31, 2022 \u2013 $251 million) and deposits
from joint ventures and associates were $77 million (October 31, 2022 \u2013 $20 million). We have no stage 3 allowance or provision
for credit losses relating to loans to joint ventures and associates as at and for the years ended October 31, 2023 and October 31,
2022. $1 million of guarantees have been given to joint ventures and associates for the year ended October 31, 2023 (October 31,
2022 \u2013 $1 million).
Other transactions, arrangements or agreements involving joint ventures and associates
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
As at or for the year ended
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Commitments and other contingencies
$
1,089
$
829
Other fees received for services rendered
55
50
Other fees paid for services received
108
107
\n", "dimensions": { "concept": "ifrs-full:DescriptionOfTransactionsWithRelatedParty", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f53828": { "value": "Note 26
Related party transactions
Related parties
Related parties include associated companies over which we have direct or indirect control or have significant influence and
post-employment benefit plans for the benefit of our employees. Related parties also include key management personnel (KMP),
the Board of Directors (Directors), close family members of KMP and Directors, and entities which are, directly or indirectly,
controlled by or jointly controlled by KMP, Directors or their close family members.
Key management personnel and Directors
KMP are defined as those persons having authority and responsibility for planning, directing and controlling our activities,
directly or indirectly. They include the senior members of our organization called the Group Executive (GE). The GE is comprised
of the President and Chief Executive Officer, and the Chief Officers and Group Heads, who report directly to him. The Directors do
not plan, direct, or control the activities of the entity; they oversee the management of the business and provide stewardship.
Compensation of Key management personnel and Directors
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
For the year ended
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
(1)
Salaries and other short-term employee benefits
(2)
$
23
$
27
Post-employment benefits
(3)
2
2
Share-based payments
39
40
\u00a0
$
64
$
69
\n
(1)
During the year ended October 31, 2022 certain executives, who were members of the Bank\u2019s GE as at October 31, 2021, left the Bank and therefore were no longer part of
KMP. Compensation for the year ended October 31, 2022 attributable to the former executives, including benefits and share-based payments relating to awards granted in
prior years was $14 million.
(2)
Includes the portion of the annual variable short-term incentive bonus that certain executives elected to receive in the form of DSUs. Refer to Note 21 for further details.
Directors receive retainers but do not receive salaries and other short-term employee benefits.
(3)
Directors do not receive post-employment benefits.
Stock options, share-based awards and shares held by Key management personnel, Directors and their close family
members
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
As at
\u00a0
October 31, 2023
(1)
October 31, 2022 (2)
\u00a0
No. of
\u00a0
No. of
\u00a0
(Millions of Canadian dollars, except number of units)
units held
Value
units held
Value
Stock options
(3)
2,805,471
$
26
2,409,294
$
59
Other non-option share-based awards
(3)
991,909
110
914,496
115
RBC common and preferred shares
181,648
20
170,312
22
\u00a0
3,979,028
$
156
3,494,102
$
196
\n
(1)
During the year ended October 31, 2023, certain directors, who were members of the Board of Directors as at October 31, 2022, retired. Total shareholdings held upon
their retirement was 32,958 units with a value of $4 million.
(2)
During the year ended October 31, 2022 certain executives, who were members of the Bank\u2019s GE as at October 31, 2021, left the Bank and therefore were no longer KMP.
Total shareholdings and options held upon their departure was 569,470 units with a value of $34 million.
(3)
Directors do not receive stock options or any other non-option share-based awards.
Transactions, arrangements and agreements involving Key management personnel, Directors and their close family
members
In the normal course of business, we provide certain banking services to KMP, Directors, and their close family members. These
transactions were made on substantially the same terms, including interest rates and security, as for comparable transactions
with persons of a similar standing and did not involve more than the normal risk of repayment or present other unfavourable
features.
As at October 31, 2023, total loans to KMP, Directors and their close family members were $18 million (October 31, 2022 \u2013
$14 million). We have no Stage 3 allowance or provision for credit losses relating to these loans as at and for the years ended
October 31, 2023 and October 31, 2022. No guarantees, pledges or commitments have been given to KMP, Directors or their close
family members.
Joint ventures and associates
In the normal course of business, we provide certain banking and financial services to our joint ventures and associates,
including loans, interest and non-interest bearing deposits. These transactions meet the definition of related party transactions
and were made on substantially the same terms as for comparable transactions with third parties.
As at October 31, 2023, loans to joint ventures and associates were $217 million (October 31, 2022 \u2013 $251 million) and deposits
from joint ventures and associates were $77 million (October 31, 2022 \u2013 $20 million). We have no stage 3 allowance or provision
for credit losses relating to loans to joint ventures and associates as at and for the years ended October 31, 2023 and October 31,
2022. $1 million of guarantees have been given to joint ventures and associates for the year ended October 31, 2023 (October 31,
2022 \u2013 $1 million).
Other transactions, arrangements or agreements involving joint ventures and associates
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
As at or for the year ended
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Commitments and other contingencies
$
1,089
$
829
Other fees received for services rendered
55
50
Other fees paid for services received
108
107
\n", "dimensions": { "concept": "ifrs-full:DisclosureOfRelatedPartyExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f53838": { "value": "Key management personnel and Directors
KMP are defined as those persons having authority and responsibility for planning, directing and controlling our activities,
directly or indirectly. They include the senior members of our organization called the Group Executive (GE). The GE is comprised
of the President and Chief Executive Officer, and the Chief Officers and Group Heads, who report directly to him. The Directors do
not plan, direct, or control the activities of the entity; they oversee the management of the business and provide stewardship.
Compensation of Key management personnel and Directors
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
For the year ended
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
(1)
Salaries and other short-term employee benefits
(2)
$
23
$
27
Post-employment benefits
(3)
2
2
Share-based payments
39
40
\u00a0
$
64
$
69
\n
(1)
During the year ended October 31, 2022 certain executives, who were members of the Bank\u2019s GE as at October 31, 2021, left the Bank and therefore were no longer part of
KMP. Compensation for the year ended October 31, 2022 attributable to the former executives, including benefits and share-based payments relating to awards granted in
prior years was $14 million.
(2)
Includes the portion of the annual variable short-term incentive bonus that certain executives elected to receive in the form of DSUs. Refer to Note 21 for further details.
Directors receive retainers but do not receive salaries and other short-term employee benefits.
(3)
Directors do not receive post-employment benefits.
Stock options, share-based awards and shares held by Key management personnel, Directors and their close family
members
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
As at
\u00a0
October 31, 2023
(1)
October 31, 2022 (2)
\u00a0
No. of
\u00a0
No. of
\u00a0
(Millions of Canadian dollars, except number of units)
units held
Value
units held
Value
Stock options
(3)
2,805,471
$
26
2,409,294
$
59
Other non-option share-based awards
(3)
991,909
110
914,496
115
RBC common and preferred shares
181,648
20
170,312
22
\u00a0
3,979,028
$
156
3,494,102
$
196
\n
(1)
During the year ended October 31, 2023, certain directors, who were members of the Board of Directors as at October 31, 2022, retired. Total shareholdings held upon
their retirement was 32,958 units with a value of $4 million.
(2)
During the year ended October 31, 2022 certain executives, who were members of the Bank\u2019s GE as at October 31, 2021, left the Bank and therefore were no longer KMP.
Total shareholdings and options held upon their departure was 569,470 units with a value of $34 million.
(3)
Directors do not receive stock options or any other non-option share-based awards.
Transactions, arrangements and agreements involving Key management personnel, Directors and their close family
members
In the normal course of business, we provide certain banking services to KMP, Directors, and their close family members. These
transactions were made on substantially the same terms, including interest rates and security, as for comparable transactions
with persons of a similar standing and did not involve more than the normal risk of repayment or present other unfavourable
features.
As at October 31, 2023, total loans to KMP, Directors and their close family members were $18 million (October 31, 2022 \u2013
$14 million). We have no Stage 3 allowance or provision for credit losses relating to these loans as at and for the years ended
October 31, 2023 and October 31, 2022. No guarantees, pledges or commitments have been given to KMP, Directors or their close
family members. ", "dimensions": { "concept": "ifrs-full:DisclosureOfInformationAboutKeyManagementPersonnelExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f54100": { "value": "Note 27
Results by business segment
Composition of business segments
For management purposes, based on the products and services offered, we are organized into four business segments:
Personal & Commercial Banking, Wealth Management, Insurance, and Capital Markets. Effective the first quarter of 2023, we
simplified our reporting structure by eliminating the Investor & Treasury Services segment and moving its former businesses to
existing segments. We moved our Investor Services business to our Wealth Management segment, and our Treasury Services and
Transaction Banking businesses to our Capital Markets segment. Effective the fourth quarter of 2023, we moved the Investor
Services lending business from our Wealth Management segment to our Capital Markets segment. From a reporting perspective,
there were no changes to our Personal & Commercial Banking and Insurance segments. Comparative results have been revised
to conform to our new basis of segment presentation.
Personal & Commercial Banking provides a broad suite of financial products and services to individual and business clients for
their day-to-day banking, investing and financing needs through two businesses: Canadian Banking and Caribbean & U.S.
Banking. In Canada, we provide a broad suite of financial products and services through our large branch network, ATMs, and
mobile sales network. In the Caribbean and the U.S., we offer a broad range of financial products and services in targeted
markets. Non-interest income in Personal & Commercial Banking mainly comprises Service charges, Mutual fund revenue and
Card service revenue.
Wealth Management serves high net worth and ultra-high net worth individual and institutional clients with a comprehensive
suite of advice-based solutions and strategies as well as personalized banking relationships through our lines of businesses in
Canada, the U.S., the U.K., Europe and Asia, including Canadian Wealth Management, U.S. Wealth Management (including City
National), Global Asset Management, International Wealth Management, and Investor Services. Non-interest income in Wealth
Management mainly comprises Investment management and custodial fees, Mutual fund revenue and Securities brokerage
commissions.
Insurance has operations in Canada and globally, operating under two business lines: Canadian Insurance and International
Insurance, providing a wide range of advice and solutions for individual and business clients including life, health, wealth,
property & casualty, travel, group benefits, annuities, and reinsurance. In Canada, we offer our products and services through a
wide variety of channels, comprised of mobile advisors, advice centres, RBC Insurance
\u00ae
stores, and digital platforms as well as
through independent brokers and partners. Outside Canada, we operate in reinsurance and retrocession markets globally
offering life, critical illness, disability and longevity reinsurance products. Non-interest income in Insurance is comprised of
Insurance premiums, and investment and fee income.
Capital Markets provides expertise in advisory & origination, sales & trading, lending & financing and transaction banking to
corporations, institutional clients, asset managers, private equity firms and governments globally in our two main business lines:
Corporate & Investment Banking and Global Markets. In North America, we offer a full suite of products and services which
include equity and debt origination and distribution, advisory services, and sales & trading. Outside North America, we have a
targeted strategic presence in the U.K. & Europe, Australia, Asia & other markets aligned to our global expertise. In the U.K. &
Europe, we offer a diversified set of capabilities in key industry sectors of focus. In Australia and Asia, we compete with global
and regional investment banks in targeted areas aligned to our global expertise, including fixed income distribution and
currencies trading, secured financing, as well as corporate and investment banking. Non-interest income in Capital Markets
mainly includes Trading revenue, Underwriting and other advisory fees and Credit fees.
All other enterprise level activities that are not allocated to these four business segments, such as certain treasury and liquidity
management activities, including amounts associated with unattributed capital, and consolidation adjustments, including the
elimination of the Taxable equivalent basis (Teb) gross-up amounts, are included in Corporate Support. Teb adjustments gross
up income from certain tax-advantaged sources from Canadian taxable corporate dividends and U.S. tax credit investments
recorded in Capital Markets to their effective tax equivalent value with the corresponding offset recorded in the provision for
income taxes. Management believes that these Teb adjustments are necessary for Capital Markets to reflect how it is managed
and enhances the comparability of revenue across our taxable and tax-advantaged sources. Our use of Teb adjustments may not
be comparable to similarly adjusted amounts at other financial institutions. The Teb adjustment for the year ended October 31,
2023 was $559 million (October 31, 2022 \u2013 $572 million). Gains (losses) on economic hedges of our U.S. Wealth Management
(including City National) share-based compensation plans, which are reflected in revenue, and related variability in share-based
compensation expense driven by changes in the fair value of liabilities relating to these plans are also included in Corporate
Support as this presentation more closely aligns with how we view business performance and manage the underlying risks.
Geographic segments
For geographic reporting, our segments are grouped into Canada, the U.S. and Other International. Transactions are primarily
recorded in the location that best reflects the risk due to negative changes in economic conditions and prospects for growth due
to positive economic changes. This location frequently corresponds with the location of the legal entity through which the
business is conducted and the location of our clients. Transactions are recorded in the local currency and are subject to foreign
exchange rate fluctuations with respect to the movement in the Canadian dollar.
Management reporting framework
Our management reporting framework is intended to measure the performance of each business segment as if it were a stand-
alone business and reflects the way that the business segment is managed. This approach is intended to ensure that our
business segments\u2019 results include all applicable revenue and expenses associated with the conduct of their business and
depicts how management views those results. We regularly monitor these segment results for the purpose of making decisions
about resource allocation and performance assessment. These items do not impact our consolidated results.
The expenses in each business segment may include costs or services directly incurred or provided on their behalf at the
enterprise level. For other costs not directly attributable to one of our business segments, we use a management reporting
framework that uses assumptions and methodologies for allocating overhead costs and indirect expenses to our business
segments and that assists in the attribution of capital and the transfer pricing of funds to our business segments in a manner that
consistently measures and aligns the economic costs with the underlying benefits and risks of that specific business segment.
Activities and business conducted between our business segments are generally at market rates. All other enterprise level
activities that are not allocated to our four business segments are reported under Corporate Support.
Our assumptions and methodologies used in our management reporting framework are periodically reviewed by us to
ensure that they remain valid. The capital attribution methodologies involve a number of assumptions that are revised
periodically.
\n\n\n \n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0 \u00a0 \u00a0
For the year ended October 31, 2023
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
\u00a0
Personal &
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
\u00a0
Commercial
Wealth
\u00a0
Capital
Corporate
\u00a0 \u00a0
United
Other
(Millions of Canadian dollars)
Banking
Management
Insurance
Markets
(1)
Support
(1)
Total
Canada
States
International
Net interest income
(2)
$
16,074
$
4,495
$
\u2013
$
3,379
$
1,181
$
25,129
$
18,752
$
5,065
$
1,312
Non-interest income
6,046
13,049
5,675
7,672
(1,442)
31,000
14,851
8,563
7,586
Total revenue
22,120
17,544
5,675
11,051
(261)
56,129
33,603
13,628
8,898
Provision for credit losses
1,579
328
\u2013
561
\u2013
2,468
1,648
784
36
Insurance policyholder benefits,
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
claims and acquisition expense
\u2013
\u2013
4,022
\u2013
\u2013
4,022
2,161
\u2013
1,861
Non-interest expense
9,215
14,128
653
6,509
668
31,173
15,319
11,177
4,677
Net income (loss) before income
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
taxes
11,326
3,088
1,000
3,981
(929)
18,466
14,475
1,667
2,324
Income taxes (recoveries)
3,060
661
197
(158)
(160)
3,600
4,770
(1,103)
(67)
Net income
$
8,266
$
2,427
$
803
$
4,139
$
(769)
$
14,866
$
9,705
$
2,770
$
2,391
Non-interest expense includes:
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Depreciation and amortization
$
961
$
1,234
$
58
$
509
$
\u2013
$
2,762
$
1,570
$
836
$
356
Impairment of other intangibles
13
81
1
2
11
108
28
65
15
Total assets
$ 636,046
$
179,227
$ 22,591
$ 1,100,172
$
66,956
$ 2,004,992
$
1,042,663
$
639,296
$
323,033
Total assets include:
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Additions to premises and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
equipment and intangibles
$
463
$
1,008
$
53
$
311
$
639
$
2,474
$
1,334
$
700
$
440
Total liabilities
$ 635,952
$
177,389
$ 23,355
$ 1,099,893
$
(49,357)
$ 1,887,232
\u00a0 \u00a0 \u00a0
\n\n\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0 \u00a0 \u00a0
For the year ended October 31, 2022
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
\u00a0
Personal &
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
\u00a0
Commercial
Wealth
\u00a0
Capital
Corporate
\u00a0 \u00a0 \u00a0
Other
(Millions of Canadian dollars)
Banking
Management
(3)
Insurance
Markets
(1)
, (3)
Support
(1)
Total
Canada
United States
International
Net interest income
(2)
$
14,019
$
3,886
$
\u2013
$
4,944
$
(132)
$
22,717
$
15,761
$
5,423
$
1,533
Non-interest income
6,124
12,357
3,510
5,005
(728)
26,268
13,508
6,364
6,396
Total revenue
20,143
16,243
3,510
9,949
(860)
48,985
29,269
11,787
7,929
Provision for credit losses
463
33
\u2013
(13)
1
484
600
60
(176)
Insurance policyholder benefits,
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
claims and acquisition expense
\u2013
\u2013
1,783
\u2013
\u2013
1,783
(466)
\u2013
2,249
Non-interest expense
8,437
12,015
588
5,816
(247)
26,609
13,648
9,006
3,955
Net income (loss) before income
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
taxes
11,243
4,195
1,139
4,146
(614)
20,109
15,487
2,721
1,901
Income taxes (recoveries)
2,873
985
282
778
(616)
4,302
3,615
452
235
Net income
$
8,370
$
3,210
$
857
$
3,368
$
2
$
15,807
$
11,872
$
2,269
$
1,666
Non-interest expense includes:
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Depreciation and amortization
$
942
$
1,109
$
57
$
514
$
12
$
2,634
$
1,617
$
776
$
241
Impairment of other intangibles
11
2
2
3
\u2013
18
11
5
2
Total assets
$
602,824
$
198,380
$
21,918
$
1,033,978
$
60,119
$
1,917,219
$
992,485
$
570,255
$
354,479
Total assets include:
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Additions to premises and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
equipment and intangibles
$
394
$
2,347
$
49
$
258
$
630
$
3,678
$
1,263
$
666
$
1,749
Total liabilities
$
602,741
$
198,329
$
22,588
$
1,033,689
$
(48,303)
$
1,809,044
\u00a0 \u00a0 \u00a0
\n
(1)
Taxable equivalent basis.
(2)
Interest revenue is reported net of interest expense as we rely primarily on net interest income as a performance measure.
(3)
Amounts have been revised from those previously presented to conform to our new basis of segment presentation.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForSegmentReportingExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f54101": { "value": "Note 27
Results by business segment
Composition of business segments
For management purposes, based on the products and services offered, we are organized into four business segments:
Personal & Commercial Banking, Wealth Management, Insurance, and Capital Markets. Effective the first quarter of 2023, we
simplified our reporting structure by eliminating the Investor & Treasury Services segment and moving its former businesses to
existing segments. We moved our Investor Services business to our Wealth Management segment, and our Treasury Services and
Transaction Banking businesses to our Capital Markets segment. Effective the fourth quarter of 2023, we moved the Investor
Services lending business from our Wealth Management segment to our Capital Markets segment. From a reporting perspective,
there were no changes to our Personal & Commercial Banking and Insurance segments. Comparative results have been revised
to conform to our new basis of segment presentation.
Personal & Commercial Banking provides a broad suite of financial products and services to individual and business clients for
their day-to-day banking, investing and financing needs through two businesses: Canadian Banking and Caribbean & U.S.
Banking. In Canada, we provide a broad suite of financial products and services through our large branch network, ATMs, and
mobile sales network. In the Caribbean and the U.S., we offer a broad range of financial products and services in targeted
markets. Non-interest income in Personal & Commercial Banking mainly comprises Service charges, Mutual fund revenue and
Card service revenue.
Wealth Management serves high net worth and ultra-high net worth individual and institutional clients with a comprehensive
suite of advice-based solutions and strategies as well as personalized banking relationships through our lines of businesses in
Canada, the U.S., the U.K., Europe and Asia, including Canadian Wealth Management, U.S. Wealth Management (including City
National), Global Asset Management, International Wealth Management, and Investor Services. Non-interest income in Wealth
Management mainly comprises Investment management and custodial fees, Mutual fund revenue and Securities brokerage
commissions.
Insurance has operations in Canada and globally, operating under two business lines: Canadian Insurance and International
Insurance, providing a wide range of advice and solutions for individual and business clients including life, health, wealth,
property & casualty, travel, group benefits, annuities, and reinsurance. In Canada, we offer our products and services through a
wide variety of channels, comprised of mobile advisors, advice centres, RBC Insurance
\u00ae
stores, and digital platforms as well as
through independent brokers and partners. Outside Canada, we operate in reinsurance and retrocession markets globally
offering life, critical illness, disability and longevity reinsurance products. Non-interest income in Insurance is comprised of
Insurance premiums, and investment and fee income.
Capital Markets provides expertise in advisory & origination, sales & trading, lending & financing and transaction banking to
corporations, institutional clients, asset managers, private equity firms and governments globally in our two main business lines:
Corporate & Investment Banking and Global Markets. In North America, we offer a full suite of products and services which
include equity and debt origination and distribution, advisory services, and sales & trading. Outside North America, we have a
targeted strategic presence in the U.K. & Europe, Australia, Asia & other markets aligned to our global expertise. In the U.K. &
Europe, we offer a diversified set of capabilities in key industry sectors of focus. In Australia and Asia, we compete with global
and regional investment banks in targeted areas aligned to our global expertise, including fixed income distribution and
currencies trading, secured financing, as well as corporate and investment banking. Non-interest income in Capital Markets
mainly includes Trading revenue, Underwriting and other advisory fees and Credit fees.
All other enterprise level activities that are not allocated to these four business segments, such as certain treasury and liquidity
management activities, including amounts associated with unattributed capital, and consolidation adjustments, including the
elimination of the Taxable equivalent basis (Teb) gross-up amounts, are included in Corporate Support. Teb adjustments gross
up income from certain tax-advantaged sources from Canadian taxable corporate dividends and U.S. tax credit investments
recorded in Capital Markets to their effective tax equivalent value with the corresponding offset recorded in the provision for
income taxes. Management believes that these Teb adjustments are necessary for Capital Markets to reflect how it is managed
and enhances the comparability of revenue across our taxable and tax-advantaged sources. Our use of Teb adjustments may not
be comparable to similarly adjusted amounts at other financial institutions. The Teb adjustment for the year ended October 31,
2023 was $559 million (October 31, 2022 \u2013 $572 million). Gains (losses) on economic hedges of our U.S. Wealth Management
(including City National) share-based compensation plans, which are reflected in revenue, and related variability in share-based
compensation expense driven by changes in the fair value of liabilities relating to these plans are also included in Corporate
Support as this presentation more closely aligns with how we view business performance and manage the underlying risks.
Geographic segments
For geographic reporting, our segments are grouped into Canada, the U.S. and Other International. Transactions are primarily
recorded in the location that best reflects the risk due to negative changes in economic conditions and prospects for growth due
to positive economic changes. This location frequently corresponds with the location of the legal entity through which the
business is conducted and the location of our clients. Transactions are recorded in the local currency and are subject to foreign
exchange rate fluctuations with respect to the movement in the Canadian dollar.
Management reporting framework
Our management reporting framework is intended to measure the performance of each business segment as if it were a stand-
alone business and reflects the way that the business segment is managed. This approach is intended to ensure that our
business segments\u2019 results include all applicable revenue and expenses associated with the conduct of their business and
depicts how management views those results. We regularly monitor these segment results for the purpose of making decisions
about resource allocation and performance assessment. These items do not impact our consolidated results.
The expenses in each business segment may include costs or services directly incurred or provided on their behalf at the
enterprise level. For other costs not directly attributable to one of our business segments, we use a management reporting
framework that uses assumptions and methodologies for allocating overhead costs and indirect expenses to our business
segments and that assists in the attribution of capital and the transfer pricing of funds to our business segments in a manner that
consistently measures and aligns the economic costs with the underlying benefits and risks of that specific business segment.
Activities and business conducted between our business segments are generally at market rates. All other enterprise level
activities that are not allocated to our four business segments are reported under Corporate Support.
Our assumptions and methodologies used in our management reporting framework are periodically reviewed by us to
ensure that they remain valid. The capital attribution methodologies involve a number of assumptions that are revised
periodically.
\n\n\n \n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0 \u00a0 \u00a0
For the year ended October 31, 2023
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
\u00a0
Personal &
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
\u00a0
Commercial
Wealth
\u00a0
Capital
Corporate
\u00a0 \u00a0
United
Other
(Millions of Canadian dollars)
Banking
Management
Insurance
Markets
(1)
Support
(1)
Total
Canada
States
International
Net interest income
(2)
$
16,074
$
4,495
$
\u2013
$
3,379
$
1,181
$
25,129
$
18,752
$
5,065
$
1,312
Non-interest income
6,046
13,049
5,675
7,672
(1,442)
31,000
14,851
8,563
7,586
Total revenue
22,120
17,544
5,675
11,051
(261)
56,129
33,603
13,628
8,898
Provision for credit losses
1,579
328
\u2013
561
\u2013
2,468
1,648
784
36
Insurance policyholder benefits,
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
claims and acquisition expense
\u2013
\u2013
4,022
\u2013
\u2013
4,022
2,161
\u2013
1,861
Non-interest expense
9,215
14,128
653
6,509
668
31,173
15,319
11,177
4,677
Net income (loss) before income
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
taxes
11,326
3,088
1,000
3,981
(929)
18,466
14,475
1,667
2,324
Income taxes (recoveries)
3,060
661
197
(158)
(160)
3,600
4,770
(1,103)
(67)
Net income
$
8,266
$
2,427
$
803
$
4,139
$
(769)
$
14,866
$
9,705
$
2,770
$
2,391
Non-interest expense includes:
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Depreciation and amortization
$
961
$
1,234
$
58
$
509
$
\u2013
$
2,762
$
1,570
$
836
$
356
Impairment of other intangibles
13
81
1
2
11
108
28
65
15
Total assets
$ 636,046
$
179,227
$ 22,591
$ 1,100,172
$
66,956
$ 2,004,992
$
1,042,663
$
639,296
$
323,033
Total assets include:
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Additions to premises and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
equipment and intangibles
$
463
$
1,008
$
53
$
311
$
639
$
2,474
$
1,334
$
700
$
440
Total liabilities
$ 635,952
$
177,389
$ 23,355
$ 1,099,893
$
(49,357)
$ 1,887,232
\u00a0 \u00a0 \u00a0
\n\n\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0 \u00a0 \u00a0
For the year ended October 31, 2022
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
\u00a0
Personal &
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
\u00a0
Commercial
Wealth
\u00a0
Capital
Corporate
\u00a0 \u00a0 \u00a0
Other
(Millions of Canadian dollars)
Banking
Management
(3)
Insurance
Markets
(1)
, (3)
Support
(1)
Total
Canada
United States
International
Net interest income
(2)
$
14,019
$
3,886
$
\u2013
$
4,944
$
(132)
$
22,717
$
15,761
$
5,423
$
1,533
Non-interest income
6,124
12,357
3,510
5,005
(728)
26,268
13,508
6,364
6,396
Total revenue
20,143
16,243
3,510
9,949
(860)
48,985
29,269
11,787
7,929
Provision for credit losses
463
33
\u2013
(13)
1
484
600
60
(176)
Insurance policyholder benefits,
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
claims and acquisition expense
\u2013
\u2013
1,783
\u2013
\u2013
1,783
(466)
\u2013
2,249
Non-interest expense
8,437
12,015
588
5,816
(247)
26,609
13,648
9,006
3,955
Net income (loss) before income
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
taxes
11,243
4,195
1,139
4,146
(614)
20,109
15,487
2,721
1,901
Income taxes (recoveries)
2,873
985
282
778
(616)
4,302
3,615
452
235
Net income
$
8,370
$
3,210
$
857
$
3,368
$
2
$
15,807
$
11,872
$
2,269
$
1,666
Non-interest expense includes:
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Depreciation and amortization
$
942
$
1,109
$
57
$
514
$
12
$
2,634
$
1,617
$
776
$
241
Impairment of other intangibles
11
2
2
3
\u2013
18
11
5
2
Total assets
$
602,824
$
198,380
$
21,918
$
1,033,978
$
60,119
$
1,917,219
$
992,485
$
570,255
$
354,479
Total assets include:
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Additions to premises and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
equipment and intangibles
$
394
$
2,347
$
49
$
258
$
630
$
3,678
$
1,263
$
666
$
1,749
Total liabilities
$
602,741
$
198,329
$
22,588
$
1,033,689
$
(48,303)
$
1,809,044
\u00a0 \u00a0 \u00a0
\n
(1)
Taxable equivalent basis.
(2)
Interest revenue is reported net of interest expense as we rely primarily on net interest income as a performance measure.
(3)
Amounts have been revised from those previously presented to conform to our new basis of segment presentation.", "dimensions": { "concept": "ifrs-full:DisclosureOfOperatingSegmentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f54102": { "value": "Note 27
Results by business segment
Composition of business segments
For management purposes, based on the products and services offered, we are organized into four business segments:
Personal & Commercial Banking, Wealth Management, Insurance, and Capital Markets. Effective the first quarter of 2023, we
simplified our reporting structure by eliminating the Investor & Treasury Services segment and moving its former businesses to
existing segments. We moved our Investor Services business to our Wealth Management segment, and our Treasury Services and
Transaction Banking businesses to our Capital Markets segment. Effective the fourth quarter of 2023, we moved the Investor
Services lending business from our Wealth Management segment to our Capital Markets segment. From a reporting perspective,
there were no changes to our Personal & Commercial Banking and Insurance segments. Comparative results have been revised
to conform to our new basis of segment presentation.
Personal & Commercial Banking provides a broad suite of financial products and services to individual and business clients for
their day-to-day banking, investing and financing needs through two businesses: Canadian Banking and Caribbean & U.S.
Banking. In Canada, we provide a broad suite of financial products and services through our large branch network, ATMs, and
mobile sales network. In the Caribbean and the U.S., we offer a broad range of financial products and services in targeted
markets. Non-interest income in Personal & Commercial Banking mainly comprises Service charges, Mutual fund revenue and
Card service revenue.
Wealth Management serves high net worth and ultra-high net worth individual and institutional clients with a comprehensive
suite of advice-based solutions and strategies as well as personalized banking relationships through our lines of businesses in
Canada, the U.S., the U.K., Europe and Asia, including Canadian Wealth Management, U.S. Wealth Management (including City
National), Global Asset Management, International Wealth Management, and Investor Services. Non-interest income in Wealth
Management mainly comprises Investment management and custodial fees, Mutual fund revenue and Securities brokerage
commissions.
Insurance has operations in Canada and globally, operating under two business lines: Canadian Insurance and International
Insurance, providing a wide range of advice and solutions for individual and business clients including life, health, wealth,
property & casualty, travel, group benefits, annuities, and reinsurance. In Canada, we offer our products and services through a
wide variety of channels, comprised of mobile advisors, advice centres, RBC Insurance
\u00ae
stores, and digital platforms as well as
through independent brokers and partners. Outside Canada, we operate in reinsurance and retrocession markets globally
offering life, critical illness, disability and longevity reinsurance products. Non-interest income in Insurance is comprised of
Insurance premiums, and investment and fee income.
Capital Markets provides expertise in advisory & origination, sales & trading, lending & financing and transaction banking to
corporations, institutional clients, asset managers, private equity firms and governments globally in our two main business lines:
Corporate & Investment Banking and Global Markets. In North America, we offer a full suite of products and services which
include equity and debt origination and distribution, advisory services, and sales & trading. Outside North America, we have a
targeted strategic presence in the U.K. & Europe, Australia, Asia & other markets aligned to our global expertise. In the U.K. &
Europe, we offer a diversified set of capabilities in key industry sectors of focus. In Australia and Asia, we compete with global
and regional investment banks in targeted areas aligned to our global expertise, including fixed income distribution and
currencies trading, secured financing, as well as corporate and investment banking. Non-interest income in Capital Markets
mainly includes Trading revenue, Underwriting and other advisory fees and Credit fees.
All other enterprise level activities that are not allocated to these four business segments, such as certain treasury and liquidity
management activities, including amounts associated with unattributed capital, and consolidation adjustments, including the
elimination of the Taxable equivalent basis (Teb) gross-up amounts, are included in Corporate Support. Teb adjustments gross
up income from certain tax-advantaged sources from Canadian taxable corporate dividends and U.S. tax credit investments
recorded in Capital Markets to their effective tax equivalent value with the corresponding offset recorded in the provision for
income taxes. Management believes that these Teb adjustments are necessary for Capital Markets to reflect how it is managed
and enhances the comparability of revenue across our taxable and tax-advantaged sources. Our use of Teb adjustments may not
be comparable to similarly adjusted amounts at other financial institutions. The Teb adjustment for the year ended October 31,
2023 was $559 million (October 31, 2022 \u2013 $572 million). Gains (losses) on economic hedges of our U.S. Wealth Management
(including City National) share-based compensation plans, which are reflected in revenue, and related variability in share-based
compensation expense driven by changes in the fair value of liabilities relating to these plans are also included in Corporate
Support as this presentation more closely aligns with how we view business performance and manage the underlying risks.
Geographic segments
For geographic reporting, our segments are grouped into Canada, the U.S. and Other International. Transactions are primarily
recorded in the location that best reflects the risk due to negative changes in economic conditions and prospects for growth due
to positive economic changes. This location frequently corresponds with the location of the legal entity through which the
business is conducted and the location of our clients. Transactions are recorded in the local currency and are subject to foreign
exchange rate fluctuations with respect to the movement in the Canadian dollar.
Management reporting framework
Our management reporting framework is intended to measure the performance of each business segment as if it were a stand-
alone business and reflects the way that the business segment is managed. This approach is intended to ensure that our
business segments\u2019 results include all applicable revenue and expenses associated with the conduct of their business and
depicts how management views those results. We regularly monitor these segment results for the purpose of making decisions
about resource allocation and performance assessment. These items do not impact our consolidated results.
The expenses in each business segment may include costs or services directly incurred or provided on their behalf at the
enterprise level. For other costs not directly attributable to one of our business segments, we use a management reporting
framework that uses assumptions and methodologies for allocating overhead costs and indirect expenses to our business
segments and that assists in the attribution of capital and the transfer pricing of funds to our business segments in a manner that
consistently measures and aligns the economic costs with the underlying benefits and risks of that specific business segment.
Activities and business conducted between our business segments are generally at market rates. All other enterprise level
activities that are not allocated to our four business segments are reported under Corporate Support.
Our assumptions and methodologies used in our management reporting framework are periodically reviewed by us to
ensure that they remain valid. The capital attribution methodologies involve a number of assumptions that are revised
periodically.
\n\n\n \n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0 \u00a0 \u00a0
For the year ended October 31, 2023
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
\u00a0
Personal &
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
\u00a0
Commercial
Wealth
\u00a0
Capital
Corporate
\u00a0 \u00a0
United
Other
(Millions of Canadian dollars)
Banking
Management
Insurance
Markets
(1)
Support
(1)
Total
Canada
States
International
Net interest income
(2)
$
16,074
$
4,495
$
\u2013
$
3,379
$
1,181
$
25,129
$
18,752
$
5,065
$
1,312
Non-interest income
6,046
13,049
5,675
7,672
(1,442)
31,000
14,851
8,563
7,586
Total revenue
22,120
17,544
5,675
11,051
(261)
56,129
33,603
13,628
8,898
Provision for credit losses
1,579
328
\u2013
561
\u2013
2,468
1,648
784
36
Insurance policyholder benefits,
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
claims and acquisition expense
\u2013
\u2013
4,022
\u2013
\u2013
4,022
2,161
\u2013
1,861
Non-interest expense
9,215
14,128
653
6,509
668
31,173
15,319
11,177
4,677
Net income (loss) before income
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
taxes
11,326
3,088
1,000
3,981
(929)
18,466
14,475
1,667
2,324
Income taxes (recoveries)
3,060
661
197
(158)
(160)
3,600
4,770
(1,103)
(67)
Net income
$
8,266
$
2,427
$
803
$
4,139
$
(769)
$
14,866
$
9,705
$
2,770
$
2,391
Non-interest expense includes:
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Depreciation and amortization
$
961
$
1,234
$
58
$
509
$
\u2013
$
2,762
$
1,570
$
836
$
356
Impairment of other intangibles
13
81
1
2
11
108
28
65
15
Total assets
$ 636,046
$
179,227
$ 22,591
$ 1,100,172
$
66,956
$ 2,004,992
$
1,042,663
$
639,296
$
323,033
Total assets include:
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Additions to premises and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
equipment and intangibles
$
463
$
1,008
$
53
$
311
$
639
$
2,474
$
1,334
$
700
$
440
Total liabilities
$ 635,952
$
177,389
$ 23,355
$ 1,099,893
$
(49,357)
$ 1,887,232
\u00a0 \u00a0 \u00a0
\n\n\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0 \u00a0 \u00a0
For the year ended October 31, 2022
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
\u00a0
Personal &
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
\u00a0
Commercial
Wealth
\u00a0
Capital
Corporate
\u00a0 \u00a0 \u00a0
Other
(Millions of Canadian dollars)
Banking
Management
(3)
Insurance
Markets
(1)
, (3)
Support
(1)
Total
Canada
United States
International
Net interest income
(2)
$
14,019
$
3,886
$
\u2013
$
4,944
$
(132)
$
22,717
$
15,761
$
5,423
$
1,533
Non-interest income
6,124
12,357
3,510
5,005
(728)
26,268
13,508
6,364
6,396
Total revenue
20,143
16,243
3,510
9,949
(860)
48,985
29,269
11,787
7,929
Provision for credit losses
463
33
\u2013
(13)
1
484
600
60
(176)
Insurance policyholder benefits,
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
claims and acquisition expense
\u2013
\u2013
1,783
\u2013
\u2013
1,783
(466)
\u2013
2,249
Non-interest expense
8,437
12,015
588
5,816
(247)
26,609
13,648
9,006
3,955
Net income (loss) before income
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
taxes
11,243
4,195
1,139
4,146
(614)
20,109
15,487
2,721
1,901
Income taxes (recoveries)
2,873
985
282
778
(616)
4,302
3,615
452
235
Net income
$
8,370
$
3,210
$
857
$
3,368
$
2
$
15,807
$
11,872
$
2,269
$
1,666
Non-interest expense includes:
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Depreciation and amortization
$
942
$
1,109
$
57
$
514
$
12
$
2,634
$
1,617
$
776
$
241
Impairment of other intangibles
11
2
2
3
\u2013
18
11
5
2
Total assets
$
602,824
$
198,380
$
21,918
$
1,033,978
$
60,119
$
1,917,219
$
992,485
$
570,255
$
354,479
Total assets include:
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Additions to premises and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
equipment and intangibles
$
394
$
2,347
$
49
$
258
$
630
$
3,678
$
1,263
$
666
$
1,749
Total liabilities
$
602,741
$
198,329
$
22,588
$
1,033,689
$
(48,303)
$
1,809,044
\u00a0 \u00a0 \u00a0
\n
(1)
Taxable equivalent basis.
(2)
Interest revenue is reported net of interest expense as we rely primarily on net interest income as a performance measure.
(3)
Amounts have been revised from those previously presented to conform to our new basis of segment presentation.", "dimensions": { "concept": "ifrs-full:DisclosureOfEntitysReportableSegmentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f54108": { "value": "Composition of business segments
For management purposes, based on the products and services offered, we are organized into four business segments:
Personal & Commercial Banking, Wealth Management, Insurance, and Capital Markets. Effective the first quarter of 2023, we
simplified our reporting structure by eliminating the Investor & Treasury Services segment and moving its former businesses to
existing segments. We moved our Investor Services business to our Wealth Management segment, and our Treasury Services and
Transaction Banking businesses to our Capital Markets segment. Effective the fourth quarter of 2023, we moved the Investor
Services lending business from our Wealth Management segment to our Capital Markets segment. From a reporting perspective,
there were no changes to our Personal & Commercial Banking and Insurance segments. Comparative results have been revised
to conform to our new basis of segment presentation.
Personal & Commercial Banking provides a broad suite of financial products and services to individual and business clients for
their day-to-day banking, investing and financing needs through two businesses: Canadian Banking and Caribbean & U.S.
Banking. In Canada, we provide a broad suite of financial products and services through our large branch network, ATMs, and
mobile sales network. In the Caribbean and the U.S., we offer a broad range of financial products and services in targeted
markets. Non-interest income in Personal & Commercial Banking mainly comprises Service charges, Mutual fund revenue and
Card service revenue.
Wealth Management serves high net worth and ultra-high net worth individual and institutional clients with a comprehensive
suite of advice-based solutions and strategies as well as personalized banking relationships through our lines of businesses in
Canada, the U.S., the U.K., Europe and Asia, including Canadian Wealth Management, U.S. Wealth Management (including City
National), Global Asset Management, International Wealth Management, and Investor Services. Non-interest income in Wealth
Management mainly comprises Investment management and custodial fees, Mutual fund revenue and Securities brokerage
commissions.
Insurance has operations in Canada and globally, operating under two business lines: Canadian Insurance and International
Insurance, providing a wide range of advice and solutions for individual and business clients including life, health, wealth,
property & casualty, travel, group benefits, annuities, and reinsurance. In Canada, we offer our products and services through a
wide variety of channels, comprised of mobile advisors, advice centres, RBC Insurance
\u00ae
stores, and digital platforms as well as
through independent brokers and partners. Outside Canada, we operate in reinsurance and retrocession markets globally
offering life, critical illness, disability and longevity reinsurance products. Non-interest income in Insurance is comprised of
Insurance premiums, and investment and fee income.
Capital Markets provides expertise in advisory & origination, sales & trading, lending & financing and transaction banking to
corporations, institutional clients, asset managers, private equity firms and governments globally in our two main business lines:
Corporate & Investment Banking and Global Markets. In North America, we offer a full suite of products and services which
include equity and debt origination and distribution, advisory services, and sales & trading. Outside North America, we have a
targeted strategic presence in the U.K. & Europe, Australia, Asia & other markets aligned to our global expertise. In the U.K. &
Europe, we offer a diversified set of capabilities in key industry sectors of focus. In Australia and Asia, we compete with global
and regional investment banks in targeted areas aligned to our global expertise, including fixed income distribution and
currencies trading, secured financing, as well as corporate and investment banking. Non-interest income in Capital Markets
mainly includes Trading revenue, Underwriting and other advisory fees and Credit fees.
All other enterprise level activities that are not allocated to these four business segments, such as certain treasury and liquidity
management activities, including amounts associated with unattributed capital, and consolidation adjustments, including the
elimination of the Taxable equivalent basis (Teb) gross-up amounts, are included in Corporate Support. Teb adjustments gross
up income from certain tax-advantaged sources from Canadian taxable corporate dividends and U.S. tax credit investments
recorded in Capital Markets to their effective tax equivalent value with the corresponding offset recorded in the provision for
income taxes. Management believes that these Teb adjustments are necessary for Capital Markets to reflect how it is managed
and enhances the comparability of revenue across our taxable and tax-advantaged sources. Our use of Teb adjustments may not
be comparable to similarly adjusted amounts at other financial institutions. The Teb adjustment for the year ended October 31,
2023 was $559 million (October 31, 2022 \u2013 $572 million). Gains (losses) on economic hedges of our U.S. Wealth Management
(including City National) share-based compensation plans, which are reflected in revenue, and related variability in share-based
compensation expense driven by changes in the fair value of liabilities relating to these plans are also included in Corporate
Support as this presentation more closely aligns with how we view business performance and manage the underlying risks.", "dimensions": { "concept": "ifrs-full:DisclosureOfCompositionOfGroupExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f54162": { "value": "Geographic segments
For geographic reporting, our segments are grouped into Canada, the U.S. and Other International. Transactions are primarily
recorded in the location that best reflects the risk due to negative changes in economic conditions and prospects for growth due
to positive economic changes. This location frequently corresponds with the location of the legal entity through which the
business is conducted and the location of our clients. Transactions are recorded in the local currency and are subject to foreign
exchange rate fluctuations with respect to the movement in the Canadian dollar.", "dimensions": { "concept": "ifrs-full:DisclosureOfGeographicalAreasExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f55145": { "value": "Note 28
Nature and extent of risks arising from financial instruments
We are exposed to credit, market and liquidity and funding risks as a result of holding financial instruments. Our risk
measurement and objectives, policies and methodologies for managing these risks are disclosed in the shaded text along with
those tables specifically marked with an asterisk (*) in the Credit risk section of Management\u2019s Discussion and Analysis. These
shaded text and tables are an integral part of these Consolidated Financial Statements.
Concentrations of credit risk exist if a number of our counterparties are engaged in similar activities, are located in the same
geographic region or have comparable economic characteristics such that their ability to meet contractual obligations would be
similarly affected by changes in economic, political or other conditions.
\n
\n
Concentrations of credit risk indicate the relative sensitivity of our performance to developments affecting a particular
industry or geographic location. The amounts of credit exposure associated with certain of our on- and off-balance sheet
financial instruments are summarized in the following tables.
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
As at October 31, 2023
\u00a0 \u00a0 \u00a0 \u00a0
(Millions of Canadian dollars,
\u00a0 \u00a0
United
\u00a0 \u00a0 \u00a0
Other
\u00a0 \u00a0
except percentage amounts)
Canada
%
States
%
Europe
%
International
%
Total
On-balance sheet assets other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
than derivatives
(1)
$ 798,259
66%
$ 294,670
24%
$
76,637
6%
$
50,147
4%
$ 1,219,713
Derivatives before master
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
netting agreements
(2), (3)
27,221
19%
36,698
25%
67,406
46%
14,470
10%
145,795
\u00a0
$ 825,480
60%
$ 331,368
24%
$ 144,043
11%
$
64,617
5%
$ 1,365,508
Off-balance sheet credit
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
instruments
(4)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Committed and uncommitted
(5)
$ 427,849
56%
$ 252,071
33%
$
51,393
8%
$
23,183
3%
$
754,496
Other
85,222
61%
30,737
22%
21,428
15%
2,731
2%
140,118
\u00a0
$ 513,071
57%
$ 282,808
32%
$
72,821
8%
$
25,914
3%
$
894,614
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0
As at October 31, 2022
\u00a0 \u00a0 \u00a0 \u00a0
(Millions of Canadian dollars,
\u00a0 \u00a0
United
\u00a0 \u00a0 \u00a0
Other
\u00a0 \u00a0
except percentage amounts)
Canada
%
States
%
Europe
%
International
%
Total
On-balance sheet assets other
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
than derivatives
(1)
$
759,037
65%
$
263,736
23%
$
87,671
8%
$
48,991
4%
$
1,159,435
Derivatives before master
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
netting agreements
(2), (3)
32,434
20%
35,921
23%
72,885
46%
17,439
11%
158,679
\u00a0
$
791,471
60%
$
299,657
23%
$
160,556
12%
$
66,430
5%
$
1,318,114
Off-balance sheet credit
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
instruments
(4)
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Committed and uncommitted
(5)
$
398,719
57%
$
223,624
32%
$
52,669
8%
$
20,857
3%
$
695,869
Other
79,110
66%
13,847
12%
24,476
20%
2,485
2%
119,918
\u00a0
$
477,829
59%
$
237,471
29%
$
77,145
9%
$
23,342
3%
$
815,787
\n
(1)
Includes Assets purchased under reverse repurchase agreements and securities borrowed, Loans and Customers\u2019 liability under acceptances. The largest concentrations
in Canada are Ontario at 57% (October 31, 2022 \u2013 56%), the Prairies at 15% (October 31, 2022 \u2013 15%), British Columbia and the territories at 14% (October 31, 2022 \u2013 15%)
and Quebec at 10% (October 31, 2022 \u2013 10%). No industry accounts for more than 20% (October 31, 2022 \u2013 20%) of total on-balance sheet credit instruments, with the
exception of Banking, which accounted for 25% (October 31, 2022 \u2013 26%), and Government, which accounted for 28% (October 31, 2022 \u2013 32%). The classification of our
sectors aligns with our view of credit risk by industry.
(2)
A further breakdown of our derivative exposures by risk rating and counterparty type is provided in Note 9.
(3)
Excludes valuation adjustments determined on a pooled basis.
(4)
Balances presented are contractual amounts representing our maximum exposure to credit risk.
(5)
Represents our maximum exposure to credit risk. Retail and wholesale commitments respectively comprise 44% and 56% of our total commitments (October 31, 2022 \u2013
45% and 55%). The largest concentrations in the wholesale portfolio relate to Financial services at 15% (October 31, 2022 \u2013 15%), Real estate and related at 12%
(October 31, 2022 \u2013 12%), Utilities at 11% (October 31, 2022 \u2013 11%), Other services at 8% (October 31, 2022 \u2013 7%), and Investments at 6% (October 31, 2022 \u2013 6%). The
classification of our sectors aligns with our view of credit risk by industry. ", "dimensions": { "concept": "ifrs-full:DisclosureOfNatureAndExtentOfRisksArisingFromFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f55678": { "value": "Note 29
Capital management
Regulatory capital and capital ratios
OSFI formally establishes risk-based capital and leverage minimums and Total Loss Absorbing Capacity (TLAC) ratios for deposit-
taking institutions in Canada. We are required to calculate our capital ratios using the Basel III framework. Under Basel III,
regulatory capital includes Common Equity Tier 1 (CET1), Tier 1 and Tier 2 capital. CET1 capital mainly consists of common shares,
retained earnings and other components of equity. Regulatory adjustments under Basel III include deductions of goodwill and
other intangibles, certain deferred tax assets, defined benefit pension fund assets, investments in banking, financial and
insurance entities, the shortfall of provisions to expected losses, prudential valuation adjustments, prepaid portfolio insurance
assets, non payment and non delivery of trades and equity investment in funds subject to the fall-back approach. Tier 1 capital
comprises predominantly CET1 and Additional Tier 1 items including non-cumulative preferred shares and LRCNs that meet
certain criteria. Tier 2 capital includes subordinated debentures that meet certain criteria, certain loan loss allowances and non-
controlling interests in subsidiaries\u2019 Tier 2 instruments. Total capital is the sum of Tier 1 and Tier 2 capital. External TLAC
instruments comprise predominantly senior bail-in debt, which includes eligible senior unsecured debt with an original term to
maturity of greater than 400 days and remaining term to maturity of greater than 365 days. TLAC available is defined as the sum
of Total capital and external TLAC instruments.
Regulatory capital ratios are calculated by dividing CET1, Tier 1, Total capital and TLAC available by risk-weighted assets. The
leverage ratio is calculated by dividing Tier 1 capital by an exposure measure. The exposure measure consists of total assets
(excluding items deducted from Tier 1 capital) and certain off-balance sheet items converted into credit exposure equivalents.
Adjustments are also made to derivatives and secured financing transactions to reflect credit and other risks. The TLAC leverage
ratio is calculated by dividing TLAC available by the leverage ratio exposure.
During 2023 and 2022, we complied with all applicable capital, leverage and TLAC requirements, including the domestic stability
buffer, imposed by OSFI.
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
As at
\u00a0
\u00a0
October 31
October 31
(Millions of Canadian dollars, except percentage amounts and as otherwise noted)
2023
2022
Capital
(1)
\u00a0 \u00a0
CET1 capital
$
86,611
$
76,945
Tier 1 capital
93,904
84,242
Total capital
104,952
93,850
Risk-weighted assets (RWA) used in calculation of capital ratios
(1)
\u00a0 \u00a0
Credit risk
$
475,842
$
496,898
Market risk
40,498
35,342
Operational risk
79,883
77,639
Total RWA
$
596,223
$
609,879
Capital ratios and Leverage ratio
(1)
\u00a0 \u00a0
CET1 ratio
14.5%
12.6%
Tier 1 capital ratio
15.7%
13.8%
Total capital ratio
17.6%
15.4%
Leverage ratio
4.3%
4.4%
Leverage ratio exposure (billions)
$
2,180
$
1,898
TLAC available and ratios
(2)
\u00a0 \u00a0
TLAC available
$
184,916
$
160,961
TLAC ratio
31.0%
26.4%
TLAC leverage ratio
8.5%
8.5%
\n
(1)
Capital, RWA, and capital ratios are calculated using OSFI\u2019s Capital Adequacy Requirements (CAR) guideline and the Leverage ratio is calculated using OSFI\u2019s Leverage
Requirements (LR) guideline. Both the CAR guideline and LR guideline are based on the Basel III framework. The results for the year ended October 31, 2023 reflect our
adoption of the revised CAR and LR guidelines that came into effect in Q2 2023 as part of OSFI\u2019s implementation of the Basel III reforms.
(2)
TLAC available and TLAC ratios are calculated using OSFI\u2019s TLAC guideline. The TLAC standard is applied at the resolution entity level which for us is deemed to be
Royal Bank of Canada and its subsidiaries. A resolution entity and its subsidiaries are collectively called a resolution group. Both the TLAC ratio and TLAC leverage ratio
are calculated using the TLAC available as percentage of total RWA and leverage exposure, respectively. ", "dimensions": { "concept": "ifrs-full:DisclosureOfObjectivesPoliciesAndProcessesForManagingCapitalExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f55889": { "value": "Note 30
Offsetting financial assets and financial liabilities
Offsetting within our Consolidated Balance Sheets may be achieved where financial assets and liabilities are subject to master
netting arrangements that provide the currently enforceable right of offset and where there is an intention to settle on a net
basis, or realize the assets and settle the liabilities simultaneously. For derivative contracts and repurchase and reverse
repurchase arrangements, this is generally achieved when there is a market mechanism for settlement (e.g., central counterparty
exchange or clearing house) which provides daily net settlement of cash flows arising from these contracts. Margin receivables
and margin payables are generally offset as they settle simultaneously through a market settlement mechanism.
Amounts that do not qualify for offsetting include master netting arrangements that only permit outstanding transactions
with the same counterparty to be offset in an event of default or occurrence of other predetermined events. Such master netting
arrangements include the International Swaps and Derivatives Association Master Agreement or certain derivative exchange or
clearing counterparty agreements for derivative contracts, global master repurchase agreement and global master securities
lending agreements for repurchase, reverse repurchase and other similar secured lending and borrowing arrangements.
The amount of financial collateral received or pledged subject to master netting arrangements or similar agreements that do
not qualify for offsetting refers to the collateral received or pledged to cover the net exposure between counterparties by
enabling the collateral to be realized in an event of default or the occurrence of other predetermined events. Certain amounts of
collateral are restricted from being sold or re-pledged unless there is an event of default or the occurrence of other
predetermined events.
\n
\n
The following tables provide the financial instrument amounts that have been offset on the Consolidated Balance Sheets and
the amounts that do not qualify for offsetting but are subject to enforceable master netting arrangements or similar agreements.
The amounts presented are not intended to represent our actual exposure to credit risk.
Financial instruments subject to enforceable master netting arrangements or similar agreements
\u00a0 \u00a0 \u00a0 \u00a0
As at October 31, 2023
\u00a0 \u00a0 \u00a0 \u00a0
\u00a0 \u00a0
Amounts subject to enforceable netting arrangements
\u00a0 \u00a0 \u00a0
\u00a0 \u00a0 \u00a0 \u00a0
Related amounts not
\u00a0 \u00a0 \u00a0
\u00a0 \u00a0 \u00a0 \u00a0
offset on the Consolidated
\u00a0 \u00a0 \u00a0
\u00a0 \u00a0 \u00a0 \u00a0
Balance Sheets
(1)
\u00a0 \u00a0 \u00a0
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Amounts not
Net amounts
\u00a0
Gross amounts
Gross amounts
Net amounts
Impact of
\u00a0 \u00a0
subject to
presented
\u00a0
of recognized
offset on the
presented in the
master
\u00a0 \u00a0
enforceable
on the
\u00a0
financial
Consolidated
Consolidated
netting
Financial
\u00a0
netting
Consolidated
(Millions of Canadian dollars)
instruments
Balance Sheets
Balance Sheets
agreements
collateral
(2)
Net amounts
arrangements
Balance Sheets
Financial assets
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Assets purchased under reverse
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
repurchase agreements and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
securities borrowed
$
436,617
$
96,676
$
339,941
$
201
$ 336,112
$
3,628
$
250
$
340,191
Derivative assets
138,318
1,544
136,774
89,889
22,310
24,575
5,676
142,450
Other financial assets
3,306
443
2,863
19
421
2,423
\u2013
2,863
\u00a0
$
578,241
$
98,663
$
479,578
$
90,109
$ 358,843
$
30,626
$
5,926
$
485,504
Financial liabilities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Obligations related to assets sold
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
under repurchase agreements
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
and securities loaned
$
427,330
$
96,676
$
330,654
$
201
$ 325,674
$
4,779
$
4,584
$
335,238
Derivative liabilities
132,770
1,544
131,226
89,889
17,340
23,997
11,403
142,629
Other financial liabilities
1,475
443
1,032
19
\u2013
1,013
\u2013
1,032
\u00a0
$
561,575
$
98,663
$
462,912
$
90,109
$ 343,014
$
29,789
$
15,987
$
478,899
\n\n \n
As at October 31, 2022
Amounts subject to enforceable netting arrangements
Related amounts not
offset on the Consolidated
Balance Sheets
(1)
Amounts not
Net amounts
Gross amounts
Gross amounts
Net amounts
Impact of
subject to
presented
of recognized
offset on the
presented in the
master
enforceable
on the
financial
Consolidated
Consolidated
netting
Financial
netting
Consolidated
(Millions of Canadian dollars)
instruments
Balance Sheets
Balance Sheets
agreements
collateral
(2)
Net amounts
arrangements
Balance Sheets
Financial assets
Assets purchased under reverse
repurchase agreements and
securities borrowed
$
411,937
$
94,203
$
317,734
$
293
$
314,602
$
2,839
$
111
$
317,845
Derivative assets
146,479
2,185
144,294
98,610
21,412
24,272
10,145
154,439
Other financial assets
1,638
304
1,334
11
83
1,240
\u2013
1,334
$
560,054
$
96,692
$
463,362
$
98,914
$
336,097
$
28,351
$
10,256
$
473,618
Financial liabilities
Obligations related to assets sold
under repurchase agreements
and securities loaned
$
360,722
$
94,203
$
266,519
$
293
$
265,822
$
404
$
7,428
$
273,947
Derivative liabilities
141,137
2,185
138,952
98,610
19,758
20,584
14,539
153,491
Other financial liabilities
825
304
521
11
\u2013
510
\u2013
521
$
502,684
$
96,692
$
405,992
$
98,914
$
285,580
$
21,498
$
21,967
$
427,959
\n
(1)
Financial collateral is reflected at fair value. The financial instrument amounts and financial collateral disclosed are limited to the net balance sheet exposure, and any
over-collateralization is excluded from the table.
(2)
Includes cash collateral of $17 billion (October 31, 2022 \u2013 $20 billion) and non-cash collateral of $342 billion (October 31, 2022 \u2013 $316 billion) received for financial assets
and cash collateral of $15 billion (October 31, 2022 \u2013 $19 billion) and non-cash collateral of $328 billion (October 31, 2022 \u2013 $267 billion) pledged for financial liabilities. ", "dimensions": { "concept": "ifrs-full:DisclosureOfOffsettingOfFinancialAssetsAndFinancialLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f55890": { "value": "Note 30
Offsetting financial assets and financial liabilities
Offsetting within our Consolidated Balance Sheets may be achieved where financial assets and liabilities are subject to master
netting arrangements that provide the currently enforceable right of offset and where there is an intention to settle on a net
basis, or realize the assets and settle the liabilities simultaneously. For derivative contracts and repurchase and reverse
repurchase arrangements, this is generally achieved when there is a market mechanism for settlement (e.g., central counterparty
exchange or clearing house) which provides daily net settlement of cash flows arising from these contracts. Margin receivables
and margin payables are generally offset as they settle simultaneously through a market settlement mechanism.
Amounts that do not qualify for offsetting include master netting arrangements that only permit outstanding transactions
with the same counterparty to be offset in an event of default or occurrence of other predetermined events. Such master netting
arrangements include the International Swaps and Derivatives Association Master Agreement or certain derivative exchange or
clearing counterparty agreements for derivative contracts, global master repurchase agreement and global master securities
lending agreements for repurchase, reverse repurchase and other similar secured lending and borrowing arrangements.
The amount of financial collateral received or pledged subject to master netting arrangements or similar agreements that do
not qualify for offsetting refers to the collateral received or pledged to cover the net exposure between counterparties by
enabling the collateral to be realized in an event of default or the occurrence of other predetermined events. Certain amounts of
collateral are restricted from being sold or re-pledged unless there is an event of default or the occurrence of other
predetermined events.
\n
\n
The following tables provide the financial instrument amounts that have been offset on the Consolidated Balance Sheets and
the amounts that do not qualify for offsetting but are subject to enforceable master netting arrangements or similar agreements.
The amounts presented are not intended to represent our actual exposure to credit risk.
Financial instruments subject to enforceable master netting arrangements or similar agreements
\u00a0 \u00a0 \u00a0 \u00a0
As at October 31, 2023
\u00a0 \u00a0 \u00a0 \u00a0
\u00a0 \u00a0
Amounts subject to enforceable netting arrangements
\u00a0 \u00a0 \u00a0
\u00a0 \u00a0 \u00a0 \u00a0
Related amounts not
\u00a0 \u00a0 \u00a0
\u00a0 \u00a0 \u00a0 \u00a0
offset on the Consolidated
\u00a0 \u00a0 \u00a0
\u00a0 \u00a0 \u00a0 \u00a0
Balance Sheets
(1)
\u00a0 \u00a0 \u00a0
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Amounts not
Net amounts
\u00a0
Gross amounts
Gross amounts
Net amounts
Impact of
\u00a0 \u00a0
subject to
presented
\u00a0
of recognized
offset on the
presented in the
master
\u00a0 \u00a0
enforceable
on the
\u00a0
financial
Consolidated
Consolidated
netting
Financial
\u00a0
netting
Consolidated
(Millions of Canadian dollars)
instruments
Balance Sheets
Balance Sheets
agreements
collateral
(2)
Net amounts
arrangements
Balance Sheets
Financial assets
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Assets purchased under reverse
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
repurchase agreements and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
securities borrowed
$
436,617
$
96,676
$
339,941
$
201
$ 336,112
$
3,628
$
250
$
340,191
Derivative assets
138,318
1,544
136,774
89,889
22,310
24,575
5,676
142,450
Other financial assets
3,306
443
2,863
19
421
2,423
\u2013
2,863
\u00a0
$
578,241
$
98,663
$
479,578
$
90,109
$ 358,843
$
30,626
$
5,926
$
485,504
Financial liabilities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Obligations related to assets sold
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
under repurchase agreements
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
and securities loaned
$
427,330
$
96,676
$
330,654
$
201
$ 325,674
$
4,779
$
4,584
$
335,238
Derivative liabilities
132,770
1,544
131,226
89,889
17,340
23,997
11,403
142,629
Other financial liabilities
1,475
443
1,032
19
\u2013
1,013
\u2013
1,032
\u00a0
$
561,575
$
98,663
$
462,912
$
90,109
$ 343,014
$
29,789
$
15,987
$
478,899
\n\n \n
As at October 31, 2022
Amounts subject to enforceable netting arrangements
Related amounts not
offset on the Consolidated
Balance Sheets
(1)
Amounts not
Net amounts
Gross amounts
Gross amounts
Net amounts
Impact of
subject to
presented
of recognized
offset on the
presented in the
master
enforceable
on the
financial
Consolidated
Consolidated
netting
Financial
netting
Consolidated
(Millions of Canadian dollars)
instruments
Balance Sheets
Balance Sheets
agreements
collateral
(2)
Net amounts
arrangements
Balance Sheets
Financial assets
Assets purchased under reverse
repurchase agreements and
securities borrowed
$
411,937
$
94,203
$
317,734
$
293
$
314,602
$
2,839
$
111
$
317,845
Derivative assets
146,479
2,185
144,294
98,610
21,412
24,272
10,145
154,439
Other financial assets
1,638
304
1,334
11
83
1,240
\u2013
1,334
$
560,054
$
96,692
$
463,362
$
98,914
$
336,097
$
28,351
$
10,256
$
473,618
Financial liabilities
Obligations related to assets sold
under repurchase agreements
and securities loaned
$
360,722
$
94,203
$
266,519
$
293
$
265,822
$
404
$
7,428
$
273,947
Derivative liabilities
141,137
2,185
138,952
98,610
19,758
20,584
14,539
153,491
Other financial liabilities
825
304
521
11
\u2013
510
\u2013
521
$
502,684
$
96,692
$
405,992
$
98,914
$
285,580
$
21,498
$
21,967
$
427,959
\n
(1)
Financial collateral is reflected at fair value. The financial instrument amounts and financial collateral disclosed are limited to the net balance sheet exposure, and any
over-collateralization is excluded from the table.
(2)
Includes cash collateral of $17 billion (October 31, 2022 \u2013 $20 billion) and non-cash collateral of $342 billion (October 31, 2022 \u2013 $316 billion) received for financial assets
and cash collateral of $15 billion (October 31, 2022 \u2013 $19 billion) and non-cash collateral of $328 billion (October 31, 2022 \u2013 $267 billion) pledged for financial liabilities. ", "dimensions": { "concept": "ifrs-full:DisclosureOfOffsettingOfFinancialAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f55891": { "value": "Note 30
Offsetting financial assets and financial liabilities
Offsetting within our Consolidated Balance Sheets may be achieved where financial assets and liabilities are subject to master
netting arrangements that provide the currently enforceable right of offset and where there is an intention to settle on a net
basis, or realize the assets and settle the liabilities simultaneously. For derivative contracts and repurchase and reverse
repurchase arrangements, this is generally achieved when there is a market mechanism for settlement (e.g., central counterparty
exchange or clearing house) which provides daily net settlement of cash flows arising from these contracts. Margin receivables
and margin payables are generally offset as they settle simultaneously through a market settlement mechanism.
Amounts that do not qualify for offsetting include master netting arrangements that only permit outstanding transactions
with the same counterparty to be offset in an event of default or occurrence of other predetermined events. Such master netting
arrangements include the International Swaps and Derivatives Association Master Agreement or certain derivative exchange or
clearing counterparty agreements for derivative contracts, global master repurchase agreement and global master securities
lending agreements for repurchase, reverse repurchase and other similar secured lending and borrowing arrangements.
The amount of financial collateral received or pledged subject to master netting arrangements or similar agreements that do
not qualify for offsetting refers to the collateral received or pledged to cover the net exposure between counterparties by
enabling the collateral to be realized in an event of default or the occurrence of other predetermined events. Certain amounts of
collateral are restricted from being sold or re-pledged unless there is an event of default or the occurrence of other
predetermined events.
\n
\n
The following tables provide the financial instrument amounts that have been offset on the Consolidated Balance Sheets and
the amounts that do not qualify for offsetting but are subject to enforceable master netting arrangements or similar agreements.
The amounts presented are not intended to represent our actual exposure to credit risk.
Financial instruments subject to enforceable master netting arrangements or similar agreements
\u00a0 \u00a0 \u00a0 \u00a0
As at October 31, 2023
\u00a0 \u00a0 \u00a0 \u00a0
\u00a0 \u00a0
Amounts subject to enforceable netting arrangements
\u00a0 \u00a0 \u00a0
\u00a0 \u00a0 \u00a0 \u00a0
Related amounts not
\u00a0 \u00a0 \u00a0
\u00a0 \u00a0 \u00a0 \u00a0
offset on the Consolidated
\u00a0 \u00a0 \u00a0
\u00a0 \u00a0 \u00a0 \u00a0
Balance Sheets
(1)
\u00a0 \u00a0 \u00a0
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Amounts not
Net amounts
\u00a0
Gross amounts
Gross amounts
Net amounts
Impact of
\u00a0 \u00a0
subject to
presented
\u00a0
of recognized
offset on the
presented in the
master
\u00a0 \u00a0
enforceable
on the
\u00a0
financial
Consolidated
Consolidated
netting
Financial
\u00a0
netting
Consolidated
(Millions of Canadian dollars)
instruments
Balance Sheets
Balance Sheets
agreements
collateral
(2)
Net amounts
arrangements
Balance Sheets
Financial assets
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Assets purchased under reverse
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
repurchase agreements and
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
securities borrowed
$
436,617
$
96,676
$
339,941
$
201
$ 336,112
$
3,628
$
250
$
340,191
Derivative assets
138,318
1,544
136,774
89,889
22,310
24,575
5,676
142,450
Other financial assets
3,306
443
2,863
19
421
2,423
\u2013
2,863
\u00a0
$
578,241
$
98,663
$
479,578
$
90,109
$ 358,843
$
30,626
$
5,926
$
485,504
Financial liabilities
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
Obligations related to assets sold
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
under repurchase agreements
\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
and securities loaned
$
427,330
$
96,676
$
330,654
$
201
$ 325,674
$
4,779
$
4,584
$
335,238
Derivative liabilities
132,770
1,544
131,226
89,889
17,340
23,997
11,403
142,629
Other financial liabilities
1,475
443
1,032
19
\u2013
1,013
\u2013
1,032
\u00a0
$
561,575
$
98,663
$
462,912
$
90,109
$ 343,014
$
29,789
$
15,987
$
478,899
\n\n \n
As at October 31, 2022
Amounts subject to enforceable netting arrangements
Related amounts not
offset on the Consolidated
Balance Sheets
(1)
Amounts not
Net amounts
Gross amounts
Gross amounts
Net amounts
Impact of
subject to
presented
of recognized
offset on the
presented in the
master
enforceable
on the
financial
Consolidated
Consolidated
netting
Financial
netting
Consolidated
(Millions of Canadian dollars)
instruments
Balance Sheets
Balance Sheets
agreements
collateral
(2)
Net amounts
arrangements
Balance Sheets
Financial assets
Assets purchased under reverse
repurchase agreements and
securities borrowed
$
411,937
$
94,203
$
317,734
$
293
$
314,602
$
2,839
$
111
$
317,845
Derivative assets
146,479
2,185
144,294
98,610
21,412
24,272
10,145
154,439
Other financial assets
1,638
304
1,334
11
83
1,240
\u2013
1,334
$
560,054
$
96,692
$
463,362
$
98,914
$
336,097
$
28,351
$
10,256
$
473,618
Financial liabilities
Obligations related to assets sold
under repurchase agreements
and securities loaned
$
360,722
$
94,203
$
266,519
$
293
$
265,822
$
404
$
7,428
$
273,947
Derivative liabilities
141,137
2,185
138,952
98,610
19,758
20,584
14,539
153,491
Other financial liabilities
825
304
521
11
\u2013
510
\u2013
521
$
502,684
$
96,692
$
405,992
$
98,914
$
285,580
$
21,498
$
21,967
$
427,959
\n
(1)
Financial collateral is reflected at fair value. The financial instrument amounts and financial collateral disclosed are limited to the net balance sheet exposure, and any
over-collateralization is excluded from the table.
(2)
Includes cash collateral of $17 billion (October 31, 2022 \u2013 $20 billion) and non-cash collateral of $342 billion (October 31, 2022 \u2013 $316 billion) received for financial assets
and cash collateral of $15 billion (October 31, 2022 \u2013 $19 billion) and non-cash collateral of $328 billion (October 31, 2022 \u2013 $267 billion) pledged for financial liabilities.", "dimensions": { "concept": "ifrs-full:DisclosureOfOffsettingOfFinancialLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f57332": { "value": "Note 32
Parent company information
The following table presents information regarding the legal entity of Royal Bank of Canada with its subsidiaries presented on an
equity accounted basis.
Condensed Balance Sheets
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
As at
\u00a0
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Assets
\u00a0 \u00a0
Cash and due from banks
$
41,770
$
48,062
Interest-bearing deposits with banks
61,256
84,680
Securities
217,490
174,615
Investments in bank subsidiaries and associated companies
(1)
55,082
49,841
Investments in other subsidiaries and associated companies
105,070
88,260
Assets purchased under reverse repurchase agreements and securities borrowed
150,207
132,829
Loans, net of allowance for loan losses
709,635
679,580
Net balances due from bank subsidiaries
(1)
\u2013
7,172
Other assets
214,145
227,767
\u00a0
$
1,554,655
$
1,492,806
Liabilities and shareholders\u2019 equity
\u00a0 \u00a0
Deposits
$
1,006,284
$
955,978
Net balances due to bank subsidiaries
(1)
10,132
\u2013
Net balances due to other subsidiaries
6,866
36,701
Other liabilities
402,326
382,099
\u00a0
1,425,608
1,374,778
Subordinated debentures
11,386
9,964
Shareholders\u2019 equity
117,661
108,064
\u00a0
$
1,554,655
$
1,492,806
\n
(1)
Bank refers primarily to regulated deposit-taking institutions and securities firms.
Condensed Statements of Income and Comprehensive Income
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
For the year ended
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Interest and dividend income
(1)
$
56,495
$
27,791
Interest expense
44,174
12,846
Net interest income
12,321
14,945
Non-interest income
(2)
5,390
5,425
Total revenue
17,711
20,370
Provision for credit losses
2,002
579
Non-interest expense
11,780
10,175
Income before income taxes
3,929
9,616
Income taxes
1,874
2,276
Net income before equity in undistributed income of subsidiaries
2,055
7,340
Equity in undistributed income of subsidiaries
12,804
8,454
Net income
$
14,859
$
15,794
Other comprehensive income (loss), net of taxes
251
5,810
Total comprehensive income
$
15,110
$
21,604
\n
(1)
Includes dividend income from investments in subsidiaries and associated companies of $25 million (October 31, 2022 \u2013 $11 million).
(2)
Includes a nominal share of income (loss) from associated companies (October 31, 2022 \u2013 nominal).
Condensed Statements of Cash Flows
\n\n\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\t\n\t\t\t\n\t\t\t\n\t\t\t\n\t\t\n\t\n
\u00a0 \u00a0
\u00a0
For the year ended
\u00a0
October 31
October 31
(Millions of Canadian dollars)
2023
2022
Cash flows from operating activities
\u00a0 \u00a0
Net income
$
14,859
$
15,794
Adjustments to determine net cash from operating activities:
\u00a0 \u00a0
Change in undistributed earnings of subsidiaries
(12,804)
(8,454)
Change in deposits, net of securitizations
50,306
101,145
Change in loans, net of securitizations
(30,055)
(78,288)
Change in trading securities
(12,832)
(10,348)
Change in obligations related to assets sold under repurchase agreements and securities
\u00a0 \u00a0
loaned
21,954
24,133
Change in assets purchased under reverse repurchase agreements and securities borrowed
(17,378)
(7,239)
Change in obligations related to securities sold short
(819)
3,024
Other operating activities, net
5,000
2,385
Net cash from (used in) operating activities
18,231
42,152
Cash flows from investing activities
\u00a0 \u00a0
Change in interest-bearing deposits with banks
23,424
(27,784)
Proceeds from sales and maturities of investment securities
127,965
59,304
Purchases of investment securities
(153,099)
(71,509)
Net acquisitions of premises and equipment and other intangibles
(2,075)
(1,180)
Change in cash invested in subsidiaries
(3,802)
(2,514)
Change in net funding provided to subsidiaries
(12,531)
(36,981)
Net cash from (used in) investing activities
(20,118)
(80,664)
Cash flows from financing activities
\u00a0 \u00a0
Issuance of subordinated debentures
1,500
1,000
Repayment of subordinated debentures
(110)
\u2013
Issue of common shares, net of issuance costs
65
51
Common shares purchased for cancellation
\u2013
(5,426)
Issue of preferred shares and other equity instruments, net of issuance costs
\u2013
749
Redemption of preferred shares and other equity instruments
\u2013
(155)
Dividends paid on shares and distributions paid on other equity instruments
(5,549)
(6,960)
Repayment of lease liabilities
(311)
(302)
Net cash from (used in) financing activities
(4,405)
(11,043)
Net change in cash and due from banks
(6,292)
(49,555)
Cash and due from banks at beginning of year
48,062
97,617
Cash and due from banks at end of year
$
41,770
$
48,062
Supplemental disclosure of cash flow information
\u00a0 \u00a0
Amount of interest paid
$
35,104
$
7,801
Amount of interest received
49,098
21,332
Amount of dividends received
2,628
2,618
Amount of income taxes paid
2,604
4,641
\n", "dimensions": { "concept": "ifrs-full:DisclosureOfConsolidatedAndSeparateFinancialStatementsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f57954": { "value": "Note 33
Principal subsidiaries
\n \n
(Millions of Canadian dollars)
As at October 31, 2023
Carrying value of
voting shares owned
Principal subsidiaries
(1)
Principal office address
(2)
by the Bank
(3)
Royal Bank Holding Inc.
Toronto, Ontario, Canada
$
85,823
RBC Direct Investing Inc.
Toronto, Ontario, Canada
RBC Insurance Holdings Inc.
Mississauga, Ontario, Canada
RBC Life Insurance Company
Mississauga, Ontario, Canada
Investment Holdings (Cayman) Limited
George Town, Grand Cayman, Cayman Islands
RBC (Barbados) Funding Ltd.
St. James, Barbados
Capital Funding Alberta Limited
Calgary, Alberta, Canada
RBC Global Asset Management Inc.
Toronto, Ontario, Canada
RBC Investor Services Trust
Toronto, Ontario, Canada
RBC (Barbados) Trading Bank Corporation
St. James, Barbados
RBC US Group Holdings LLC
(2)
Toronto, Ontario, Canada
32,278
RBC USA Holdco Corporation
(2)
New York, New York, U.S.
RBC Capital Markets, LLC
(2)
New York, New York, U.S.
City National Bank
(2)
Los Angeles, California, U.S.
RBC Dominion Securities Limited
Toronto, Ontario, Canada
15,290
RBC Dominion Securities Inc.
Toronto, Ontario, Canada
Royal Bank Mortgage Corporation
Toronto, Ontario, Canada
6,277
RBC Europe Limited
London, England
2,977
The Royal Trust Company
Montreal, Quebec, Canada
1,367
Royal Trust Corporation of Canada
Toronto, Ontario, Canada
553
\n
(1)
The Bank directly or indirectly controls each subsidiary.
(2)
Each subsidiary is incorporated or organized under the laws of the state, province or country in which the principal office is situated, except for RBC US Group Holdings
LLC and RBC USA Holdco Corporation which are incorporated under the laws of the State of Delaware, U.S., RBC Capital Markets, LLC, which is organized under the laws
of the State of Minnesota, U.S., and City National Bank which is a national bank, chartered under the laws of the United States of America.
(3)
The carrying value of voting shares is stated as the Bank\u2019s equity in such investments.
Certain of our subsidiaries, joint ventures and associates are subject to regulatory requirements of the jurisdictions in which they
operate. When these subsidiaries, joint ventures and associates are subject to such requirements, they may be restricted from
transferring to us our share of their assets in the form of cash dividends, loans or advances. As at October 31, 2023, restricted net
assets of these subsidiaries, joint ventures and associates were $50 billion (October 31, 2022 \u2013 $44 billion).", "dimensions": { "concept": "ifrs-full:DisclosureOfSignificantInvestmentsInSubsidiariesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f57955": { "value": "Note 33
Principal subsidiaries
\n \n
(Millions of Canadian dollars)
As at October 31, 2023
Carrying value of
voting shares owned
Principal subsidiaries
(1)
Principal office address
(2)
by the Bank
(3)
Royal Bank Holding Inc.
Toronto, Ontario, Canada
$
85,823
RBC Direct Investing Inc.
Toronto, Ontario, Canada
RBC Insurance Holdings Inc.
Mississauga, Ontario, Canada
RBC Life Insurance Company
Mississauga, Ontario, Canada
Investment Holdings (Cayman) Limited
George Town, Grand Cayman, Cayman Islands
RBC (Barbados) Funding Ltd.
St. James, Barbados
Capital Funding Alberta Limited
Calgary, Alberta, Canada
RBC Global Asset Management Inc.
Toronto, Ontario, Canada
RBC Investor Services Trust
Toronto, Ontario, Canada
RBC (Barbados) Trading Bank Corporation
St. James, Barbados
RBC US Group Holdings LLC
(2)
Toronto, Ontario, Canada
32,278
RBC USA Holdco Corporation
(2)
New York, New York, U.S.
RBC Capital Markets, LLC
(2)
New York, New York, U.S.
City National Bank
(2)
Los Angeles, California, U.S.
RBC Dominion Securities Limited
Toronto, Ontario, Canada
15,290
RBC Dominion Securities Inc.
Toronto, Ontario, Canada
Royal Bank Mortgage Corporation
Toronto, Ontario, Canada
6,277
RBC Europe Limited
London, England
2,977
The Royal Trust Company
Montreal, Quebec, Canada
1,367
Royal Trust Corporation of Canada
Toronto, Ontario, Canada
553
\n
(1)
The Bank directly or indirectly controls each subsidiary.
(2)
Each subsidiary is incorporated or organized under the laws of the state, province or country in which the principal office is situated, except for RBC US Group Holdings
LLC and RBC USA Holdco Corporation which are incorporated under the laws of the State of Delaware, U.S., RBC Capital Markets, LLC, which is organized under the laws
of the State of Minnesota, U.S., and City National Bank which is a national bank, chartered under the laws of the United States of America.
(3)
The carrying value of voting shares is stated as the Bank\u2019s equity in such investments.
Certain of our subsidiaries, joint ventures and associates are subject to regulatory requirements of the jurisdictions in which they
operate. When these subsidiaries, joint ventures and associates are subject to such requirements, they may be restricted from
transferring to us our share of their assets in the form of cash dividends, loans or advances. As at October 31, 2023, restricted net
assets of these subsidiaries, joint ventures and associates were $50 billion (October 31, 2022 \u2013 $44 billion).", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestsInSubsidiariesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } }, "f57959": { "value": "\n \n
(Millions of Canadian dollars)
As at October 31, 2023
Carrying value of
voting shares owned
Principal subsidiaries
(1)
Principal office address
(2)
by the Bank
(3)
Royal Bank Holding Inc.
Toronto, Ontario, Canada
$
85,823
RBC Direct Investing Inc.
Toronto, Ontario, Canada
RBC Insurance Holdings Inc.
Mississauga, Ontario, Canada
RBC Life Insurance Company
Mississauga, Ontario, Canada
Investment Holdings (Cayman) Limited
George Town, Grand Cayman, Cayman Islands
RBC (Barbados) Funding Ltd.
St. James, Barbados
Capital Funding Alberta Limited
Calgary, Alberta, Canada
RBC Global Asset Management Inc.
Toronto, Ontario, Canada
RBC Investor Services Trust
Toronto, Ontario, Canada
RBC (Barbados) Trading Bank Corporation
St. James, Barbados
RBC US Group Holdings LLC
(2)
Toronto, Ontario, Canada
32,278
RBC USA Holdco Corporation
(2)
New York, New York, U.S.
RBC Capital Markets, LLC
(2)
New York, New York, U.S.
City National Bank
(2)
Los Angeles, California, U.S.
RBC Dominion Securities Limited
Toronto, Ontario, Canada
15,290
RBC Dominion Securities Inc.
Toronto, Ontario, Canada
Royal Bank Mortgage Corporation
Toronto, Ontario, Canada
6,277
RBC Europe Limited
London, England
2,977
The Royal Trust Company
Montreal, Quebec, Canada
1,367
Royal Trust Corporation of Canada
Toronto, Ontario, Canada
553
\n
(1)
The Bank directly or indirectly controls each subsidiary.
(2)
Each subsidiary is incorporated or organized under the laws of the state, province or country in which the principal office is situated, except for RBC US Group Holdings
LLC and RBC USA Holdco Corporation which are incorporated under the laws of the State of Delaware, U.S., RBC Capital Markets, LLC, which is organized under the laws
of the State of Minnesota, U.S., and City National Bank which is a national bank, chartered under the laws of the United States of America.
(3)
The carrying value of voting shares is stated as the Bank\u2019s equity in such investments.
Certain of our subsidiaries, joint ventures and associates are subject to regulatory requirements of the jurisdictions in which they
operate. When these subsidiaries, joint ventures and associates are subject to such requirements, they may be restricted from
transferring to us our share of their assets in the form of cash dividends, loans or advances. As at October 31, 2023, restricted net
assets of these subsidiaries, joint ventures and associates were $50 billion (October 31, 2022 \u2013 $44 billion).", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestsInOtherEntitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00" } } } }